25
H index
47
i10 index
2153
Citations
OLIVER BRUCE LINTON : Citation Profile
University of Cambridge | RESEARCH PRODUCTION: 111 Articles 281 Papers 1 Chapters EDITOR: Series edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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33 years (1986 - 2019). Relations with other researchers
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:
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Main data
Where OLIVER BRUCE LINTON has published?
Recent works citing OLIVER BRUCE LINTON (2019 and 2018)
| Year | Title of citing document | |
|---|---|---|
| 2018 | Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14. Full description at Econpapers || Download paper | |
| 2018 | The drift burst hypothesis. (2018). Reno, Roberto ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-21. Full description at Econpapers || Download paper | |
| 2018 | Liquid milk: Cash Constraints and Recurring Savings among Dairy Farmers in Kenya. (2018). Janssens, Wendy ; Kramer, Berber ; Geng, Xin. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273823. Full description at Econpapers || Download paper | |
| 2018 | Estimating Demand for Urban Tree Cover Using a Residential Sorting Model. (2018). Boyle, Kevin ; Holmes, Thomas P ; Siriwardena, Shyamani D ; Cao, Xiang. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274020. Full description at Econpapers || Download paper | |
| 2018 | Concentration and Liquidity Costs in Emerging Commodity Exchanges. (2018). Trujillo-Barrera, Andres ; Costa, Geraldo. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:276504. Full description at Econpapers || Download paper | |
| 2018 | Conditional Quantile Processes based on Series or Many Regressors. (2018). Chernozhukov, Victor ; Fern, Iv'An ; Chetverikov, Denis ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1105.6154. Full description at Econpapers || Download paper | |
| 2018 | Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). BarunÃk, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946. Full description at Econpapers || Download paper | |
| 2018 | Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159. Full description at Econpapers || Download paper | |
| 2018 | Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700. Full description at Econpapers || Download paper | |
| 2018 | Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Fan, Jianqing ; Liao, Yuan ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041. Full description at Econpapers || Download paper | |
| 2018 | Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185. Full description at Econpapers || Download paper | |
| 2017 | A Joint Quantile and Expected Shortfall Regression Framework. (2017). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1704.02213. Full description at Econpapers || Download paper | |
| 2017 | Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715. Full description at Econpapers || Download paper | |
| 2018 | Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392. Full description at Econpapers || Download paper | |
| 2018 | A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138. Full description at Econpapers || Download paper | |
| 2018 | Regression Based Expected Shortfall Backtesting. (2018). Bayer, Sebastian ; Dimitriadis, Timo . In: Papers. RePEc:arx:papers:1801.04112. Full description at Econpapers || Download paper | |
| 2018 | 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 | |
| 2018 | Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1805.08653. Full description at Econpapers || Download paper | |
| 2018 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper | |
| 2018 | Nonparametric Regression with Selectively Missing Covariates. (2018). Breunig, Christoph ; Haan, Peter. In: Papers. RePEc:arx:papers:1810.00411. Full description at Econpapers || Download paper | |
| 2018 | The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation. (2018). Juodis, Arturas ; Reese, Simon. In: Papers. RePEc:arx:papers:1810.03715. Full description at Econpapers || Download paper | |
| 2018 | Stochastic Revealed Preferences with Measurement Error. (2018). Kashaev, Nail ; Aguiar, Victor H. In: Papers. RePEc:arx:papers:1810.05287. Full description at Econpapers || Download paper | |
| 2018 | Spanning Tests for Markowitz Stochastic Dominance. (2018). Topaloglou, Nikolas ; Scaillet, Olivier ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:1810.10800. Full description at Econpapers || Download paper | |
| 2019 | Factor-Driven Two-Regime Regression. (2018). Lee, Sokbae (Simon) ; Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan. In: Papers. RePEc:arx:papers:1810.11109. Full description at Econpapers || Download paper | |
| 2018 | Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models. (2018). Lee, Ying-Ying. In: Papers. RePEc:arx:papers:1811.00157. Full description at Econpapers || Download paper | |
| 2018 | Nonparametric Analysis of Finite Mixtures. (2018). Kitamura, Yuichi ; Laage, Louise. In: Papers. RePEc:arx:papers:1811.02727. Full description at Econpapers || Download paper | |
| 2019 | Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045. Full description at Econpapers || Download paper | |
| 2019 | Inference on Functionals under First Order Degeneracy. (2019). Chen, Qihui ; Fang, Zheng. In: Papers. RePEc:arx:papers:1901.04861. Full description at Econpapers || Download paper | |
| 2019 | Penalized Sieve GEL for Weighted Average Derivatives of Nonparametric Quantile IV Regressions. (2019). Powell, James L ; Pouzo, Demian ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:1902.10100. Full description at Econpapers || Download paper | |
| 2019 | An Integrated Panel Data Approach to Modelling Economic Growth. (2019). GAO, Jiti ; Peng, Bin ; Feng, Guohua. In: Papers. RePEc:arx:papers:1903.07948. Full description at Econpapers || Download paper | |
| 2019 | 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 | |
