Estimating stochastic volatility diffusion using conditional moments of integrated volatility

We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps. © 2002 Elsevier Science B.V. All rights reserved.

Estimating equilibrium models of sorting across locations

While there is growing interest in measuring the size and scope of local spillovers, it is well understood that such spillovers cannot be distinguished from unobservable local attributes using solely the observed location decisions of individuals or firms. We propose an empirical strategy for recovering estimates of spillovers in the presence of unobserved local attributes for a broadly applicable class of equilibrium sorting models. Our approach relies on an IV strategy derived from the internal logic of the sorting model itself. We show practically how the strategy is implemented, provide intuition for our instruments, discuss the role of effective choice-set variation in identifying the model, and carry-out a series of Monte Carlo simulations to demonstrate performance in small samples. © 2007 The Author(s). Journal compilation Royal Economic Society 2007.

Portable, Fiber-Based, Diffuse Reflection Spectroscopy (DRS) Systems for Estimating Tissue Optical Properties.

Steady-state diffuse reflection spectroscopy is a well-studied optical technique that can provide a noninvasive and quantitative method for characterizing the absorption and scattering properties of biological tissues. Here, we compare three fiber-based diffuse reflection spectroscopy systems that were assembled to create a light-weight, portable, and robust optical spectrometer that could be easily translated for repeated and reliable use in mobile settings. The three systems were built using a broadband light source and a compact, commercially available spectrograph. We tested two different light sources and two spectrographs (manufactured by two different vendors). The assembled systems were characterized by their signal-to-noise ratios, the source-intensity drifts, and detector linearity. We quantified the performance of these instruments in extracting optical properties from diffuse reflectance spectra in tissue-mimicking liquid phantoms with well-controlled optical absorption and scattering coefficients. We show that all assembled systems were able to extract the optical absorption and scattering properties with errors less than 10%, while providing greater than ten-fold decrease in footprint and cost (relative to a previously well-characterized and widely used commercial system). Finally, we demonstrate the use of these small systems to measure optical biomarkers in vivo in a small-animal model cancer therapy study. We show that optical measurements from the simple portable system provide estimates of tumor oxygen saturation similar to those detected using the commercial system in murine tumor models of head and neck cancer.