Access Statistics for Oliver Bruce Linton

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A Coupled Component GARCH Model for Intraday and Overnight Volatility 1 1 1 24 1 2 2 91
A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance 0 0 1 11 0 0 6 59
A Dynamic Network of Arbitrage Characteristics 0 0 0 18 0 0 2 59
A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection 0 0 2 12 1 2 10 37
A Flexible Semiparametric Model for Time Series 0 0 0 53 0 0 0 77
A GARCH Model of the Implied Volatility of the Swiss Market Index From Option Pricesdffrom Options Prices 0 0 0 310 0 0 0 887
A GARCH model of the implied volatility of the Swiss Market Index from options prices 0 0 0 8 0 0 1 40
A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models 0 0 0 50 0 0 1 225
A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models 0 0 0 2 0 0 0 23
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables 0 0 0 12 0 0 1 54
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables 0 0 0 40 1 2 2 71
A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form 0 0 0 4 0 0 3 23
A Quantilogram Approach to Evaluating Directional Predictability 0 0 0 117 0 0 0 470
A Quantilogram Approach to Evaluating Directional Predictability 0 0 0 1 0 0 0 31
A ReMeDI for Microstructure Noise 0 2 2 79 1 5 10 171
A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom 0 0 1 96 0 0 2 239
A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom 0 0 0 60 0 0 2 166
A Simulation Comparison between Integration and Backfitting Methods of Estimating Separable Nonparametric Regression Models 0 0 0 0 1 1 1 101
A Unified Framework for Efficient Estimation of General Treatment Models 0 0 1 30 0 1 3 30
A Unified Framework for Efficient Estimation of General Treatment Models 0 0 0 8 0 0 1 22
A Unified Framework for Efficient Estimation of General Treatment Models 0 0 0 6 0 0 0 32
A Unified Framework for Specification Tests of Continuous Treatment Effect Models 0 0 0 4 0 0 1 27
A Unified Framework for Specification Tests of Continuous Treatment Effect Models 0 0 0 9 0 0 0 11
A coupled component GARCH model for intraday and overnight volatility 0 0 0 25 0 0 1 24
A coupled component GARCH model for intraday and overnight volatility 0 0 1 67 0 0 1 56
A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance 0 1 1 51 0 2 4 86
A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance 0 0 1 31 0 0 2 178
A flexible semiparametric model for time series 0 0 0 50 0 0 0 91
A local instrumental estimation method for generalized additive volatility models 0 0 0 10 0 0 0 188
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 1 32
A nonparametric regression estimator that adapts to error distribution of unknown form 0 0 0 32 0 0 0 214
A nonparametric regression estimator that adapts to error distribution of unknown form 0 0 0 2 0 0 1 39
A nonparametric test of a strong leverage hypothesis 0 0 0 26 0 0 0 82
A nonparametric test of the leverage hypothesis 0 1 1 20 0 2 2 64
A quantilogram approach to evaluating directional predictability 0 0 0 2 0 0 0 25
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 0 4 0 0 0 73
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 4 23 0 0 4 77
Adaptive Estimation in ARCH Models 0 0 0 234 0 0 2 611
Adaptive Testing in ARCH Models 0 1 1 173 0 1 1 884
Additive nonparametric models with time variable and both stationary and nonstationary regressions 0 0 0 18 0 0 0 32
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 0 9
An Almost Closed Form Estimator for the EGARCH model 0 0 0 0 0 0 0 7
An Alternative Way of ComputingEfficient Instrumental VariableEstimators 0 0 1 2 0 0 4 39
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 0 0 0 583
An Improved Bootstrap Test of Stochastic Dominance 0 0 0 74 0 0 3 228
An Optimization Interpretation of Integration and Backfitting Estimators for Separable Nonparametric Models 0 0 0 4 0 0 0 81
An almost closed form estimator for the EGARCH model 0 0 0 74 0 0 0 108
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 2 54
An improved bootstrap test of stochastic dominance 0 0 0 20 0 0 1 106
An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability 0 0 0 23 0 0 1 63