| 2019 | Non-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. Full description at Econpapers || Download paper | |
| 2019 | Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961. Full description at Econpapers || Download paper | |
| 2019 | Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu. In: Papers. RePEc:arx:papers:1907.01196. Full description at Econpapers || Download paper | |
| 2019 | Adaptive inference for a semiparametric GARCH model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147. Full description at Econpapers || Download paper | |
| 2019 | The emergence of critical stocks in market crash. (2019). Wang, Huiwen ; Zhao, Jichang ; Lu, Shan. In: Papers. RePEc:arx:papers:1908.07244. Full description at Econpapers || Download paper | |
| 2018 | Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model. (2018). Kyriakopoulou, Dimitra ; Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:1802. Full description at Econpapers || Download paper | |
| 2017 | Making room for the needy: the credit-reallocation effects of the ECB’s corporate QE. (2017). Mayordomo, Sergio ; Gimeno, Ricardo ; Arce, Oscar. In: Working Papers. RePEc:bde:wpaper:1743. Full description at Econpapers || Download paper | |
| 2018 | PERSISTENCE IN CONVERGENCE AND CLUB FORMATION. (2018). Stengos, Thanasis ; Zkan, Harun ; Yazgan, Ege M. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:2:p:119-138. Full description at Econpapers || Download paper | |
| 2018 | Leveraging Monopoly Power by Degrading Interoperability: Theory and Evidence from Computer Markets. (2018). van Reenen, John ; Genakos, Christos ; VanReenen, John ; Kuhn, Kaiuwe. In: Economica. RePEc:bla:econom:v:85:y:2018:i:340:p:873-902. Full description at Econpapers || Download paper | |
| 2018 | The Identification Zoo - Meanings of Identification in Econometrics. (2018). Lewbel, Arthur. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:957. Full description at Econpapers || Download paper | |
| 2018 | Markov-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. Full description at Econpapers || Download paper | |
| 2019 | Nonparametric Predictive Regressions for Stock Return Prediction. (2019). GAO, Jiti ; Linton, O ; Cheng, T. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1932. Full description at Econpapers || Download paper | |
| 2018 | Nonparametric Estimation of Additive Model with Errors-in-Variables. (2018). Otsu, Taisuke ; Dong, Hao. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:600. Full description at Econpapers || Download paper | |
| 2018 | Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804. Full description at Econpapers || Download paper | |
| 2018 | Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12934. Full description at Econpapers || Download paper | |
| 2018 | (At Least) Four Theories for Sovereign Default. (2018). Eberhardt, Markus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13084. Full description at Econpapers || Download paper | |
| 2018 | Linear 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. Full description at Econpapers || Download paper | |
| 2019 | Permanent-Income Inequality. (2019). Gallipoli, Giovanni ; Abbott, Brant. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13540. Full description at Econpapers || Download paper | |
| 2018 | Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905. Full description at Econpapers || Download paper | |
| 2018 | Who benefits from the corporate QE? A regression discontinuity design approach. (2018). Abidi, Nordine ; Miquel-Flores, Ixart. In: Working Paper Series. RePEc:ecb:ecbwps:20182145. Full description at Econpapers || Download paper | |
| 2019 | Does 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. Full description at Econpapers || Download paper | |
| 2017 | Thoughts on the inequality of opportunities: new evidence. (2017). Santos, Wallace Patrick ; de Oliveira, Victor Rodrigues ; Annegues, Ana Claudia . In: Revista CEPAL. RePEc:ecr:col070:42012. Full description at Econpapers || Download paper | |
| 2019 | The 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. Full description at Econpapers || Download paper | |
| 2017 | Model 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. Full description at Econpapers || Download paper | |
| 2017 | Generalized 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. Full description at Econpapers || Download paper | |
| 2018 | Time-dynamic varying coefficient models for longitudinal data. (2018). Lee, Kyeong Eun ; Yang, Seong J ; Park, Byeong U. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:123:y:2018:i:c:p:50-65. Full description at Econpapers || Download paper | |
| 2018 | Continuum directions for supervised dimension reduction. (2018). Jung, Sungkyu. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:125:y:2018:i:c:p:27-43. Full description at Econpapers || Download paper | |
| 2018 | Semiparametric 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. Full description at Econpapers || Download paper | |
| 2019 | Two-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. Full description at Econpapers || Download paper | |
| 2019 | Order 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. Full description at Econpapers || Download paper | |
| 2019 | Feature 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. Full description at Econpapers || Download paper | |
| 2019 | Hierarchical 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. Full description at Econpapers || Download paper | |
| 2019 | A 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. Full description at Econpapers || Download paper | |
| 2019 | Measuring 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. Full description at Econpapers || Download paper | |
| 2017 | Equity 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. Full description at Econpapers || Download paper | |
| 2018 | A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction. (2018). Bao, Te ; Li, Hao ; Diks, Cees. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:611-621. Full description at Econpapers || Download paper | |
