28
H index
74
i10 index
3342
Citations
University of Cambridge | 28 H index 74 i10 index 3342 Citations RESEARCH PRODUCTION: 133 Articles 303 Papers 2 Books 1 Chapters EDITOR: Series edited RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with OLIVER BRUCE LINTON. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2021 | Testing 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. Full description at Econpapers || Download paper | |
2021 | Testing 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. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2021 | The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. (2018). Reese, Simon ; Juodis, Arturas. In: Papers. RePEc:arx:papers:1810.03715. Full description at Econpapers || Download paper | |
2022 | Identifying the Effect of Persuasion. (2018). Lee, Sokbae (Simon) ; Jun, Sung Jae. In: Papers. RePEc:arx:papers:1812.02276. Full description at Econpapers || Download paper | |
2023 | A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456. Full description at Econpapers || Download paper | |
2021 | Identification and Estimation of a Partially Linear Regression Model using Network Data. (2019). Auerbach, Eric. In: Papers. RePEc:arx:papers:1903.09679. Full description at Econpapers || Download paper | |
2021 | A General Framework for Inference on Shape Restrictions. (2019). Seo, Juwon ; Fang, Zheng. In: Papers. RePEc:arx:papers:1910.07689. Full description at Econpapers || Download paper | |
2021 | Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545. Full description at Econpapers || Download paper | |
2022 | Uniform 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. Full description at Econpapers || Download paper | |
2022 | High 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. Full description at Econpapers || Download paper | |
2021 | Panel Data Quantile Regression for Treatment Effect Models. (2020). Ishihara, Takuya. In: Papers. RePEc:arx:papers:2001.04324. Full description at Econpapers || Download paper | |
2022 | Generalized Local IV with Unordered Multiple Treatment Levels: Identification, Efficient Estimation, and Testable Implication. (2020). Xie, Haitian. In: Papers. RePEc:arx:papers:2001.06746. Full description at Econpapers || Download paper | |
2023 | Synchronization of endogenous business cycles. (2020). Pangallo, Marco. In: Papers. RePEc:arx:papers:2002.06555. Full description at Econpapers || Download paper | |
2022 | A Correlated Random Coefficient Panel Model with Time-Varying Endogeneity. (2020). Laage, Louise. In: Papers. RePEc:arx:papers:2003.09367. Full description at Econpapers || Download paper | |
2021 | Short-Term Covid-19 Forecast for Latecomers. (2021). Zilberman, Eduardo ; Vasconcelos, Gabriel ; Valladao, Davi ; Street, Alexandre ; Medeiros, Marcelo. In: Papers. RePEc:arx:papers:2004.07977. Full description at Econpapers || Download paper | |
2021 | Loss 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. Full description at Econpapers || Download paper | |
2021 | Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655. Full description at Econpapers || Download paper | |
2021 | On the Size Control of the Hybrid Test for Predictive Ability. (2020). Kim, Deborah. In: Papers. RePEc:arx:papers:2008.02318. Full description at Econpapers || Download paper | |
2021 | Efficient closed-form estimation of large spatial autoregressions. (2020). Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:2008.12395. Full description at Econpapers || Download paper | |
2022 | A Robust Score-Driven Filter for Multivariate Time Series. (2020). Mazzocchi, Mario ; Luati, Alessandra ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2009.01517. Full description at Econpapers || Download paper | |
2022 | Two-Stage Maximum Score Estimator. (2020). Xu, Sheng ; Gao, Wayne Yuan. In: Papers. RePEc:arx:papers:2009.02854. Full description at Econpapers || Download paper | |
2021 | Nonclassical Measurement Error in the Outcome Variable. (2020). Martin, Stephan ; Breunig, Christoph. In: Papers. RePEc:arx:papers:2009.12665. Full description at Econpapers || Download paper | |
2021 | Tail-risk protection: Machine Learning meets modern Econometrics. (2020). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2010.03315. Full description at Econpapers || Download paper | |
2022 | High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477. Full description at Econpapers || Download paper | |
2022 | Rank Determination in Tensor Factor Model. (2022). Zhang, Cun-Hui ; Chen, Rong. In: Papers. RePEc:arx:papers:2011.07131. Full description at Econpapers || Download paper | |
2021 | Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects. (2020). GAO, Jiti ; Liu, Fei ; Peng, Bin. In: Papers. RePEc:arx:papers:2012.03182. Full description at Econpapers || Download paper | |
2022 | Using 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. Full description at Econpapers || Download paper | |
2022 | Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783. Full description at Econpapers || Download paper | |
2022 | Identification 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. Full description at Econpapers || Download paper | |
2021 | The Homogenous Properties of Automated Market Makers. (2021). Jensen, Johannes Rude ; Ross, Omri ; Nielsen, Kurt ; Pourpouneh, Mohsen. In: Papers. RePEc:arx:papers:2105.02782. Full description at Econpapers || Download paper | |
2022 | A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208. Full description at Econpapers || Download paper | |
2021 | Inference 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. Full description at Econpapers || Download paper | |
2022 | Identification 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. Full description at Econpapers || Download paper | |
2022 | Testing 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. Full description at Econpapers || Download paper | |
