OLIVER BRUCE LINTON : Citation Profile


Are you OLIVER BRUCE LINTON?

University of Cambridge

23

H index

46

i10 index

1999

Citations

RESEARCH PRODUCTION:

103

Articles

253

Papers

1

Chapters

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   32 years (1986 - 2018). See details.
   Cites by year: 62
   Journals where OLIVER BRUCE LINTON has often published
   Relations with other researchers
   Recent citing documents: 243.    Total self citations: 139 (6.5 %)

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   Permalink: http://citec.repec.org/pli253
   Updated: 2018-12-15    RAS profile: 2018-03-26    
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Relations with other researchers


Works with:

Koerber, Lena (7)

Hafner, Christian (6)

Li, Degui (6)

Chen, Xiaohong (6)

Whang, Yoon-Jae (6)

Chen, Jia (5)

GAO, Jiti (4)

Oka, Tatsushi (3)

Han, Heejoon (3)

Lewbel, Arthur (2)

Wang, Qiying (2)

Escanciano, Juan Carlos (2)

hoderlein, stefan (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:

Härdle, Wolfgang (37)

Wong, Wing-Keung (36)

Sperlich, Stefan (35)

Lee, Sokbae (Simon) (33)

Lewbel, Arthur (31)

Su, Liangjun (26)

Chernozhukov, Victor (24)

Maasoumi, Esfandiar (24)

McAleer, Michael (22)

Chen, Xiaohong (20)

Stengos, Thanasis (20)

Cites to:

Andrews, Donald (58)

Chen, Xiaohong (41)

Phillips, Peter (37)

Härdle, Wolfgang (36)

Newey, Whitney (34)

Bollerslev, Tim (30)

Whang, Yoon-Jae (27)

Engle, Robert (26)

Robinson, Peter (25)

French, Kenneth (25)

Fama, Eugene (24)

Main data


Where OLIVER BRUCE LINTON has published?


Journals with more than one article published# docs
Econometric Theory31
Journal of Econometrics29
Econometrica7
Econometrics Journal3
Journal of Empirical Finance3
Journal of the American Statistical Association3
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research3
Review of Economic Studies2
Econometric Reviews2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies39
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
Boston College Working Papers in Economics / Boston College Department of Economics6
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics6
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía5
Post-Print / HAL2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing OLIVER BRUCE LINTON (2018 and 2017)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2017Working Paper 273 - Stock (Mis)pricing and investment dynamics in Africa. (2017). Saidi, Atanda Mustapha . In: Working Paper Series. RePEc:adb:adbwps:2390.

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2017Testing for Stochastic Dominance in Social Networks. (2017). Masson, Virginie ; Garrard, Robert ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2017-02.

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2018Liquid milk: Cash Constraints and Recurring Savings among Dairy Farmers in Kenya. (2018). Janssens, Wendy ; Kramer, Berber ; Geng, Xin. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273823.

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2018Estimating Demand for Urban Tree Cover Using a Residential Sorting Model. (2018). Boyle, Kevin ; Holmes, Thomas P ; Siriwardena, Shyamani D ; Cao, Xiang. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274020.

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2018Concentration and Liquidity Costs in Emerging Commodity Exchanges. (2018). Trujillo-Barrera, Andres ; Costa, Geraldo. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:276504.

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2018Conditional Quantile Processes based on Series or Many Regressors. (2018). Chernozhukov, Victor ; Fern, Iv'An ; Chetverikov, Denis ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1105.6154.

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2018Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Fan, Jianqing ; Liao, Yuan ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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2017Double/Debiased Machine Learning for Treatment and Causal Parameters. (2017). Chernozhukov, Victor ; Robins, James ; Newey, Whitney ; Hansen, Christian ; Duflo, Esther ; Demirer, Mert ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:1608.00060.

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2017A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa . In: Papers. RePEc:arx:papers:1612.04990.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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2017A Joint Quantile and Expected Shortfall Regression Framework. (2017). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1704.02213.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715.

