OLIVER BRUCE LINTON : Citation Profile


Are you OLIVER BRUCE LINTON?

University of Cambridge

28

H index

73

i10 index

3283

Citations

RESEARCH PRODUCTION:

133

Articles

303

Papers

2

Books

1

Chapters

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   36 years (1986 - 2022). See details.
   Cites by year: 91
   Journals where OLIVER BRUCE LINTON has often published
   Relations with other researchers
   Recent citing documents: 361.    Total self citations: 197 (5.66 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pli253
   Updated: 2022-11-19    RAS profile: 2022-05-16    
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Relations with other researchers


Works with:

GAO, Jiti (14)

Hafner, Christian (8)

Whang, Yoon-Jae (8)

Chen, Jia (4)

Peng, Bin (4)

Motegi, Kaiji (3)

Li, Degui (3)

Koerber, Lena (3)

Lewbel, Arthur (3)

Escanciano, Juan Carlos (3)

Srisuma, Sorawoot (3)

hoderlein, stefan (3)

van Kervel, Vincent (2)

Kassner, Bernhard (2)

Park, Andreas (2)

Holzmeister, Felix (2)

Bouri, Elie (2)

Zhou, Chen (2)

FERROUHI, EL MEHDI (2)

Patel, Vinay (2)

Gehrig, Thomas (2)

Lof, Matthijs (2)

Reitz, Stefan (2)

Hautsch, Nikolaus (2)

Wilhelmsson, Anders (2)

Theissen, Erik (2)

Liew, Chee (2)

Talavera, Oleksandr (2)

Hurlin, Christophe (2)

Xia, Shuo (2)

Vogel, Sebastian (2)

Chen, Xiaohong (2)

Smales, Lee (2)

Frijns, Bart (2)

Vilkov, Grigory (2)

Rinne, Kalle (2)

CAPELLE-BLANCARD, Gunther (2)

Gorbenko, Arseny (2)

Wolff, Christian (2)

Colliard, Jean-Edouard (2)

Elliott, David (2)

Regis, Luca (2)

Lee, Ji Hyung (2)

Palan, Stefan (2)

Jurkatis, Simon (2)

Ferrara, Gerardo (2)

Pelizzon, Loriana (2)

Chernov, Mikhail (2)

Patton, Andrew (2)

Pasquariello, Paolo (2)

Sarno, Lucio (2)

Ranaldo, Angelo (2)

Lajaunie, Quentin (2)

Rakowski, David (2)

Zelli, Roberto (2)

Davies, Ryan (2)

Deev, Oleg (2)

Xiu, Dacheng (2)

Horenstein, Alex (2)

Ait-Sahalia, Yacine (2)

Kaminska, Iryna (2)

Tonks, Ian (2)

Deku, Solomon (2)

Menkveld, Albert (2)

Bos, Charles (2)

Jalkh, Naji (2)

Putnins, Talis (2)

Dreber, Anna (2)

Pastor, Lubos (2)

Gerritsen, Dirk (2)

Foucault, Thierry (2)

Brownlees, Christian (2)

Verousis, Thanos (2)

Roy, Saurabh (2)

Xiao, Zhijie (2)

Harris, Jeffrey (2)

Schenk-Hoppé, Klaus (2)

Adrian, Tobias (2)

Wong, Wing-Keung (2)

Caporin, Massimiliano (2)

Heath, Davidson (2)

Lopez-Lira, Alejandro (2)

Schwarz, Marco (2)

Johannesson, Magnus (2)

Taylor, Nick (2)

Dimpfl, Thomas (2)

Moinas, Sophie (2)

He, Xuezhong (Tony) (2)

Bohorquez Correa, Santiago (2)

PASCUAL, ROBERTO (2)

Scaillet, Olivier (2)

Walther, Thomas (2)

Alexeev, Vitali (2)

Stefanova, Denitsa (2)

Dumitrescu, Ariadna (2)

Chow, Nikolai Sheung-Chi (2)

Abudy, Menachem (2)

Nielsson, Ulf (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with OLIVER BRUCE LINTON.