2021 | Sensitivity of LATE Estimates to Violations of the Monotonicity Assumption. (2021). Noack, Claudia. In: Papers. RePEc:arx:papers:2106.06421. Full description at Econpapers || Download paper | |
2023 | Partial Identification and Inference for the Conditional Distribution of Treatment Effects. (2021). Lee, Sungwon. In: Papers. RePEc:arx:papers:2108.00723. Full description at Econpapers || Download paper | |
2022 | Feasible 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. Full description at Econpapers || Download paper | |
2021 | Cooling Measures and Housing Wealth: Evidence from Singapore. (2021). Sie, Taojun ; Schulz, Rainer ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2108.11915. Full description at Econpapers || Download paper | |
2021 | Dynamic Games in Empirical Industrial Organization. (2021). Aguirregabiria, Victor ; Ryan, Stephen P ; Collard-Wexler, Allan. In: Papers. RePEc:arx:papers:2109.01725. Full description at Econpapers || Download paper | |
2021 | Nonparametric Estimation of Truncated Conditional Expectation Functions. (2021). Olma, Tomasz. In: Papers. RePEc:arx:papers:2109.06150. Full description at Econpapers || Download paper | |
2021 | Estimations of the Conditional Tail Average Treatment Effect. (2021). Yen, Yu-Min ; Chen, Le-Yu. In: Papers. RePEc:arx:papers:2109.08793. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2021 | Estimating High Dimensional Monotone Index Models by Iterative Convex Optimization1. (2021). Tamer, Elie ; Lan, Xiaoying ; Khan, Shakeeb. In: Papers. RePEc:arx:papers:2110.04388. Full description at Econpapers || Download paper | |
2021 | Nonparametric Tests of Conditional Independence for Time Series. (2021). Wei, Haoyu ; Song, Xiaojun. In: Papers. RePEc:arx:papers:2110.04847. Full description at Econpapers || Download paper | |
2021 | Multiple-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. Full description at Econpapers || Download paper | |
2021 | Effect 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. Full description at Econpapers || Download paper | |
2021 | Interactive 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. Full description at Econpapers || Download paper | |
2021 | Inference for ROC Curves Based on Estimated Predictive Indices. (2021). Lieli, Robert ; Hsu, Yu-Chin. In: Papers. RePEc:arx:papers:2112.01772. Full description at Econpapers || Download paper | |
2021 | Uniform Convergence for Local Linear Regression Estimation of the Conditional Distribution. (2021). Xie, Haitian. In: Papers. RePEc:arx:papers:2112.08546. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2022 | Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970. Full description at Econpapers || Download paper | |
2022 | Estimation 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. Full description at Econpapers || Download paper | |
2022 | Pairwise Valid Instruments. (2022). Sun, Zhenting ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:2203.08050. Full description at Econpapers || Download paper | |
2022 | Indirect Inference for Nonlinear Panel Models with Fixed Effects. (2022). Chen, Shuowen. In: Papers. RePEc:arx:papers:2203.10683. Full description at Econpapers || Download paper | |
2022 | Nonlinear and Nonseparable Structural Functions in Fuzzy Regression Discontinuity Designs. (2022). Xie, Haitian. In: Papers. RePEc:arx:papers:2204.08168. Full description at Econpapers || Download paper | |
2022 | Adversarial Estimators. (2022). Metzger, Jonas. In: Papers. RePEc:arx:papers:2204.10495. Full description at Econpapers || Download paper | |
2022 | A Simple Bootstrap Method for Panel Data Inferences. (2022). GAO, Jiti ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2205.00577. Full description at Econpapers || Download paper | |
2023 | Markov Decision Processes under Model Uncertainty. (2022). Vsiki, Mario ; Sester, Julian ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2206.06109. Full description at Econpapers || Download paper | |
2022 | Semiparametric Single-Index Estimation for Average Treatment Effects. (2022). Oka, Tatsushi ; Gao, Jiti ; Huang, Difang. In: Papers. RePEc:arx:papers:2206.08503. Full description at Econpapers || Download paper | |
2022 | Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949. Full description at Econpapers || Download paper | |
2022 | Isotonic propensity score matching. (2022). Otsu, Taisuke ; Xu, Mengshan. In: Papers. RePEc:arx:papers:2207.08868. Full description at Econpapers || Download paper | |
2022 | Testing for a Threshold in Models with Endogenous Regressors. (2022). Boldea, Otilia ; Rothfelder, Mario P. In: Papers. RePEc:arx:papers:2207.10076. Full description at Econpapers || Download paper | |
2022 | Efficiency of the Moscow Stock Exchange before 2022. (2022). Marmi, Stefano ; Mazzarisi, Piero ; Shternshis, Andrey. In: Papers. RePEc:arx:papers:2207.10476. Full description at Econpapers || Download paper | |
2022 | Time-Varying Poisson Autoregression. (2022). Cavaliere, Giuseppe ; de Angelis, Luca ; D'Innocenzo, Enzo ; Angelini, Giovanni. In: Papers. RePEc:arx:papers:2207.11003. Full description at Econpapers || Download paper | |
2022 | Estimation 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. Full description at Econpapers || Download paper | |
2022 | Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974. Full description at Econpapers || Download paper | |
2022 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2022 | Asymptotic 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. Full description at Econpapers || Download paper | |
2022 | Multiscale Comparison of Nonparametric Trend Curves. (2022). Vogt, Michael ; Khismatullina, Marina. In: Papers. RePEc:arx:papers:2209.10841. Full description at Econpapers || Download paper | |
2022 | Modified Wilcoxon-Mann-Whitney tests of stochastic dominance. (2022). Clarke, Jackson D ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2210.08892. Full description at Econpapers || Download paper | |
