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Spectral Distribution of the Sample Covariance of High-Dimensional Time Series With Unit Roots
Onatski, A. and Wang, C. , (2021), Statistica Sinica, forthcoming

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


A Unified Framework for Efficient Estimation of General Treatment Models
Ai, C., Linton, O., Motegi, K. and Zhang, Z., (2021), Quantitative Economics, forthcoming

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, forthcoming


Robust k-means Clustering for Distributions with Two Moments
Klochkov, Y., Kroshnin, A. and Zhivotovskiy, N., (2020), Annals of Statistics, forthcoming

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


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



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


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



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


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


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


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