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Is the EJRA proportionate and therefore justified? A critical review of the EJRA policy at Cambridge
This paper critically evaluates the HESA (Higher Education Statistics Agency) Data Report for the Employer Justified Retirement Age (EJRA) Review Group at the University of Cambridge (Cambridge 2024), identifying significant methodological flaws and misinterpretations.
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
We propose a new estimator of high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure from noisy and asynchronous high-frequency data collected for an ultra-large number of assets.
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
In addition, we consider large spot volatility matrix estimation in time-varying factor models with observable risk factors and derive the uniform convergence property.
CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects
Models with interactive fixed effects are well studied in the low-dimensional case where the number of parameters to be estimated is small.
A Unified Framework for Specification Tests of Continuous Treatment Effect Models
We propose a general framework for the specification testing of continuous treatment effect models.