Is cited by:

Lee, Sokbae (Simon) (51)

GAO, Jiti (48)

Wong, Wing-Keung (44)

Chen, Xiaohong (39)

Su, Liangjun (37)

Chernozhukov, Victor (36)

Lewbel, Arthur (36)

Sperlich, Stefan (34)

Sentana, Enrique (32)

Stengos, Thanasis (30)

Hafner, Christian (29)

Cites to:

Phillips, Peter (78)

Newey, Whitney (69)

Andrews, Donald (66)

Chen, Xiaohong (66)

Bollerslev, Tim (54)

Fan, Jianqing (49)

Whang, Yoon-Jae (49)

Engle, Robert (48)

Campbell, John (44)

Härdle, Wolfgang (39)

Diebold, Francis (37)

Main data


Where OLIVER BRUCE LINTON has published?


Journals with more than one article published# docs
Journal of Econometrics42
Econometric Theory31
Econometrica7
Econometric Reviews4
Econometrics Journal3
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research3
Journal of the American Statistical Association3
Journal of Applied Econometrics3
Journal of Empirical Finance3
Journal of Business & Economic Statistics2
Journal of the American Statistical Association2
Review of Economic Studies2
Journal of the Royal Statistical Society Series B2

Working Papers Series with more than one paper published# docs
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies53
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University23
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes13
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics11
Boston College Working Papers in Economics / Boston College Department of Economics6
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía5
Papers / arXiv.org4
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)3
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)3
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Post-Print / HAL2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing OLIVER BRUCE LINTON (2022 and 2021)


YearTitle of citing document
2021Testing for more positive expectation dependence with application to model comparison. (2021). Verdebout, Thomas ; Trufin, Julien ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021021.

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2021Testing for unobserved heterogeneous treatment effects in a nonseparable model with endogenous selection. (2018). Hsu, Yu-Chin ; Xu, Haiqing ; Huang, Ta-Cheng . In: Papers. RePEc:arx:papers:1803.07514.

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2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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2021The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. (2018). Reese, Simon ; Juodis, Arturas. In: Papers. RePEc:arx:papers:1810.03715.

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2022Identifying the Effect of Persuasion. (2018). Lee, Sokbae (Simon) ; Jun, Sung Jae. In: Papers. RePEc:arx:papers:1812.02276.

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2022A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2021Identification and Estimation of a Partially Linear Regression Model using Network Data. (2019). Auerbach, Eric. In: Papers. RePEc:arx:papers:1903.09679.

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2021A General Framework for Inference on Shape Restrictions. (2019). Seo, Juwon ; Fang, Zheng. In: Papers. RePEc:arx:papers:1910.07689.

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2021Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545.

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2022Uniform inference for bounds on the distribution and quantile functions of treatment effects in randomized experiments. (2019). Parker, Thomas ; Galvao, Antonio F. In: Papers. RePEc:arx:papers:1911.10215.

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2022High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1912.02151.

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2021Panel Data Quantile Regression for Treatment Effect Models. (2020). Ishihara, Takuya. In: Papers. RePEc:arx:papers:2001.04324.

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2022Generalized Local IV with Unordered Multiple Treatment Levels: Identification, Efficient Estimation, and Testable Implication. (2020). Xie, Haitian. In: Papers. RePEc:arx:papers:2001.06746.

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2021Loss aversion and the welfare ranking of policy interventions. (2020). Parker, Thomas ; Rosa-Dias, Pedro ; Kobus, Martyna ; Galvao, Antonio F ; Firpo, Sergio. In: Papers. RePEc:arx:papers:2004.08468.

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2021Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

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2021On the Size Control of the Hybrid Test for Predictive Ability. (2020). Kim, Deborah. In: Papers. RePEc:arx:papers:2008.02318.

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2021Efficient closed-form estimation of large spatial autoregressions. (2020). Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:2008.12395.

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2022A Robust Score-Driven Filter for Multivariate Time Series. (2020). Mazzocchi, Mario ; Luati, Alessandra ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2009.01517.

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2022Two-Stage Maximum Score Estimator. (2020). Xu, Sheng ; Gao, Wayne Yuan. In: Papers. RePEc:arx:papers:2009.02854.

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2021Nonclassical Measurement Error in the Outcome Variable. (2020). Martin, Stephan ; Breunig, Christoph. In: Papers. RePEc:arx:papers:2009.12665.

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2021Tail-risk protection: Machine Learning meets modern Econometrics. (2020). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2010.03315.

