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Faculty of Economics

Papers and Publications



Recent Publications


Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise Econometrica, forthcoming [2021]

Jochmans, K. and Weidner, M. Fixed-Effect Regressions on Network Data Econometrica [2019]

Li, Z. M., Laeven, R. J. A. and Vellekoop, M. H. Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data Journal of Econometrics [2020]

Linton, O. and Wu, J. A Coupled Component DCS GARCH Model for Intraday and Overnight Volatility Journal of Econometrics [2020]