Despite massive investments, bus ridership has constantly declined in many cities
worldwide. As public transit systems are evolving from bus-based to mixed structured, the …

Multiperiod-ahead forecasts of returns' variance are used in most areas of applied finance
where long-horizon measures of risk are necessary. Yet, the major focus in the variance …

Latent moderated structural equation (LMS) is one of the most common techniques for
estimating interaction effects involving latent variables (ie, XWITH command in Mplus) …

We examine the price discovery contributions of cryptocurrency exchanges in the presence
of market microstructure noise. Cryptocurrency markets exhibit a decisively higher level of …

We consider a nonparametric time series regression model. Our framework allows precise
estimation of betas without the usual assumption of betas being piecewise constant. This …

Contrary to the Chinese central government's strong encouragement of green development,
the initiative of local governments in pollution control remains inefficient. This phenomena …

We investigate estimators of factor-model-based large covariance (and precision) matrices
using high-frequency data, which are asynchronous and potentially contaminated by the …

This paper aims to analyze the return-volatility relationship of Bitcoin and Ethereum across
different return frequencies and all conditional quantiles of implied volatility, based on a …

We conduct inference on volatility with noisy high‐frequency data. We assume the observed
transaction price follows a continuous‐time Itô‐semimartingale, contaminated by a discrete …

We present a general framework for optimal nonparametric spot volatility estimation based
on intraday range data, comprised of the first, highest, lowest, and last price over a given …