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2022High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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2022Rank Determination in Tensor Factor Model. (2022). Zhang, Cun-Hui ; Chen, Rong. In: Papers. RePEc:arx:papers:2011.07131.

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2021Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects. (2020). GAO, Jiti ; Liu, Fei ; Peng, Bin. In: Papers. RePEc:arx:papers:2012.03182.

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2022Using Monotonicity Restrictions to Identify Models with Partially Latent Covariates. (2021). Postlewaite, Andrew ; Bang, Minji ; Gao, Wayne Yuan ; Sieg, Holger. In: Papers. RePEc:arx:papers:2101.05847.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2022Identification and Estimation of Average Marginal Effects in Fixed Effects Logit Models. (2021). D'Haultfoeuille, Xavier ; Laage, Louise ; Davezies, Laurent. In: Papers. RePEc:arx:papers:2105.00879.

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2021The Homogenous Properties of Automated Market Makers. (2021). Jensen, Johannes Rude ; Ross, Omri ; Nielsen, Kurt ; Pourpouneh, Mohsen. In: Papers. RePEc:arx:papers:2105.02782.

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2022A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2021Inference for multi-valued heterogeneous treatment effects when the number of treated units is small. (2021). Pouzo, Demian ; Dias, Marina. In: Papers. RePEc:arx:papers:2105.10965.

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2021Identification and Estimation of Average Partial Effects in Semiparametric Binary Response Panel Models. (2021). Poirier, Alexandre ; Shiu, Ji-Liang ; Liu, Laura. In: Papers. RePEc:arx:papers:2105.12891.

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2022Testing Monotonicity of Mean Potential Outcomes in a Continuous Treatment. (2021). Liu, Chu-An ; Huber, Martin ; Hsu, Yu-Chin ; Lee, Ying-Ying. In: Papers. RePEc:arx:papers:2106.04237.

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2021Sensitivity of LATE Estimates to Violations of the Monotonicity Assumption. (2021). Noack, Claudia. In: Papers. RePEc:arx:papers:2106.06421.

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2022Partial Identification and Inference for the Conditional Distribution of Treatment Effects. (2021). Lee, Sungwon. In: Papers. RePEc:arx:papers:2108.00723.

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2022Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia. (2021). Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2108.10250.

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2021Cooling Measures and Housing Wealth: Evidence from Singapore. (2021). Sie, Taojun ; Schulz, Rainer ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2108.11915.

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2021Dynamic Games in Empirical Industrial Organization. (2021). Aguirregabiria, Victor ; Ryan, Stephen P ; Collard-Wexler, Allan. In: Papers. RePEc:arx:papers:2109.01725.

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2021Nonparametric Estimation of Truncated Conditional Expectation Functions. (2021). Olma, Tomasz. In: Papers. RePEc:arx:papers:2109.06150.

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2021Estimations of the Conditional Tail Average Treatment Effect. (2021). Yen, Yu-Min ; Chen, Le-Yu. In: Papers. RePEc:arx:papers:2109.08793.

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2021A Wavelet Method for Panel Models with Jump Discontinuities in the Parameters. (2021). Kneip, Alois ; Bada, Oualid ; Sickles, Robin C ; Gualtieri, James ; Mensinger, Tim ; Liebl, Dominik. In: Papers. RePEc:arx:papers:2109.10950.

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2021Estimating High Dimensional Monotone Index Models by Iterative Convex Optimization1. (2021). Tamer, Elie ; Lan, Xiaoying ; Khan, Shakeeb. In: Papers. RePEc:arx:papers:2110.04388.

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2021Nonparametric Tests of Conditional Independence for Time Series. (2021). Wei, Haoyu ; Song, Xiaojun. In: Papers. RePEc:arx:papers:2110.04847.

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2021Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice. (2021). Peng, Bin ; Gao, Jiti ; Dong, Chaohua ; Tu, Yundong. In: Papers. RePEc:arx:papers:2111.02023.

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2021Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective. (2021). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2111.09655.

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2021Interactive Effects Panel Data Models with General Factors and Regressors. (2021). Peng, Bin ; Yang, Yanrong ; Westerlund, Joakim ; Su, Liangjun. In: Papers. RePEc:arx:papers:2111.11506.

