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. , (WP2122)

Consistent Testing for an Implication of Supermodular Dominance
Chung, D., Linton, O. and Whang Y-J. , (WP2115)

Robust Estimation of Integrated and Spot Volatility
Li, M. Z. and Linton, O. , (WP2108)

A Unified Framework for Specification Tests of Continuous Treatment Effect Models
Huang, W., Linton, O., Zhang, Z., (WP2107)

On Time Trend of COVID-19: A Panel Data Study
Dong, C., Gao, J., Linton, O., Peng, B., (WP2061)

Nonparametric Euler Equation Identification and Estimation
Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O., Srisuma, S., (WP2060)

Testing Stochastic Dominance with Many Conditioning Variables
Linton, O., Seo, M., Whang, Y-J., (WP2059)

A Dynamic Network of Arbitrage Characteristics
Ge, S., Li, S. and Linton, O., (WP2058)

On Unit Free Assessment of The Extent of Multilateral Distributional Variation
Anderson, G., Linton, O., Pittau, M G., Whang, Y-J., Zelli, R., (WP2055)

Testing for Time Stochastic Dominance
Lee, K., Linton, O., Whang, Y-J., (WP2054)

Diffusion Limits of Real-Time GARCH
Ding, Y., (WP2053)

Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model
Pesaran, M. H. and Yang, C. F., (WP2048)

Modelling Demand for ESG
Ahmed, M. F., Gao, Y. and Satchell, S., (WP2043)

Regional Heterogeneity and U.S. Presidential Elections
Ahmed, R. and Pesaran, M. H., (WP2042)

Common Short Selling and Excess Comovement: Evidence from a Sample of LSE Stocks
Geraci, M. V., Gnabo, J-Y. and Veredas, D. , (WP2034)

When will the Covid-19 pandemic peak?
Li, S. and Linton, O., (WP2011)

Spurious Factor Analysis
Onatski, A. and Wang, C., (WP2001)

A Unified Framework for Efficient Estimation of General Treatment Models
Ai, C., Linton, O., Motegi, K., Zhang, Z., (WP1928)

Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information
Koo, B., La Vecchia, D., Linton, O., (WP1926)

The Impact of Corporate QE on Liquidity: Evidence from the UK
Boneva, L., Elliott, D., Kaminska, I., Linton, O., McLaren, N. and Morley, B., (WP1925)

A ReMeDI for Microstructure Noise
Merrick Li, Z. and Linton, O., (WP1924)

Influencers and Communities in Social Networks
Chen, C. Y-H., Härdle, W. K. and Klochkov, Y., (WP1923)

Semiparametric Single-index Predictive Regression
Zhou, W., Gao, J., Harris, D. and Kew, H., (WP1918)

Emerging Markets and the Conditional CAPM
Ahmed, M. F. and Satchell, S., (WP1917)

Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data
Li, Z. M., Laeven, R. J. A. and Vellekoop, M. H., (WP1910)

A Coupled Component GARCH Model for Intraday and Overnight Volatility
Linton, O. and Wu, J., (WP1825)

A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables
Chen, J., Li, D., Linton, O., (WP1824)

Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise.
Onatski, A., (WP1823)

Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios
Dharmawansa, P., Johnstone, I. M., and Onatski, A., (WP1822)

Testing in High-Dimensional Spiked Models
Johnstone, I. M. and Onatski, A., (WP1821)

Extreme canonical correlations and high-dimensional cointegration analysis
Onatski, A. and Wang, C., (WP1820)

Implications of High-Frequency Trading for Security Markets
Linton, O. and Mahmoodzadeh, S., (WP1801)

The Behaviour of Betting and Currency Markets on the Night of the EU Referendum
Auld, T. and Linton, O., (WP1722)

A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance
Boneva, L. and Linton, O., (WP1701)

A coupled component GARCH model for intraday and overnight volatility
Linton, O. and Wu, J., (WP1626)

Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case
Hafner, C. M. and Linton, O., (WP1621)

Alternative Asymptotics for Cointegration Tests in Large VARs
Onatski, A. and Wang, C., (WP1607)

A Semiparametric Intraday GARCH Model
Malec, P., (WP1606)

Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model
Chen, X., Linton, O. and Schneeberger, S., (WP1604)

Nonparametric Euler Equation Identification and Estimation
Escanciano, J. C., Hoderlein, S., Lewbel, A. and Linton, O., (WP1517)

An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability
Hong, S. Y., Linton, O. and Zhang, H. J., (WP1509)

Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence
Bibinger, M., Hautsch, N., Malec , P. and Reiss, M., (WP1415)

Multivariate Variance Ratio Statistics
Hong, S. Y., Linton, O. and Zhang , H. J., (WP1410)

The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market
Körber, L., Linton, O. and Vogt, M., (WP1405)

The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series
Han, H., Linton, O., Oka, T. and Whang, Y.-J., (WP1403)