| 2018 | International risk transmission of stock market movements. (2018). Shen, Yifan. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:220-236. Full description at Econpapers || Download paper | |
| 2018 | Directional predictability and time-varying spillovers between stock markets and economic cycles. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:301-312. Full description at Econpapers || Download paper | |
| 2019 | Return 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. Full description at Econpapers || Download paper | |
| 2019 | Asymmetric 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. Full description at Econpapers || Download paper | |
| 2017 | The 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. Full description at Econpapers || Download paper | |
| 2018 | A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models. (2018). Xiang, Jingjie ; Cui, Guowei ; Li, Kunpeng. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:144-148. Full description at Econpapers || Download paper | |
| 2019 | Feasible 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. Full description at Econpapers || Download paper | |
| 2017 | Nonparametric 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. Full description at Econpapers || Download paper | |
| 2017 | Direct 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. Full description at Econpapers || Download paper | |
| 2018 | Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:178-195. Full description at Econpapers || Download paper | |
| 2018 | Efficient estimation and computation for the generalised additive models with unknown link function. (2018). Lin, Huazhen ; Zhang, Wenyang ; Lv, Shaogao ; Pan, Lixian. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:230-244. Full description at Econpapers || Download paper | |
| 2018 | Nonparametric testing for smooth structural changes in panel data models. (2018). Chen, Bin ; Huang, Liquan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:245-267. Full description at Econpapers || Download paper | |
| 2018 | Identification and estimation of nonseparable single-index models in panel data with correlated random effects. (2018). Iek, Pavel ; Lei, Jinghua. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:113-128. Full description at Econpapers || Download paper | |
| 2018 | Nonparametric heteroskedasticity in persistent panel processes: An application to earnings dynamics. (2018). Botosaru, Irene ; Sasaki, Yuya. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:283-296. Full description at Econpapers || Download paper | |
| 2018 | Efficient propensity score regression estimators of multivalued treatment effects for the treated. (2018). Lee, Ying-Ying. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:207-222. Full description at Econpapers || Download paper | |
| 2018 | Indirect Inference with endogenously missing exogenous variables. (2018). Chaudhuri, Saraswata ; Renault, Eric ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:55-75. Full description at Econpapers || Download paper | |
| 2018 | Partial identification and inference in censored quantile regression. (2018). Fan, Yanqin ; Liu, Ruixuan. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:1-38. Full description at Econpapers || Download paper | |
| 2018 | Comparing distributions by multiple testing across quantiles or CDF values. (2018). Kaplan, David ; Goldman, Matt. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:143-166. Full description at Econpapers || Download paper | |
| 2018 | Portfolio optimization based on stochastic dominance and empirical likelihood. (2018). Post, Thierry ; Arvanitis, Stelios ; Karabati, Seluk. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:167-186. Full description at Econpapers || Download paper | |
| 2018 | Threshold autoregressive models for interval-valued time series data. (2018). Hong, Yongmiao ; Wang, Shouyang ; Han, AI ; Sun, Yuying. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:414-446. Full description at Econpapers || Download paper | |
| 2018 | Quasi maximum likelihood analysis of high dimensional constrained factor models. (2018). Lu, Lina ; Li, QI. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:574-612. Full description at Econpapers || Download paper | |
| 2018 | Estimation of random coefficients logit demand models with interactive fixed effects. (2018). Shum, Matthew ; Weidner, Martin ; Moon, Hyungsik Roger. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:613-644. Full description at Econpapers || Download paper | |
| 2018 | Linear double autoregression. (2018). Zhu, Qianqian ; Li, Guodong ; Zheng, Yao. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:162-174. Full description at Econpapers || Download paper | |
| 2018 | Sequential estimation of censored quantile regression models. (2018). Chen, Song Nian. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:30-52. Full description at Econpapers || Download paper | |
| 2018 | Tests of stochastic monotonicity with improved power. (2018). Seo, Juwon. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:53-70. Full description at Econpapers || Download paper | |
| 2018 | Model checks for nonlinear cointegrating regression. (2018). Zhu, Ke ; Wu, Dongsheng ; Wang, Qiying. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:261-284. Full description at Econpapers || Download paper | |
| 2018 | Factor models for asset returns based on transformed factors. (2018). Li, Jialiang ; Kong, Efang ; Zhang, Wenyang. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:432-448. Full description at Econpapers || Download paper | |
| 2019 | The 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. Full description at Econpapers || Download paper | |
| 2019 | Tail 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. Full description at Econpapers || Download paper | |
| 2019 | Knowing 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. Full description at Econpapers || Download paper | |