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2021Inference for ROC Curves Based on Estimated Predictive Indices. (2021). Lieli, Robert ; Hsu, Yu-Chin. In: Papers. RePEc:arx:papers:2112.01772.

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2021Uniform Convergence for Local Linear Regression Estimation of the Conditional Distribution. (2021). Xie, Haitian. In: Papers. RePEc:arx:papers:2112.08546.

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2022A projection based approach for interactive fixed effects panel data models. (2022). Soberon, Alexandra ; Rodriguez-Poo, Juan M ; Keilbar, Georg ; Wang, Weining. In: Papers. RePEc:arx:papers:2201.11482.

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2022Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970.

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2022Estimation of a Factor-Augmented Linear Model with Applications Using Student Achievement Data. (2022). Lamarche, Carlos ; Muris, Chris ; Harding, Matthew. In: Papers. RePEc:arx:papers:2203.03051.

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2022Pairwise Valid Instruments. (2022). Sun, Zhenting ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:2203.08050.

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2022Indirect Inference for Nonlinear Panel Models with Fixed Effects. (2022). Chen, Shuowen. In: Papers. RePEc:arx:papers:2203.10683.

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2022Nonlinear and Nonseparable Structural Functions in Fuzzy Regression Discontinuity Designs. (2022). Xie, Haitian. In: Papers. RePEc:arx:papers:2204.08168.

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2022Adversarial Estimators. (2022). Metzger, Jonas. In: Papers. RePEc:arx:papers:2204.10495.

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2022A Simple Bootstrap Method for Panel Data Inferences. (2022). GAO, Jiti ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2205.00577.

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2022Markov Decision Processes under Model Uncertainty. (2022). Vsiki, Mario ; Sester, Julian ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2206.06109.

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2022Semiparametric Single-Index Estimation for Average Treatment Effects. (2022). Oka, Tatsushi ; Gao, Jiti ; Huang, Difang. In: Papers. RePEc:arx:papers:2206.08503.

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2022Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2022Isotonic propensity score matching. (2022). Otsu, Taisuke ; Xu, Mengshan. In: Papers. RePEc:arx:papers:2207.08868.

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2022Testing for a Threshold in Models with Endogenous Regressors. (2022). Boldea, Otilia ; Rothfelder, Mario P. In: Papers. RePEc:arx:papers:2207.10076.

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2022Efficiency of the Moscow Stock Exchange before 2022. (2022). Marmi, Stefano ; Mazzarisi, Piero ; Shternshis, Andrey. In: Papers. RePEc:arx:papers:2207.10476.

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2022Time-Varying Poisson Autoregression. (2022). Cavaliere, Giuseppe ; de Angelis, Luca ; D'Innocenzo, Enzo ; Angelini, Giovanni. In: Papers. RePEc:arx:papers:2207.11003.

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2022Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects. (2022). GAO, Jiti ; Whang, Yoon-Jae ; Oka, Tatsushi ; Xu, Ruofan. In: Papers. RePEc:arx:papers:2208.03632.

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2022Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

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2022Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira. In: Papers. RePEc:arx:papers:2209.08967.

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2022Multiscale Comparison of Nonparametric Trend Curves. (2022). Vogt, Michael ; Khismatullina, Marina. In: Papers. RePEc:arx:papers:2209.10841.

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2022Modified Wilcoxon-Mann-Whitney tests of stochastic dominance. (2022). Clarke, Jackson D ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2210.08892.

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2021Volatility of BIST 100 Returns After 2020, Calendar Anomalies and COVID-19 Effect. (2021). Celk, Ali. In: Journal of BRSA Banking and Financial Markets. RePEc:bdd:journl:v:15:y:2021:i:1:p:61-81.

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2021Efficiency of Tanzanias foreign exchange market. (2021). Kazungu, Khatibu ; Epaphra, Manamba. In: African Development Review. RePEc:bla:afrdev:v:33:y:2021:i:2:p:368-381.

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2021Semiparametric models and inference for the effect of a treatment when the outcome is nonnegative with clumping at zero. (2021). Small, Dylan S ; Cheng, Jing. In: Biometrics. RePEc:bla:biomet:v:77:y:2021:i:4:p:1187-1201.