2022 | Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2210.16042. Full description at Econpapers || Download paper | |
2022 | Identification and Auto-debiased Machine Learning for Outcome Conditioned Average Structural Derivatives. (2022). Zhang, Zhengyu ; Lin, Lihua ; Jin, Zequn. In: Papers. RePEc:arx:papers:2211.07903. Full description at Econpapers || Download paper | |
2021 | Volatility 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. Full description at Econpapers || Download paper | |
2022 | Flash crashes on sovereign bond markets – EU evidence. (2022). Panzarino, Onofrio ; Marseglia, Gaetano ; Haferkorn, Martin ; Bouveret, Antoine. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_020_22. Full description at Econpapers || Download paper | |
2021 | Efficiency 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. Full description at Econpapers || Download paper | |
2021 | Semiparametric 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. Full description at Econpapers || Download paper | |
2021 | Reassessing 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. Full description at Econpapers || Download paper | |
2021 | An Extensive Comparison of Some Well?Established Value at Risk Methods. (2021). Lettieri, Davi ; Ferioli, Eduardo ; Calmon, Wilson ; Pizzinga, Adrian ; Soares, Johann. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:1:p:148-166. Full description at Econpapers || Download paper | |
2021 | Nowcasting 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. Full description at Econpapers || Download paper | |
2022 | Chaohua 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. Full description at Econpapers || Download paper | |
2021 | Semiparametric 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. Full description at Econpapers || Download paper | |
2022 | Next 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. Full description at Econpapers || Download paper | |
2022 | Conditional 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. Full description at Econpapers || Download paper | |
2022 | Panel 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. Full description at Econpapers || Download paper | |
2021 | Intra?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. Full description at Econpapers || Download paper | |
2021 | Testing 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. Full description at Econpapers || Download paper | |
2022 | Efficient 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2021 | Outliers 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. Full description at Econpapers || Download paper | |
2022 | Time-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. Full description at Econpapers || Download paper | |
2021 | Augmented 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. Full description at Econpapers || Download paper | |
2021 | Specification Lasso and an Application in Financial Markets. (2021). Dong, C ; Li, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2139. Full description at Econpapers || Download paper | |
2021 | Conditional Heteroskedasticity in the Volatility of Asset Returns. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2179. Full description at Econpapers || Download paper | |
2022 | Dynamic Autoregressive Liquidity (DArLiQ). (2022). Hafner, Christian. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2214. Full description at Econpapers || Download paper | |
2022 | Do 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. Full description at Econpapers || Download paper | |
2022 | Betting and financial markets are cointegrated on election night. (2022). Auld, T. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2263. Full description at Econpapers || Download paper | |
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2021 | Green 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. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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Econometrics Journal |
Year | Title | Type | Cited |
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2004 | Testing forward exchange rate unbiasedness efficiently: A semiparametric approach In: Journal of Applied Economics. [Full Text][Citation analysis] | article | 5 |
2004 | Testing forward exchange rate unbiasedness efficiently: a semiparametric approach.(2004) In: Journal of Applied Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2004 | Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach.(2004) In: Journal of Applied Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2013 | An Almost Closed Form Estimator for the EGARCH In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 6 |
2016 | An Almost Closed Form Estimator for the EGARCH model In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 13 |
2017 | An Almost Closed Form Estimator For The EGARCH Model.(2017) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2013 | An almost closed form estimator for the EGARCH model.(2013) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2017 | An almost closed form estimator for the EGARCH model.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2017 | AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL.(2017) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
2022 | Dynamic Autoregressive Liquidity (DArLiQ) In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 0 |
2022 | Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: LIDAM Discussion Papers LFIN. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2011 | Nonparametric regression with filtered data In: LIDAM Reprints ISBA. [Citation analysis] | paper | 4 |
2020 | Estimation of a multiplicative correlation structure in the large dimensional case In: LIDAM Reprints ISBA. [Citation analysis] | paper | 1 |
