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Faculty of Economics

C14

Semiparametric and Nonparametric Methods: General


Title AuthorsYearJEL Codes
Semiparametric Single-index Predictive RegressionZhou, W., Gao, J., Harris, D. and Kew, H.[2019]C13 C14 C32 C51
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency DataLi, Z. M., Laeven, R. J. A. and Vellekoop, M. H.[2019]C13 C14 C55 C58
Inference on a distribution from noisy drawsJochmans, K. and Weidner, M.[2019]C14 C23
Nonparametric Predictive Regressions for Stock Return PredictionCheng, T., Gao, J., Linton, O.[2019]C14 C22 G17
Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series InformationKoo, B., La Vecchia, D., Linton, O.[2019]C13 C14 C22 G12
Efficient Estimation of Nonparametric Regression in The Presence of Dynamic HeteroskedasticityLinton, O., Xiao, Z.[2019]C13 C14
Income Effects and Rationalizability in Multinomial Choice ModelsBhattacharya, D.[2018]C14 C25 D11
The Empirical Content of Binary Choice ModelsBhattacharya, D.[2018]C14 C25 D12
Applied Welfare Analysis for Discrete Choice with Interval-data on IncomeLee, Y-Y., Bhattacharya, D.[2018]C14 C25 C25
High Dimensional Semiparametric Moment Restriction ModelsDong, C., Gao, J., Linton, O.[2018]C12 C14 C22 C30
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning VariablesChen, J., Li, D., Linton, O.[2018]C10 C13 C14 G11
A Semiparametric Intraday GARCH ModelMalec, P.[2016]C14 C22 C53 C58
Nonparametric Euler Equation Identification andEstimationEscanciano, J. C., Hoderlein, S., Lewbel, A. and Linton, O.[2015]C14 D91 E21 G12
Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical EvidenceBibinger, M., Hautsch, N., Malec , P. and Reiss, M.[2014]C58 C14 C32
Testing against Changing CorrelationHarvey, A. C. and Thiele, S.[2014]C14 C22 F36

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