Access Statistics for Oliver Bruce Linton

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A Coupled Component GARCH Model for Intraday and Overnight Volatility 0 0 1 25 0 1 4 95
A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance 0 0 0 11 0 0 0 59
A Dynamic Network of Arbitrage Characteristics 0 0 1 20 1 1 4 64
A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection 0 0 0 13 0 1 2 43
A Flexible Semiparametric Model for Time Series 0 0 0 53 0 0 2 79
A GARCH Model of the Implied Volatility of the Swiss Market Index From Option Pricesdffrom Options Prices 0 0 1 312 6 6 8 896
A GARCH model of the implied volatility of the Swiss Market Index from options prices 0 0 0 8 2 2 3 43
A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models 0 0 0 50 0 0 0 225
A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models 0 0 0 2 0 1 1 24
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables 0 0 0 40 0 0 1 73
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables 1 1 1 13 1 1 1 55
A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation 0 0 0 0 0 0 1 2
A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation 0 0 0 25 0 0 3 37
A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation 0 0 1 10 0 0 2 13
A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form 0 0 0 4 0 0 0 23
A Quantilogram Approach to Evaluating Directional Predictability 0 0 1 118 0 0 1 471
A Quantilogram Approach to Evaluating Directional Predictability 0 0 1 2 0 0 1 32
A ReMeDI for Microstructure Noise 0 0 0 79 1 1 3 175
A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom 0 0 0 96 0 0 1 240
A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom 0 0 0 60 0 0 1 167
A Simulation Comparison between Integration and Backfitting Methods of Estimating Separable Nonparametric Regression Models 0 0 0 0 0 0 0 101
A Structural Dynamic Factor Model for Daily Global Stock Market Returns 0 0 2 37 0 0 10 37
A Structural Dynamic Factor Model for Daily Global Stock Market Returns 0 0 1 2 2 2 3 7
A Unified Framework for Efficient Estimation of General Treatment Models 0 0 0 8 0 0 3 25
A Unified Framework for Efficient Estimation of General Treatment Models 0 0 0 6 1 2 3 35
A Unified Framework for Efficient Estimation of General Treatment Models 0 0 0 30 0 0 2 32
A Unified Framework for Specification Tests of Continuous Treatment Effect Models 0 0 0 9 0 0 1 12
A Unified Framework for Specification Tests of Continuous Treatment Effect Models 0 0 0 4 0 1 4 32
A coupled component GARCH model for intraday and overnight volatility 0 0 1 68 0 0 2 58
A coupled component GARCH model for intraday and overnight volatility 0 0 0 25 0 0 1 25
A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance 0 0 0 0 1 1 9 18
A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance 0 0 0 51 0 1 3 90
A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance 0 0 0 31 0 0 3 181
A flexible semiparametric model for time series 0 0 0 50 0 0 0 91
A flexible semiparametric model for time series 0 0 0 0 0 0 2 3
A local instrumental estimation method for generalized additive volatility models 0 0 0 10 0 1 1 190
A local instrumental variable estimation method for generalized additive volatility models 0 0 0 2 0 0 0 19
A local instrumental variable estimation method for generalized additive volatility models 0 0 0 2 0 0 0 32
A nonparametric regression estimator that adapts to error distribution of unknown form 0 0 1 3 0 0 2 43
A nonparametric regression estimator that adapts to error distribution of unknown form 0 0 0 32 0 0 2 216
A nonparametric test of a strong leverage hypothesis 0 0 1 27 0 0 2 84
A nonparametric test of a strong leverage hypothesis 0 0 0 0 0 0 2 3
A nonparametric test of the leverage hypothesis 0 0 0 0 0 1 3 3
A nonparametric test of the leverage hypothesis 0 0 0 20 0 0 2 66
A quantilogram approach to evaluating directional predictability 0 0 0 2 0 0 1 26
A semiparametric model for heterogeneous panel data with fixed effects 0 0 2 5 3 6 25 55
A semiparametric model for heterogeneous panel data with fixed effects 0 0 0 102 0 0 0 264
A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom 0 0 1 6 0 0 2 77
A simple and efficient estimation method for models with nonignorable missing data 0 0 0 131 0 0 0 266
A smoothed least squares estimator for threshold regression models 0 0 0 23 1 1 1 78
Adaptive Estimation in ARCH Models 0 0 0 234 0 0 0 611
Adaptive Testing in ARCH Models 0 0 0 173 0 0 2 887
Additive nonparametric models with time variable and both stationary and nonstationary regressions 0 0 2 20 0 0 3 35
Additive nonparametric models with time variable and both stationary and nonstationary regressions 0 0 0 0 0 0 2 2
An Almost Closed Form Estimator For The EGARCH Model 0 0 0 0 0 0 0 5
An Almost Closed Form Estimator for the EGARCH 0 0 0 0 0 0 1 10
An Almost Closed Form Estimator for the EGARCH model 0 1 1 1 0 1 2 9
An Alternative Way of ComputingEfficient Instrumental VariableEstimators 0 0 0 2 0 0 1 40
An Analysis of Transformations for Additive Nonparanetric Regression 0 0 0 27 0 0 0 221
An Asymptotic Expansion in the Garch(1,1) Model 0 0 0 203 1 1 1 584
An Improved Bootstrap Test of Stochastic Dominance 0 0 0 74 0 0 0 228
An Optimization Interpretation of Integration and Backfitting Estimators for Separable Nonparametric Models 0 0 0 4 0 0 1 82
An almost closed form estimator for the EGARCH model 0 0 0 74 1 1 3 111
An almost closed form estimator for the EGARCH model 0 0 0 0 0 0 0 21
An alternative way of computing efficient instrumental variable estimators 0 0 0 3 0 0 0 54
An improved bootstrap test of stochastic dominance 0 0 0 20 0 0 0 106
An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability 0 0 0 23 0 0 1 64
An investigation into multivariate variance ratio statistics and their application to stock market predictability 0 0 0 1 1 1 1 4
