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

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

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

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

Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information
Koo, B., La Vecchia, D., Linton, O. (2019)

Keywords: nonparametric inference, panel data, time varying, yield curve dynamics
JEL Codes: C13 C14 C22 G12

A ReMeDI for Microstructure Noise
Merrick Li, Z. and Linton, O. (2019)

Keywords: Microstructure noise, semimartingale, serial dependence, stable convergence, mixing sequence, infill asymptotics, finite sample bias

Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity
Linton, O., Xiao, Z. (2019)

Keywords: Efficiency, Heteroskedasticity, Local Polynomial Estimation, Nonparametric Regression
JEL Codes: C13 C14

Semiparametric Nonlinear Panel Data Models with Measurement Error
Linton, O., Shiu, J-L. (2019)

Keywords: Correlated random effects, Measurement error, Nonlinear panel data models, Semi-parametric identification

High Dimensional Semiparametric Moment Restriction Models
Dong, C., Gao, J., Linton, O. (2018)

Keywords: Generalized method of moments, high dimensional models, moment restriction, over-identification, penalization, sieve method, sparsity
JEL Codes: C12 C14 C22 C30

The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses
Linton, O., Whang, Y-J., Yen, Y. (2018)

A Coupled Component GARCH Model for Intraday and Overnight Volatility
Linton, O., Wu, J. (2018)

Keywords: DCS, GAS, GARCH, size-based portfolios, Testing
JEL Codes: C12 C13

Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case
Hafner, C., Linton, O., Tang, H. (2018)

Keywords: Correlation matrix, Kronecker product, Matrix logarithm, Multiway, array data, Portfolio choice, Sparsity
JEL Codes: C55 C58 G11