Oliver Linton

Q: What Schools Are Affiliated With Oliver Linton

Oliver Linton is affiliated with the following schools: University of Cambridge, London School of Economics, University of California, Berkeley, Yale University

Oliver Linton's AcademicInfluence.com Rankings

Oliver Linton

Economics

#1977

World Rank

#2263

Historical Rank

Econometrics

#71

World Rank

#73

Historical Rank

economics Degrees

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Economics

Why Is Oliver Linton Influential?

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According to Wikipedia, Oliver Bruce Linton is a professor of Political Economy and Econometrics at Cambridge University and a Fellow of Trinity College. He is a Fellow of the British Academy, a Fellow of the Econometric Society, and a Fellow of the Institute of Mathematical Statistics.

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Oliver Linton's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Local Regression Models (2010) (776)
A kernel method of estimating structured nonparametric regression based on marginal integration (1995) (557)
Consistent Testing for Stochastic Dominance Under General Sampling Schemes (2003) (507)
Estimation of Semiparametric Models When the Criterion Function is Not Smooth (2002) (503)
The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions (1999) (359)
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (2014) (246)
Semiparametric Regression Analysis With Missing Response at Random (2003) (235)
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems (2000) (200)
A simple bias reduction method for density estimation (1995) (182)
An Improved Bootstrap Test of Stochastic Dominance (2009) (156)
Adaptive Estimation in ARCH Models (1993) (153)
Estimation of additive regression models with known links (1996) (151)
The quantilogram: With an application to evaluating directional predictability (2007) (149)
Miscellanea Efficient estimation of additive nonparametric regression models (1997) (147)
Estimating Semiparametric Arch (∞) Models by Kernel Smoothing Methods (2003) (135)
EFFICIENT SEMIPARAMETRIC ESTIMATION OF THE FAMA-FRENCH MODEL AND EXTENSIONS (2012) (134)
A Smoothed Least Squares Estimator for Threshold Regression Models (2005) (131)
SECOND ORDER APPROXIMATION IN THE PARTIALLY LINEAR REGRESSION MODEL (1995) (129)
Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos (2002) (128)
UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL (2007) (118)
Are there Monday effects in stock returns: a stochastic dominance approach (2007) (109)
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (2008) (108)
More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors (2003) (103)
Nonparametric Censored and Truncated Regression (2000) (97)
Spurious Factors in Linear Asset Pricing Models (2015) (94)
Estimation of a semiparametric transformation model (2008) (93)
Kernel estimation in a nonparametric marker dependent hazard model (1995) (91)
Local nonlinear least squares: Using parametric information in nonparametric regression (2000) (90)
Efficient Estimation of a Multivariate Multiplicative Volatility Model (2009) (89)
Nonparametric estimation and inference about the overlap of two distributions (2012) (85)
Testing for Stochastic Monotonicity (2006) (84)
Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators (2001) (83)
ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS (2009) (79)
Testing additivity in generalized nonparametric regression models with estimated parameters (2001) (78)
Yield Curve Estimation by Kernel Smoothing Methods (2000) (77)
Conditional Independence Restrictions: Testing and Estimation (1996) (74)
Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach (2000) (73)
EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS (2000) (72)
The Common and Specific Components of Dynamic Volatility (2003) (69)
Estimating Features of a Distribution from Binomial Data (2001) (68)
Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors (2001) (67)
Foresight: the future of computer trading in financial markets: final project report (2012) (67)
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL (2006) (66)
Integration and backfitting methods in additive models-finite sample properties and comparison (1999) (66)
A Computationally Efficient Oracle Estimator for Additive Nonparametric Regression with Bootstrap Confidence Intervals (1999) (60)