An investigation into multivariate variance ratio statistics and their application to stock market predictability 0 0 0 16 0 1 1 53
Applied Nonparametric Methods 0 0 20 1,178 2 7 48 2,422
Applied nonparametric methods 0 0 2 372 0 0 4 945
Are there Monday effects in Stock Returns: A Stochastic Dominance Approach 0 0 0 322 1 1 1 976
Are there Monday effects in stock returns: a stochastic dominance approach 0 0 0 12 0 0 2 70
Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators 0 0 0 17 0 0 2 43
Asymptotic expansions for some semiparametric program evaluation estimators 0 0 0 177 0 1 3 414
Asymptotic expansions for some semiparametric program evaluation estimators 0 0 0 7 0 0 1 49
Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order 0 0 1 13 0 0 3 36
Averaging of moment condition estimators 0 0 0 48 0 0 2 98
Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary 0 0 0 64 0 0 1 201
Bootstrap Tests of Stochastic Dominance with AsymptoticSimilarity on the Boundary 0 0 0 0 0 0 0 25
Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary 0 0 0 23 0 0 0 106
Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary 0 0 0 0 0 0 0 36
Classification of nonparametric regression functions in heterogeneous panels 0 0 0 28 0 1 2 52
Conditional Independence Restrictions: Testing and Estimation 0 1 5 613 0 1 8 2,148
Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error 0 0 0 27 0 0 1 152
Consistent Testing for Stochastic Dominance under General Sampling Schemes 0 0 0 21 0 0 0 88
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 0 189 0 0 3 844
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 0 79 0 0 12 526
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 0 2 0 0 11 82
Consistent Testing for Stochastic Dominance: A Subsampling Approach 1 1 2 44 1 1 6 226
Consistent Testing for an Implication of Supermodular Dominance 1 2 8 40 1 5 14 81
Consistent estimation of the risk-return tradeoff in the presence of measurement error 0 0 0 1 0 0 3 39
Consistent estimation of the risk-return tradeoff in the presence of measurement error 0 0 0 39 0 2 5 201
Consistent testing for stochastic dominance under general sampling schemes 0 0 1 14 0 0 2 68
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 1 0 0 7 85
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 2 0 0 0 68
Consistent testing for stochastic dominance: a subsampling approach 1 1 1 4 1 1 9 83
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 144 0 0 1 634
Dynamic Autoregressive Liquidity (DArLiQ) 0 0 1 11 0 3 6 20
Dynamic Autoregressive Liquidity (DArLiQ) 0 0 0 32 0 0 2 14
ESTIMATION OF A SEMIPARAMETRICIGARCH(1,1) MODEL 0 0 0 0 0 0 0 18
Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models 0 0 0 54 0 1 1 493
Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics 0 0 0 0 0 0 0 14
Edgeworth approximations for semiparametric instrumental variable estimators and test statistics 0 0 0 3 0 0 1 27
Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity 0 0 0 50 0 0 1 96
Efficient Estimation of a Multivariate Multiplicative Volatility Model 0 0 0 0 0 0 3 38
Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns 0 0 0 92 0 0 1 289
Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns 0 0 0 60 0 0 0 229
Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns 1 1 2 4 1 1 2 32
Efficient estimation of a multivariate multiplicative volatility model 0 0 0 5 0 2 2 43
Efficient estimation of a semiparametric characteristic-based factor model of security returns 0 0 0 3 0 0 0 40
Efficient estimation of a semiparametric characteristic-based factor model of security returns 0 0 0 2 0 0 0 42
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 0 0 1 57
Estimating Features of a Distribution from Binomial Data 0 0 0 211 0 1 2 1,293
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods 0 0 0 0 0 0 0 36
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods 0 0 0 111 0 0 1 503
Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError 1 1 1 1 1 1 3 48
Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods 0 0 0 0 0 0 1 22
Estimating Semiparametric ARCH Models by Kernel Smoothing Methods 0 0 0 111 0 0 0 344
