Robust Estimation of Integrated 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)
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)
Weak Diffusion Limit of Real-Time GARCH Models: The Role of Current Return Information Ding, Y., (WP2053)
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 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 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)
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 andEstimation 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)