skip to content

Faculty of Economics


Financial Econometrics

Title AuthorsYearJEL Codes
Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?Ge, S., Li, S., Linton, O. B., Liu, W., Su, W.[2024]C13 C58 G11
Do consumption-based asset pricing models explain the dynamics of stock market returns?Ashby, M., Linton, O. B. [2022]C52 C58 G12
A Structural Dynamic Factor Model for Daily Global Stock Market ReturnsLinton, O. B., Tang, H., Wu, J.[2022]C55 C58 G15
Conditional Heteroskedasticity in the Volatility of Asset ReturnsDing, Y. [2021]C22 C32 C53 C58 G17
Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of VolatilityDing, Y.[2021]C22 C32 C53 C58
Testing and Modelling Time Series with Time Varying TailsPalumbo, D.[2021]C12 C18 C51 C52 C46 C58 G12
Text-Based Linkages and Local Risk Spillovers in the Equity MarketGe, S.[2020]C33 C58 G10 G12
A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching ModelGe, S.[2020]C10 C58 F36 G12 G15
Diffusion Limits of Real-Time GARCHDing, Y.[2020]C22 C32 C58
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
Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case Hafner, C., Linton, O., Tang, H.[2018]C55 C58 G11
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoffHong, S-Y., Linton, O.[2018]C10 C58 G10
Estimating Nominal Interest Rate Expectations: Overnight Indexed Swaps and the Term StructureLloyd, S. P.[2017]C32 C58 E43 E47 G12
A Semiparametric Intraday GARCH ModelMalec, P.[2016]C14 C22 C53 C58
Asymptotic Theory for Beta-t-GARCHIto, R.[2016]C22 C58
Spline-DCS for Forecasting Trade Volume in High-Frequency FinanceIto, R.[2016]C22 C51 C53 C58 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
A multiple testing approach to the regularisation of large sample correlation matricesBailey , N., Smith, V. and Pesaran, H.[2014]C13,C58
Modeling Dynamic Diurnal Patterns in High-Frequency Financial DataIto, R.[2013]C22 C51 C53 C58 G01 G12

<< Back to CWPE Home | See all JEL Codes >>