Estimating Yield Curves by Kernel Smoothing Methods 0 0 0 691 0 0 2 1,889
Estimating additive nonparametric models by partial Lq norm: the curse of fractionality 0 0 0 0 0 0 0 23
Estimating features of a distribution from binomial data 0 0 0 105 0 0 0 712
Estimating features of a distribution from binomial data 0 0 0 0 0 0 1 44
Estimating multiplicative and additive hazard functions by kernel methods 0 0 0 0 0 0 0 27
Estimating quadratic variation consistently in the presence of correlated measurement error 0 0 0 1 0 0 2 26
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 2 33
Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise 0 1 1 50 0 1 3 124
Estimating yield curves by Kernel smoothing methods 0 0 0 212 0 0 0 751
Estimation and Inference in Semiparametric Quantile Factor Models 0 0 0 10 0 0 3 46
Estimation and inference in semiparametric quantile factor models 0 0 0 76 0 0 1 137
Estimation in semiparametric quantile factor models 0 0 0 26 0 0 0 50
Estimation of Additive Regression Models with Links 0 0 0 3 0 1 3 95
Estimation of Linear Regression Models by a Spread-Tolerant Estimator 0 0 0 17 0 0 1 128
Estimation of Semiparametric Models when the Criterion Function is not Smooth 0 1 2 8 0 1 5 64
Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case 0 0 0 25 0 0 2 64
Estimation of a Multiplicative Covariance Structure 0 0 0 26 0 0 3 32
Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case 0 0 0 11 0 0 3 86
Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case 0 0 0 22 0 0 0 35
Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information 0 1 1 51 1 2 2 62
Estimation of a multiplicative correlation structure in the large dimensional case 0 0 0 0 0 0 0 3
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 3 0 1 2 69
Estimation of semiparametric models when the criterion function is not smooth 0 1 1 153 0 1 6 623
Estimation of tail thickness parameters from GJR-GARCH models 0 0 0 258 0 0 6 846
Estimation of the Kronecker Covariance Model by Quadratic Form 0 0 1 7 0 0 5 42
Estimation with Mixed Data Frequencies: A Bias-Correction Approach 0 0 0 32 0 0 0 17
Evaluating Value-at-Risk Models via Quantile Regression 1 1 1 146 1 1 3 377
Evaluating Value-at-Risk Models via Quantile Regressions 2 3 5 224 4 7 19 567
Evaluating Value-at-Risk models via Quantile Regression 0 0 1 200 0 0 4 542
Evaluating Value-at-Risk models via Quantile regressions 0 0 2 187 0 1 4 417
Evaluating hedge fund performance: a stochastic dominance approach 0 0 0 158 0 1 2 369
Evaluating hedge fund performance: a stochastic dominance approach 0 0 1 8 0 0 1 56
Flexible Term Structure Estimation: Which Method Is Preferred? 1 1 2 4 1 2 6 12
Flexible Term Structure Estimation: Which Method Is Preferred? 0 0 1 187 0 0 2 491
Flexible Term Structure Estimation: Which Method is Preferable? 0 0 0 42 0 0 0 164
Flexible Term Structure Estimation: Which Method is Preferred? 0 0 0 216 0 1 1 485
Flexible term structure estimation: which method is preferable? 0 0 0 1 0 0 1 30
Global Bahadur representation for nonparametric censored regression quantiles and its applications 0 0 0 49 0 0 0 109
High Dimensional Semiparametric Moment Restriction Models 0 0 1 16 0 0 7 64
High dimensional semiparametric moment restriction models 0 0 1 54 0 1 2 119
High dimensional semiparametric moment restriction models 0 0 0 27 0 0 1 58
High dimensional semiparametric moment restriction models 0 0 0 2 0 0 3 34
High dimensional semiparametric moment restriction models 0 0 0 4 0 0 1 38
Identification and Nonparametric Estimation of a Transformed Additively Separable Model 0 0 0 58 0 0 1 271
Identification and nonparametric estimation of a transformed additively separable model 0 0 0 0 0 0 3 56
Implications of High-Frequency Trading for Security Markets 0 0 0 68 0 0 4 112
Implications of high-frequency trading for security markets 0 0 0 17 0 1 1 47
Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance 0 0 2 16 1 2 7 15
Inference about Realized Volatility using Infill Subsampling 0 0 0 1 0 1 3 20
Inference about realized volatility using infill subsampling 0 0 0 3 0 0 0 22