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2021Reassessing the inflation uncertainty?inflation relationship in the tails. (2021). Panagiotidis, Theodore ; Konstantinou, Panagiotis ; Bampinas, Georgios. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:4:p:508-534.

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2021Nowcasting monthly GDP with big data: A model averaging approach. (2021). Proietti, Tommaso ; Giovannelli, Alessandro. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:2:p:683-706.

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2022Chaohua Dong, Jiti Gao and Oliver Linton’s contribution to the Discussion of ‘Assumption?lean inference for generalised linear model parameters’ by Vansteelandt and Dukes. (2022). GAO, Jiti ; Linton, Oliver ; Dong, Chaohua. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:84:y:2022:i:3:p:707-708.

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2021Semiparametric model averaging prediction for lifetime data via hazards regression. (2021). Lv, Jing ; Yu, Tonghui ; Li, Jialiang ; Lee, Meiling Ting. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:5:p:1187-1209.

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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2022Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665.

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2022Panel Probit Models with Time?Varying Individual Effects: Reestimating the Effects of Fertility on Female Labour Participation. (2022). Zhang, Yonghui ; Wei, Jie. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:4:p:799-829.

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2021Intra?Week Price Patterns in the Housing Market. (2021). Larsen, Erling Roed. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:123:y:2021:i:1:p:327-352.

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2021Testing for conditional independence: A groupwise dimension reduction?based adaptive?to?model approach. (2021). Zhu, Lixing ; Zhang, Jun ; Lu, Jun. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:2:p:549-576.

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2022Efficient inference of longitudinal/functional data models with time?varying additive structure. (2022). Zhang, Liwen ; You, Jinhong ; Huang, Qian. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:2:p:744-771.

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2022The hedge asset for BRICS stock markets: Bitcoin, gold or VIX. (2022). Roubaud, David ; Ur, Mobeen ; Bouri, Elie ; Hussain, Syed Jawad. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:1:p:292-316.

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2021Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2.

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2022Time-Varying Linear Transformation Models with Fixed Effects and Endogeneity for Short Panels. (2022). Muris, Chris ; Botosaru, Irene ; Sokullu, Senay. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:22/756.

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2021Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2112.

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2021Specification Lasso and an Application in Financial Markets. (2021). Dong, C ; Li, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2139.

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2021Conditional Heteroskedasticity in the Volatility of Asset Returns. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2179.

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2022Dynamic Autoregressive Liquidity (DArLiQ). (2022). Hafner, Christian. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2214.

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2022Do consumption-based asset pricing models explain own-history predictability in stock market returns?. (2022). Ashby, M ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2259.

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2022Betting and financial markets are cointegrated on election night. (2022). Auld, T. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2263.

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2021Green Bonds as Hedging Assets before and after COVID: A Comparative Study between the US and China. (2021). Zhou, Peng ; Guo, Dong. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/28.

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2021Equilibrium multiplicity in dynamic games: testing and estimation. (2021). Otsu, Taisuke ; Pesendorfer, Martin. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:618.

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2022Estimating density ratio of marginals to joint: Applications to causal inference. (2022). Takahata, Keisuke ; Otsu, Taisuke ; Matsushita, Yukitoshi. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:619.

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2022Isotonic propensity score matching. (2022). Xu, Meghan ; Otsu, Taisuke. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:623.

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2022Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models. (2022). Zakoian, Jean-Michel ; Francq, Christian. In: Working Papers. RePEc:crs:wpaper:2022-06.

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2021Incorporating Search and Sales Information in Demand Estimation. (2021). Williams, Kevin R ; Schwieg, Timothy ; Parsley, Hayden ; Natan, Olivia R ; Hortacsu, Ali. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2313.

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2022A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series. (2022). Phillips, Peter ; Wang, Qiying. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2337.

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2021On Estimating Risk Premium With Flexible Fourier Form. (2021). Li, Jing. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00183.

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2021Risk aversion and Bitcoin returns in extreme quantiles. (2021). GUPTA, RANGAN ; Roubaud, David ; Marco, Chi Keung ; Bouri, Elie. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00863.

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2021The Integrated Copula Spectrum. (2021). Hallin, Marc ; Dette, Holger ; Volgushev, Stanislav ; van Hecke, Ria ; Kley, Tobias ; Goto, Yuichi. In: Working Papers ECARES. RePEc:eca:wpaper:2013/335426.

