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Faculty of Economics

Robust Estimation of Integrated Volatility
Li, M. Z. and Linton, O. (2021)

A Unified Framework for Specification Tests of Continuous Treatment Effect Models
Huang, W., Linton, O., Zhang, Z. (2021)

Keywords: Consistent tests, Continuous treatment effect, Series estimation, Bootstrap
JEL Codes: C10 C11 C12

Modelling Demand for ESG
Ahmed, M. F., Gao, Y. and Satchell, S. (2020)

Keywords: ESG, Sustainable Investing, Demand Model, Investors’ Utility
JEL Codes: G11 G12 G14 G23 G34

Regional Heterogeneity and U.S. Presidential Elections
Ahmed, R. and Pesaran, M. H. (2020)

Keywords: Voter Turnout, Popular and Electoral College Votes, Simultaneity and Recursive Identification, High Dimensional Forecasting Models, Lasso, OCMT
JEL Codes: C53 C55 D72

Common Short Selling and Excess Comovement
Geraci, M. V., Gnabo, J-Y. and Veredas, D. (2020)

Keywords: short selling, comovement, hedge funds
JEL Codes: G12 G14

A Dynamic Network of Arbitrage Characteristics
Ge, S., Li, S. and Linton, O. (2020)

Keywords: Semiparametric, Characteristics-based, Network, Power-enhanced test
JEL Codes: C14 G11 G12

When will the Covid-19 pandemic peak?
Li, S. and Linton, O. (2020)

Keywords: COVID-19, Epidemic, Nonparametric, Prediction, Trend
JEL Codes: C10

On Unit Free Assessment of The Extent of Multilateral Distributional Variation
Anderson, G., Linton, O., Pittau, M G., Whang, Y-J., Zelli, R. (2020)

Keywords: Gini, Inequality, Poverty, Transvariation
JEL Codes: C10 D31 D63

Testing for Time Stochastic Dominance
Lee, K., Linton, O., Whang, Y-J. (2020)

Keywords: Bootstrap, Discounting, Stochastic Dominance, Testing
JEL Codes: C10 C12 C14

Weak Diffusion Limits of Two Real-Time GARCH-type Models
Ding, Y. (2020)

Keywords: GARCH, RT-GARCH, SV, diffusion limit
JEL Codes: C22 C32 C58

Spurious Factor Analysis
Onatski, A. and Wang, C. (2020)

Keywords: Spurious regression, principal components, factor models, Karhunen-Loève expansion.

Influencers and Communities in Social Networks
Chen, C. Y-H., Härdle, W. K. and Klochkov, Y. (2019)

Keywords: Social Media, Network, Community, Opinion Mining, Natural Language Processing

Semiparametric Single-index Predictive Regression
Zhou, W., Gao, J., Harris, D. and Kew, H. (2019)

Keywords: Predictive regression, Single-index model, Hermite orthogonal estimation, Dual super-consistency rates, Co-moving predictors
JEL Codes: C13 C14 C32 C51

Emerging Markets and the Conditional CAPM
Ahmed, M. F. and Satchell, S. (2019)

Keywords: Emerging Market Equities, conditional CAPM, asset pricing
JEL Codes: C22 G11 G15

Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data
Li, Z. M., Laeven, R. J. A. and Vellekoop, M. H. (2019)

Keywords: Dependent microstructure noise, realized volatility, bias correction, integrated volatility, mixing sequences, pre-averaging method
JEL Codes: C13 C14 C55 C58

The Impact of QE on Liquidity: Evidence from the UK Corporate Bond Purchase Scheme
Boneva, L., Elliott, D., Kaminska, I., Linton, O., McLaren, N., Morley, B. (2019)

Keywords: Quantitative easing, Market liquidity, Market-making, Corporate bonds
JEL Codes: G12 G23 E52 E58

Quantilograms under Strong Dependence
Lee, L., Linton, O., Whang, Y-J. (2019)

Keywords: Long Memory, Moving Block Bootstrap, Nonlinear Dependence, Quantilogram and Cross-Quantilgoram, Reduction Principle
JEL Codes: C22

A Unified Framework for Efficient Estimation of General Treatment Models
Ai, C., Linton, O., Motegi, K., Zhang, Z. (2019)

Keywords: Treatment effect, Semiparametric efficiency, Stabilized Weights

Estimation and Inference in Semiparametric Quantile Factor Models
Ma, S., Linton, O., Gao, J. (2019)

Keywords: Cross-Sectional Dependence, Fama-French Model, Inference, Quantile, Sieve Estimation

Nonparametric Predictive Regressions for Stock Return Prediction
Cheng, T., Gao, J., Linton, O. (2019)

Keywords: Kernel estimator, locally stationary process, series estimator, stock return prediction
JEL Codes: C14 C22 G17



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