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Faculty of Economics

C10

Econometric and Statistical Methods and Methodology: General


Title AuthorsYearJEL Codes
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial DataBu, R., Li, D., Linton, O., Wang, H. [2022]C10 C14 C22
Non-Standard ErrorsMenkveld, A., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neusüss, S., Razen, M., Weitzel, U., Linton, O. [2021]A14 C10 C12 C59 C90 G14 G40
Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor ModelLi, Y-N., Chen, J. and Linton, O. [2021]C10 C13 C14 C33 C38
A Unified Framework for Specification Tests of Continuous Treatment Effect ModelsHuang, W., Linton, O., Zhang, Z.[2021]C10 C11 C12
When will the Covid-19 pandemic peak?Li, S. and Linton, O.[2020]C10
On Unit Free Assessment of The Extent of Multilateral Distributional VariationAnderson, G., Linton, O., Pittau, M G., Whang, Y-J., Zelli, R.[2020]C10 D31 D63
Testing for Time Stochastic DominanceLee, K., Linton, O., Whang, Y-J.[2020]C10 C12 C14
A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching ModelGe, S.[2020]C10 C58 F36 G12 G15
Testing Stochastic Dominance with Many Conditioning VariablesLinton, O., Seo, M., Whang, Y-J.[2020]C10 C12 C15 C15
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoffHong, S-Y., Linton, O.[2018]C10 C58 G10
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning VariablesChen, J., Li, D., Linton, O.[2018]C10 C13 C14 G11
An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market PredictabilityHong, S. Y., Linton, O. and Zhang, H. J.[2015]C10 C32 G10 G12
Multivariate Variance Ratio StatisticsHong, S. Y., Linton, O. and Zhang , H. J.[2014]C10 C32 G10 G12
Beyond the DSGE straightjacketPesaran, M. and Smith, R. P.[2011]C10 E10
Econometric Analysis of High Dimensional VARs Featuring a Dominant UnitPesaran , M. H. and Chudik, A.[2010]C10 C33 C51

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