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More than 100 citations found, this list is not complete...

OLIVER BRUCE LINTON is editor of


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Econometrics Journal
Econometrics Journal

Works by OLIVER BRUCE LINTON:


YearTitleTypeCited
2004Testing forward exchange rate unbiasedness efficiently: A semiparametric approach In: Journal of Applied Economics.
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2004Testing forward exchange rate unbiasedness efficiently: a semiparametric approach.(2004) In: Journal of Applied Economics.
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2004Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach.(2004) In: Journal of Applied Economics.
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2013An Almost Closed Form Estimator for the EGARCH In: LIDAM Discussion Papers ISBA.
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2016An Almost Closed Form Estimator for the EGARCH model In: LIDAM Discussion Papers ISBA.
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2017An Almost Closed Form Estimator For The EGARCH Model.(2017) In: LIDAM Reprints ISBA.
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2013An almost closed form estimator for the EGARCH model.(2013) In: LIDAM Discussion Papers CORE.
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2017An almost closed form estimator for the EGARCH model.(2017) In: LIDAM Reprints CORE.
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2017AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL.(2017) In: Econometric Theory.
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2022Dynamic Autoregressive Liquidity (DArLiQ) In: LIDAM Discussion Papers ISBA.
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2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: LIDAM Discussion Papers LFIN.
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2011Nonparametric regression with filtered data In: LIDAM Reprints ISBA.
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2020Estimation of a multiplicative correlation structure in the large dimensional case In: LIDAM Reprints ISBA.
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2018Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case.(2018) In: Cambridge Working Papers in Economics.
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2020Estimation of a multiplicative correlation structure in the large dimensional case.(2020) In: Journal of Econometrics.
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2018A Unified Framework for Efficient Estimation of General Treatment Models In: Papers.
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2019A Unified Framework for Efficient Estimation of General Treatment Models.(2019) In: Cambridge Working Papers in Economics.
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2019A Unified Framework for Efficient Estimation of General Treatment Models.(2019) In: CeMMAP working papers.
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2021A unified framework for efficient estimation of general treatment models.(2021) In: Quantitative Economics.
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2020On the Time Trend of COVID-19: A Panel Data Study In: Papers.
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2020On Time Trend of COVID-19: A Panel Data Study.(2020) In: Cambridge Working Papers in Economics.
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2020On Time Trend of COVID-19: A Panel Data Study.(2020) In: Monash Econometrics and Business Statistics Working Papers.
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2021A Unified Framework for Specification Tests of Continuous Treatment Effect Models In: Papers.
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2021A Unified Framework for Specification Tests of Continuous Treatment Effect Models.(2021) In: Cambridge Working Papers in Economics.
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2022Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance In: Papers.
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2008Evaluating Value-at-Risk Models via Quantile Regressions In: Working Papers Series.
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2011Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics.
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2009Evaluating Value-at-Risk models via Quantile Regression.(2009) In: UC3M Working papers. Economics.
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2008Evaluating Value-at-Risk models via Quantile regressions.(2008) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2010Evaluating Value-at-Risk Models via Quantile Regression.(2010) In: NCER Working Paper Series.
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2011Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics.
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2006Comment In: Journal of the American Statistical Association.
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2003More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors In: Journal of the American Statistical Association.
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2004Semiparametric Regression Analysis With Missing Response at Random In: Journal of the American Statistical Association.
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2003Semiparametric regression analysis with missing response at random.(2003) In: CeMMAP working papers.
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2003The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model. In: Journal of Business & Economic Statistics.
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article11
1998An optimization interpretation of integration and back?fitting estimators for separable nonparametric models In: Journal of the Royal Statistical Society Series B.
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1996An Optimization Interpretation of Integration and Backfitting Estimators for Separable Nonparametric Models.(1996) In: SFB 373 Discussion Papers.
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2017Classification of non-parametric regression functions in longitudinal data models In: Journal of the Royal Statistical Society Series B.
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2002A Nonparametric Prewhitened Covariance Estimator In: Journal of Time Series Analysis.
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2000Nonparametric Censored and Truncated Regression In: Boston College Working Papers in Economics.
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paper47
2000Nonparametric Censored and Truncated Regression.(2000) In: STICERD - Econometrics Paper Series.
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2002Nonparametric Censored and Truncated Regression.(2002) In: Econometrica.
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2000Nonparametric Censored and Truncated Regression.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2000Nonparametric censored and truncated regression.(2000) In: LSE Research Online Documents on Economics.