Inference on a Semiparametric Model with Global Power Law and Local Nonparametric Trends 0 0 0 52 0 0 0 71
Inference on a semiparametric model with global power law and local nonparametric trends 0 0 0 4 0 0 1 32
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 0 208 0 1 2 608
Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors 0 0 0 278 1 1 2 878
Kernel estimation in a nonparametric marker dependent Hazard Model 0 0 0 134 0 0 0 403
Let's get LADE: robust estimation of semiparametric multiplicative volatility models 0 0 0 34 0 0 0 99
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 0 104 0 0 2 420
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 0 0 0 0 2 39
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 0 206 1 1 1 913
Limit theorems for estimating the parameters of differentiated product demand systems 0 0 0 1 0 0 1 49
Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates 0 0 0 39 0 0 0 90
Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically 0 0 1 290 0 1 2 1,151
Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate 0 0 2 3 0 0 2 25
Loch linear fitting under near epoch dependence: uniform consistency with convergence rate 0 0 0 2 0 0 0 28
Making Inferences About Rich Country - Poor Country Convergence: The Polarization Trapezoid and Overlap measures 0 0 0 72 0 1 4 395
Mean Ratio Statistic for measuring predictability 0 0 0 19 0 0 0 38
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 1 806
More efficient kernel estimation in nonparametric regression with autocorrelated errors 0 0 0 5 0 0 1 39
Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction 0 0 1 31 0 0 1 64
Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction 0 0 2 74 0 0 4 102
Multiscale clustering of nonparametric regression curves 0 0 0 17 0 0 2 29
Multivariate Variance Ratio Statistics 0 1 1 8 0 1 3 33
Multivariate variance ratio statistics 0 0 0 32 0 1 2 81
Non Parametric Estimation of a Polarization Measure 0 0 1 34 0 0 1 100
Non-Standard Errors 0 1 8 40 3 12 71 317
Non-Standard Errors 0 0 1 41 5 14 79 386
Non-parametric transformation regression with non-stationary data 0 0 0 46 0 0 2 72
Nonparametric Censored Regression 0 0 0 410 0 0 0 1,372
Nonparametric Censored and Truncated Regression 0 0 1 5 0 1 4 71
Nonparametric Censored and Truncated Regression 0 0 0 479 0 0 2 1,885
Nonparametric Censored and Truncated Regression 0 0 0 197 0 0 1 528
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 0 0 22
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data 0 0 2 55 1 2 7 22
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data 0 0 2 20 1 1 8 28
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 1 210 0 0 3 686
Nonparametric Estimation of a Polarization Measure 0 0 0 3 0 0 0 38
Nonparametric Estimation of a Polarization Measure 0 0 0 59 0 0 0 186
Nonparametric Estimation with Aggregated Data 0 0 0 0 0 0 0 21
Nonparametric Euler Equation Identi?cation and Estimation 0 0 0 27 0 0 0 28
Nonparametric Euler Equation Identification and Estimation 0 0 0 51 0 0 1 175
Nonparametric Euler Equation Identification andEstimation 0 0 0 46 0 1 4 101
Nonparametric Euler equation identification and estimation 0 0 0 41 0 0 5 115
Nonparametric Inference for Unbalanced Time Series Data 0 0 0 4 0 0 0 21
Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions 0 0 0 135 0 0 1 726
Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos 0 0 0 1 0 0 2 27
Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos 0 0 0 368 0 0 1 1,169
Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos 0 0 0 0 0 0 1 21
Nonparametric Predictive Regressions for Stock Return Prediction 0 0 1 51 0 0 1 47
Nonparametric Predictive Regressions for Stock Return Prediction 0 0 3 125 0 2 7 124
Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information 0 0 0 56 0 0 0 94
Nonparametric Regression 0 0 0 74 0 0 1 219
Nonparametric Regression with a Latent Time Series 0 0 0 2 0 0 1 22
Nonparametric Transformation to White Noise 0 0 0 3 0 1 1 37
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 32 0 0 1 66
Nonparametric estimation of a polarization measure 0 0 0 39 0 0 0 103
Nonparametric estimation of a polarization measure 0 0 0 1 0 0 0 36