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2017Comparing distributions by multiple testing across quantiles or CDF values. (2017). Kaplan, David ; Goldman, Matt. In: Papers. RePEc:arx:papers:1708.04658.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

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2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

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2018Regression Based Expected Shortfall Backtesting. (2018). Bayer, Sebastian ; Dimitriadis, Timo . In: Papers. RePEc:arx:papers:1801.04112.

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2018Testing 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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2018Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1805.08653.

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

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2018Nonparametric Regression with Selectively Missing Covariates. (2018). Breunig, Christoph ; Haan, Peter. In: Papers. RePEc:arx:papers:1810.00411.

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

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2018Spanning Tests for Markowitz Stochastic Dominance. (2018). Scaillet, Olivier ; Topaloglou, Nikolas ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:1810.10800.

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2018Factor-Driven Two-Regime Regression. (2018). Lee, Sokbae (Simon) ; Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan. In: Papers. RePEc:arx:papers:1810.11109.

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2018Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models. (2018). Lee, Ying-Ying. In: Papers. RePEc:arx:papers:1811.00157.

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2018Nonparametric Analysis of Finite Mixtures. (2018). Kitamura, Yuichi ; Laage, Louise. In: Papers. RePEc:arx:papers:1811.02727.

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2018Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model. (2018). Kyriakopoulou, Dimitra ; Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:1802.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2017Making room for the needy: the credit-reallocation effects of the ECB’s corporate QE. (2017). Mayordomo, Sergio ; Gimeno, Ricardo ; Arce, Oscar. In: Working Papers. RePEc:bde:wpaper:1743.

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2017U.S. Savings Banks Demutualization and Depositor Welfare. (2017). Meade, Richard ; Girotti, Mattia. In: Working papers. RePEc:bfr:banfra:639.

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2017Quantile spectral analysis for locally stationary time series. (2017). Hallin, Marc ; Dette, Holger ; Kley, Tobias ; Volgushev, Stanislav ; Birr, Stefan . In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:5:p:1619-1643.

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2017Quantile Regression on Quantile Ranges – A Threshold Approach. (2017). Kuan, Chung-Ming ; Xiao, Zhijie ; Michalopoulos, Christos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:99-119.

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2017When the Centre Cannot Hold: Patterns of Polarization in Nigeria. (2017). Clementi, Fabio ; Schettino, F ; Dabalen, A L ; Tarp, Finn ; Pirttila, Yukka ; Addison, Tony. In: Review of Income and Wealth. RePEc:bla:revinw:v:63:y:2017:i:4:p:608-632.

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2017Semi-parametric Estimation in a Single-index Model with Endogenous Variables. (2017). Birke, Melanie ; van Keilegom, Ingrid ; VanKeilegom, Ingrid ; VanBellegem, Sebastien ; Van Bellegem, Sebastien . In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:44:y:2017:i:1:p:168-191.

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2018The Identification Zoo - Meanings of Identification in Econometrics. (2018). Lewbel, Arthur. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:957.

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2017Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach. (2017). JAWADI, Fredj ; Souhir, Chlibi ; Mohamed, Sellami ; Fredj, Jawadi. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:47-63:n:5.

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2018Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Luger, Richard ; Liu, Xiaochun ; Richard, LUGER ; Xiaochun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4.

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2017Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6391.

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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12934.

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2018(At Least) Four Theories for Sovereign Default. (2018). Eberhardt, Markus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13084.

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2018Who benefits from the corporate QE? A regression discontinuity design approach. (2018). Abidi, Nordine ; Miquel-Flores, Ixart. In: Working Paper Series. RePEc:ecb:ecbwps:20182145.

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2017Thoughts on the inequality of opportunities: new evidence. (2017). Santos, Wallace Patrick ; de Oliveira, Victor Rodrigues ; Annegues, Ana Claudia . In: Revista CEPAL. RePEc:ecr:col070:42012.

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2017Model free feature screening for ultrahigh dimensional data with responses missing at random. (2017). Lai, Peng ; Wan, YI ; Liu, Zhi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:105:y:2017:i:c:p:201-216.

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2017Parametric methods for confidence interval estimation of overlap coefficients. (2017). Wang, Dan ; Tian, Lili . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:106:y:2017:i:c:p:12-26.

