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Faculty of Economics

Papers and Publications

Recent Publications

Onatski, A. and Wang, C. Spurious Factor Analysis Econometrica, forthcoming [2020]

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

Vogt, M., Linton, O. Multiscale clustering of nonparametric regression curves Journal of Econometrics [2020]

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]