Financial market volatility is an important input for investment, option pricing, and financial
market regulation. The emphasis of this review article is on forecasting instead of modelling; …

Diffusion models for volatility have been used to price options while ARCH models
predominate in descriptive studies of asset volatility. This paper compares a discrete‐time …

This paper develops and estimates an equilibrium model where heterogeneous firms can
exploit two margins of informality:(i) not register their business, the extensive margin; and (ii) …

The last twenty years have witnessed tremendous advances in the mathematical, statistical,
and computational tools available to applied macroeconomists. This rapidly evolving field …

We estimate a dynamic life cycle model of labor supply, fertility, and savings, incorporating
occupational choices, with specific wage paths and skill atrophy that vary over the career …

1.1 Introduction Research into time series models of changing variance and covariance,
which I will collectively call volatility models, has exploded in the last ten years. This activity …

In this paper we present inference methods which are based on an 'incorrect'criterion, in the
sense that the optimization of this criterion does not directly provide a consistent estimator of …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

This paper estimates a structural model of optimal life‐cycle consumption expenditures in
the presence of realistic labor income uncertainty. We employ synthetic cohort techniques …

This paper constructs a model of saving for retired single people that includes heterogeneity
in medical expenses and life expectancies, and bequest motives. We estimate the model …