| 2019 | Estimating 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. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
OLIVER BRUCE LINTON is editor of
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| Econometrics Journal | |
| Econometrics Journal |
Works by OLIVER BRUCE LINTON:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2004 | Testing forward exchange rate unbiasedness efficiently: A semiparametric approach In: Journal of Applied Economics. [Full Text][Citation analysis] | article | 3 |
| 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: 3 | article | |
| 2018 | A Unified Framework for Efficient Estimation of General Treatment Models 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 | 59 |
| 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: 59 | 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: 59 | 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: 59 | 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: 59 | 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: 59 | 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 | 19 |
| 2004 | Semiparametric Regression Analysis With Missing Response at Random In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 48 |
| 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: 48 | 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 | 7 |
| 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 | 0 |
| 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: 0 | 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 | 1 |
| 2002 | A Nonparametric Prewhitened Covariance Estimator In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 2 |
| 2000 | Nonparametric Censored and Truncated Regression In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 38 |
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| 2002 | Nonparametric Censored and Truncated Regression.(2002) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | 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: 38 | 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: 38 | paper | |
| 2010 | Estimating Features of a Distribution from Binomial Data In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 30 |
| 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: 30 | 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: 30 | 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: 30 | paper | |
| 2006 | Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 8 |
| 2007 | Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions.(2007) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
| 2008 | Identification and Nonparametric Estimation of a Transformed Additively Separable Model In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 13 |
| 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: 13 | 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: 13 | paper | |
| 2011 | Nonparametric Euler Equation Identification and Estimation In: Boston College Working Papers in Economics. [Full Text][Citation analysis] | paper | 8 |
| 2015 | Nonparametric Euler Equation Identification andEstimation.(2015) In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2015 | Nonparametric Euler equation identification and estimation.(2015) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | 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 | 12 |
| 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: 12 | 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: 12 | 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: 12 | 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 | 9 |
| 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: 9 | 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: 9 | 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 | 0 |
| 2018 | The cross-sectional spillovers of single stock circuit breakers In: Bank of England working papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | The impact of QE on liquidity: evidence from the UK Corporate Bond Purchase Scheme In: Bank of England working papers. [Full Text][Citation analysis] | paper | 0 |
| 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 | 43 |
| 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: 43 | 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: 43 | 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 | 4 |
| 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: 4 | 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: 4 | 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 | 1 |
| 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: 1 | 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: 1 | 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: CORE Discussion Papers. [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 | 1 |
| 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: 1 | 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: 1 | 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 | 3 |
| 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: 3 | 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: 3 | 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: 3 | paper | |
| 2018 | Implications of High-Frequency Trading for Security Markets In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 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: 1 | 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 | 0 |
| 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: 0 | 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 |
| 2018 | Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2018 | The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2018 | High Dimensional Semiparametric Moment Restriction Models In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2018 | High dimensional semiparametric moment restriction models.(2018) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2018 | High dimensional semiparametric moment restriction models.(2018) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | 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: 1 | 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: 1 | paper | |
