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The Cambridge-INET Institute

 

Published Papers


The Behaviour of Betting and Currency Markets on the Night of the EU Referendum
Auld, T. and Linton, O., (2019), International Journal of Forecasting


Implications of high-frequency trading for security markets
Linton, O. and Mahmoodzadeh, S., (2018), Annual Review of Economics

Testing in High-dimensional Spiked Models
Johnstone, I. M. and Onatski, A., (2018), Annals of Statistics, forthcoming


Semiparametric ultra-high dimensional model averaging of nonlinear dynamic time series
Chen, J., Li, D., Linton, O., and Lu, Z., (2018), Journal of the American Statistical Association

Alternative Asymptotics for Cointegration Tests in Large VARs
Onatski, A. and Wang, C. , (2018), Econometrica



An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, S.Y., Linton, O. and Zhang, H.J., (2017), Journal of Financial Econometrics

Semiparametric dynamic portfolio choice with multiple conditioning variables
Chen, J., Degui, L., Linton, O. and Lu, Z., (2016), Journal of Econometrics


Classification of non-parametric regression functions in longitudinal data models
Vogt, M. and Linton, O., (2017), Journal of the Royal Statistical Society. Series B: Statistical Methodology

The effect of fragmentation in trading on market quality in the UK equity market
Boneva, L., Linton, O. and Vogt, M., (2015), Journal of Applied Econometrics


Signal Detection in High Dimension: The Multispiked Case
Onatski, A., Moreira, M. J. and Hallin, M., (2014), The Annals of Statistics

Factor analysis of a large dsge model
Onatski, A. and Ruge-Murcia, F., (2013), Journal of Applied Econometrics


Set Coverage and Robust Policy
Henry, M. and Onatski, A. , (2012), Economics Letters


Testing conditional independence restrictions
Linton, O. and Gozalo, P., (2013), Econometric Reviews


Estimation of semiparametric locally stationary diffusion models
Koo, B. and Linton, O., (2012), Journal of Econometrics

Efficient semiparametric estimation of the Fama–French model and extensions
Connor, G., Hagmann, M. and Linton, O., (2012), Econometrica


Kernel estimation of polarization measures
Anderson, G., Linton, O. and Whang, Y., (2012), Journal of Econometrics


Unit roots in white noise
Onatski, A. and Uhlig, H. , (2012), Econometric Theory

Semiparametric estimation of Markov decision processes with continuous state space
Srisuma, S. and Linton, O. , (2012), Journal of Econometrics


Asymptotic power of sphericity tests for high-dimensional data
Onatski, A., Moreira, M. J. and Hallin, M., (2013), Annals of Statistics



Averaging of an increasing number of moment condition estimators
Chen, X., Jacho-Chavez, D.T. and Linton, O., (2014), Econometric Theory


A semiparametric model for heterogeneous panel data with fixed effects
Boneva, L., Linton, O. and Vogt, M., (2015), Journal of Econometrics

A flexible semiparametric forecasting model for time series
Li, D., Linton, O. and Lu, Z., (2015), Journal of Econometrics



A nonparametric test of a strong leverage hypothesis
Linton, O., Whang, Y.-J. and Yen, Y.-M., (2016), Journal of Econometrics