2018 | Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case.(2018) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2020 | Estimation of a multiplicative correlation structure in the large dimensional case.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2018 | A Unified Framework for Efficient Estimation of General Treatment Models In: Papers. [Full Text][Citation analysis] | paper | 2 |
2019 | A Unified Framework for Efficient Estimation of General Treatment Models.(2019) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2019 | A Unified Framework for Efficient Estimation of General Treatment Models.(2019) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2021 | A unified framework for efficient estimation of general treatment models.(2021) In: Quantitative Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2020 | On the Time Trend of COVID-19: A Panel Data Study In: Papers. [Full Text][Citation analysis] | paper | 1 |
2020 | On Time Trend of COVID-19: A Panel Data Study.(2020) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2020 | On Time Trend of COVID-19: A Panel Data Study.(2020) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2021 | A Unified Framework for Specification Tests of Continuous Treatment Effect Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
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2022 | Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance In: Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Evaluating Value-at-Risk Models via Quantile Regressions In: Working Papers Series. [Full Text][Citation analysis] | paper | 83 |
2011 | Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | article | |
2009 | Evaluating Value-at-Risk models via Quantile Regression.(2009) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
2008 | Evaluating Value-at-Risk models via Quantile regressions.(2008) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
2010 | Evaluating Value-at-Risk Models via Quantile Regression.(2010) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
2011 | Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | article | |
2006 | Comment In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 0 |
2003 | More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 26 |
2004 | Semiparametric Regression Analysis With Missing Response at Random In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 61 |
2003 | Semiparametric regression analysis with missing response at random.(2003) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 61 | paper | |
2003 | The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 11 |
1998 | An optimization interpretation of integration and back?fitting estimators for separable nonparametric models In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 10 |
1996 | An Optimization Interpretation of Integration and Backfitting Estimators for Separable Nonparametric Models.(1996) In: SFB 373 Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2017 | Classification of non-parametric regression functions in longitudinal data models In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 6 |
2002 | A Nonparametric Prewhitened Covariance Estimator In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 4 |
2000 | Nonparametric Censored and Truncated Regression In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 47 |
2000 | Nonparametric Censored and Truncated Regression.(2000) In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
2002 | Nonparametric Censored and Truncated Regression.(2002) In: Econometrica. [Citation analysis] This paper has another version. Agregated cites: 47 | article | |
2000 | Nonparametric Censored and Truncated Regression.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
2000 | Nonparametric censored and truncated regression.(2000) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | paper | |
2010 | Estimating Features of a Distribution from Binomial Data In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 36 |
2011 | Estimating features of a distribution from binomial data.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
2006 | Estimating features of a distribution from binomial data.(2006) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
2001 | Estimating features of a distribution from binomial data.(2001) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
2006 | Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 14 |
2007 | Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions.(2007) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2008 | Identification and Nonparametric Estimation of a Transformed Additively Separable Model In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 19 |
2010 | Identification and nonparametric estimation of a transformed additively separable model.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
2006 | Identification and nonparametric estimation of a transformed additively separable model.(2006) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2020 | Nonparametric Euler Equation Identification and Estimation In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 14 |
2015 | Nonparametric Euler Equation Identification andEstimation.(2015) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2020 | Nonparametric Euler Equation Identi?cation and Estimation.(2020) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2021 | NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION.(2021) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2015 | Nonparametric Euler equation identification and estimation.(2015) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2010 | A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 16 |
2011 | A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | article | |
2011 | A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2010 | A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2017 | A 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. [Full Text][Citation analysis] | paper | 25 |
