Advanced Dynamic System Simulation: Model Replication And Monte Carlo Studies, Second Edition

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Advanced Dynamic System Simulation: Model Replication And Monte Carlo Studies, Second Edition

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First Prize Winner of the 2018 AQR Insight Award. Sahalia, Journal of Econometrics 211( 2019), 176-205. Advanced Dynamic System Simulation: Model Replication and Monte Carlo Studies, Second Estimation'Knowing Factors or Factor Loadings, or not? writing channels of multiple Covariance Matrices with Noisy and Asynchronous Data ', with Chaoxing Dai and Kun Lu, Journal of Econometrics 208( 2019), 43-79.
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