Nonparametric estimation of a polarization measure 0 0 0 25 0 0 0 66
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 0 0 12 0 0 1 51
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves 0 0 0 4 0 0 1 32
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves 0 0 0 5 0 0 0 28
Nonparametric estimation with aggregated data 0 0 0 2 0 0 0 23
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 58 0 0 0 262
Nonparametric inference for unbalanced time series data 0 0 0 3 0 0 0 31
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 0 0 0 0 20
Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos 0 0 0 2 0 0 2 33
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 0 2 3
Nonparametric transformation to white noise 0 0 0 2 0 0 1 32
On Time Trend of COVID-19: A Panel Data Study 0 0 1 87 0 0 3 330
On Time Trend of COVID-19: A Panel Data Study 0 0 0 47 0 0 1 111
On Unit Free Assessment of The Extent of Multilateral Distributional Variation 0 0 2 6 0 0 4 30
On Unit Free Assessment of The Extent of Multilateral Distributional Variation 0 0 0 30 0 0 0 38
On a semiparametric survival model with flexible covariate effect 0 0 0 3 0 0 1 29
On the Time Trend of COVID-19: A Panel Data Study 0 0 0 2 0 0 0 19
Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator 1 1 1 74 2 2 2 150
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 0 0 0 1 23
Pricing American Options under Stochastic Volatility and Stochastic Interest Rates 0 0 1 23 0 0 4 128
Quantilograms under Strong Dependence 0 0 0 50 0 0 0 29
Quantilograms under Strong Dependence 0 0 0 4 0 0 5 15
Robust Estimation of Integrated and Spot Volatility 0 1 2 39 1 2 7 32
Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form 0 0 0 59 0 1 3 469
Second Order Approximation in the Partially Linear Regression Model 0 0 0 165 0 0 2 1,268
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 1 119
Semiparametric Estimation of Locally Stationary Diffusion Models 0 0 0 6 0 0 1 30
Semiparametric Estimation of Markov Decision Processeswith Continuous State Space 0 0 0 1 0 0 1 29
Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns 0 1 1 156 0 1 2 416
Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns 1 1 1 3 1 2 2 35
Semiparametric Model Averaging of Ultra-High Dimensional Time Series 0 0 0 68 0 0 1 105
Semiparametric Nonlinear Panel Data Models with Measurement Error 0 0 0 6 0 0 0 48
Semiparametric Regression Analysis under Imputation for Missing Response Data 0 0 0 3 0 0 1 21
Semiparametric dynamic portfolio choice with multiple conditioning variables 0 0 0 8 0 0 2 35
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 0 43
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 1 1 2 72
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 0 0 1 242
Semiparametric regression analysis under imputation for missing response data 0 0 0 0 0 0 0 39
Semiparametric regression analysis with missing response at random 0 0 0 244 0 1 2 745
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model 0 0 0 36 0 0 1 84
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model 0 0 0 20 0 1 4 48
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model 0 0 0 16 0 0 1 30
Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality? 0 0 0 39 0 0 4 264
Some Higher Order Theory for a Consistent Nonparametric Model Specification Test 0 0 0 97 0 0 0 385
TESTING FOR STOCHASTICMONOTONICITY 0 0 0 0 0 0 0 51
Testing Additivity in Generalized Nonparametric Regression Models 0 0 0 0 0 0 2 61
Testing Additivity in Generalized Nonparametric Regression Models 0 0 1 135 0 0 1 904
Testing Stochastic Dominance with Many Conditioning Variables 0 0 1 18 0 1 3 36
Testing for Stochastic Dominance Efficiency 0 0 0 58 0 0 0 144
Testing for Time Stochastic Dominance 0 0 1 60 0 0 6 162
Testing for stochastic monotonicity 0 0 0 53 0 0 0 157
Testing for stochastic monotonicity 0 0 0 2 0 0 1 53
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 1 1 1,162
Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach 0 0 0 645 0 1 1 3,490
Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach 0 0 0 4 0 0 0 27
Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach 0 0 0 2 0 1 2 56
