OLIVER BRUCE LINTON : Citation Profile


Are you OLIVER BRUCE LINTON?

University of Cambridge

25

H index

53

i10 index

2384

Citations

RESEARCH PRODUCTION:

108

Articles

281

Papers

1

Chapters

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   33 years (1986 - 2019). See details.
   Cites by year: 72
   Journals where OLIVER BRUCE LINTON has often published
   Relations with other researchers
   Recent citing documents: 269.    Total self citations: 151 (5.96 %)

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   Permalink: http://citec.repec.org/pli253
   Updated: 2020-08-01    RAS profile: 2019-03-25    
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Relations with other researchers


Works with:

GAO, Jiti (10)

Li, Degui (8)

Chen, Jia (8)

Hafner, Christian (7)

Chen, Xiaohong (6)

Koerber, Lena (4)

hoderlein, stefan (3)

Escanciano, Juan Carlos (3)

Lewbel, Arthur (3)

Whang, Yoon-Jae (3)

Srisuma, Sorawoot (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 (39)

Wong, Wing-Keung (38)

Lee, Sokbae (Simon) (35)

Sperlich, Stefan (33)

Lewbel, Arthur (32)

Su, Liangjun (32)

Sentana, Enrique (27)

GAO, Jiti (27)

Maasoumi, Esfandiar (25)

Stengos, Thanasis (24)

Chernozhukov, Victor (24)

Cites to:

Andrews, Donald (61)

Chen, Xiaohong (50)

Phillips, Peter (46)

Newey, Whitney (40)

Härdle, Wolfgang (37)

Fan, Jianqing (34)

Engle, Robert (31)

Bollerslev, Tim (31)

Whang, Yoon-Jae (28)

Campbell, John (27)

Robinson, Peter (25)

Main data


Where OLIVER BRUCE LINTON has published?


Journals with more than one article published# docs
Journal of Econometrics31
Econometric Theory28
Econometrica7
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research3
Econometrics Journal3
Journal of the American Statistical Association3
Journal of Empirical Finance3
Journal of Business & Economic Statistics2
Econometric Reviews2
Journal of the Royal Statistical Society Series B2
Journal of Applied Econometrics2
Review of Economic Studies2

Working Papers Series with more than one paper published# docs
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies50
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University23
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes13
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics8
Boston College Working Papers in Economics / Boston College Department of Economics6
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía5
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Post-Print / HAL2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing OLIVER BRUCE LINTON (2020 and 2019)


YearTitle of citing document
2019The Identification Zoo: Meanings of Identification in Econometrics. (2019). Lewbel, Arthur. In: Journal of Economic Literature. RePEc:aea:jeclit:v:57:y:2019:i:4:p:835-903.

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2019Volatility experience of major world stock markets. (2019). Rao, Prabhakara R ; Mallikarjuna, M. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:35-52.

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2019Volatility experience of major world stock markets. (2019). Mallikarjuna, Mejari ; Rao, Prabhakara R. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:4(621):p:35-52.

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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; von Sachs, R ; Barigozzi, M. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2019024.

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2017A Joint Quantile and Expected Shortfall Regression Framework. (2017). Bayer, Sebastian ; Dimitriadis, Timo. 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). Gerlach, Richard ; Chen, Qian ; Wang, Chao. In: Papers. RePEc:arx:papers:1707.03715.

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2019A nonparametric copula approach to conditional Value-at-Risk. (2019). Dunn, Richard ; Geenens, Gery. In: Papers. RePEc:arx:papers:1712.05527.

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2019Regression Based Expected Shortfall Backtesting. (2019). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1801.04112.

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2018Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Wang, Chao ; Gerlach, Richard. 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). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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2019Nonparametric Regression with Selectively Missing Covariates. (2018). Haan, Peter ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1810.00411.

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2019The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. (2018). Reese, Simon ; Juodis, Arturas. In: Papers. RePEc:arx:papers:1810.03715.

