Common Short Selling and Excess Comovement: Evidence from a Sample of LSE Stocks Geraci, M. V., Gnabo, J-Y. and Veredas, D.
, (2023), Journal of Financial Markets
A Simple Joint Model for Returns, Volatility and Volatility of Volatility Ding, Y.
, (2023), Journal of Econometrics
Asymmetric Short-Rate Model without Lower Bound Vrins, F. and Wang, L.
, (2023), Quantitative Finance, forthcoming
The Impact of Corporate QE on Liquidity: Evidence from the UK Boneva, L., Elliott, D., Kaminska, I., Linton, O., McLaren, N. and Morley, B., (2022), The Economic Journal
Spectral Distribution of the Sample Covariance of High-Dimensional Time Series With Unit Roots Onatski, A. and Wang, C.
, (2021), Statistica Sinica, forthcoming
A Unified Framework for Efficient Estimation of General Treatment Models Ai, C., Linton, O., Motegi, K. and Zhang, Z., (2021), Quantitative Economics
Modelling Demand for ESG Ahmed, M. F., Gao, Y. and Satchell, S., (2021), European Journal of Finance, accepted
Spurious Factor Analysis Onatski, A. and Wang, C., (2021), Econometrica
SONIC: SOcial Network analysis with Influencers and Communities Chen, C. Y.-H., Klochkov, Y. and Härdle, W. K., (2021), Journal of Econometrics
Robust k-means Clustering for Distributions with Two Moments Klochkov, Y., Kroshnin, A. and Zhivotovskiy, N., (2020), Annals of Statistics, forthcoming
A ReMeDI for Microstructure Noise Merrick Li, Z. and Linton, O., (2022), Econometrica
Uniform Hanson-Wright Type Concentration Inequalities for Unbounded Entries via the Entropy Method Klochkov, Y. and Zhivotovskiy, N., (2020), Electronic Journal of Probability
When Will the Covid-19 Pandemic Peak? Li, S. and Linton, O., (2021), Journal of Econometrics
Estimation of the Kronecker Covariance Model by Quadratic Form Linton, O. and Tang, H., (2021), Econometric Theory, forthcoming
Nonparametric Euler Equation Identification and Estimation Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O. and Srisuma, S., (2021), Econometric Theory, forthcoming
A Coupled Component DCS GARCH Model for Intraday and Overnight Volatility Linton, O. and Wu, J., (2020), Journal of Econometrics
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data Li, Z. M., Laeven, R. J. A. and Vellekoop, M. H., (2020), Journal of Econometrics
Multiscale clustering of nonparametric regression curves Vogt, M., Linton, O., (2020), Journal of Econometrics
A new semiparameteric estimation approach for large dynamic covariance matrices with multiple conditioning variables Chen, J., Li, D., & Linton, O., (2019), Journal of Econometrics
The Behaviour of Betting and Currency Markets on the Night of the EU Referendum Auld, T. and Linton, O., (2019), International Journal of Forecasting
Short selling in extreme events Geraci, M. V., Garbaravicius, T. and Veredas, D., (2018), Journal of Financial Stability
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
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
Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions Geraci, M. V. and Gnabo, J-Y., (2018), Journal of Financial and Quantitative Analysis
Alternative Asymptotics for Cointegration Tests in Large VARs Onatski, A. and Wang, C. , (2018), Econometrica
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., (2017), Journal of Applied Econometrics
Semiparametric identification of the bid-ask spread in extended Roll models Chen, X., Linton, O. and Yi, Y., (2017), Journal of Econometrics
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
Nonparametric Estimation of a Periodic Sequence in the Presence of a Smooth Trend Vogt, M. and Linton, O., (2014), Biometrika
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
Efficient Semiparametric Estimation of the Fama–French Model and Extensions Connor, G., Hagmann, M. and Linton, O., (2012), Econometrica
Semiparametric estimation of Markov decision processes with continuous state space Srisuma, S. and Linton, O., (2012), Journal of Econometrics
Global bahadur representation for nonparametric censored regression quantiles and its applications Kong, E., Linton, O. and Xia, Y., (2013), Econometric Theory
Local linear litting under near-epoch dependence: uniform consistency with convergence rates Li, D., Lu, Z. and Linton, O., (2012), Econometric Theory
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
Kernel estimation of polarization measures Anderson, G., Linton, O. and Whang, Y., (2012), Journal of Econometrics
Estimation of and Inference about the Expected Shortfall for Time Series with Infinite Variance Linton, O. and Xiao, Z., (2013), Econometric Theory
Unit roots in white noise Onatski, A. and Uhlig, H. , (2012), Econometric Theory
Asymptotics of the principal components estimator of large factor models with weakly influential factors Onatski, A., (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
Advances in robust and flexible inference in econometrics: a special issue in honour of Joel I. Horowitz Chen, X.,Lee, S., Linton, O. and Tamer, E., (2014), Econometrics Journal
Let's get lade: robust estimation of semiparametric multiplicative volatility models Koo, B., and Linton, O., (2015), Econometric Theory
Averaging of an increasing number of moment condition estimators Chen, X., Jacho-Chavez, D.T. and Linton, O., (2014), Econometric Theory
Asymptotic analysis of the squared estimation error in misspecified factor models Onatski, A., (2015), Journal of Econometrics
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
Estimating the quadratic covariation matrix for asynchronously observed high frquency stock returns corrupted by additive measurement error Park,S., Hong, S.Y. and Linton,O., (2015), Journal of Econometrics
The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series Han, H., Linton, O., Oka, T. and Whang,Y.-J., (2016), Journal of Econometrics
Comment on: Reflections on the probability space induced by moment conditions with implications for Bayesian Inference Linton, O. and Wu, R., (2016), Journal of Financial Econometrics
A nonparametric test of a strong leverage hypothesis Linton, O., Whang, Y.-J. and Yen, Y.-M., (2016), Journal of Econometrics
Additive nonparametric models with time variable and both stationary and nonstationary regressors Dong, C. and Linton, O., (2018), Journal of Econometrics