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The Cambridge-INET Institute


Published Papers

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

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

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

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