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Faculty of Economics

Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?
Ge, S., Li, S., Linton, O. B., Liu, W., Su, W. (2024)

Keywords: Banding, Big Data, Large Covariance Matrix, Network, Thresholding
JEL Codes: C13 C58 G11

Estimating a Density Ratio Model for Stock Market Risk and Option Demand
Dalderop, J., Linton, O. B. (2024)

Keywords: Density Forecasting, Nonparametric Estimation, Option Pricing, Trade Data
JEL Codes: C14 G13

The Effect of Stock Splits on Liquidity in a Dynamic Model
Hafner, C. M., Linton, O. B., Wang, L. (2024)

Keywords: Amihud illiquidity, Difference in Difference, Event Study, Nonparametric Estimation, Reverse Split, Structural Change
JEL Codes: C12 C14 G14 G32

Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach
Hong, Y., Linton, O. B., McCabe, B., Sun, J., Wang, S. (2023)

Keywords: Change-Point Testing, CUSUM Process, Parameter Constancy, Studentization
JEL Codes: C12 C19

Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance
Jian, L., Linton, O. B., Tang, H., Zhang, Y. (2023)

Keywords: Covariate-adaptive randomization, High-dimensional data, Local average treatment effects, Randomized experiment, Regression adjustment
JEL Codes: C14 C21 I21

Estimating Time-Varying Networks for High-Dimensional Time Series
Chen, J., Li, D., Li, Y., Linton, O. B. (2022)

Keywords: CLIME, Factor model, Granger causality, lasso, local linear smoothing, partial correlation, time-varying network, VAR
JEL Codes: C13 C14 C32 C38

Auditing the Auditors: An evaluation of the REF2021 Output Results
Linton, O. B., Xu, E. (2022)

Keywords: Journal quality, Ranking, Research funding
JEL Codes: A10

Do consumption-based asset pricing models explain the dynamics of stock market returns?
Ashby, M., Linton, O. B. (2022)

Keywords: consumption-based asset pricing models, martingale difference sequence, MIDAS, power spectrum, predictability, quantilogram, rescaled range, serial correlation, variance ratio
JEL Codes: C52 C58 G12

GMM Estimation for High–Dimensional Panel Data Models
Cheng, T., Dong, C., Gao, J., Linton, O. (2022)

Keywords: Generalized method of moments, High dimensional moment model, Interactive effect, Over-identification issue, panel data, Sieve method
JEL Codes: C13 C14 C23

CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects
Vogt, M., Walsh, C., Linton, O. (2022)

Keywords: CCE estimator, high-dimensional model, interactive fixed effects, lasso, panel data
JEL Codes: C13 C23 C55

A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation
Gao, J., Linton, O., Peng, B. (2022)

Keywords: Bootstrap method, Interactive fixed–effect, Panel rainfall data, Time trend
JEL Codes: Q50 C23

A Structural Dynamic Factor Model for Daily Global Stock Market Returns
Linton, O. B., Tang, H., Wu, J. (2022)

Keywords: Daily Global Stock Market Returns, Expectation Maximization Algorithm, Minimum Distance, Quasi Maximum Likelihood, Structural Dynamic Factor Model, Time-Zone Differences
JEL Codes: C55 C58 G15

Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
Bu, R., Li, D., Linton, O., Wang, H. (2022)

Keywords: Brownian semi-martingale, Kernel smoothing, Microstructure noise, Sparsity, Spot volatility matrix, Uniform consistency
JEL Codes: C10 C14 C22

Dynamic Autoregressive Liquidity (DArLiQ)
Hafner, C. M., Linton, O. B. and Wang, L. (2022)

Keywords: Kernel, Nonparametric Estimation, Semiparametric Model, Stock Splits, Structural Change
JEL Codes: C12 C14

Non-Standard Errors
Menkveld, A., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neusüss, S., Razen, M., Weitzel, U., Linton, O. (2021)

Keywords: Market Efficiency, P-hacking, Publication bias
JEL Codes: A14 C10 C12 C59 C90 G14 G40

Conditional Heteroskedasticity in the Volatility of Asset Returns
Ding, Y. (2021)

Keywords: forecasting, GARCH, SHARV, volatility, volatility of volatility
JEL Codes: C22 C32 C53 C58 G17

Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model
Li, Y-N., Chen, J. and Linton, O. (2021)

Keywords: Cointegration, Factor model, High-frequency data, Microstructure noise, Non-stationarity
JEL Codes: C10 C13 C14 C33 C38

Consistent Testing for an Implication of Supermodular Dominance
Chung, D., Linton, O. and Whang Y-J. (2021)

Keywords: Bootstrap, Contact Set, COVID-19, Patent Citation, Stochastic Dominance, Supermodular Dominance, Supermodularity
JEL Codes: C12 C14



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