The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series (1999) (57)
Consistent Testing for Stochastic Dominance: A Subsampling Approach (2002) (51)
Some higher-order theory for a consistent non-parametric model specification test (2003) (51)
Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns (2000) (51)
A flexible semiparametric forecasting model for time series (2015) (50)
Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series (2015) (50)
An optimization interpretation of integration and back‐fitting estimators for separable nonparametric models (1998) (50)
Testing for the Stochastic Dominance Efficiency of a Given Portfolio (2012) (49)
An analysis of transformations for additive nonparametric regression (1997) (48)
A multiplicative bias reduction method for nonparametric regression (1994) (46)
A polarization-cohesion perspective on cross-country convergence (2012) (46)
An Asymptotic Expansion in the GARCH(l, 1) Model (1997) (42)
Estimating Quadratic Variation Consistently in the Presence of Correlated Measurement Error (2006) (42)
Semiparametric Estimation of Markov Decision Processes with Continuous State Space (2010) (41)
Semiparametric estimation of a characteristic-based factor model of common stock returns (2006) (41)
Classification of non‐parametric regression functions in longitudinal data models (2017) (40)
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods (2001) (40)
A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM (2001) (40)
On a semiparametric survival model with flexible covariate effect (1998) (40)
LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE (2006) (39)
Nonparametric Estimation of Additive Separable Regression Models (1996) (39)
The Estimation of Conditional Densities (2001) (38)
A Discrete Choice Model for Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance (2016) (37)
Estimation of semiparametric locally stationary diffusion models (2012) (35)
Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach (2004) (34)
ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE (2011) (33)
Nonparametric Transformation to White Noise (2006) (31)
NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA (2000) (30)
Additive Nonparametric Models with Time Variable and Both Stationary and Nonstationary Regressors (2017) (30)
A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom (2010) (30)
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market (2013) (30)
Identification and Nonparametric Estimation of a Transformed Additively Separable Model (2006) (29)
Semiparametric and nonparametric ARCH modeling (2009) (29)
When will the Covid-19 pandemic peak? (2020) (29)
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach (2001) (29)
A Semiparametric Model for Heterogeneous Panel Data with Fixed Effects (2013) (28)
AN INTRODUCTION TO ECONOMETRIC THEORY (1998) (27)
THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS (2004) (26)
Implications of High-Frequency Trading for Security Markets (2018) (26)
LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES (2012) (26)
Nonparametric Estimation of a Polarization Measure (2009) (25)
Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically (1994) (25)
AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS (2014) (23)
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error (2016) (23)
When will the Covid-19 pandemic peak?☆ (2020) (23)
A ReMeDI for Microstructure Noise (2019) (22)
Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics (2000) (22)
Testing for Stochastic Dominance Efficiency (2005) (21)
Testing Conditional Independence Restrictions (2014) (21)
Estimating Yield Curves by Kernel Smoothing Methods (1998) (21)
A GARCH Model of the Implied Volatility of the Swiss Market Index From Option Pricesdffrom Options Prices (1998) (20)
A unified framework for efficient estimation of general treatment models (2018) (20)
Semiparametric Estimation of Locally Stationary Diffusion Models (2010) (20)
Identification and Inference for Econometric Models: Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators (2005) (20)
Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models (1994) (20)
Second order approximation in a linear regression with heteroskedasticity of unknown form (1996) (19)
On internally corrected and symmetrized kernel estimators for nonparametric regression (2010) (19)
Semi- and Nonparametric ARCH Processes (2011) (18)
