Econometrics, Volume 11, Issue 3

Detecting pump-and-dump schemes involving cryptoassets with high-frequency data is challenging due to imbalanced datasets and the early occurrence of unusual trading volumes. To address these issues, we propose constructing synthetic balanced dataset...

I study the relationship between competition and innovation, focusing on the distinction between product and process innovations. By considering product innovation, I expand upon earlier research on the topic of the relationship between competition a...

In this study, we leverage geographical coordinates and firm-level panel data to uncover variations in production across different locations. Our approach involves using a semiparametric proxy variable regression estimator, which allows us to define...

Using the capital asset pricing model, this article critically assesses the relative importance of computing ‘realized’ betas from high-frequency returns for Bitcoin and Ethereum—the two major cryptocurrencies—against their cl...

Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates that, in...