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2010Estimating Features of a Distribution from Binomial Data In: Boston College Working Papers in Economics.
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2011Estimating features of a distribution from binomial data.(2011) In: Journal of Econometrics.
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2006Estimating features of a distribution from binomial data.(2006) In: LSE Research Online Documents on Economics.
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2001Estimating features of a distribution from binomial data.(2001) In: CeMMAP working papers.
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2006Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions In: Boston College Working Papers in Economics.
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paper14
2007Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions.(2007) In: Econometrica.
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article
2008Identification and Nonparametric Estimation of a Transformed Additively Separable Model In: Boston College Working Papers in Economics.
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paper19
2010Identification and nonparametric estimation of a transformed additively separable model.(2010) In: Journal of Econometrics.
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article
2006Identification and nonparametric estimation of a transformed additively separable model.(2006) In: LSE Research Online Documents on Economics.
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paper
2020Nonparametric Euler Equation Identification and Estimation In: Boston College Working Papers in Economics.
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paper14
2015Nonparametric Euler Equation Identification andEstimation.(2015) In: Cambridge Working Papers in Economics.
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2020Nonparametric Euler Equation Identi?cation and Estimation.(2020) In: Cambridge Working Papers in Economics.
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2021NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION.(2021) In: Econometric Theory.
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article
2015Nonparametric Euler equation identification and estimation.(2015) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 14
paper
2010A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom In: Boston College Working Papers in Economics.
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paper16
2011A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom.(2011) In: Journal of Econometrics.
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article
2011A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom.(2011) In: Post-Print.
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2010A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom.(2010) In: MPRA Paper.
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paper
2017A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance In: Bank of England working papers.
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paper25
2017A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance.(2017) In: Cambridge Working Papers in Economics.
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2017A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance.(2017) In: CeMMAP working papers.
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2017The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets In: Bank of England working papers.
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2018The cross-sectional spillovers of single stock circuit breakers In: Bank of England working papers.
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paper3
2020The impact of corporate QE on liquidity: evidence from the UK In: Bank of England working papers.
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paper5
2019The Impact of Corporate QE on Liquidity: Evidence from the UK.(2019) In: Cambridge Working Papers in Economics.
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2014The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series In: Cambridge Working Papers in Economics.
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paper142
2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series.(2016) In: Journal of Econometrics.
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article
2014The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series.(2014) In: CeMMAP working papers.
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2014The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market In: Cambridge Working Papers in Economics.
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paper10
2013The effect of fragmentation in trading on market quality in the UK equity market.(2013) In: CeMMAP working papers.
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paper
2016The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market.(2016) In: Journal of Applied Econometrics.
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article
2014Multivariate Variance Ratio Statistics In: Cambridge Working Papers in Economics.
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paper1
2014Multivariate variance ratio statistics.(2014) In: CeMMAP working papers.
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2015An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability In: Cambridge Working Papers in Economics.
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2015An investigation into multivariate variance ratio statistics and their application to stock market predictability.(2015) In: CeMMAP working papers.
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2016Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model In: Cambridge Working Papers in Economics.
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paper2
2016Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model.(2016) In: Cowles Foundation Discussion Papers.
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2016Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model.(2016) In: CeMMAP working papers.
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2016Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case In: Cambridge Working Papers in Economics.
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2016Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case.(2016) In: LIDAM Discussion Papers CORE.
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2016Estimation of a multiplicative covariance structure in the large dimensional case.(2016) In: CeMMAP working papers.
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2016A coupled component GARCH model for intraday and overnight volatility In: Cambridge Working Papers in Economics.
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2018A Coupled Component GARCH Model for Intraday and Overnight Volatility.(2018) In: Cambridge Working Papers in Economics.
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2017A coupled component GARCH model for intraday and overnight volatility.(2017) In: CeMMAP working papers.
