Research
Research
Publications
Some Fixed-b Results for Regressions with High Frequency Data over Long Spans (with Timothy J. Vogelsang)
(Journal of Econometrics, forthcoming)
Working papers
An Estimating Equation Approach for Robust Confidence Intervals for Autocorrelations of Stationary Time Series (with Timothy J. Vogelsang)
[Paper Link] [Code for Monte Carlo (Github)] [Python Docs & Library for empirical applications]
Works in progress
The Distribution of Realized US Corporate Bond Return Volatility