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2018Stochastic Revealed Preferences with Measurement Error. (2018). Kashaev, Nail ; Aguiar, Victor. In: Papers. RePEc:arx:papers:1810.05287.

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2019Factor-Driven Two-Regime Regression. (2019). Shin, Youngki ; SEO, MYUNG HWAN ; Lee, Sokbae (Simon) ; Liao, Yuan. In: Papers. RePEc:arx:papers:1810.11109.

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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2019Inference on Functionals under First Order Degeneracy. (2019). Fang, Zheng ; Chen, Qihui. In: Papers. RePEc:arx:papers:1901.04861.

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

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2019Penalized Sieve GEL for Weighted Average Derivatives of Nonparametric Quantile IV Regressions. (2019). Chen, Xiaohong ; Powell, James L ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1902.10100.

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2019An Integrated Panel Data Approach to Modelling Economic Growth. (2019). GAO, Jiti ; Peng, Bin ; Feng, Guohua. In: Papers. RePEc:arx:papers:1903.07948.

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

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2019Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1905.01798.

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2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

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2019Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu. In: Papers. RePEc:arx:papers:1907.01196.

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2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2019The emergence of critical stocks in market crash. (2019). Wang, Huiwen ; Zhao, Jichang ; Lu, Shan. In: Papers. RePEc:arx:papers:1908.07244.

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2019Specification Testing in Nonparametric Instrumental Quantile Regression. (2019). Breunig, Christoph. In: Papers. RePEc:arx:papers:1909.10129.

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2020Inference in Nonparametric Series Estimation with Specification Searches for the Number of Series Terms. (2019). Kang, Byunghoon. In: Papers. RePEc:arx:papers:1909.12162.

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

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2019Estimating a Large Covariance Matrix in Time-varying Factor Models. (2019). Jung, Jaeheon. In: Papers. RePEc:arx:papers:1910.11965.

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

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2019Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173.

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2019The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations. (2019). Chen, Richard Y. In: Papers. RePEc:arx:papers:1911.02205.

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2019Statistical Inference on Partially Linear Panel Model under Unobserved Linearity. (2019). Shang, Zuofeng ; Boukai, Ben ; Liu, Ruiqi. In: Papers. RePEc:arx:papers:1911.08830.

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

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2020Rationalizing Rational Expectations? Tests and Deviations. (2020). Maurel, Arnaud ; D'Haultfoeuille, Xavier ; Gaillac, Christophe. In: Papers. RePEc:arx:papers:2003.11537.

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2020Spanning analysis of stock market anomalies under Prospect Stochastic Dominance. (2020). Scaillet, Olivier ; Topaloglou, Nikolas ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:2004.02670.

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

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2020Uniform Rates for Kernel Estimators of Weakly Dependent Data. (2020). Escanciano, Juan Carlos. In: Papers. RePEc:arx:papers:2005.09951.

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

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2020On the Time Trend of COVID-19: A Panel Data Study. (2020). Gao, Jiti ; Dong, Chaohua ; Peng, Bin ; Linton, Oliver. In: Papers. RePEc:arx:papers:2006.11060.

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2020Mini flash crashes: Review, taxonomy and policy responses. (2020). Petitjean, Mikael ; Laly, Floris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:72:y:2020:i:3:p:251-271.

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2020Two‐Step Estimation for Time Varying Arch Models. (2020). Liu, Rong ; Zhang, Yuanyuan ; Yang, Lijian ; Shao, Qin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:4:p:551-570.

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2019The Identification Zoo - Meanings of Identification in Econometrics. (2019). Lewbel, Arthur. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:957.

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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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2019Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models. (2019). NG, KOK HAUR ; Kok-Haur, NG ; Shelton, Peiris ; Thanakorn, Nitithumbundit ; So, Chan Jennifer. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:2:p:22:n:4.

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2019Nonparametric Predictive Regressions for Stock Return Prediction. (2019). GAO, Jiti ; Linton, O ; Cheng, T. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1932.

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2020When will the Covid-19 pandemic peak?. (2020). Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2025.

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2020A Dynamic Network of Arbitrage Characteristics. (2020). Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2060.