An investigation into multivariate variance ratio statistics and their application to stock market predictability 0 0 0 16 0 0 0 53
Applied Nonparametric Methods 1 2 5 1,183 2 4 21 2,450
Applied nonparametric methods 0 0 1 373 1 1 3 949
Are there Monday effects in Stock Returns: A Stochastic Dominance Approach 0 0 0 322 0 0 1 978
Are there Monday effects in stock returns: a stochastic dominance approach 0 0 0 12 1 1 3 73
Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators 0 0 0 17 0 0 1 45
Asymptotic expansions for some semiparametric program evaluation estimators 0 0 0 177 0 0 1 415
Asymptotic expansions for some semiparametric program evaluation estimators 0 0 0 7 0 0 2 52
Asymptotic expansions for some semiparametric program evaluation estimators 0 0 0 0 0 0 2 2
Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in finite order 0 0 0 2 0 0 5 13
Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order 0 0 0 13 1 1 1 37
Auditing the Auditors: An evaluation of the REF2021 Output Results 0 0 0 14 1 1 4 21
Auditing the Auditors: An evaluation of the REF2021 Output Results 0 0 0 8 1 1 2 3
Averaging of moment condition estimators 0 0 0 1 0 0 8 11
Averaging of moment condition estimators 0 0 0 48 0 0 1 99
Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary 0 0 0 64 1 1 1 202
Bootstrap Tests of Stochastic Dominance with AsymptoticSimilarity on the Boundary 0 0 0 0 0 0 1 26
Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary 0 0 0 0 0 0 1 37
Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary 0 0 0 23 0 0 1 107
CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects 0 0 6 30 1 3 20 48
CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects 0 0 0 1 0 0 4 10
Classification of nonparametric regression functions in heterogeneous panels 0 0 0 0 0 0 2 5
Classification of nonparametric regression functions in heterogeneous panels 0 0 0 28 0 0 1 53
Conditional Independence Restrictions: Testing and Estimation 0 0 1 615 0 0 2 2,154
Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error 0 0 0 27 0 0 2 155
Consistent Testing for Stochastic Dominance under General Sampling Schemes 2 2 2 23 2 3 5 93
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 0 44 0 0 0 226
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 0 79 0 0 1 527
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 0 2 0 0 1 84
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 0 189 0 0 0 844
Consistent Testing for an Implication of Supermodular Dominance 0 0 3 44 0 0 9 95
Consistent estimation of the risk-return tradeoff in the presence of measurement error 0 0 0 39 0 0 2 204
Consistent estimation of the risk-return tradeoff in the presence of measurement error 0 0 0 2 1 1 1 41
Consistent testing for stochastic dominance under general sampling schemes 0 0 1 15 0 0 1 69
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 2 0 0 1 69
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 0 0 0 0 1
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 1 0 0 1 86
Consistent testing for stochastic dominance: a subsampling approach 0 0 1 145 0 0 3 637
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 4 0 1 2 85
Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns? 0 0 0 7 0 0 1 10
Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns? 0 0 0 11 0 0 1 5
Dynamic Autoregressive Liquidity (DArLiQ) 0 0 0 32 0 0 0 14
Dynamic Autoregressive Liquidity (DArLiQ) 0 0 0 0 0 0 2 3
Dynamic Autoregressive Liquidity (DArLiQ) 0 0 0 11 0 0 2 22
ESTIMATION OF A SEMIPARAMETRICIGARCH(1,1) MODEL 0 0 0 0 0 0 1 19
Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models 0 0 0 54 0 1 1 494
Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics 0 0 0 0 1 2 2 16
Edgeworth approximations for semiparametric instrumental variable estimators and test statistics 0 0 0 3 0 1 2 29
Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity 0 0 1 51 1 1 3 99
Efficient Estimation of a Multivariate Multiplicative Volatility Model 0 0 0 0 0 0 1 39
Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns 0 0 0 92 0 0 1 290
Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns 0 0 0 60 1 1 2 231
Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns 0 0 0 4 0 0 0 32
Efficient estimation of a multivariate multiplicative volatility model 0 0 0 5 0 0 4 47
Efficient estimation of a semiparametric characteristic-based factor model of security returns 0 0 0 2 0 0 0 42
Efficient estimation of a semiparametric characteristic-based factor model of security returns 0 0 0 3 0 0 0 40
Efficient estimation of conditional risk measures in a semiparametric GARCH model 0 0 0 0 0 1 2 3
Efficient estimation of conditional risk measures in a semiparametric GARCH model 0 0 0 58 0 0 0 97
Efficient estimation of generalized additive nonparametric regression models 0 0 0 5 1 1 1 58
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data 0 1 4 4 0 1 8 8
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data 0 0 1 20 0 1 10 19
Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data 0 0 8 8 0 1 7 7
Estimating Features of a Distribution from Binomial Data 0 0 0 211 0 0 3 1,297
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods 0 0 0 0 2 2 2 38
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods 0 0 0 111 0 0 1 504
Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError 0 0 0 1 0 0 1 49
Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods 0 0 0 0 0 0 0 23
Estimating Semiparametric ARCH Models by Kernel Smoothing Methods 0 0 0 111 0 1 1 345
Estimating Time-Varying Networks for High-Dimensional Time Series 0 0 1 67 0 2 12 38
Estimating Time-Varying Networks for High-Dimensional Time Series 0 0 0 60 1 1 7 17
Estimating Time-Varying Networks for High-Dimensional Time Series 0 0 0 17 0 1 1 20
