Title | Authors | Year | JEL Codes |
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Nonparametric Euler Equation Identification and Estimation | Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O., Srisuma, S. | [2020] | C14 D91 E21 G12 |
A Dynamic Network of Arbitrage Characteristics | Ge, S., Li, S. and Linton, O. | [2020] | C14 G11 G12 |
Testing for Time Stochastic Dominance | Lee, K., Linton, O., Whang, Y-J. | [2020] | C10 C12 C14 |
A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection | Connor, G., Li, S., Linton, O. | [2020] | C14 G11 |
Semiparametric Single-index Predictive Regression | Zhou, W., Gao, J., Harris, D. and Kew, H. | [2019] | C13 C14 C32 C51 |
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data | Li, Z. M., Laeven, R. J. A. and Vellekoop, M. H. | [2019] | C13 C14 C55 C58 |
Inference on a distribution from noisy draws | Jochmans, K. and Weidner, M. | [2019] | C14 C23 |
Nonparametric Predictive Regressions for Stock Return Prediction | Cheng, T., Gao, J., Linton, O. | [2019] | 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] | C13 C14 C22 G12 |
Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity | Linton, O., Xiao, Z. | [2019] | C13 C14 |
Income Effects and Rationalizability in Multinomial Choice Models | Bhattacharya, D. | [2018] | C14 C25 D11 |
The Empirical Content of Binary Choice Models | Bhattacharya, D. | [2018] | C14 C25 D12 |
Applied Welfare Analysis for Discrete Choice with Interval-data on Income | Lee, Y-Y., Bhattacharya, D. | [2018] | C14 C25 C25 |
High Dimensional Semiparametric Moment Restriction Models | Dong, C., Gao, J., Linton, O. | [2018] | C12 C14 C22 C30 |
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables | Chen, J., Li, D., Linton, O. | [2018] | C10 C13 C14 G11 |
A Semiparametric Intraday GARCH Model | Malec, P. | [2016] | C14 C22 C53 C58 |
Nonparametric Euler Equation Identification andEstimation | Escanciano, 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 Evidence | Bibinger, M., Hautsch, N., Malec , P. and Reiss, M. | [2014] | C58 C14 C32 |
Testing against Changing Correlation | Harvey, A. C. and Thiele, S. | [2014] | C14 C22 F36 |