2017 | A 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
2017 | A 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
2017 | The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets In: Bank of England working papers. [Full Text][Citation analysis] | paper | 2 |
2018 | The cross-sectional spillovers of single stock circuit breakers In: Bank of England working papers. [Full Text][Citation analysis] | paper | 3 |
2020 | The impact of corporate QE on liquidity: evidence from the UK In: Bank of England working papers. [Full Text][Citation analysis] | paper | 5 |
2019 | The Impact of Corporate QE on Liquidity: Evidence from the UK.(2019) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2014 | The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 147 |
2016 | The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series.(2016) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 147 | article | |
2014 | The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series.(2014) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 147 | paper | |
2014 | The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 11 |
2013 | The effect of fragmentation in trading on market quality in the UK equity market.(2013) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2016 | The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2014 | Multivariate Variance Ratio Statistics In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
2014 | Multivariate variance ratio statistics.(2014) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2015 | An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
2015 | An investigation into multivariate variance ratio statistics and their application to stock market predictability.(2015) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2016 | Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
2016 | Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model.(2016) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2016 | Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model.(2016) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2016 | Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
2016 | Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case.(2016) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2016 | Estimation of a multiplicative covariance structure in the large dimensional case.(2016) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2016 | A coupled component GARCH model for intraday and overnight volatility In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
2018 | A Coupled Component GARCH Model for Intraday and Overnight Volatility.(2018) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2017 | A coupled component GARCH model for intraday and overnight volatility.(2017) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2017 | The Behaviour of Betting and Currency Markets on the Night of the EU Referendum In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 9 |
2019 | The behaviour of betting and currency markets on the night of the EU referendum.(2019) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
2018 | The behaviour of betting and currency markets on the night of the EU referendum.(2018) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2018 | The behaviour of betting and currency markets on the night of the EU referendum.(2018) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2018 | Implications of High-Frequency Trading for Security Markets In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 9 |
2018 | Implications of high-frequency trading for security markets.(2018) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2018 | A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 8 |
2019 | A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2018 | A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables.(2018) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2018 | Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
2020 | Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2018 | The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
2018 | The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses.(2018) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2021 | The lower regression function and testing expectation dependence dominance hypotheses.(2021) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2018 | High Dimensional Semiparametric Moment Restriction Models In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
2018 | High dimensional semiparametric moment restriction models.(2018) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2018 | High dimensional semiparametric moment restriction models.(2018) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2017 | High dimensional semiparametric moment restriction models.(2017) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2018 | High dimensional semiparametric moment restriction models.(2018) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2019 | Semiparametric Nonlinear Panel Data Models with Measurement Error In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
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2019 | Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
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2019 | A ReMeDI for Microstructure Noise In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
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2019 | Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
2019 | Nonparametric Predictive Regressions for Stock Return Prediction In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
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2019 | Estimation and Inference in Semiparametric Quantile Factor Models In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 9 |
2021 | Estimation and inference in semiparametric quantile factor models.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