Estimating Yield Curves by Kernel Smoothing Methods 0 0 0 691 0 0 0 1,889
Estimating a Density Ratio Model for Stock Market Risk and Option Demand 0 0 0 5 0 0 4 6
Estimating a Density Ratio Model for Stock Market Risk and Option Demand 0 0 2 8 1 2 12 18
Estimating additive nonparametric models by partial Lq norm: the curse of fractionality 0 0 0 0 0 1 1 24
Estimating features of a distribution from binomial data 0 0 0 105 2 2 3 715
Estimating features of a distribution from binomial data 0 0 0 0 0 1 1 45
Estimating multiplicative and additive hazard functions by kernel methods 0 0 0 0 0 1 2 29
Estimating quadratic variation consistently in the presence of correlated measurement error 0 0 0 1 0 0 1 27
Estimating semiparametric ARCH (8) models by kernel smoothing methods 0 0 0 1 0 0 0 63
Estimating semiparametric ARCH (∞) models by kernel smoothing methods 0 0 0 3 0 0 0 33
Estimating semiparametric ARCH (∞) models by kernel smoothing methods 0 0 0 0 0 0 0 4
Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise 0 0 0 50 0 0 2 126
Estimating the quadratic covariation matrix for an asynchronously observed continuous time signal masked by additive noise 0 0 0 0 0 0 0 1
Estimating yield curves by Kernel smoothing methods 0 0 0 212 0 0 2 753
Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects 0 1 35 35 1 4 61 61
Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects 0 0 1 3 1 1 7 14
Estimation and Inference in Semiparametric Quantile Factor Models 0 0 1 11 0 0 3 49
Estimation and inference in semiparametric quantile factor models 0 0 0 76 0 0 0 137
Estimation in semiparametric quantile factor models 0 0 0 27 0 0 1 52
Estimation of Additive Regression Models with Links 0 0 0 3 0 0 2 97
Estimation of Linear Regression Models by a Spread-Tolerant Estimator 0 0 0 17 0 0 0 128
Estimation of Semiparametric Models when the Criterion Function is not Smooth 0 0 0 8 0 0 1 66
Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case 0 0 0 25 0 0 2 66
Estimation of a Multiplicative Covariance Structure 0 0 0 0 0 0 0 1
Estimation of a Multiplicative Covariance Structure 0 0 0 26 0 0 0 32
Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case 0 0 0 22 0 0 0 35
Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case 0 0 0 11 0 0 0 86
Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information 0 0 0 51 0 0 1 63
Estimation of a multiplicative correlation structure in the large dimensional case 0 0 0 0 0 0 1 4
Estimation of a multiplicative covariance structure in the large dimensional case 0 0 0 0 0 0 1 1
Estimation of a multiplicative covariance structure in the large dimensional case 0 0 0 2 0 0 0 19
Estimation of linear regression models by a spread-tolerant estimator 0 0 0 0 0 0 0 24
Estimation of semiparametric models when the criterion function is not smooth 0 0 0 0 0 1 5 5
Estimation of semiparametric models when the criterion function is not smooth 0 0 0 3 0 0 1 70
Estimation of semiparametric models when the criterion function is not smooth 0 0 0 153 0 0 3 626
Estimation of tail thickness parameters from GJR-GARCH models 0 0 2 260 0 1 5 853
Estimation of the Kronecker Covariance Model by Quadratic Form 0 0 0 7 0 0 0 43
Estimation with Mixed Data Frequencies: A Bias-Correction Approach 0 0 0 32 0 0 1 18
Evaluating Value-at-Risk Models via Quantile Regression 0 0 0 146 1 1 5 382
Evaluating Value-at-Risk Models via Quantile Regressions 1 2 3 228 1 4 13 586
Evaluating Value-at-Risk models via Quantile Regression 0 0 1 201 0 0 4 546
Evaluating Value-at-Risk models via Quantile regressions 1 1 1 188 1 1 1 418
Evaluating hedge fund performance: a stochastic dominance approach 0 0 0 8 0 1 1 57
Evaluating hedge fund performance: a stochastic dominance approach 0 0 0 158 0 0 0 369
Flexible Term Structure Estimation: Which Method Is Preferred? 0 0 0 187 0 0 1 492
Flexible Term Structure Estimation: Which Method Is Preferred? 0 0 0 4 2 2 4 17
Flexible Term Structure Estimation: Which Method is Preferable? 0 0 0 42 0 0 1 165
Flexible Term Structure Estimation: Which Method is Preferred? 0 0 0 216 0 0 0 485
Flexible term structure estimation: which method is preferable? 0 0 0 1 0 0 1 31
Flexible term structure estimation: which method is preferred? 0 0 0 0 0 0 2 2
GMM Estimation for High-Dimensional Panel Data Models 0 0 0 2 2 2 3 7
GMM Estimation for High-Dimensional Panel Data Models 0 0 1 34 0 0 3 43
GMM Estimation for High–Dimensional Panel Data Models 0 0 0 0 0 0 1 3
Global Bahadur representation for nonparametric censored regression quantiles and its applications 0 0 0 49 0 1 1 110
High Dimensional Semiparametric Moment Restriction Models 0 0 0 16 0 0 1 65
High dimensional semiparametric moment restriction models 0 0 0 4 0 0 1 39
High dimensional semiparametric moment restriction models 0 0 0 2 0 0 1 35
High dimensional semiparametric moment restriction models 0 0 0 54 1 1 5 124
High dimensional semiparametric moment restriction models 0 0 0 27 0 0 0 58
Identification and Nonparametric Estimation of a Transformed Additively Separable Model 0 0 0 58 0 0 2 273
Identification and nonparametric estimation of a transformed additively separable model 0 0 0 0 0 0 0 56
Implications of High-Frequency Trading for Security Markets 0 0 0 68 0 0 1 114
Implications of high-frequency trading for security markets 0 0 0 17 0 0 2 49
Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance 0 0 1 1 0 1 4 4
Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance 0 0 1 2 0 0 2 4
Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance 0 0 0 16 0 0 2 18
Inference about Realized Volatility using Infill Subsampling 0 0 0 1 0 0 0 20
Inference about realized volatility using infill subsampling 0 0 0 3 0 0 1 23