The Shape of Risk Premium: Evidence from a Semiparametric GARCH Model (2000) (18)
Testing Additivity in Generalized Nonparametric Regression Models (1995) (18)
A GARCH model of the implied volatility of the Swiss Market Index from options prices (2004) (18)
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation (2003) (18)
Consistent estimation of a general nonparametric regression function in time series (2009) (18)
Nonparametric factor analysis of residual time series (2001) (18)
Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns (2007) (18)
AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL (2015) (17)
HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS (2007) (17)
Realized Volatility: Theory and Applications (2012) (16)
A New Semiparametric Estimation Approach of Large Dynamic Covariance Matrices with Multiple Conditioning Variables (2018) (16)
Accounting for correlation in marginal longitudinal nonparametric regression (2003) (16)
Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise (2012) (15)
A Simple and Efficient Estimation Method for Models with Nonignorable Missing Data (2018) (15)
Multiscale clustering of nonparametric regression curves (2018) (15)
The Cross-Sectional Spillovers of Single Stock Circuit Breakers (2018) (14)
A Quantilogram Approach to Evaluating Directional Predictability (2003) (14)
SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS (2001) (14)
Nonparametric regression with filtered data (2011) (14)
Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case (2016) (14)
Similarity, dissimilarity and exceptionality: generalizing Gini’s transvariation to measure “differentness” in many distributions (2017) (14)
Estimation and inference in semiparametric quantile factor models (2020) (14)
Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality? (2014) (13)
Inference About Realized Volatility Using Infill Subsampling (2007) (13)
Estimation of Tail Thickness Parameters from GJR-GARCH Models (2009) (13)
An Investigation into Multivariate Variance Ratio Statistics and Their Application to Stock Market Predictability (2015) (13)
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution (2004) (13)
Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator (2009) (13)
Nonparametric Estimation of Multivariate Elliptic Densities via Finite Mixture Sieves (2012) (12)
A nonparametric test of additivity in generalized nonparametric regression with estimated parameters (2001) (12)
Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary (2008) (11)
NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA (2014) (11)
Testing for Stochastic Dominance E¢ ciency (2005) (11)
A Simulation Comparison between Integration and Backfitting Methods of Estimating Separable Nonparametric Regression Models (1997) (11)
A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models (2003) (11)
Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models (2021) (11)
Nonparametric Regression with a Latent Time Series (2009) (10)
TESTING FOR STOCHASTICMONOTONICITY (2006) (10)
The Impact of QE on Liquidity: Evidence from the UK Corporate Bond Purchase Scheme (2019) (10)
Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables (2015) (10)
An Alternative Way of Computing Efficient Instrumental Variable Estimators (2009) (10)
Economic impact assessments on MiFID II policy measures related to computer trading in financial markets (2012) (10)
Adaptive testing in arch models (2000) (9)
Differentiation of an Exponential Matrix Function (1994) (9)
Estimation in semiparametric models : a review (1995) (9)
A Nonparametric Test of a Strong Leverage Hypothesis (2013) (9)
A coupled component DCS-EGARCH model for intraday and overnight volatility (2020) (9)
Correlation and Marginal Longitudinal Kernel Nonparametric Regression (2004) (9)
Classification of Nonparametric Regression Functions in Heterogeneous Panels (2015) (8)
Estimation of Additive Regression Models with Links (1995) (8)
More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors (2002) (8)
Efficient Estimation of Nonparametric Regression in the Presence of Dynamic Heteroskedasticity (2016) (8)
Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of infinite order (2016) (8)
Circuit Breakers on the London Stock Exchange: Do they improve subsequent market quality? (2014) (8)
Evaluating hedge fund performance: a stochastic dominance approach (2007) (7)
