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Published Papers

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Journal of Econometrics

May 2021

Econometrics

Closed-form Implied Volatility Surfaces for Stochastic Volatility Models with Jumps

Yacine Ait-SahaliaChenxu LiChen Xu Li

Econometrica

March 2021

Econometrics

Local Projections and VARs Estimate the Same Impulse Responses

Mikkel Plagborg-MollerChristian K. Wolf

Review of Financial Studies

January 2021

Econometrics

Implied Stochastic Volatility Models

Yacine Ait-SahaliaChenxu LiChen Xu Li

Journal of Econometrics

December 2020

Econometrics

The Term Structure of Variance Swaps, Risk Premia and the Expectations Hypothesis

Yacine Ait-SahaliaMustafa KaramanLoriano Mancini

Annals of Applied Probability

December 2020

Econometrics

From Tick Data to Semimartingales

Yacine Ait-SahaliaJean Jacod

Journal of Econometrics

July 2020

Econometrics

High Frequency Traders and the Price Process

Yacine Ait-SahaliaCelso Brunetti

Review of Economics and Statistics

June 2020

An Econometric Model of International Long-run Growth Dynamics for Long-horizon Forecasting

Ulrich K. MüllerJames StockMark W. Watson

Journal of Econometrics

May 2020

Econometrics

High-Frequency Factor Models and Regressions

Yacine Ait-SahaliaIlze KalninaDacheng Xiu

Journal of Econometrics

April 2020

Inference in SVARs Identified with External Instruments

Jose L. Montiel OleaJames StockMark W. Watson

Econometrica

May 2020

Econometrics

Selection Without Exclusion

Bo E. HonoréLuojia Hu

Brookings Papers on Economic Activity

March 2020

Econometrics

When is Growth at Risk?

Mikkel Plagborg-MollerLucrezia ReichlinGiovanni RiccoThomas Hasenzagl

American Economic Review

March 2020

International Finance

Dominant Currency Paradigm

Emine BozCamila CasasFederico J. DíezGita GopinathPierre-Olivier GourinchasMikkel Plagborg-Moller...

Quantitative Economics

January 2020

Econometrics

Simple and Honest Confidence Intervals in Nonparametric Regression

Tim ArmstrongMichal Kolesár

Statistics and Probability Letters

December 2019

Refining the Central Limit Theorem Approximation via Extreme Value Theory

Ulrich K. Müller

Review of Economic Studies

November 2019

Extended Gravity

Eduardo MoralesGloria SheuAndrés Zahler

Journal of Econometrics

July 2019

Econometrics

A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

Yacine Ait-SahaliaDacheng Xiu

Journal of Money, Credit and Banking

June 2019

Slack and Cyclically Sensitive Inflation

James StockMark W. Watson

Annals of Economics and Statistics

June 2019

Identification in Binary Response Panel Data Models: Is Point-Identification More Common Than We Thought?

Bo E. HonoréEkaterini Kyriazidou

AER Papers and Proceedings

May 2019

International Finance

Dollar Invoicing and the Heterogeneity of Exchange Rate Pass-Through

Emine BozGita GopinathMikkel Plagborg-Moller

Journal of Econometrics

March 2019

Nearly Weighted Risk Minimal Unbiased Estimation

Ulrich K. MüllerYulong Wang