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