Semiparametric identification of the bid–ask spread in extended Roll models (2017) (7)
A Coupled Component GARCH Model for Intraday and Overnight Volatility (2016) (7)
Probability, Statistics and Econometrics (2017) (7)
ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM (2020) (7)
INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS (2017) (7)
GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS (2011) (6)
Estimation of Tail Thickness Parameters from GARCH Models ∗ (2007) (6)
A Closed-Form Estimator for the Garch(1,1)-Model (2005) (6)
Semiparametric Regression Analysis Under Imputation for Missing Response Data (2003) (6)
ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL (2009) (6)
Dynamic Peer Groups of Arbitrage Characteristics (2020) (6)
Nonparametric regression estimation at design poles and zeros (1996) (6)
The October 2016 Sterling Flash Episode: When Liquidity Disappeared from One of the World's Most Liquid Markets (2017) (6)
Nonparametric Predictive Regressions for Stock Return Prediction (2019) (6)
Loch Linear Fitting Under Near Epoch Dependence: Uniform Consistency with Convergence Rate (2010) (5)
Testing the Martingale Hypothesis for Gross Returns (2014) (5)
Making Inferences About Rich Country - Poor Country Convergence: The Polarization Trapezoid and Overlap measures (2010) (5)
High Dimensional Semiparametric Moment Restriction Models (2018) (5)
A Weighted Sieve Estimator for Nonparametric Time Series Models With Nonstationary Variables (2018) (5)
Estimating Semiparametric Arch (Infinity) Models by Kernel Smoothing Methods (2003) (5)
The Froot-Stein Model Revisited (2006) (5)
Semiparametric estimation of the bid–ask spread in extended roll models (2019) (5)
ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY (2001) (5)
Estimation in Semiparametric Quantile Factor Models (2017) (5)
Nonparametric Estimation of Infinite Order Regression and Its Application to the Risk-Return Tradeoff (2018) (5)
Standard Errors for Nonparametric Regression (2020) (5)
Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns (2006) (4)
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model (2016) (4)
Estimation, Inference and Specification Analysis H. White, Cambridge University Press, 1994 (1996) (4)
Financial Econometrics (2019) (4)
QUANTILOGRAMS UNDER STRONG DEPENDENCE (2019) (4)
A Unified Framework for Specification Tests of Continuous Treatment Effect Models (2021) (4)
Nonparametric Estimation of Homothetic and Homothetically Separable Functions (2003) (4)
Nonparametric smoothing methods for a class of non-standard curve estimation problems (2003) (4)
Are Eurozone Household Income Distributions Converging? Introducing MGT and DisGini, New Tools for Multilateral Distributional Comparisons (2020) (4)
A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection (2020) (4)
Efficient Estimation of Conditional Risk Measures in a Semiparametric GARCH Model (2012) (3)
On unit free assessment of the extent of multilateral distributional variation (2021) (3)
A Dynamic Network of Arbitrage Characteristics (2020) (3)
LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS (2013) (3)
Testing the parametric form of the volatility in continuous time diffusion models - a stochastic process approach (2019) (3)
Supplementary Material for 'A ReMeDI for Microstructure Noise' (2019) (3)
Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError (2006) (3)
Estimation of a Nonparametric model for Bond Prices from Cross-section and Time series Information (2019) (3)
Nonparametric inference for unbalance time series data (2004) (3)
Yield Curve Estimation by Kernel Smoothing (2004) (3)
INTRODUCTION TO THE SPECIAL ISSUE ON INVERSE PROBLEMS (2010) (3)
Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error (2007) (3)
Non-Standard Errors (2021) (3)
Semiparametric model averaging of ultra-high dimensional time series (2015) (3)
On Time Trend of COVID-19: A Panel Data Study (2020) (3)
An alternative GLS-like transformation in regression models with AR(1)-errors (2002) (3)
Estimation of a Multiplicative Covariance Structure (2016) (2)
Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance (2022) (2)
Symmetrizing and unitizing transformations for linear smoother weights (2001) (2)
Editorial for the special issue on financial engineering and risk management for JoE (2019) (2)
Estimation of the Kronecker Covariance Model by Partial Means and Quadratic Form (2019) (2)
NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA (2004) (2)
Quantile Regression Applications in Finance (2017) (2)
Asymptotic Inefficiency of an Estimator Derived from a Kernel-Based Test Statistic (1997) (2)
Averaging of moment condition estimators (2012) (2)
An Alternative Way of ComputingEfficient Instrumental VariableEstimators (2009) (2)
Advances in Robust and Flexible Inference in Econometrics: A Special Issue in Honour of Joel L. Horowitz (2014) (2)
The lower regression function and testing expectation dependence dominance hypotheses (2018) (2)
Non-Parametric Transformation Regression with Non-Stationary Data (2013) (1)
Testing Additivity in Generalized Nonparametric Regression Models aareadme.txt (1996) (1)
Semiparametric nonlinear panel data models with measurement error (2018) (1)
Chapter 12 – Hypothesis Testing (2017) (1)
Testing Stochastic Dominance with Many Conditioning Variables (2020) (1)
A New Semiparametric Estimation of Large Dynamic Covariance Matrix with Multiple Conditioning Variables (2017) (1)
Supplement to “Classification of Nonparametric Regression Functions in Longitudinal Data Models” (2015) (1)
Book reviewNonparametric econometrics: Adrian Pagan and Aman Ullah; Cambridge University Press, Cambridge, 1999, price US$74.95 hardback, ISBN 0-521-35564-8, price US$29.95 paperback, ISBN 0-521-58611-9 (2001) (1)
Nonparametric estimation of additive separable regression (1996) (1)
A Flexible Semiparametric Model for Time Series (2012) (1)
An optimal estimator of true mark under double blind marking (2004) (1)
News-Implied Linkages and Local Dependency in the Equity Market (2021) (1)
A Model for Daily Global Stock Market Returns ∗ (2022) (1)
Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information (2019) (1)
Speciication Tests in the Eecient Method of Moments Framework with Application to the Stochastic Volatility Models (1998) (1)
Conditional Probability and Independence (2017) (1)
A Computationally Eecient Oracle Estimator for Additive Nonparametric Regression with Bootstrap Conndence Intervals (1997) (1)
Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction (2018) (1)
Confidence Intervals and Sets (2017) (1)
ESTIMATION OF A SEMIPARAMETRICIGARCH(1,1) MODEL (2009) (1)
The Froot and Stein Model Revisited (2004) (1)
Robust Estimation of Integrated Volatility (2020) (1)
Editorial for the special issue on financial econometrics in the age of the digital economy (2020) (1)
When will the coronavirus pandemic peak (2020) (1)
A Computational Note on Estimation of a Semiparametric Transformation Model (2008) (1)
Nonparametric estimation of infinite order regression (2019) (1)
Generalized Method of Moments and Extremum Estimators (2017) (0)
Supplementary Material for 'A ReMeDI for Microstructure Noise'' (2020) (0)
Shaoran Li, Oliver Linton and Shuyi Ge's contribution to the ‘First Discussion Meeting on Statistical Aspects of the Covid‐19 Pandemic’ (2022) (0)
Semiparametric methods in econometrics (2007) (0)
Nonparametric regression ‐ Theory (2014) (0)
Dynamic Autoregressive Liquidity (DArLiQ) (2022) (0)
Chapter 8 – Asymptotic Theory (2017) (0)
Mean Ratio Statistic for measuring predictability (2015) (0)
Chapter 5 – The Expectation (2017) (0)
A SEMIPARAMETRIC CHARACTERISTICS-BASED FACTOR MODEL (2020) (0)
A Structural Dynamic Factor Model for Daily Global Stock Market Returns (2022) (0)
Adjusted-Range Self-Normalized Confidence Interval Construction for Censored Dependent Data (2022) (0)
Empirical Market Microstructure (2019) (0)
Advances in Economics and Econometrics: Discussion of Aït-Sahalia and Barndorff-Nielsen and Shephard (2007) (0)
Working Papers in Economics : 1907 EFFICIENT ESTIMATION OF NONPARAMETRIC REGRESSION IN THE PRESENCE OF DYNAMIC HETEROSKEDASTICIT (2019) (0)
Problems: Kernel Regression with “No” Information (1996) (0)
Supplementary Materials for 'A ReMeDI for Microstructure Noise' (2021) (0)
Confidence Interval Construction – A New Self-Normalization Approach Based on Adjusted Range (2021) (0)
Do consumption-based asset pricing models explain serial dependence in stock returns?* (2018) (0)
Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference (2016) (0)
Omission of Relevant Variables, Inclusion of Irrelevant Variables, and Model Selection (2017) (0)
GMM Estimation for High–Dimensional Panel Data Models (2022) (0)
A nonparametric threshold model with application to zero returns (2008) (0)