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2017The Behaviour of Betting and Currency Markets on the Night of the EU Referendum In: Cambridge Working Papers in Economics.
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2019The behaviour of betting and currency markets on the night of the EU referendum.(2019) In: International Journal of Forecasting.
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2018The behaviour of betting and currency markets on the night of the EU referendum.(2018) In: CeMMAP working papers.
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2018The behaviour of betting and currency markets on the night of the EU referendum.(2018) In: Monash Econometrics and Business Statistics Working Papers.
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2018Implications of High-Frequency Trading for Security Markets In: Cambridge Working Papers in Economics.
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2018Implications of high-frequency trading for security markets.(2018) In: CeMMAP working papers.
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2018A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables In: Cambridge Working Papers in Economics.
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2019A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables.(2019) In: Journal of Econometrics.
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2018A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables.(2018) In: Discussion Papers.
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2018High Dimensional Semiparametric Moment Restriction Models In: Cambridge Working Papers in Economics.
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2018High dimensional semiparametric moment restriction models.(2018) In: CeMMAP working papers.
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2018High dimensional semiparametric moment restriction models.(2018) In: CeMMAP working papers.
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2017High dimensional semiparametric moment restriction models.(2017) In: Monash Econometrics and Business Statistics Working Papers.
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2018High dimensional semiparametric moment restriction models.(2018) In: Monash Econometrics and Business Statistics Working Papers.
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2019Semiparametric Nonlinear Panel Data Models with Measurement Error In: Cambridge Working Papers in Economics.
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2018Semiparametric nonlinear panel data models with measurement error.(2018) In: CeMMAP working papers.
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2019Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity In: Cambridge Working Papers in Economics.
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2019Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity.(2019) In: Journal of Econometrics.
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2019A ReMeDI for Microstructure Noise In: Cambridge Working Papers in Economics.
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2022A ReMeDI for Microstructure Noise.(2022) In: Econometrica.
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2019Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information In: Cambridge Working Papers in Economics.
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2019Nonparametric Predictive Regressions for Stock Return Prediction In: Cambridge Working Papers in Economics.
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2019Nonparametric Predictive Regressions for Stock Return Prediction.(2019) In: Monash Econometrics and Business Statistics Working Papers.
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2019Estimation and Inference in Semiparametric Quantile Factor Models In: Cambridge Working Papers in Economics.
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2021Estimation and inference in semiparametric quantile factor models.(2021) In: Journal of Econometrics.
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2017Estimation and inference in semiparametric quantile factor models.(2017) In: Monash Econometrics and Business Statistics Working Papers.
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1936Quantilograms under Strong Dependence In: Cambridge Working Papers in Economics.
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2020QUANTILOGRAMS UNDER STRONG DEPENDENCE.(2020) In: Econometric Theory.
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2018Quantilograms under Strong Dependence.(2018) In: Working Paper Series.
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2020Testing Stochastic Dominance with Many Conditioning Variables In: Cambridge Working Papers in Economics.
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2020A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection In: Cambridge Working Papers in Economics.
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2020Testing for Time Stochastic Dominance In: Cambridge Working Papers in Economics.
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2020On Unit Free Assessment of The Extent of Multilateral Distributional Variation In: Cambridge Working Papers in Economics.
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2020On Unit Free Assessment of The Extent of Multilateral Distributional Variation.(2020) In: Working Papers.
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2020When will the Covid-19 pandemic peak? In: Cambridge Working Papers in Economics.
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2020Estimation of the Kronecker Covariance Model by Quadratic Form In: Cambridge Working Papers in Economics.
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2020A Dynamic Network of Arbitrage Characteristics In: Cambridge Working Papers in Economics.
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2021Robust Estimation of Integrated and Spot Volatility In: Cambridge Working Papers in Economics.
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2001Yield curve estimation by kernel smoothing methods.(2001) In: Journal of Econometrics.
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2000Yield curve estimation by kernel smoothing methods.(2000) In: LSE Research Online Documents on Economics.
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2000The existence and asymptotic properties of a backfitting projection algorithm under weak conditions.(2000) In: LSE Research Online Documents on Economics.
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1999The existence and asymptotic properties of a backfitting projection algorithm under weak conditions.(1999) In: LSE Research Online Documents on Economics.
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2000Nonparametric Estimation with Aggregated Data In: STICERD - Econometrics Paper Series.
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2000Nonparametric estimation with aggregated data.(2000) In: LSE Research Online Documents on Economics.
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