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 44
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series 0 0 2 12 0 1 6 92
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market 0 0 0 3 0 0 1 34
The Estimation of Conditional Densities 0 0 0 6 0 0 3 29
The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions 0 0 0 62 0 0 1 314
The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions 0 0 0 0 0 0 1 16
The Froot and Stein Model Revisited 0 0 2 457 0 0 7 1,434
The Impact of Corporate QE on Liquidity: Evidence from the UK 0 1 1 37 0 1 2 72
The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses 0 0 0 3 0 0 1 8
The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses 0 0 0 11 0 0 2 31
The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets 0 1 1 11 0 1 1 47
The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model 0 0 0 48 0 0 1 216
The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model 0 0 0 95 0 0 1 364
The behaviour of betting and currency markets on the night of the EU referendum 0 0 0 33 0 0 0 52
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 3 45 1 2 10 109
The cross-sectional spillovers of single stock circuit breakers 0 0 0 23 1 1 4 67
The effect of fragmentation in trading on market quality in the UK equity market 0 0 0 27 0 0 1 79
The estimation of conditional densities 0 1 1 7 2 3 4 33
The existence and asymptotic properties of a backfitting projection algorithm under weak conditions 0 0 0 2 1 2 2 42
The existence and asymptotic properties of a backfitting projection algorithm under weak conditions 0 0 0 2 0 0 1 26
The impact of corporate QE on liquidity: evidence from the UK 0 1 4 43 1 3 10 120
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 29
Uniform Bahadur Representation for LocalPolynomial Estimates of M-Regressionand Its Application to The Additive Model 0 0 1 3 2 2 6 36
When will the Covid-19 pandemic peak? 0 0 1 51 0 1 3 144
When will the Covid-19 pandemic peak? 0 0 0 0 0 0 2 7
Yield Curve Estimation by Kernel Smoothing 0 0 0 48 0 0 1 179
Yield Curve Estimation by Kernel Smoothing Methods 0 0 0 357 0 0 0 758
Yield Curve Estimation by Kernel Smoothing Methods 0 0 1 9 0 0 1 67
Yield curve estimation by kernel smoothing methods 0 0 0 5 0 0 1 34
Total Working Papers 12 32 141 19,259 46 146 781 67,368


Journal Article File Downloads Abstract Views
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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 0 37 0 0 1 101
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 0 1 1 167 0 3 8 371
A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM 0 0 2 30 0 0 2 75
A Nonparametric Prewhitened Covariance Estimator 0 0 0 1 1 1 1 8
A ReMeDI for Microstructure Noise 0 1 2 9 1 3 9 27
A coupled component DCS-EGARCH model for intraday and overnight volatility 0 0 0 12 0 0 1 59
A discrete†choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance 0 0 1 4 0 0 1 29
A flexible semiparametric forecasting model for time series 0 1 5 33 0 3 13 133
A multiplicative bias reduction method for nonparametric regression 0 0 0 47 0 0 0 104
A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables 0 0 0 9 0 0 2 40
A nonparametric test of a strong leverage hypothesis 0 0 2 5 1 1 3 50
A polarization-cohesion perspective on cross-country convergence 0 0 1 55 0 0 1 245
A score statistic for testing the presence of a stochastic trend in conditional variances 0 1 1 1 0 1 1 2
A semiparametric model for heterogeneous panel data with fixed effects 0 0 1 23 0 1 5 114
A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom 0 0 0 66 0 1 1 208
A smoothed least squares estimator for threshold regression models 0 0 5 167 1 1 14 403
A unified framework for efficient estimation of general treatment models 0 0 1 2 0 1 5 14
A weighted sieve estimator for nonparametric time series models with nonstationary variables 0 0 1 8 0 1 5 24
AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL 0 0 0 3 0 0 0 26
AN INTRODUCTION TO ECONOMETRIC THEORY 0 0 0 47 0 0 0 131
AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS 0 0 0 8 0 0 1 51
Adaptive Estimation in ARCH Models 0 0 0 10 1 1 1 53