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2017Generalized partially linear regression with misclassified data and an application to labour market transitions. (2017). Wilke, Ralf ; Dlugosz, Stephan ; Mammen, Enno. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:110:y:2017:i:c:p:145-159.

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2017An estimating equation for censored and truncated quantile regression. (2017). Frumento, Paolo ; Bottai, Matteo. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:113:y:2017:i:c:p:53-63.

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2018Time-dynamic varying coefficient models for longitudinal data. (2018). Lee, Kyeong Eun ; Yang, Seong J ; Park, Byeong U. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:123:y:2018:i:c:p:50-65.

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2018Continuum directions for supervised dimension reduction. (2018). Jung, Sungkyu. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:125:y:2018:i:c:p:27-43.

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2018Semiparametric double robust and efficient estimation for mean functionals with response missing at random. (2018). Guo, XU ; Zhu, Lixing ; Xu, Wangli ; Fang, Yun . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:128:y:2018:i:c:p:325-339.

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2017The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis. (2017). Todorova, Neda. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:221-230.

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2017Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

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2018A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction. (2018). Bao, Te ; Li, Hao ; Diks, Cees. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:611-621.

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2018International risk transmission of stock market movements. (2018). Shen, Yifan. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:220-236.

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2018Directional predictability and time-varying spillovers between stock markets and economic cycles. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:301-312.

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2017A martingale-difference-divergence-based test for specification. (2017). Su, Liangjun ; Zheng, Xin. In: Economics Letters. RePEc:eee:ecolet:v:156:y:2017:i:c:p:162-167.

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2017The time-varying GARCH-in-mean model. (2017). Dias, Gustavo Fruet . In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:129-132.

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2017Testing for the implicit weights of the dimensions of the Human Development Index using stochastic dominance. (2017). Stengos, Thanasis ; Pinar, Mehmet ; Topaloglou, Nikolas. In: Economics Letters. RePEc:eee:ecolet:v:161:y:2017:i:c:p:38-42.

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2017Efficient estimation in models with independence restrictions. (2017). Poirier, Alexandre. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:1-22.

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2017Rolling window selection for out-of-sample forecasting with time-varying parameters. (2017). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:55-67.

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2017Forecasting cointegrated nonstationary time series with time-varying variance. (2017). Yi, Yanping ; Tu, Yundong . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:83-98.

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2017R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247.

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2017Inference based on many conditional moment inequalities. (2017). , Donald ; Shi, Xiaoxia. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:275-287.

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2017Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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2017Testing for central dominance: Method and application. (2017). Kuan, Chung-Ming ; Tzeng, Larry Y ; Chuang, O-Chia . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:368-378.

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2017Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

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2017Partial identification of functionals of the joint distribution of “potential outcomes”. (2017). Fan, Yanqin ; Zhu, Dongming ; Guerre, Emmanuel . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:42-59.

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2017Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

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2017Measurement errors in quantile regression models. (2017). Song, Suyong ; Firpo, Sergio ; Galvao, Antonio F. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:146-164.

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2017On time-varying factor models: Estimation and testing. (2017). Su, Liangjun ; Wang, Xia. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:84-101.

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2017Higher-order properties of approximate estimators. (2017). Salanié, Bernard ; Kristensen, Dennis ; Salanie, Bernard. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:189-208.

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2017Testing for prospect and Markowitz stochastic dominance efficiency. (2017). Arvanitis, Stelios ; Topaloglou, Nikolas. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:253-270.

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2017Minimum distance from independence estimation of nonseparable instrumental variables models. (2017). Torgovitsky, Alexander . In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:35-48.

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2017Identification in a generalization of bivariate probit models with dummy endogenous regressors. (2017). Han, Sukjin ; Vytlacil, Edward J. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:63-73.

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2017Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (2017). Chen, Richard Y ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:79-103.

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2017Identification of additive and polynomial models of mismeasured regressors without instruments. (2017). Lewbel, Arthur ; D'Haultfoeuille, Xavier ; Ben-Moshe, Dan ; Dhaultfuille, Xavier . In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:207-222.

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2017Nonparametric estimation and inference under shape restrictions. (2017). Lee, Sokbae (Simon) ; Horowitz, Joel L. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:108-126.