Kernel Regression with “No” Information (1997) (0)
AN ANALYSIS OF TRANSFORMATIONS FOR ADDITIVENONPARAMETRIC REGRESSIONO (1997) (0)
Comment on "an adaptive estimation of dimension reduction space" by Y. Xia, H. Tong, and W.K. Li (2002) (0)
Estimation with Mixed Data Frequencies: A Bias-Correction Approach (2019) (0)
Chapter 1 – Probability Theory (2017) (0)
A Nonparametric Postscript (2017) (0)
Chaohua Dong, Jiti Gao and Oliver Linton’s contribution to the Discussion of ‘Assumption‐lean inference for generalised linear model parameters’ by Vansteelandt and Dukes (2022) (0)
NONPARAMETRIC NEURAL ESTIMATION OF LYAPUNOV EXPONENTS AND A DIRECT TEST FOR CHAOS (2003) (0)
Comment (2006) (0)
Nonparametric simultaneous testing for structural breaks (2020) (0)
Testing for unit root processes in random coefficient autoregressive models (2019) (0)
Rich Country-Poor Country Convergence ? : A New Approach to an Old Issue (2010) (0)
Asymptotic Properties of OLS Estimator and Test Statistics (2017) (0)
Empirical Likelihood Estimation of Value-at-Risk and Expected Shortfall With Moment Constraints (2020) (0)
Annals issue on forecasting--Guest editors' introduction (2011) (0)
Auditing the Auditors: An Evaluation of the REF2021 Output Results (2022) (0)
Estimation of Linear Regression Models by a Spread-Tolerant Estimator (2004) (0)
Robust Estimation of Integrated and Spot Volatility (2022) (0)
Statistical Properties of the OLS Estimator (2017) (0)
A score statistic for testing the presence of a stochastic trend in conditional variances (2022) (0)
Nonparametric Factor Analysis of Time Series (1998) (0)
in Economics : 1908 ROBUST MEASURES OF MICROSTRUCTURE NOISE (2019) (0)
CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects (2022) (0)
Nonparametric Regression Functions in Heterogeneous Panels (2015) (0)
Corrigendum to “The behaviour of betting and currency markets on the night of the EU referendum” [Int. J. Forecast. 35 (1) (2018) 371–389] (2023) (0)
Examples of Univariate Distributions (2017) (0)
Comment on “Factor Models for High-Dimensional Tensor Time Series” by Rong Chen, Dan Yang, and Cun-Hui Zhang (2022) (0)
Portfolio Choice and Testing the Capital Asset Pricing Model (2019) (0)
CENTRE FOR ECONOMETRIC ANALYSIS CEA@Cass (2012) (0)
A tale of two theories (2019) (0)
Separate Noise and Jumps From Tick Data: An Endogenous Thresholding Approach (2021) (0)
Risk Management and Tail Estimation (2019) (0)
Chapter 25 – A Case Study (2017) (0)
Chapter 11 – Estimation Theory (2017) (0)
Problems and Solutions (2001) (0)
Random Variables, Distribution Functions, and Densities (2017) (0)
Empirical Finance: Methodology and Application (2014) (0)
Chapter 16 – Linear Algebra (2017) (0)
The Least Squares Procedure (2017) (0)
Exercises and Complements I (2019) (0)
Hypothesis Testing for Linear Regression (2017) (0)
A Simple and Efficient Estimation Method for Models with Non-ignorable Missing Data (2019) (0)
Chapter 18 – Linear Model (2017) (0)
Mr Tompkins' curious gloves (2015) (0)
Chapter 10 – Introduction (2017) (0)
Continuous Time Processes (2019) (0)
Multivariate Random Variables (2017) (0)
Multivariate variance ratio statistics (2014) (0)
Estimation of Linear Regression Models from Bid-Ask Data by a Spread-Tolerant Estimator * (2001) (0)
Asymptotic Tests and the Bootstrap (2017) (0)
Testing for time stochastic dominance (2022) (0)
First Passage Time Covariance Matrix Estimators (2021) (0)
Do Consumption-Based Asset Pricing Models Explain Own-History Predictability in Stock Market Returns? (2020) (0)
A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation (2022) (0)
The Limiting Behavior of Kernel Estimates of the Lyapunov Exponent for Stochastic Time Series (1996) (0)
A nonparametric test of the leverage hypothesis (2012) (0)
Distribution free specification tests of conditional models (2018) (0)
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model (2023) (0)
E M ] 9 F eb 2 02 2 Regression Adjustments under Covariate-Adaptive Randomizations with Imperfect Compliance ∗ (2022) (0)
Intertemporal Equilibrium Pricing (2019) (0)
Shuyi Ge, Oliver Linton and Shaoran Li's contribution to the ‘First Discussion Meeting on Statistical Aspects of the Covid‐19 Pandemic’ (2022) (0)
Transformations of Random Variables (2017) (0)
Adaptive consistent unit root tests based on autoregressive threshold model (2019) (0)

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