2017 | Estimation and inference in semiparametric quantile factor models.(2017) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
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2018 | Quantilograms under Strong Dependence.(2018) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2020 | Testing Stochastic Dominance with Many Conditioning Variables In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
2020 | A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
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2020 | On Unit Free Assessment of The Extent of Multilateral Distributional Variation In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
2020 | On Unit Free Assessment of The Extent of Multilateral Distributional Variation.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2020 | When will the Covid-19 pandemic peak? In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 34 |
2021 | When will the Covid-19 pandemic peak?.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | article | |
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2020 | Estimation of the Kronecker Covariance Model by Quadratic Form In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 2 |
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2021 | Robust Estimation of Integrated and Spot Volatility In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
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2000 | Yield Curve Estimation by Kernel Smoothing Methods In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 16 |
2000 | Yield Curve Estimation by Kernel Smoothing Methods.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2001 | Yield curve estimation by kernel smoothing methods.(2001) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | article | |
2000 | Yield curve estimation by kernel smoothing methods.(2000) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2000 | The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 80 |
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2000 | The existence and asymptotic properties of a backfitting projection algorithm under weak conditions.(2000) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | paper | |
1999 | The existence and asymptotic properties of a backfitting projection algorithm under weak conditions.(1999) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 80 | paper | |
2000 | Nonparametric Estimation with Aggregated Data In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 10 |
2002 | NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA.(2002) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2000 | Nonparametric estimation with aggregated data.(2000) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2002 | Nonparametric estimation with aggregated data.(2002) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2000 | Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 40 |
2001 | Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach.(2001) In: Cahiers de recherche CREFE / CREFE Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2000 | Testing the capital asset pricing model efficiently under elliptical symmetry : a semiparametric approach.(2000) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2002 | Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach.(2002) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | article | |
2002 | Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach.(2002) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | article | |
2000 | Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 8 |
2002 | Edgeworth approximations for semiparametric instrumental variable estimators and test statistics.(2002) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2000 | Edgeworth approximations for semiparametric instrumental variable estimators and test statistics.(2000) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2000 | Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 83 |
2002 | Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems.(2002) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
2000 | Limit theorems for estimating the parameters of differentiated product demand systems.(2000) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
2002 | Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems.(2002) In: Harvard Institute of Economic Research Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | paper | |
2004 | Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems.(2004) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 83 | article | |
2001 | Estimating Multiplicative and Additive Hazard Functions by Kernel Methods In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 1 |
2001 | Estimating multiplicative and additive hazard functions by kernel methods.(2001) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2001 | Estimating Multiplicative and Additive Hazard Functions by Kernel Methods..(2001) In: Finance Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2001 | The Estimation of Conditional Densities In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 12 |
2001 | The estimation of conditional densities.(2001) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2001 | A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 11 |
2007 | A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM.(2007) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2001 | A nonparametric regression estimator that adapts to error distribution of unknown form.(2001) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2001 | A nonparametric regression estimator that adapts to error distribution of unknown form.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2002 | Consistent Testing for Stochastic Dominance: A Subsampling Approach In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 13 |
