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The Cambridge-INET Institute

 

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



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

Efficient Semiparametric Estimation of the Fama–French Model and Extensions
Connor, G., Hagmann, M. and Linton, O., (2012), Econometrica



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



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