-
Multiple regression model averaging and the focused information criterion wit...
We consider multiple regression (MR) model averaging using the Focused Informati on Criterion (FIC). Our approach is motivated by the problem of implementing a mean-variance... -
Estimating Jump Activity Using Multipower Variation
Realized multipower variation, originally introduced to eliminate jumps, can be extremely useful for inference in pure-jump models. This article shows how to build a simple and...