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2020On Time Trend of COVID-19: A Panel Data Study. (2020). Gao, J ; Dong, C ; Peng, B ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2065.

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2019Intergenerational educational mobility in Latin America. An analysis from the equal opportunity approach. (2019). Jimenez, Monica. In: Revista Cuadernos de Economía. RePEc:col:000093:017479.

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2019Exponential-type GARCH models with linear-in-variance risk premium. (2019). Hafner, Christian ; Dimitra, Kyriakopoulou ; Christian, Hafner. In: CORE Discussion Papers. RePEc:cor:louvco:2019013.

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2018Linear IV Regression Estimators for Structural Dynamic Discrete Choice Models. (2018). Kalouptsidi, Myrto ; Souza-Rodrigues, Eduardo ; Scott, Paul T. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13240.

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2019Permanent-Income Inequality. (2019). Gallipoli, Giovanni ; Abbott, Brant. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13540.

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2020Identification and Estimation of Demand for Bundles. (2020). Wang, AO ; Iaria, Alessandro. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14363.

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2019Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models. (2019). Yi, Yanping ; Huang, Zhuo ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2215.

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2020Corporates dependence on banks: The impact of ECB corporate sector purchases. (2020). Bats, Joost. In: DNB Working Papers. RePEc:dnb:dnbwpp:667.

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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/283963.

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2019Optimal tests for elliptical symmetry: specified and unspecified location. (2019). Hallin, Marc ; Ley, Christophe ; Gelbgras, Laetitia ; Babic, Sladana. In: Working Papers ECARES. RePEc:eca:wpaper:2013/295909.

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2019Does Chaos Matter in Financial Time Series Analysis?. (2019). Parziale, Anna ; Bruno, Bruna ; Faggini, Marisa. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-04-3.

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2019Modeling building resilience against extreme weather by integrated CityFFD and CityBEM simulations. (2019). Wang, Liangzhu ; Mortezazadeh, Mohammad ; Katal, Ali. In: Applied Energy. RePEc:eee:appene:v:250:y:2019:i:c:p:1402-1417.

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2019The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel. (2019). Zaghini, Andrea. In: Journal of Corporate Finance. RePEc:eee:corfin:v:56:y:2019:i:c:p:282-297.

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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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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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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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2019Two-step estimation of time-varying additive model for locally stationary time series. (2019). Hu, Lixia ; You, Jinhong ; Huang, Tao. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:130:y:2019:i:c:p:94-110.

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2019Order restricted univariate and multivariate inference with adjustment for covariates in partially linear models. (2019). Davidov, Ori ; Bogomolov, Marina. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:133:y:2019:i:c:p:20-27.

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2019Feature screening in ultrahigh-dimensional partially linear models with missing responses at random. (2019). Yan, Xiaodong ; Xia, Linli ; Tang, Niansheng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:133:y:2019:i:c:p:208-227.

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2019Hierarchical model for forecasting the outcomes of binary referenda. (2019). PEter, ; Forster, Jonathan J ; Bijak, Jakub ; Winiowski, Arkadiusz. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:133:y:2019:i:c:p:90-103.

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2019A comparison of in-sample forecasting methods. (2019). Nielsen, Jens Perch ; Mammen, Enno ; Hiabu, Munir ; Bischofberger, Stephan M. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:137:y:2019:i:c:p:133-154.

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2019Generalized signed-rank estimation for regression models with non-ignorable missing responses. (2019). Nguelifack, Brice M ; Bindele, Huybrechts F. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:139:y:2019:i:c:p:14-33.

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2020Determining the Number of Effective Parameters in Kernel Density Estimation. (2020). Parmeter, Christopher F ; McCloud, Nadine. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:143:y:2020:i:c:s0167947319301987.

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2020Empirical likelihood for partially linear single-index models with missing observations. (2020). Zhang, Jinghua ; Xue, Liugen. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s0167947319302324.