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2017On high frequency estimation of the frictionless price: The use of observed liquidity variables. (2017). Chaker, Selma . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:127-143.

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2017Direct instrumental nonparametric estimation of inverse regression functions. (2017). Krief, Jerome M. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:95-107.

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2017Sufficient forecasting using factor models. (2017). Fan, Jianqing ; Xue, Lingzhou ; Yao, Jiawei . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:292-306.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2018Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:178-195.

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2018Efficient estimation and computation for the generalised additive models with unknown link function. (2018). Lin, Huazhen ; Zhang, Wenyang ; Lv, Shaogao ; Pan, Lixian. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:230-244.

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2018Nonparametric testing for smooth structural changes in panel data models. (2018). Chen, Bin ; Huang, Liquan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:245-267.

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2018Identification and estimation of nonseparable single-index models in panel data with correlated random effects. (2018). Iek, Pavel ; Lei, Jinghua. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:113-128.

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2018Nonparametric heteroskedasticity in persistent panel processes: An application to earnings dynamics. (2018). Botosaru, Irene ; Sasaki, Yuya. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:283-296.

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2018Efficient propensity score regression estimators of multivalued treatment effects for the treated. (2018). Lee, Ying-Ying. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:207-222.

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2018Indirect Inference with endogenously missing exogenous variables. (2018). Chaudhuri, Saraswata ; Renault, Eric ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:55-75.

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2018Partial identification and inference in censored quantile regression. (2018). Fan, Yanqin ; Liu, Ruixuan. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:1-38.

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2018Comparing distributions by multiple testing across quantiles or CDF values. (2018). Kaplan, David ; Goldman, Matt. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:143-166.

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2018Portfolio optimization based on stochastic dominance and empirical likelihood. (2018). Post, Thierry ; Arvanitis, Stelios ; Karabati, Seluk. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:167-186.

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2018Threshold autoregressive models for interval-valued time series data. (2018). Hong, Yongmiao ; Wang, Shouyang ; Han, AI ; Sun, Yuying. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:414-446.

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2018Quasi maximum likelihood analysis of high dimensional constrained factor models. (2018). Li, Kunpeng ; Lu, Lina. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:574-612.

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2018Estimation of random coefficients logit demand models with interactive fixed effects. (2018). Moon, Hyungsik Roger ; Weidner, Martin ; Shum, Matthew. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:613-644.

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2018Linear double autoregression. (2018). Zhu, Qianqian ; Li, Guodong ; Zheng, Yao. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:162-174.

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OLIVER BRUCE LINTON is editor of


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Works by OLIVER BRUCE LINTON:


YearTitleTypeCited
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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2017Classification of non-parametric regression functions in longitudinal data models In: Journal of the Royal Statistical Society Series B.
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2000Nonparametric Censored and Truncated Regression In: Boston College Working Papers in Economics.
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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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2007Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions.(2007) In: Econometrica.
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2008Identification and Nonparametric Estimation of a Transformed Additively Separable Model In: Boston College Working Papers in Economics.
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2010Identification and nonparametric estimation of a transformed additively separable model.(2010) In: Journal of Econometrics.
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2006Identification and nonparametric estimation of a transformed additively separable model.(2006) In: LSE Research Online Documents on Economics.
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2011Nonparametric Euler Equation Identification and Estimation In: Boston College Working Papers in Economics.
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2015Nonparametric Euler Equation Identification andEstimation.(2015) In: Cambridge Working Papers in Economics.
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2015Nonparametric Euler equation identification and estimation.(2015) In: CeMMAP working papers.
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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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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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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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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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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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2014The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series In: Cambridge Working Papers in Economics.
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2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series.(2016) In: Journal of Econometrics.
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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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2013The effect of fragmentation in trading on market quality in the UK equity market.(2013) In: CeMMAP working papers.
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2016The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market.(2016) In: Journal of Applied Econometrics.
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2014Multivariate Variance Ratio Statistics In: Cambridge Working Papers in Economics.
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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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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: CORE Discussion Papers.
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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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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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2018Implications of High-Frequency Trading for Security Markets In: Cambridge Working Papers in Economics.
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2004Testing forward exchange rate unbiasedness efficiently: a semiparametric approach In: Journal of Applied Economics.
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2000Yield Curve Estimation by Kernel Smoothing Methods In: STICERD - Econometrics Paper Series.
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2000Yield Curve Estimation by Kernel Smoothing Methods.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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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 In: STICERD - Econometrics Paper Series.
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1997The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions.(1997) In: Cowles Foundation Discussion Papers.
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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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2002NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA.(2002) In: Econometric Theory.
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2000Nonparametric estimation with aggregated data.(2000) In: LSE Research Online Documents on Economics.
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2002Nonparametric estimation with aggregated data.(2002) In: LSE Research Online Documents on Economics.
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2000Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach In: STICERD - Econometrics Paper Series.
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2001Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach.(2001) In: Cahiers de recherche CREFE / CREFE Working Papers.
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2000Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach.(2000) In: LSE Research Online Documents on Economics.
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2001Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach.(2001) In: FMG Discussion Papers.
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2002Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach.(2002) In: Journal of Applied Econometrics.
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2000Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics In: STICERD - Econometrics Paper Series.
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2002Edgeworth approximations for semiparametric instrumental variable estimators and test statistics.(2002) In: Journal of Econometrics.
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2000Edgeworth approximations for semiparametric instrumental variable estimators and test statistics.(2000) In: LSE Research Online Documents on Economics.
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2000Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems In: STICERD - Econometrics Paper Series.
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2002Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems.(2002) In: Cowles Foundation Discussion Papers.
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2000Limit theorems for estimating the parameters of differentiated product demand systems.(2000) In: LSE Research Online Documents on Economics.
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2002Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems.(2002) In: Harvard Institute of Economic Research Working Papers.
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2004Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems.(2004) In: Review of Economic Studies.
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2001Estimating Multiplicative and Additive Hazard Functions by Kernel Methods In: STICERD - Econometrics Paper Series.
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2001Estimating multiplicative and additive hazard functions by kernel methods.(2001) In: LSE Research Online Documents on Economics.
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2001Estimating Multiplicative and Additive Hazard Functions by Kernel Methods..(2001) In: Finance Working Papers.
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2001The Estimation of Conditional Densities In: STICERD - Econometrics Paper Series.
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2001The estimation of conditional densities.(2001) In: LSE Research Online Documents on Economics.
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2001A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form In: STICERD - Econometrics Paper Series.
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2007A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM.(2007) In: Econometric Theory.
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2001A nonparametric regression estimator that adapts to error distribution of unknown form.(2001) In: LSE Research Online Documents on Economics.
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2001A nonparametric regression estimator that adapts to error distribution of unknown form.(2001) In: SFB 373 Discussion Papers.
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2002Consistent Testing for Stochastic Dominance: A Subsampling Approach In: STICERD - Econometrics Paper Series.
