Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model Li, Y-N., Chen, J. and Linton, O.
, (WP2122)
Consistent Testing for an Implication of Supermodular Dominance Chung, D., Linton, O. and Whang Y-J.
, (WP2115)
Robust Estimation of Integrated and Spot Volatility Li, M. Z. and Linton, O.
, (WP2108)
A Unified Framework for Specification Tests of Continuous Treatment Effect Models Huang, W., Linton, O., Zhang, Z., (WP2107)
On Time Trend of COVID-19: A Panel Data Study Dong, C., Gao, J., Linton, O., Peng, B., (WP2061)
Nonparametric Euler Equation Identification and Estimation Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O., Srisuma, S., (WP2060)
Testing Stochastic Dominance with Many Conditioning Variables Linton, O., Seo, M., Whang, Y-J., (WP2059)
A Dynamic Network of Arbitrage Characteristics Ge, S., Li, S. and Linton, O., (WP2058)
On Unit Free Assessment of The Extent of Multilateral Distributional Variation Anderson, G., Linton, O., Pittau, M G., Whang, Y-J., Zelli, R., (WP2055)
Testing for Time Stochastic Dominance Lee, K., Linton, O., Whang, Y-J., (WP2054)
Diffusion Limits of Real-Time GARCH Ding, Y., (WP2053)
Matching Theory and Evidence on Covid-19 using a Stochastic Network SIR Model Pesaran, M. H. and Yang, C. F., (WP2048)
Modelling Demand for ESG Ahmed, M. F., Gao, Y. and Satchell, S., (WP2043)
Regional Heterogeneity and U.S. Presidential Elections Ahmed, R. and Pesaran, M. H., (WP2042)
Common Short Selling and Excess Comovement: Evidence from a Sample of LSE Stocks Geraci, M. V., Gnabo, J-Y. and Veredas, D.
, (WP2034)
When will the Covid-19 pandemic peak? Li, S. and Linton, O., (WP2011)
Spurious Factor Analysis Onatski, A. and Wang, C., (WP2001)
A Unified Framework for Efficient Estimation of General Treatment Models Ai, C., Linton, O., Motegi, K., Zhang, Z., (WP1928)
Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information Koo, B., La Vecchia, D., Linton, O., (WP1926)
The Impact of Corporate QE on Liquidity: Evidence from the UK Boneva, L., Elliott, D., Kaminska, I., Linton, O., McLaren, N. and Morley, B., (WP1925)
A ReMeDI for Microstructure Noise Merrick Li, Z. and Linton, O., (WP1924)
Influencers and Communities in Social Networks Chen, C. Y-H., Härdle, W. K. and Klochkov, Y., (WP1923)
Semiparametric Single-index Predictive Regression Zhou, W., Gao, J., Harris, D. and Kew, H., (WP1918)
Emerging Markets and the Conditional CAPM Ahmed, M. F. and Satchell, S., (WP1917)
Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data Li, Z. M., Laeven, R. J. A. and Vellekoop, M. H., (WP1910)
A Coupled Component GARCH Model for Intraday and Overnight Volatility Linton, O. and Wu, J., (WP1825)
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables Chen, J., Li, D., Linton, O., (WP1824)
Asymptotics of the principal components estimator of large factor models with weak factors and i.i.d. Gaussian noise. Onatski, A., (WP1823)
Local Asymptotic Normality of the Spectrum of High-Dimensional Spiked F-Ratios Dharmawansa, P., Johnstone, I. M., and Onatski, A., (WP1822)
Testing in High-Dimensional Spiked Models Johnstone, I. M. and Onatski, A., (WP1821)
Extreme canonical correlations and high-dimensional cointegration analysis Onatski, A. and Wang, C., (WP1820)
Implications of High-Frequency Trading for Security Markets Linton, O. and Mahmoodzadeh, S., (WP1801)
The Behaviour of Betting and Currency Markets on the Night of the EU Referendum Auld, T. and Linton, O., (WP1722)
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., (WP1701)
A coupled component GARCH model for intraday and overnight volatility Linton, O. and Wu, J., (WP1626)
Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case Hafner, C. M. and Linton, O., (WP1621)
Alternative Asymptotics for Cointegration Tests in Large VARs Onatski, A. and Wang, C., (WP1607)
A Semiparametric Intraday GARCH Model Malec, P., (WP1606)
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model Chen, X., Linton, O. and Schneeberger, S., (WP1604)
Nonparametric Euler Equation Identification and Estimation Escanciano, J. C., Hoderlein, S., Lewbel, A. and Linton, O., (WP1517)
An investigation into Multivariate Variance Ratio Statistics
and their application to Stock Market Predictability Hong, S. Y., Linton, O. and Zhang, H. J., (WP1509)
Estimating the Spot Covariation of Asset Prices - Statistical Theory and Empirical Evidence Bibinger, M., Hautsch, N., Malec , P. and Reiss, M., (WP1415)
Multivariate Variance Ratio Statistics Hong, S. Y., Linton, O. and Zhang , H. J., (WP1410)
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market Körber, L., Linton, O. and Vogt, M., (WP1405)
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series Han, H., Linton, O., Oka, T. and Whang, Y.-J., (WP1403)