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2020Smoothed empirical likelihood inference and variable selection for quantile regression with nonignorable missing response. (2020). Wang, Lei ; Zhang, Ting. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s0167947319302439.

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2020Corrected Mallows criterion for model averaging. (2020). Zou, Guohua ; Liao, Jun. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s0167947319302579.

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2020Smooth backfitting for errors-in-variables varying coefficient regression models. (2020). Park, Byeong U ; Lee, Young K ; Han, Kyunghee. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:145:y:2020:i:c:s0167947319302646.

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2019Measuring network systemic risk contributions: A leave-one-out approach. (2019). Tokpavi, Sessi ; Lucotte, Yannick ; Hue, Sullivan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:86-114.

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2020Stochastic dominance tests. (2020). Tsionas, Mike G ; Topaloglou, Nikolas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188920300191.

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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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2019Return spillovers around the globe: A network approach. (2019). Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:133-146.

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2019Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:540-554.

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2019A brief survey on the choice of parameters for: “Kernel density estimation for time series data”. (2019). Oneill, Robert ; Semeyutin, Artur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304376.

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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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2019Feasible generalized least squares using support vector regression. (2019). Startz, Richard ; Miller, Steve . In: Economics Letters. RePEc:eee:ecolet:v:175:y:2019:i:c:p:28-31.

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2019High frequency trading, price discovery and market efficiency in the FTSE100. (2019). Kwabi, Frank ; Leone, Vitor. In: Economics Letters. RePEc:eee:ecolet:v:181:y:2019:i:c:p:174-177.

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2020Common factors and common breaks in panels: An empirical investigation. (2020). Feng, Qu. In: Economics Letters. RePEc:eee:ecolet:v:187:y:2020:i:c:s0165176519304525.

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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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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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2019The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times. (2019). Mykland, Per A ; Chen, Dachuan ; Zhang, Lan. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:101-119.

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2019Tail event driven networks of SIFIs. (2019). Chen, Cathy Yi-Hsuan ; Okhrin, Yarema ; Hardle, Wolfgang Karl. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:282-298.

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2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

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2019Estimating the integrated volatility with tick observations. (2019). Jacod, Jean ; Zheng, Xinghua ; Li, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:80-100.

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2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417.

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2019Testing treatment effect heterogeneity in regression discontinuity designs. (2019). Shen, Shu ; Hsu, Yu-Chin. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:468-486.

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2019A computationally efficient fixed point approach to dynamic structural demand estimation. (2019). Ishihara, Masakazu ; Sun, Yutec. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:563-584.

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2019Model averaging based on leave-subject-out cross-validation for vector autoregressions. (2019). Zou, Guohua ; Zhang, Xinyu ; Zong, Xianpeng ; Liao, Jun. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:35-60.

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2019Structured volatility matrix estimation for non-synchronized high-frequency financial data. (2019). Kim, Donggyu ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:61-78.

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2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:289-337.

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2019Robust inference for threshold regression models. (2019). Lee, Jungyoon ; Hidalgo, Javier ; Seo, Myung Hwan. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:291-309.

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2019Causal inference by quantile regression kink designs. (2019). Sasaki, Yuya ; Chiang, Harold D. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:405-433.

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2019Inference on functionals under first order degeneracy. (2019). Fang, Zheng ; Chen, Qihui. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:459-481.

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OLIVER BRUCE LINTON is editor of


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Works by OLIVER BRUCE LINTON:


YearTitleTypeCited
2004Testing forward exchange rate unbiasedness efficiently: A semiparametric approach In: Journal of Applied Economics.
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2004Testing forward exchange rate unbiasedness efficiently: a semiparametric approach.(2004) In: Journal of Applied Economics.
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2018A Unified Framework for Efficient Estimation of General Treatment Models In: Papers.
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2008Evaluating Value-at-Risk Models via Quantile Regressions In: Working Papers Series.
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2011Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics.
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2009Evaluating Value-at-Risk models via Quantile Regression.(2009) In: UC3M Working papers. Economics.
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2008Evaluating Value-at-Risk models via Quantile regressions.(2008) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2010Evaluating Value-at-Risk Models via Quantile Regression.(2010) In: NCER Working Paper Series.
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2011Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics.
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2006Comment In: Journal of the American Statistical Association.
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2003More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors In: Journal of the American Statistical Association.
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2004Semiparametric Regression Analysis With Missing Response at Random In: Journal of the American Statistical Association.
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2003Semiparametric regression analysis with missing response at random.(2003) In: CeMMAP working papers.
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2003The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model. In: Journal of Business & Economic Statistics.
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1998An optimization interpretation of integration and back‐fitting estimators for separable nonparametric models In: Journal of the Royal Statistical Society Series B.
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1996An Optimization Interpretation of Integration and Backfitting Estimators for Separable Nonparametric Models.(1996) In: SFB 373 Discussion Papers.
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2017Classification of non-parametric regression functions in longitudinal data models In: Journal of the Royal Statistical Society Series B.
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2002A Nonparametric Prewhitened Covariance Estimator In: Journal of Time Series Analysis.
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2000Nonparametric Censored and Truncated Regression In: Boston College Working Papers in Economics.
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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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2020Nonparametric 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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2018The cross-sectional spillovers of single stock circuit breakers In: Bank of England working papers.
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2019The impact of QE on liquidity: evidence from the UK Corporate Bond Purchase Scheme 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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2018A Coupled Component GARCH Model for Intraday and Overnight Volatility.(2018) In: Cambridge Working Papers in Economics.
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2017A coupled component GARCH model for intraday and overnight volatility.(2017) In: CeMMAP working papers.
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2017The Behaviour of Betting and Currency Markets on the Night of the EU Referendum In: Cambridge Working Papers in Economics.
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2019The behaviour of betting and currency markets on the night of the EU referendum.(2019) In: International Journal of Forecasting.
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2018The behaviour of betting and currency markets on the night of the EU referendum.(2018) In: CeMMAP working papers.
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2018The behaviour of betting and currency markets on the night of the EU referendum.(2018) In: Monash Econometrics and Business Statistics Working Papers.
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2018Implications of High-Frequency Trading for Security Markets In: Cambridge Working Papers in Economics.
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2018Implications of high-frequency trading for security markets.(2018) In: CeMMAP working papers.
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2018A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables In: Cambridge Working Papers in Economics.
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2018A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables.(2018) In: Discussion Papers.
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2018Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff In: Cambridge Working Papers in Economics.
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2018Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case In: Cambridge Working Papers in Economics.
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2018The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses In: Cambridge Working Papers in Economics.
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2018High Dimensional Semiparametric Moment Restriction Models In: Cambridge Working Papers in Economics.
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2018High dimensional semiparametric moment restriction models.(2018) In: CeMMAP working papers.
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2018High dimensional semiparametric moment restriction models.(2018) In: CeMMAP working papers.
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2017High dimensional semiparametric moment restriction models.(2017) In: Monash Econometrics and Business Statistics Working Papers.
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2018High dimensional semiparametric moment restriction models.(2018) In: Monash Econometrics and Business Statistics Working Papers.
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2019Semiparametric Nonlinear Panel Data Models with Measurement Error In: Cambridge Working Papers in Economics.
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2018Semiparametric nonlinear panel data models with measurement error.(2018) In: CeMMAP working papers.
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2019Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity In: Cambridge Working Papers in Economics.
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2019A ReMeDI for Microstructure Noise In: Cambridge Working Papers in Economics.
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2019Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information In: Cambridge Working Papers in Economics.
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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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2000The existence and asymptotic properties of a backfitting projection algorithm under weak conditions.(2000) In: LSE Research Online Documents on Economics.
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1999The existence and asymptotic properties of a backfitting projection algorithm under weak conditions.(1999) In: LSE Research Online Documents on Economics.
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2000Nonparametric Estimation with Aggregated Data In: STICERD - Econometrics Paper Series.
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2000Nonparametric estimation with aggregated data.(2000) In: LSE Research Online Documents on Economics.
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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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