Inference on a Semiparametric Model with Global Power Law and Local Nonparametric Trends 0 0 0 52 0 2 4 75
Inference on a semiparametric model with global power law and local nonparametric trends 0 0 0 4 0 0 1 33
Integration and Backfitting methods in additive models: finite sample properties and comparison 0 0 0 4 0 0 0 20
Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors 0 0 0 278 0 0 0 880
Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors 0 0 0 208 0 0 2 611
Is the EJRA proportionate and therefore justified? A critical review of the EJRA policy at Cambridge 0 0 0 0 0 0 2 5
Is the EJRA proportionate and therefore justified? A critical review of the EJRA policy at Cambridge 0 0 1 1 0 0 2 3
Is the EJRA proportionate and therefore justified? A critical review of the EJRA policy at Cambridge 0 0 0 0 0 0 5 7
Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach 0 0 14 14 0 1 16 16
Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach 0 0 6 6 0 1 13 13
Kernel estimation in a nonparametric marker dependent Hazard Model 0 0 0 134 0 0 0 403
Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach 0 0 0 11 0 0 3 13
Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach 0 0 1 16 1 2 3 12
Let's get LADE: robust estimation of semiparametric multiplicative volatility models 0 0 0 34 0 0 0 99
Let's get LADE: robust estimation of semiparametric multiplicative volatility models 0 0 0 0 0 0 1 1
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 0 104 0 1 3 423
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 0 0 0 1 1 40
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 0 206 0 2 3 916
Limit theorems for estimating the parameters of differentiated product demand systems 0 0 0 1 1 2 3 52
Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates 0 0 0 39 0 0 1 91
Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically 0 0 1 291 0 0 1 1,152
Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate 0 0 1 4 0 0 2 27
Loch linear fitting under near epoch dependence: uniform consistency with convergence rate 0 0 0 2 0 0 1 29
Making Inferences About Rich Country - Poor Country Convergence: The Polarization Trapezoid and Overlap measures 0 0 0 73 0 0 1 397
Mean Ratio Statistic for measuring predictability 0 0 0 19 0 0 0 38
Mean Ratio Statistic for measuring predictability 0 0 0 0 0 0 1 2
More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors 0 0 0 3 0 0 0 43
More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors 0 0 0 241 0 0 1 807
More efficient kernel estimation in nonparametric regression with autocorrelated errors 0 0 0 5 0 1 1 40
Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction 0 0 0 74 0 0 0 102
Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction 0 0 0 31 0 0 1 65
Multiscale clustering of nonparametric regression curves 0 0 0 17 0 1 1 31
Multivariate Variance Ratio Statistics 0 0 1 9 0 0 2 35
Multivariate variance ratio statistics 0 0 0 32 0 0 0 81
Multivariate variance ratio statistics 0 0 0 0 0 0 1 1
Non Parametric Estimation of a Polarization Measure 0 0 0 34 1 1 3 104
Non-Standard Errors 0 2 3 44 2 7 42 440
Non-Standard Errors 0 0 1 27 3 5 28 150
Non-parametric transformation regression with non-stationary data 0 0 0 0 0 0 0 2
Non-parametric transformation regression with non-stationary data 0 0 0 46 1 1 1 73
Nonparametric Censored Regression 0 0 0 410 0 0 0 1,372
Nonparametric Censored and Truncated Regression 0 0 0 5 0 0 1 72
Nonparametric Censored and Truncated Regression 0 0 0 197 0 0 0 528
Nonparametric Censored and Truncated Regression 0 0 2 481 0 0 3 1,888
Nonparametric Estimation of Additive Seperable Regression Models 0 0 0 18 0 0 0 155
Nonparametric Estimation of Homothetic and Homothetically Separable Functions 0 0 0 1 0 1 2 24
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data 0 0 1 7 0 0 2 9
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data 0 0 0 55 0 1 1 23
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data 0 0 0 20 0 0 5 33
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data 0 0 0 9 0 0 0 5
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 1 211 0 0 3 689
Nonparametric Estimation of a Polarization Measure 0 0 0 59 0 0 1 187
Nonparametric Estimation of a Polarization Measure 0 0 1 4 0 0 4 42
Nonparametric Estimation with Aggregated Data 0 0 0 0 0 0 1 22
Nonparametric Euler Equation Identi?cation and Estimation 0 0 0 27 1 1 2 30
Nonparametric Euler Equation Identification and Estimation 1 1 1 52 2 2 3 178
Nonparametric Euler Equation Identification andEstimation 0 0 0 46 0 0 0 101
Nonparametric Euler equation identification and estimation 0 0 0 0 0 0 1 3
Nonparametric Euler equation identification and estimation 0 0 0 41 0 0 1 116
Nonparametric Inference for Unbalanced Time Series Data 0 0 1 5 0 0 1 22
Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions 0 0 0 135 0 0 1 727
Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos 0 1 1 2 1 2 4 31
Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos 0 0 0 368 0 0 1 1,170
Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos 0 0 0 0 0 0 2 23
Nonparametric Predictive Regressions for Stock Return Prediction 0 0 0 51 1 1 2 49
Nonparametric Predictive Regressions for Stock Return Prediction 1 1 3 128 1 2 7 131
Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information 0 0 0 56 0 0 3 97
Nonparametric Regression 0 0 0 74 0 0 0 219
Nonparametric Regression with a Latent Time Series 0 0 0 2 0 0 0 22
Nonparametric Transformation to White Noise 0 0 0 3 0 0 1 38
Nonparametric censored and truncated regression 0 0 0 4 0 0 0 75
Nonparametric estimation of a periodic sequence in the presence of a smooth trend 0 0 0 0 0 0 0 1
Nonparametric estimation of a periodic sequence in the presence of a smooth trend 0 0 0 32 0 0 4 70
Nonparametric estimation of a polarization measure 0 0 0 39 0 1 1 104
