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Faculty of Economics


Semiparametric and Nonparametric Methods: General

Title AuthorsYearJEL Codes
Estimating a Density Ratio Model for Stock Market Risk and Option DemandDalderop, J., Linton, O. B.[2024]C14 G13
The Effect of Stock Splits on Liquidity in a Dynamic ModelHafner, C. M., Linton, O. B., Wang, L.[2024]C12 C14 G14 G32
Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect ComplianceJian, L., Linton, O. B., Tang, H., Zhang, Y. [2023]C14 C21 I21
Estimating Time-Varying Networks for High-Dimensional Time SeriesChen, J., Li, D., Li, Y., Linton, O. B. [2022]C13 C14 C32 C38
GMM Estimation for High–Dimensional Panel Data ModelsCheng, T., Dong, C., Gao, J., Linton, O. [2022]C13 C14 C23
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial DataBu, R., Li, D., Linton, O., Wang, H. [2022]C10 C14 C22
Dynamic Autoregressive Liquidity (DArLiQ)Hafner, C. M., Linton, O. B. and Wang, L. [2022]C12 C14
Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor ModelLi, Y-N., Chen, J. and Linton, O. [2021]C10 C13 C14 C33 C38
Specification Lasso and an Application in Financial MarketsDong, C. and Li, S.[2021]C14 G12
Consistent Testing for an Implication of Supermodular DominanceChung, D., Linton, O. and Whang Y-J. [2021]C12 C14
Nonparametric Euler Equation Identification and EstimationEscanciano, J C., Hoderlein, S., Lewbel, A., Linton, O., Srisuma, S.[2020]C14 D91 E21 G12
A Dynamic Network of Arbitrage CharacteristicsGe, S., Li, S. and Linton, O.[2020]C14 G11 G12
Testing for Time Stochastic DominanceLee, K., Linton, O., Whang, Y-J.[2020]C10 C12 C14
A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio SelectionConnor, G., Li, S., Linton, O.[2020]C14 G11
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 and EstimationEscanciano, 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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