Adaptive testing in arch models 0 0 0 17 0 0 0 119
Additive nonparametric models with time variable and both stationary and nonstationary regressors 0 0 1 6 0 4 8 50
Advances in Robust and Flexible Inference in Econometrics: A Special Issue in Honour of Joel L. Horowitz 0 0 0 8 0 0 2 51
An Asymptotic Expansion in the GARCH(l, 1) Model 0 0 0 12 0 0 1 37
An improved bootstrap test of stochastic dominance 0 0 6 124 1 3 15 339
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 0 76
Are there Monday effects in stock returns: A stochastic dominance approach 0 0 2 128 0 1 6 336
Classification of non-parametric regression functions in longitudinal data models 0 0 0 19 0 1 4 81
Comment 0 0 0 5 0 0 1 36
Comment on “Factor Models for High-Dimensional Tensor Time Series” by Rong Chen, Dan Yang, and Cun-Hui Zhang 0 0 1 5 0 0 4 15
Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 1 0 0 1 15
Consistent Testing for Stochastic Dominance under General Sampling Schemes 0 0 4 192 0 5 18 657
Consistent estimation of a general nonparametric regression function in time series 0 0 0 39 0 0 1 88
EDITORIAL 0 0 0 13 0 0 1 64
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 0 32 0 1 1 115
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 1 15 1 1 2 71
Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models 0 0 0 8 0 0 0 31
Edgeworth approximations for semiparametric instrumental variable estimators and test statistics 0 0 0 24 0 0 0 124
Efficient Semiparametric Estimation of the Fama–French Model and Extensions 0 0 5 78 0 0 8 310
Efficient estimation of a multivariate multiplicative volatility model 0 0 0 86 0 0 0 209
Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity 0 0 0 7 0 0 1 21
Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods 0 0 0 66 0 0 1 274
Estimating features of a distribution from binomial data 0 0 0 51 0 2 5 232
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error 0 0 1 54 0 1 2 170
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error 0 0 2 47 0 1 4 122
Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models 0 0 2 5 0 1 11 21
Estimation and inference in semiparametric quantile factor models 0 2 2 11 0 3 9 44
Estimation of Linear Regression Models from Bid-Ask Data by a Spread-Tolerant Estimator 0 0 0 26 1 1 4 185
Estimation of Semiparametric Models when the Criterion Function Is Not Smooth 0 0 0 53 1 2 11 334
Estimation of a multiplicative correlation structure in the large dimensional case 0 1 1 1 1 2 6 28
Estimation of a nonparametric model for bond prices from cross-section and time series information 0 0 0 5 0 0 2 27
Estimation of semiparametric locally stationary diffusion models 0 0 0 29 0 0 2 83
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 1 3 147 2 5 16 375
Evaluating Value-at-Risk Models via Quantile Regression 0 0 3 25 0 2 7 100
Flexible Term Structure Estimation: Which Method is Preferred? 0 0 1 49 0 0 1 114
GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS 0 0 0 7 0 0 0 53
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
INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS 0 0 0 6 1 1 1 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 1 1 2 188
Implications of High-Frequency Trading for Security Markets 0 0 0 16 0 0 3 89
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 1 94 0 0 1 413
LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS 0 0 0 2 0 0 0 43
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 0 55
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 1 1 1 298 1 1 5 953
Local nonlinear least squares: Using parametric information in nonparametric regression 0 1 2 96 0 4 8 264
More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors 0 0 1 80 0 0 2 201
Multiscale clustering of nonparametric regression curves 0 0 0 9 0 0 2 31
Multivariate density estimation using dimension reducing information and tail flattening transformations 0 0 0 5 0 0 0 54
NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA 0 0 0 8 0 0 0 44
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION 0 0 0 3 1 1 1 11
NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA 0 0 0 7 0 0 0 54
NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA 0 0 0 13 0 0 0 56