Nonparametric estimation of a polarization measure 0 0 0 25 0 0 1 67
Nonparametric estimation of a polarization measure 0 0 0 1 0 0 0 36
Nonparametric estimation of homothetic and homothetically separable functions 0 0 0 0 1 1 2 2
Nonparametric estimation of homothetic and homothetically separable functions 0 0 0 5 0 0 0 30
Nonparametric estimation of homothetic and homothetically separable functions 0 0 0 40 0 0 0 310
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff 0 1 1 13 0 1 2 53
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves 0 0 0 0 0 0 1 2
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves 0 0 0 0 0 0 1 5
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves 0 0 0 4 0 0 0 32
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves 0 0 0 5 0 0 2 30
Nonparametric estimation with aggregated data 0 0 0 2 0 0 2 25
Nonparametric estimation with aggregated data 0 0 0 3 0 0 0 28
Nonparametric factor analysis of time series 0 0 0 7 0 0 0 252
Nonparametric inference for unbalance time series data 0 0 0 0 0 0 2 6
Nonparametric inference for unbalance time series data 0 0 0 58 0 0 0 262
Nonparametric inference for unbalanced time series data 0 0 0 3 0 0 1 32
Nonparametric inference for unbalanced time series data 0 0 0 0 0 0 0 24
Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos 0 0 0 2 0 0 1 34
Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos 0 0 0 0 0 0 1 21
Nonparametric neutral network estimation of lyapunov exponents and a direct test for chaos 0 0 0 1 0 0 0 25
Nonparametric regression with filtered data 0 0 0 0 0 1 1 4
Nonparametric transformation to white noise 0 0 0 2 0 0 1 33
Nonstandard Errors 0 1 3 3 0 6 20 20
Nonstandard errors 0 0 5 11 2 3 33 47
On Time Trend of COVID-19: A Panel Data Study 0 0 0 87 0 0 0 330
On Time Trend of COVID-19: A Panel Data Study 0 0 0 47 0 0 2 113
On Unit Free Assessment of The Extent of Multilateral Distributional Variation 0 0 0 6 0 0 1 32
On Unit Free Assessment of The Extent of Multilateral Distributional Variation 0 0 1 31 0 0 1 39
On a semiparametric survival model with flexible covariate effect 0 0 0 3 0 1 1 30
On the Time Trend of COVID-19: A Panel Data Study 0 0 0 2 0 0 1 20
Optimal Smoothing for a Computationallyand StatisticallyEfficient Single Index Estimator 0 0 0 0 0 0 0 16
Optimal smoothing for a computationally and statistically efficient single index estimator 0 0 0 74 0 0 1 151
Optimal smoothing for a computationally and statistically efficient single index estimator 0 0 0 0 0 0 0 23
Pricing American Options under Stochastic Volatility and Stochastic Interest Rates 0 0 0 23 0 0 1 129
Quantilograms under Strong Dependence 0 0 0 4 0 0 0 16
Quantilograms under Strong Dependence 0 0 0 50 2 2 5 34
Robust Estimation of Integrated and Spot Volatility 0 0 1 40 0 0 6 38
Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form 0 0 0 59 0 0 2 471
Second Order Approximation in the Partially Linear Regression Model 0 0 1 166 0 0 3 1,271
Second-order approximation for adaptive regression estimators 0 0 0 5 0 0 0 25
Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables 0 0 0 32 0 0 0 120
Semiparametric Estimation of Locally Stationary Diffusion Models 0 0 0 6 0 0 0 30
Semiparametric Estimation of Markov Decision Processeswith Continuous State Space 0 0 0 1 0 0 0 29
Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns 0 1 3 159 0 1 5 422
Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns 0 0 0 3 0 0 0 35
Semiparametric Model Averaging of Ultra-High Dimensional Time Series 0 0 0 68 0 0 0 105
Semiparametric Nonlinear Panel Data Models with Measurement Error 0 0 0 6 0 1 1 49
Semiparametric Regression Analysis under Imputation for Missing Response Data 0 0 0 3 0 0 0 21
Semiparametric dynamic portfolio choice with multiple conditioning variables 0 0 0 0 0 0 0 1
Semiparametric dynamic portfolio choice with multiple conditioning variables 0 0 0 8 0 1 1 37
Semiparametric estimation of Markov decision processeswith continuous state space 0 0 0 1 0 0 0 29
Semiparametric estimation of a characteristic-based factor model of common stock returns 0 0 0 2 0 0 2 45
Semiparametric estimation of locally stationary diffusion models 0 0 0 6 0 0 0 24
Semiparametric model averaging of ultra-high dimensional time series 0 0 0 32 0 0 0 72
Semiparametric model averaging of ultra-high dimensional time series 0 0 0 0 0 1 4 5
Semiparametric nonlinear panel data models with measurement error 0 0 0 21 0 0 0 24
Semiparametric regression analysis under imputation for missing response data 0 0 0 31 1 1 1 243
Semiparametric regression analysis under imputation for missing response data 0 0 0 0 0 0 1 40
Semiparametric regression analysis with missing response at random 0 0 0 244 2 2 9 754
Semiparametric regression analysis with missing response at random 0 0 0 1 0 0 2 4
Should Expected or Most Likely Returns be the Focus in Investment Decisions? Introducing “Most Likely†Versions of Sharpe and Sortino Ratios 0 0 9 9 0 0 6 6
Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information? 0 0 3 4 0 0 13 20
Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information? 0 1 3 7 0 1 9 26
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model 0 0 0 0 0 0 1 4
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model 0 0 0 36 0 0 4 88
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model 0 0 0 20 0 1 2 51
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model 0 0 0 16 1 1 1 31
Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality? 0 0 1 40 0 1 2 266
Some Higher Order Theory for a Consistent Nonparametric Model Specification Test 0 0 0 97 0 0 1 386
TESTING FOR STOCHASTICMONOTONICITY 0 0 0 0 0 0 1 52
Testing Additivity in Generalized Nonparametric Regression Models 0 0 0 135 0 0 0 904
