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Faculty of Economics

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: Nonparametric, Semiparametric, 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

Robust Estimation of Integrated Volatility
Li, M. Z. and Linton, O. (2021)

A Unified Framework for Specification Tests of Continuous Treatment Effect Models
Huang, W., Linton, O., Zhang, Z. (2021)

Keywords: Consistent tests, Continuous treatment effect, Series estimation, Bootstrap
JEL Codes: C10 C11 C12

Modelling Demand for ESG
Ahmed, M. F., Gao, Y. and Satchell, S. (2020)

Keywords: ESG, Sustainable Investing, Demand Model, Investors’ Utility
JEL Codes: G11 G12 G14 G23 G34

Regional Heterogeneity and U.S. Presidential Elections
Ahmed, R. and Pesaran, M. H. (2020)

Keywords: Voter Turnout, Popular and Electoral College Votes, Simultaneity and Recursive Identification, High Dimensional Forecasting Models, Lasso, OCMT
JEL Codes: C53 C55 D72

Common Short Selling and Excess Comovement
Geraci, M. V., Gnabo, J-Y. and Veredas, D. (2020)

Keywords: comovement, hedge funds, short selling
JEL Codes: G12 G14

On Time Trend of COVID-19: A Panel Data Study
Dong, C., Gao, J., Linton, O., Peng, B. (2020)

Keywords: COVID-19, Deterministic time trend, Panel data, Varying-coefficient
JEL Codes: C23 C54

Nonparametric Euler Equation Identification and Estimation
Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O., Srisuma, S. (2020)

Keywords: Euler equations, marginal utility, pricing kernel, Fredholm equations, integral equations, nonparametric identification, asset pricing
JEL Codes: C14 D91 E21 G12

A Dynamic Network of Arbitrage Characteristics
Ge, S., Li, S. and Linton, O. (2020)

Keywords: Semiparametric, Characteristics-based, Network, Power-enhanced test
JEL Codes: C14 G11 G12

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

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

On Unit Free Assessment of The Extent of Multilateral Distributional Variation
Anderson, G., Linton, O., Pittau, M G., Whang, Y-J., Zelli, R. (2020)

Keywords: Gini, Inequality, Poverty, Transvariation
JEL Codes: C10 D31 D63

Testing for Time Stochastic Dominance
Lee, K., Linton, O., Whang, Y-J. (2020)

Keywords: Bootstrap, Discounting, Stochastic Dominance, Testing
JEL Codes: C10 C12 C14

Diffusion Limits of Real-Time GARCH
Ding, Y. (2020)

Keywords: GARCH, RT-GARCH, SV, diffusion limit
JEL Codes: C22 C32 C58

Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model
Pesaran, M. H. and Yang, C. F. (2020)

Keywords: Covid-19, multigroup SIR model, basic and effective reproduction numbers, rolling window estimates of the transmission rate, method of moments, calibration and counterfactual analysis
JEL Codes: C13 C15 C31 D85 I18 J18

Testing Stochastic Dominance with Many Conditioning Variables
Linton, O., Seo, M., Whang, Y-J. (2020)

Keywords: Bootstrap, Empirical process, Home bias, LASSO, Power boosting, Sparsity
JEL Codes: C10 C12 C15 C15



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