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2002Consistent Testing for Stochastic Dominance: A Subsampling Approach.(2002) In: Cowles Foundation Discussion Papers.
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2002Consistent testing for stochastic dominance : a subsampling approach.(2002) In: LSE Research Online Documents on Economics.
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2004Consistent testing for stochastic dominance: a subsampling approach.(2004) In: LSE Research Online Documents on Economics.
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2002Consistent testing for stochastic dominance: a subsampling approach.(2002) In: LSE Research Online Documents on Economics.
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2002Consistent Testing for Stochastic Dominance: A Subsampling Approach.(2002) In: FMG Discussion Papers.
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2004Consistent Testing for Stochastic Dominance: A Subsampling Approach.(2004) In: FMG Discussion Papers.
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2002Consistent testing for stochastic dominance: a subsampling approach.(2002) In: CeMMAP working papers.
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2002Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos In: STICERD - Econometrics Paper Series.
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2003Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos.(2003) In: STICERD - Econometrics Paper Series.
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2004Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos.(2004) In: Journal of Econometrics.
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2002Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos.(2002) In: LSE Research Online Documents on Economics.
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2003Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos.(2003) In: LSE Research Online Documents on Economics.
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2002Nonparametric neutral network estimation of lyapunov exponents and a direct test for chaos.(2002) In: LSE Research Online Documents on Economics.
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2002More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors In: STICERD - Econometrics Paper Series.
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2002More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors.(2002) In: Cowles Foundation Discussion Papers.
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2002More efficient kernel estimation in nonparametric regression with autocorrelated errors.(2002) In: LSE Research Online Documents on Economics.
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2003Estimation of Semiparametric Models when the Criterion Function is not Smooth In: STICERD - Econometrics Paper Series.
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2003Estimation of Semiparametric Models when the Criterion Function Is Not Smooth.(2003) In: Econometrica.
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2003Estimation of semiparametric models when the criterion function is not smooth.(2003) In: LSE Research Online Documents on Economics.
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2002Estimation of semiparametric models when the criterion function is not smooth.(2002) In: CeMMAP working papers.
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2003Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators In: STICERD - Econometrics Paper Series.
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2003Asymptotic expansions for some semiparametric program evaluation estimators.(2003) In: LSE Research Online Documents on Economics.
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2001Asymptotic expansions for some semiparametric program evaluation estimators.(2001) In: CeMMAP working papers.
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2003Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods In: STICERD - Econometrics Paper Series.
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2003Estimating semiparametric ARCH (8) models by kernel smoothing methods.(2003) In: LSE Research Online Documents on Economics.
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2004Estimating Semiparametric ARCH Models by Kernel Smoothing Methods.(2004) In: FMG Discussion Papers.
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2003Semiparametric Regression Analysis under Imputation for Missing Response Data In: STICERD - Econometrics Paper Series.
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2003Semiparametric regression analysis under imputation for missing response data.(2003) In: LSE Research Online Documents on Economics.
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2002Semiparametric regression analysis under imputation for missing response data.(2002) In: SFB 373 Discussion Papers.
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2003A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models In: STICERD - Econometrics Paper Series.
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2003A local instrumental variable estimation method for generalized additive volatility models.(2003) In: LSE Research Online Documents on Economics.
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2004A local instrumental variable estimation method for generalized additive volatility models.(2004) In: LSE Research Online Documents on Economics.
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2004A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models.(2004) In: FMG Discussion Papers.
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2003Nonparametric Estimation of Homothetic and Homothetically Separable Functions In: STICERD - Econometrics Paper Series.
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2003Nonparametric estimation of homothetic and homothetically separable functions.(2003) In: LSE Research Online Documents on Economics.
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2003Nonparametric estimation of homothetic and homothetically separable functions.(2003) In: CeMMAP working papers.
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2003A Quantilogram Approach to Evaluating Directional Predictability In: STICERD - Econometrics Paper Series.
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2004A Quantilogram Approach to Evaluating Directional Predictability.(2004) In: Cowles Foundation Discussion Papers.
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2003A quantilogram approach to evaluating directional predictability.(2003) In: LSE Research Online Documents on Economics.
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2004Nonparametric Inference for Unbalanced Time Series Data In: STICERD - Econometrics Paper Series.
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2005NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA.(2005) In: Econometric Theory.
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2004Nonparametric inference for unbalanced time series data.(2004) In: LSE Research Online Documents on Economics.
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2005Nonparametric inference for unbalanced time series data.(2005) In: LSE Research Online Documents on Economics.
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2004Nonparametric inference for unbalance time series data.(2004) In: CeMMAP working papers.
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2006Nonparametric Transformation to White Noise In: STICERD - Econometrics Paper Series.
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2008Nonparametric transformation to white noise.(2008) In: Journal of Econometrics.
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2006Nonparametric transformation to white noise.(2006) In: LSE Research Online Documents on Economics.
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2006TESTING FOR STOCHASTICMONOTONICITY In: STICERD - Econometrics Paper Series.
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2009Testing for Stochastic Monotonicity.(2009) In: Econometrica.
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2006Testing for stochastic monotonicity.(2006) In: LSE Research Online Documents on Economics.
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2008Testing for stochastic monotonicity.(2008) In: CeMMAP working papers.
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2006Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns In: STICERD - Econometrics Paper Series.
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2007Semiparametric estimation of a characteristic-based factor model of common stock returns.(2007) In: Journal of Empirical Finance.
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