Testing Additivity in Generalized Nonparametric Regression Models 0 0 0 0 0 0 0 61
Testing Stochastic Dominance with Many Conditioning Variables 0 0 0 18 0 0 1 37
Testing for Stochastic Dominance Efficiency 0 0 0 58 0 0 0 144
Testing for Time Stochastic Dominance 0 0 0 60 0 0 1 164
Testing for stochastic monotonicity 0 0 0 2 0 0 0 53
Testing for stochastic monotonicity 0 0 0 53 0 0 0 157
Testing for the stochastic dominance efficiency of a given portfolio 0 0 0 0 0 1 2 3
Testing for the stochastic dominance efficiency of a given portfolio 0 0 0 48 0 0 0 148
Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach 0 0 0 244 0 0 1 1,163
Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach 0 1 1 646 1 2 2 3,492
Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach 0 0 0 4 0 1 2 29
Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach 0 0 0 2 0 1 2 58
The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series 0 0 0 244 0 0 0 959
The Behaviour of Betting and Currency Markets on the Night of the EU Referendum 0 0 0 16 0 0 1 45
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series 0 0 0 12 0 0 2 98
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market 0 0 1 4 0 0 3 37
The Estimation of Conditional Densities 0 0 0 6 1 1 2 31
The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions 0 0 0 62 1 1 1 316
The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions 0 0 0 0 0 0 2 18
The Froot and Stein Model Revisited 0 0 0 457 0 0 0 1,434
The Impact of Corporate QE on Liquidity: Evidence from the UK 0 0 0 37 0 0 0 72
The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses 0 0 0 3 0 0 0 8
The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses 0 0 0 11 0 0 1 32
The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets 0 0 0 11 0 0 4 51
The Permanent and Temporary Effects of Stock Splits on Liquidity in a Dynamic Semiparametric Model 0 0 0 7 0 1 3 8
The Permanent and Temporary Effects of Stock Splits on Liquidity in a Dynamic Semiparametric Model 0 0 1 7 0 1 2 8
The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model 0 0 0 48 0 0 0 216
The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model 0 1 1 96 0 1 1 365
The behaviour of betting and currency markets on the night of the EU referendum 0 0 0 33 0 1 2 54
The behaviour of betting and currency markets on the night of the EU referendum 0 0 0 18 0 0 0 29
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series 0 0 0 1 0 0 3 9
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series 0 0 0 45 0 0 12 123
The cross-sectional spillovers of single stock circuit breakers 0 0 0 23 0 0 1 71
The effect of fragmentation in trading on market quality in the UK equity market 0 0 0 27 0 0 1 80
The effect of fragmentation in trading on market quality in the UK equity market 0 0 0 0 0 1 1 2
The effect of stock splits on liquidity in a dynamic model 0 0 0 7 0 1 1 5
The estimation of conditional densities 0 0 0 7 0 0 3 36
The existence and asymptotic properties of a backfitting projection algorithm under weak conditions 0 0 0 2 0 0 0 26
The existence and asymptotic properties of a backfitting projection algorithm under weak conditions 0 0 0 2 0 0 0 42
The impact of corporate QE on liquidity: evidence from the UK 0 0 3 46 0 2 9 129
The live method for generalized additive volatility models 0 0 0 1 0 0 0 35
The shape of the risk premium: evidence from a semiparametric GARCH model 0 0 0 1 0 0 1 30
Uniform Bahadur Representation for LocalPolynomial Estimates of M-Regressionand Its Application to The Additive Model 0 0 0 3 0 0 1 39
When will the Covid-19 pandemic peak? 0 0 0 51 0 0 0 144
When will the Covid-19 pandemic peak? 0 0 0 0 0 0 0 7
Yield Curve Estimation by Kernel Smoothing 0 0 0 48 0 0 0 179
Yield Curve Estimation by Kernel Smoothing Methods 0 0 1 358 0 0 1 759
Yield Curve Estimation by Kernel Smoothing Methods 0 0 0 9 1 1 5 72
Yield curve estimation by kernel smoothing 0 0 1 1 0 0 1 1
Yield curve estimation by kernel smoothing methods 0 0 0 5 0 0 1 35
Total Working Papers 8 22 183 19,865 82 179 972 68,694
1 registered items for which data could not be found


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation 0 0 0 23 0 0 0 299
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution 0 0 1 38 0 0 3 104
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 0 0 0 167 0 0 0 371
A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM 0 0 0 30 0 0 0 75
A Nonparametric Prewhitened Covariance Estimator 0 0 0 1 0 0 1 9
A ReMeDI for Microstructure Noise 0 0 1 10 0 1 6 33
A Unified Framework for Specification Tests of Continuous Treatment Effect Models 0 0 0 0 0 1 1 2
A coupled component DCS-EGARCH model for intraday and overnight volatility 0 0 0 12 0 1 3 62
A discrete†choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance 1 1 2 6 1 1 3 32
A flexible semiparametric forecasting model for time series 0 0 0 34 1 1 2 137
A multiplicative bias reduction method for nonparametric regression 0 0 2 49 0 0 3 107
A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables 0 0 0 9 1 1 1 41
A nonparametric test of a strong leverage hypothesis 0 0 2 7 0 0 3 53
A polarization-cohesion perspective on cross-country convergence 0 0 0 55 0 1 2 248
A score statistic for testing the presence of a stochastic trend in conditional variances 0 0 0 1 0 0 0 2
A semiparametric model for heterogeneous panel data with fixed effects 0 0 4 28 0 0 9 125
A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom 0 0 0 66 0 0 3 211
A smoothed least squares estimator for threshold regression models 0 0 1 168 2 2 4 408
A unified framework for efficient estimation of general treatment models 0 0 1 3 0 0 3 17
A weighted sieve estimator for nonparametric time series models with nonstationary variables 0 0 0 11 0 0 2 30
AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL 0 0 0 3 1 1 2 28
AN INTRODUCTION TO ECONOMETRIC THEORY 0 0 1 49 0 0 2 134
AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS 0 0 0 8 0 1 1 52
Adaptive Estimation in ARCH Models 0 0 0 10 1 1 2 55
Adaptive testing in arch models 0 0 0 17 1 1 4 123
Additive nonparametric models with time variable and both stationary and nonstationary regressors 0 1 3 9 0 1 6 57
Adjusted-range self-normalized confidence interval construction for censored dependent data 0 0 0 2 0 2 7 13
Advances in Robust and Flexible Inference in Econometrics: A Special Issue in Honour of Joel L. Horowitz 0 0 0 8 0 1 1 53
An Asymptotic Expansion in the GARCH(l, 1) Model 0 0 0 12 0 0 0 37
An improved bootstrap test of stochastic dominance 2 3 8 132 5 12 20 361
An optimization interpretation of integration and back‐fitting estimators for separable nonparametric models 0 0 0 1 0 0 0 2
Annals issue on forecasting--Guest editors' introduction 0 0 0 21 0 0 1 77
Are there Monday effects in stock returns: A stochastic dominance approach 0 0 0 129 0 0 0 337
Chaohua Dong, Jiti Gao and Oliver Linton’s contribution to the Discussion of ‘Assumption‐lean inference for generalised linear model parameters’ by Vansteelandt and Dukes 0 0 0 1 1 1 4 16
Classification of non-parametric regression functions in longitudinal data models 0 0 0 19 0 0 0 81
Comment 0 0 0 5 0 0 2 38
Comment on “Factor Models for High-Dimensional Tensor Time Series” by Rong Chen, Dan Yang, and Cun-Hui Zhang 0 0 0 5 0 0 1 16
Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 1 0 0 0 15
Consistent Testing for Stochastic Dominance under General Sampling Schemes 0 0 1 195 6 11 23 682
Consistent estimation of a general nonparametric regression function in time series 0 0 0 39 0 0 2 90
Do Consumption-Based Asset Pricing Models Explain the Dynamics of Stock Market Returns? 0 0 0 1 0 0 1 5
Dynamic Autoregressive Liquidity (DArLiQ) 0 0 0 0 0 0 1 1
Dynamic Peer Groups of Arbitrage Characteristics 0 0 0 0 0 0 3 4
EDITORIAL 0 0 0 13 0 0 2 66
EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS 0 0 0 7 0 0 0 57
ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY 0 0 0 2 0 0 0 21
ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS 0 0 2 35 0 0 2 118
ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL 0 0 0 14 0 0 0 60
ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE 0 0 0 15 0 0 0 72
ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM 0 0 0 1 0 0 1 6
Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models 0 0 0 8 0 0 1 32
Edgeworth approximations for semiparametric instrumental variable estimators and test statistics 0 0 0 24 0 1 2 126
Efficient Semiparametric Estimation of the Fama–French Model and Extensions 0 1 3 81 0 3 7 317
Efficient estimation of a multivariate multiplicative volatility model 0 1 1 87 0 2 3 213
Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity 0 0 1 8 1 2 6 28
Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods 0 0 0 66 0 0 0 274
Estimating features of a distribution from binomial data 0 0 1 52 0 0 2 234
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error 0 0 0 54 0 1 3 173
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error 0 0 0 47 1 1 4 127
Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models 0 0 0 6 0 1 4 26
Estimation and inference in semiparametric quantile factor models 0 0 2 13 0 0 4 48
Estimation of Linear Regression Models from Bid-Ask Data by a Spread-Tolerant Estimator 0 0 0 26 0 0 2 187
Estimation of Semiparametric Models when the Criterion Function Is Not Smooth 0 0 0 53 0 2 4 342
Estimation of a multiplicative correlation structure in the large dimensional case 0 0 0 1 0 0 3 31
Estimation of a nonparametric model for bond prices from cross-section and time series information 0 0 1 6 0 0 3 30
Estimation of semiparametric locally stationary diffusion models 0 0 0 29 0 0 1 85
Estimation with mixed data frequencies: A bias-correction approach 0 0 0 0 0 1 1 5
Estimation, Inference and Specification AnalysisH. White, Cambridge University Press, 1994 0 0 0 100 0 0 0 222
Evaluating Value-at-Risk Models via Quantile Regression 0 0 1 149 0 0 4 383
Evaluating Value-at-Risk Models via Quantile Regression 0 1 1 28 0 1 4 106
Flexible Term Structure Estimation: Which Method is Preferred? 0 0 0 49 0 0 1 115
GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS 0 0 0 7 0 1 1 54
GMM estimation for high-dimensional panel data models 1 1 4 4 1 4 9 9
HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS 0 0 0 27 0 0 0 95
High dimensional semiparametric moment restriction models 0 0 0 1 0 0 2 6
INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS 0 0 0 6 0 0 0 33
INTRODUCTION TO THE SPECIAL ISSUE ON INVERSE PROBLEMS 0 0 0 13 0 0 0 41
Identification and nonparametric estimation of a transformed additively separable model 0 0 0 52 0 1 2 190
Implications of High-Frequency Trading for Security Markets 0 0 1 17 0 0 1 91
Integration and backfitting methods in additive models-finite sample properties and comparison 0 0 0 37 0 0 0 123
Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors 0 0 0 94 0 0 0 414
Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach 0 0 3 3 0 1 10 11
LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS 0 0 0 2 0 0 1 44
LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE 0 0 0 18 0 0 0 98
LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES 0 0 0 9 0 0 1 56
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 1 299 0 5 15 968
Local nonlinear least squares: Using parametric information in nonparametric regression 0 0 0 97 0 0 1 266
More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors 0 0 0 81 0 1 1 203
Multiscale clustering of nonparametric regression curves 0 0 0 9 0 0 6 38
