100 Fuqua Drive
Durham, NC 27708-0204
United States
Duke University
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
disagreement, machine learning, noise trading, sentiment, textual analysis, volatility, volume
high frequency data, semimartingale, spot volatility, nonlinearity bias, GMM
High-frequency data; realized variances; semicovariances; co-jumps; volatility forecasting
Forecast evaluation, realized variance, volatility, jumps, semimartingale
conditional moment inequality, forecast evaluation, inflation, intersection bounds, machine learning, volatility
high frequency data, semimartingale, VIX, spot volatility, bias correction, GMM
martingale difference, mixingale, series estimation, specification test, strong approximation, uniform inference, unemployment