| 2019 | Semiparametric Nonlinear Panel Data Models with Measurement Error In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Semiparametric nonlinear panel data models with measurement error.(2018) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2019 | Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Robust Measures of Microstructure Noise In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
| 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 | 0 |
| 2000 | Yield Curve Estimation by Kernel Smoothing Methods In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 13 |
| 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: 13 | 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: 13 | 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: 13 | 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 | 72 |
| 1997 | The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions.(1997) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | paper | |
| 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: 72 | 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: 72 | paper | |
| 2000 | Nonparametric Estimation with Aggregated Data In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2002 | NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA.(2002) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | 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: 5 | 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: 5 | 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 | 33 |
| 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: 33 | 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: 33 | paper | |
| 2001 | Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach.(2001) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | 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: 33 | article | |
| 2000 | Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 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: 6 | 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: 6 | paper | |
| 2000 | Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 51 |
| 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: 51 | article | |
| 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: 51 | 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: 51 | paper | |
| 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: 51 | paper | |
| 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 | 0 |
| 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: 0 | paper | |
| 2001 | A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 9 |
| 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: 9 | 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: 9 | 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: 9 | paper | |
| 2002 | Consistent Testing for Stochastic Dominance: A Subsampling Approach In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 16 |
| 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: 16 | 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: 16 | paper | |
| 2004 | Consistent testing for stochastic dominance: a subsampling approach.(2004) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | 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: 16 | paper | |
| 2002 | Consistent Testing for Stochastic Dominance: A Subsampling Approach.(2002) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 2004 | Consistent Testing for Stochastic Dominance: A Subsampling Approach.(2004) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | 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: 16 | 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 | 43 |
| 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: 43 | 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: 43 | 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: 43 | 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: 43 | 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: 43 | paper | |
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| 2002 | More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 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: 1 | 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: 1 | paper | |
| 2003 | Estimation of Semiparametric Models when the Criterion Function is not Smooth In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 125 |
| 2003 | Estimation of Semiparametric Models when the Criterion Function Is Not Smooth.(2003) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 125 | 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: 125 | 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: 125 | paper | |
| 2003 | Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 16 |
| 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: 16 | 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: 16 | 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 | |
| 2004 | Estimating Semiparametric ARCH Models by Kernel Smoothing Methods.(2004) In: FMG Discussion Papers. [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 | 2 |
| 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: 2 | 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: 2 | paper | |
| 2004 | A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models.(2004) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2003 | Nonparametric Estimation of Homothetic and Homothetically Separable Functions In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 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: 0 | 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: 0 | paper | |
| 2003 | A Quantilogram Approach to Evaluating Directional Predictability In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 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: 3 | 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: 3 | paper | |