Multivariate density estimation using dimension reducing information and tail flattening transformations 0 0 0 5 1 1 2 57
NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA 0 0 1 9 0 0 1 45
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION 0 1 1 4 0 2 4 15
NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA 0 0 0 7 1 1 2 56
NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA 0 0 0 13 0 0 0 57
News-implied linkages and local dependency in the equity market 0 0 0 0 0 0 2 2
Non-parametric regression with a latent time series 0 0 0 56 0 0 9 240
Nonparametric Censored and Truncated Regression 0 0 0 124 0 0 6 556
Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions 0 0 0 40 0 0 1 305
Nonparametric estimation and inference about the overlap of two distributions 0 0 3 92 0 1 8 382
Nonparametric estimation of a periodic sequence in the presence of a smooth trend 0 0 0 7 0 0 1 51
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff 1 4 4 12 1 5 12 39
Nonparametric estimation of mediation effects with a general treatment 0 1 4 4 0 1 10 10
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves 0 0 1 4 0 0 2 28
Nonparametric factor analysis of residual time series 0 0 1 61 0 0 2 180
Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos 0 0 1 152 0 0 2 505
Nonparametric transformation to white noise 0 0 0 33 0 0 1 130
Nonstandard Errors 1 7 29 38 4 17 107 127
On internally corrected and symmetrized kernel estimators for nonparametric regression 0 0 0 7 0 0 1 42
On unit free assessment of the extent of multilateral distributional variation 0 0 0 1 0 0 1 3
QUANTILOGRAMS UNDER STRONG DEPENDENCE 0 0 0 1 0 0 0 6
Review 2 0 0 0 0 0 0 0 1
Review 2 0 0 0 2 0 0 0 35
SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS 0 0 0 10 0 0 0 46
Second Order Approximation in the Partially Linear Regression Model 0 0 0 114 0 0 3 688
Semi- and Nonparametric ARCH Processes 0 0 0 0 0 0 0 4
Semiparametric Regression Analysis With Missing Response at Random 0 0 0 65 1 1 3 191
Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series 0 1 2 3 1 2 5 29
Semiparametric dynamic portfolio choice with multiple conditioning variables 0 0 0 4 0 1 3 47
Semiparametric estimation of Markov decision processes with continuous state space 0 0 0 25 0 0 1 115
Semiparametric estimation of a characteristic-based factor model of common stock returns 0 0 3 56 3 4 11 177
Semiparametric estimation of the bid–ask spread in extended roll models 0 0 0 15 2 2 2 68
Semiparametric identification of the bid–ask spread in extended Roll models 0 0 0 7 0 0 5 56
Semiparametric methods in econometrics 0 0 0 109 0 0 3 234
Shaoran Li, Oliver Linton and Shuyi Ge's contribution to the ‘First Discussion Meeting on Statistical Aspects of the Covid‐19 Pandemic’ 0 0 0 1 0 0 0 3
Shuyi Ge, Oliver Linton and Shaoran Li's contribution to the ‘First Discussion Meeting on Statistical Aspects of the Covid‐19 Pandemic’ 0 0 1 2 0 0 2 7
Similarity, dissimilarity and exceptionality: generalizing Gini’s transvariation to measure “differentness” in many distributions 0 1 2 13 0 1 5 41
Standard Errors for Nonparametric Regression 0 0 0 5 0 0 2 19
Symmetrizing and unitizing transformations for linear smoother weights 0 0 0 0 0 0 1 6
THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS 0 0 0 8 0 0 2 50
Testing Conditional Independence Restrictions 0 2 2 8 0 3 4 38
Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach 0 0 0 1 0 0 0 1
Testing additivity in generalized nonparametric regression models with estimated parameters 0 1 2 64 1 2 4 214
Testing for Stochastic Monotonicity 0 0 1 99 0 0 1 401
Testing for the stochastic dominance efficiency of a given portfolio 0 0 0 9 0 0 2 94
Testing for time stochastic dominance 0 1 1 4 1 2 9 17
Testing forward exchange rate unbiasedness efficiently: A semiparametric approach 0 0 0 0 0 1 2 18
Testing forward exchange rate unbiasedness efficiently: a semiparametric approach 0 0 0 247 0 0 1 1,059
Testing stochastic dominance with many conditioning variables 0 0 0 0 1 1 2 3
Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach 0 0 1 4 0 0 1 10
Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach 0 0 0 241 0 0 6 1,066
Testing the martingale hypothesis for gross returns 0 0 0 2 0 0 0 53
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market 0 0 0 5 0 1 1 36
The Froot-Stein Model Revisited 0 0 0 2 0 0 2 28
The Impact of Corporate QE on Liquidity: Evidence from the UK 0 0 0 2 0 1 4 15
The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model 0 0 0 0 0 0 1 135
The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series 0 0 1 40 0 0 1 216
The behaviour of betting and currency markets on the night of the EU referendum 0 0 0 13 0 0 3 56
The common and specific components of dynamic volatility 0 0 1 114 0 1 4 315
The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series 1 2 12 117 3 5 27 431
The lower regression function and testing expectation dependence dominance hypotheses 0 0 0 2 0 0 1 8
The quantilogram: With an application to evaluating directional predictability 0 0 1 85 0 0 5 233
UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL 0 0 3 33 0 1 6 122
When will the Covid-19 pandemic peak? 0 0 0 1 0 0 0 37
Yield curve estimation by kernel smoothing methods 0 0 1 148 0 0 1 502
Total Journal Articles 7 30 128 5,485 43 126 556 20,648


Book File Downloads Abstract Views
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Financial Econometrics 0 0 0 0 0 0 2 38
Financial Econometrics 0 0 0 0 0 0 1 96
Total Books 0 0 0 0 0 0 3 134


Chapter File Downloads Abstract Views
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Applied nonparametric methods 0 1 4 804 0 1 9 1,836
Total Chapters 0 1 4 804 0 1 9 1,836


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