Non-parametric regression with a latent time series 0 0 0 56 0 0 0 231
Nonparametric Censored and Truncated Regression 0 0 0 124 0 0 4 549
Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions 0 0 0 40 0 0 1 304
Nonparametric estimation and inference about the overlap of two distributions 0 0 2 89 0 1 5 374
Nonparametric estimation of a periodic sequence in the presence of a smooth trend 0 1 1 7 0 1 3 50
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff 1 1 3 8 4 5 9 27
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves 0 0 0 3 0 0 0 26
Nonparametric factor analysis of residual time series 0 0 0 60 0 0 1 178
Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos 0 0 2 150 1 1 10 502
Nonparametric transformation to white noise 0 0 0 32 0 0 0 128
On internally corrected and symmetrized kernel estimators for nonparametric regression 0 0 0 7 0 0 1 41
QUANTILOGRAMS UNDER STRONG DEPENDENCE 0 0 0 1 0 1 1 6
Review 2 0 0 0 2 0 0 1 35
Review 2 0 0 0 0 0 0 0 1
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 2 685
Semi- and Nonparametric ARCH Processes 0 0 0 0 0 0 1 4
Semiparametric Regression Analysis With Missing Response at Random 0 0 0 65 0 0 1 187
Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series 0 0 0 1 0 0 2 24
Semiparametric dynamic portfolio choice with multiple conditioning variables 0 0 0 4 0 1 2 44
Semiparametric estimation of Markov decision processes with continuous state space 0 0 0 25 0 0 2 113
Semiparametric estimation of a characteristic-based factor model of common stock returns 2 2 4 53 2 2 4 166
Semiparametric estimation of the bid–ask spread in extended roll models 0 0 0 15 0 0 1 66
Semiparametric identification of the bid–ask spread in extended Roll models 0 0 0 7 0 0 1 51
Semiparametric methods in econometrics 0 0 0 109 0 0 1 231
Similarity, dissimilarity and exceptionality: generalizing Gini’s transvariation to measure “differentness” in many distributions 0 0 0 11 0 0 0 35
Standard Errors for Nonparametric Regression 0 0 0 5 0 0 4 17
Symmetrizing and unitizing transformations for linear smoother weights 0 0 0 0 0 1 1 4
THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS 0 0 0 8 0 1 1 48
Testing Conditional Independence Restrictions 0 0 0 6 0 0 2 34
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 0 0 62 0 0 0 210
Testing for Stochastic Monotonicity 0 0 0 98 0 0 4 400
Testing for the stochastic dominance efficiency of a given portfolio 0 0 1 9 1 1 3 91
Testing forward exchange rate unbiasedness efficiently: A semiparametric approach 0 0 0 0 0 0 1 16
Testing forward exchange rate unbiasedness efficiently: a semiparametric approach 0 0 0 247 0 0 1 1,058
Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach 0 0 0 3 0 0 0 9
Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach 0 0 0 241 0 0 0 1,060
Testing the martingale hypothesis for gross returns 0 0 0 2 1 2 2 53
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market 0 0 0 5 0 0 1 35
The Froot-Stein Model Revisited 0 0 0 2 0 0 1 26
The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model 0 0 0 0 0 0 0 134
The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series 0 0 0 39 0 0 0 215
The behaviour of betting and currency markets on the night of the EU referendum 0 0 0 13 0 1 1 53
The common and specific components of dynamic volatility 0 0 2 113 0 0 2 311
The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series 1 2 10 102 3 7 34 391
The lower regression function and testing expectation dependence dominance hypotheses 0 0 0 2 0 1 2 7
The quantilogram: With an application to evaluating directional predictability 0 0 4 84 0 1 9 228
UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL 0 0 1 30 0 0 4 116
When will the Covid-19 pandemic peak? 0 0 0 1 0 1 3 37
Yield curve estimation by kernel smoothing methods 0 0 4 147 0 0 10 501
Total Journal Articles 5 16 97 5,313 28 90 394 19,941


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Financial Econometrics 0 0 0 0 0 2 5 95
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Applied nonparametric methods 0 0 8 800 1 2 18 1,826
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