Title | Authors | Year | JEL Codes |
---|
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data | Bu, R., Li, D., Linton, O., Wang, H.
| [2022] | C10 C14 C22 |
Non-Standard Errors | Menkveld, 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 Model | Li, Y-N., Chen, J. and Linton, O.
| [2021] | C10 C13 C14 C33 C38 |
A Unified Framework for Specification Tests of Continuous Treatment Effect Models | Huang, 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 Variation | Anderson, G., Linton, O., Pittau, M G., Whang, Y-J., Zelli, R. | [2020] | C10 D31 D63 |
Testing for Time Stochastic Dominance | Lee, K., Linton, O., Whang, Y-J. | [2020] | C10 C12 C14 |
A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model | Ge, S. | [2020] | C10 C58 F36 G12 G15 |
Testing Stochastic Dominance with Many Conditioning Variables | Linton, O., Seo, M., Whang, Y-J. | [2020] | C10 C12 C15 C15 |
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff | Hong, S-Y., Linton, O. | [2018] | C10 C58 G10 |
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 |
An investigation into Multivariate Variance Ratio Statistics
and their application to Stock Market Predictability | Hong, S. Y., Linton, O. and Zhang, H. J. | [2015] | C10 C32 G10 G12 |
Multivariate Variance Ratio Statistics | Hong, S. Y., Linton, O. and Zhang , H. J. | [2014] | C10 C32 G10 G12 |
Beyond the DSGE straightjacket | Pesaran, M. and Smith, R. P. | [2011] | C10 E10 |
Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit | Pesaran , M. H. and Chudik, A. | [2010] | C10 C33 C51 |