2002 | Consistent Testing for Stochastic Dominance: A Subsampling Approach.(2002) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2002 | Consistent testing for stochastic dominance : a subsampling approach.(2002) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2003 | Consistent testing for stochastic dominance: a subsampling approach.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2002 | Consistent testing for stochastic dominance: a subsampling approach.(2002) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2002 | Consistent testing for stochastic dominance: a subsampling approach.(2002) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2002 | Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 63 |
2003 | Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos.(2003) In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | paper | |
2004 | Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | article | |
2002 | Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos.(2002) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | paper | |
2003 | Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | paper | |
2002 | Nonparametric neutral network estimation of lyapunov exponents and a direct test for chaos.(2002) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | paper | |
2003 | Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos.(2003) In: Vanderbilt University Department of Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | paper | |
2002 | More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 2 |
2002 | More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors.(2002) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2002 | More efficient kernel estimation in nonparametric regression with autocorrelated errors.(2002) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2003 | Estimation of Semiparametric Models when the Criterion Function is not Smooth In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 261 |
2003 | Estimation of Semiparametric Models when the Criterion Function Is Not Smooth.(2003) In: Econometrica. [Citation analysis] This paper has another version. Agregated cites: 261 | article | |
2003 | Estimation of semiparametric models when the criterion function is not smooth.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 261 | paper | |
2002 | Estimation of semiparametric models when the criterion function is not smooth.(2002) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 261 | paper | |
2003 | Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 18 |
2003 | Asymptotic expansions for some semiparametric program evaluation estimators.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2001 | Asymptotic expansions for some semiparametric program evaluation estimators.(2001) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2003 | Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 2 |
2003 | Estimating semiparametric ARCH (8) models by kernel smoothing methods.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2003 | Semiparametric Regression Analysis under Imputation for Missing Response Data In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 0 |
2003 | Semiparametric regression analysis under imputation for missing response data.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2002 | Semiparametric regression analysis under imputation for missing response data.(2002) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2003 | A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 4 |
2003 | A local instrumental variable estimation method for generalized additive volatility models.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2004 | A local instrumental variable estimation method for generalized additive volatility models.(2004) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2003 | Nonparametric Estimation of Homothetic and Homothetically Separable Functions In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 1 |
2003 | Nonparametric estimation of homothetic and homothetically separable functions.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2003 | Nonparametric estimation of homothetic and homothetically separable functions.(2003) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2003 | A Quantilogram Approach to Evaluating Directional Predictability In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 7 |
2004 | A Quantilogram Approach to Evaluating Directional Predictability.(2004) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2003 | A quantilogram approach to evaluating directional predictability.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2004 | Nonparametric Inference for Unbalanced Time Series Data In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 3 |
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2004 | Nonparametric inference for unbalanced time series data.(2004) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2005 | Nonparametric inference for unbalanced time series data.(2005) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2004 | Nonparametric inference for unbalance time series data.(2004) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2006 | Nonparametric Transformation to White Noise In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 13 |
2008 | Nonparametric transformation to white noise.(2008) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
2006 | Nonparametric transformation to white noise.(2006) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2006 | TESTING FOR STOCHASTICMONOTONICITY In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 58 |
2009 | Testing for Stochastic Monotonicity.(2009) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | article | |
2006 | Testing for stochastic monotonicity.(2006) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | paper | |
2008 | Testing for stochastic monotonicity.(2008) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 58 | paper | |
2006 | Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 26 |