| 2004 | Nonparametric Inference for Unbalanced Time Series Data In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2005 | NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA.(2005) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 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: 2 | 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: 2 | 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: 2 | paper | |
| 2006 | Nonparametric Transformation to White Noise In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2008 | Nonparametric transformation to white noise.(2008) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
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| 2001 | Flexible Term Structure Estimation: Which Method Is Preferred?.(2001) In: Yale School of Management Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2004 | Yield Curve Estimation by Kernel Smoothing In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | A GARCH Model of the Implied Volatility of the Swiss Market Index From Option Pricesdffrom Options Prices In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
| 2018 | A simple and efficient estimation method for models with nonignorable missing data In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction.(2017) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Inference on a semiparametric model with global power law and local nonparametric trends In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Inference on a Semiparametric Model with Global Power Law and Local Nonparametric Trends.(2017) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2015 | Classification of nonparametric regression functions in heterogeneous panels In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality? In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 6 |
| 2018 | Estimation in semiparametric quantile factor models In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Mean Ratio Statistic for measuring predictability In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Multiscale clustering of nonparametric regression curves In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Nonparametric estimation of a periodic sequence in the presence of a smooth trend In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Nonparametric estimation of a periodic sequence in the presence of a smooth trend.(2014) In: Biometrika. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2016 | Estimation of a Multiplicative Covariance Structure In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | A nonparametric test of the leverage hypothesis In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Efficient estimation of conditional risk measures in a semiparametric GARCH model In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Averaging of moment condition estimators In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Testing for the stochastic dominance efficiency of a given portfolio In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 9 |
| 2014 | Testing for the stochastic dominance efficiency of a given portfolio.(2014) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2012 | A flexible semiparametric model for time series In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | A Flexible Semiparametric Model for Time Series.(2012) In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Semiparametric model averaging of ultra-high dimensional time series In: CeMMAP working papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Semiparametric Model Averaging of Ultra-High Dimensional Time Series.(2015) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2012 | A polarization-cohesion perspective on cross-country convergence In: Journal of Economic Growth. [Full Text][Citation analysis] | article | 20 |
| 2017 | Estimation and inference in semiparametric quantile factor models In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2017 | Similarity, dissimilarity and exceptionality: generalizing Gini’s transvariation to measure “differentness” in many distributions In: METRON. [Full Text][Citation analysis] | article | 3 |
| 2001 | Nonparametric factor analysis of residual time series In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. [Full Text][Citation analysis] | article | 8 |
| 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 | 3 |
| 2014 | Testing Conditional Independence Restrictions In: Econometric Reviews. [Full Text][Citation analysis] | article | 2 |
| 2018 | Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 1 |
| 2010 | Making Inferences About Rich Country - Poor Country Convergence: The Polarization Trapezoid and Overlap measures. In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | EDITORIAL In: Econometrics Journal. [Full Text][Citation analysis] | article | 0 |
| 2014 | Advances in Robust and Flexible Inference in Econometrics: A Special Issue in Honour of Joel L. Horowitz In: Econometrics Journal. [Full Text][Citation analysis] | article | 0 |
| 2017 | A discrete†choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 7 |
| 1993 | Kernel estimation in a nonparametric marker dependent Hazard Model. In: Statistic und Oekonometrie. [Full Text][Citation analysis] | paper | 4 |
| 2004 | The Froot and Stein Model Revisited In: Finance. [Full Text][Citation analysis] | paper | 0 |
| 1995 | Nonparametric Regression In: SFB 373 Discussion Papers. [Citation analysis] | paper | 10 |
| 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 | 6 |
| 1997 | A Simulation Comparison between Integration and Backfitting Methods of Estimating Separable Nonparametric Regression Models In: SFB 373 Discussion Papers. [Citation analysis] | paper | 1 |
| 1998 | Nonparametric factor analysis of time series In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | A local instrumental estimation method for generalized additive volatility models In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
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