1. Yacine Aït-Sahalia is the Otto A. Hack 1903 Professor of Finance and Economics, Department of Economics, Jianqing Fan is the Frederick L. Moore Professor of Finance and Statistics, Department of Operation Research and Financial Engineering, and Dacheng Xiu is a Ph.D. Student, Bendheim Center for Finance , Princeton University, Princeton, NJ 08544. Aït-Sahalia’s research was supported by National Science Foundation (NSF) grant SES-0850533. Fan’s research was supported by NSF grants DMS-0714554 and DMS...