2007 | Semiparametric estimation of a characteristic-based factor model of common stock returns.(2007) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | article | |
2006 | Semiparametric estimation of a characteristic-based factor model of common stock returns.(2006) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
2006 | Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 0 |
2007 | Inference about Realized Volatility using Infill Subsampling In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 6 |
2007 | Inference about realized volatility using infill subsampling.(2007) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2007 | Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 11 |
2007 | Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns.(2007) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2007 | Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2007 | Efficient estimation of a semiparametric characteristic-based factor model of security returns.(2007) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2008 | Bootstrap Tests of Stochastic Dominance with AsymptoticSimilarity on the Boundary In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 6 |
2008 | Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary.(2008) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2008 | Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary.(2008) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2008 | Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary.(2008) In: PIER Working Paper Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2009 | Nonparametric Estimation of a Polarization Measure In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 6 |
2009 | Nonparametric estimation of a polarization measure.(2009) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2009 | Nonparametric Estimation of a Polarization Measure.(2009) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2009 | Nonparametric estimation of a polarization measure.(2009) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2009 | Nonparametric estimation of a polarization measure.(2009) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
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2009 | Uniform Bahadur Representation for LocalPolynomial Estimates of M-Regressionand Its Application to The Additive Model In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 49 |
2010 | UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL.(2010) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | article | |
2009 | An Alternative Way of ComputingEfficient Instrumental VariableEstimators In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 8 |
2009 | An alternative way of computing efficient instrumental variable estimators.(2009) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2009 | Optimal Smoothing for a Computationallyand StatisticallyEfficient Single Index Estimator In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 5 |
2009 | Optimal smoothing for a computationally and statistically efficient single index estimator.(2009) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2009 | Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator.(2009) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2009 | Nonparametric Regression with a Latent Time Series In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 2 |
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2009 | ESTIMATION OF A SEMIPARAMETRICIGARCH(1,1) MODEL In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 1 |
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2009 | Efficient Estimation of a Multivariate Multiplicative Volatility Model In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 38 |
2010 | Efficient estimation of a multivariate multiplicative volatility model.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | article | |
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2010 | Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Loch linear fitting under near epoch dependence: uniform consistency with convergence rate.(2010) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2010 | Semiparametric Estimation of Markov Decision Processeswith Continuous State Space In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 18 |
2012 | Semiparametric estimation of Markov decision processes with continuous state space.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
2010 | Semiparametric estimation of Markov decision processeswith continuous state space.(2010) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2010 | Semiparametric Estimation of Locally Stationary Diffusion Models In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 2 |
2010 | Semiparametric estimation of locally stationary diffusion models.(2010) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2007 | Pricing American Options under Stochastic Volatility and Stochastic Interest Rates In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
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2018 | A simple and efficient estimation method for models with nonignorable missing data In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 2 |
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2010 | On internally corrected and symmetrized kernel estimators for nonparametric regression In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. [Full Text][Citation analysis] | article | 4 |
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1995 | Estimation of Additive Regression Models with Links In: SFB 373 Discussion Papers. [Citation analysis] | paper | 6 |
1995 | Nonparametric Estimation of Additive Seperable Regression Models In: SFB 373 Discussion Papers. [Citation analysis] | paper | 8 |
1995 | An Analysis of Transformations for Additive Nonparanetric Regression In: SFB 373 Discussion Papers. [Citation analysis] | paper | 7 |
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