Access Statistics for Oliver Bruce Linton

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Working Paper File Downloads Abstract Views
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A Coupled Component GARCH Model for Intraday and Overnight Volatility 3 3 8 16 4 9 37 48
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 10 2 4 15 33
A Flexible Semiparametric Model for Time Series 0 0 2 51 1 3 13 72
A GARCH Model of the Implied Volatility of the Swiss Market Index From Option Pricesdffrom Options Prices 0 0 2 308 3 4 18 870
A GARCH model of the implied volatility of the Swiss Market Index from options prices 0 0 1 5 0 1 6 31
A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models 0 0 0 48 0 0 5 216
A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models 0 0 0 1 0 0 3 17
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables 0 1 4 12 1 3 20 42
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables 0 0 0 39 0 1 17 52
A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form 0 0 0 4 0 0 3 15
A Quantilogram Approach to Evaluating Directional Predictability 0 0 0 114 1 1 11 462
A Quantilogram Approach to Evaluating Directional Predictability 0 0 0 1 0 0 9 28
A ReMeDI for Microstructure Noise 0 1 10 49 2 6 57 86
A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom 0 0 0 92 1 2 10 224
A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom 0 0 0 60 1 1 9 159
A Simulation Comparison between Integration and Backfitting Methods of Estimating Separable Nonparametric Regression Models 0 0 0 0 1 1 7 98
A Unified Framework for Efficient Estimation of General Treatment Models 0 0 1 28 1 2 10 21
A coupled component GARCH model for intraday and overnight volatility 0 0 0 25 2 2 7 16
A coupled component GARCH model for intraday and overnight volatility 0 0 1 64 2 2 13 41
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 26 1 4 14 164
A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance 0 0 2 50 1 4 20 63
A flexible semiparametric model for time series 0 0 0 49 1 1 3 83
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 1 1 1 1 9 27
A local instrumental variable estimation method for generalized additive volatility models 0 0 0 1 1 1 4 17
A nonparametric regression estimator that adapts to error distribution of unknown form 0 0 0 2 0 0 5 36
A nonparametric regression estimator that adapts to error distribution of unknown form 0 0 0 32 3 3 3 209
A nonparametric test of a strong leverage hypothesis 0 0 0 26 1 2 6 79
A nonparametric test of the leverage hypothesis 0 0 0 19 0 0 0 59
A quantilogram approach to evaluating directional predictability 0 0 0 1 1 1 3 23
A semiparametric model for heterogeneous panel data with fixed effects 0 0 1 97 1 2 15 250
A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom 0 0 1 4 0 1 29 65
A simple and efficient estimation method for models with nonignorable missing data 0 0 3 127 0 0 7 244
A smoothed least squares estimator for threshold regression models 0 1 5 15 1 2 12 57
Adaptive Estimation in ARCH Models 0 0 0 233 0 0 1 601
Adaptive Testing in ARCH Models 0 0 0 172 0 0 5 879
Additive nonparametric models with time variable and both stationary and nonstationary regressions 0 0 0 17 1 1 5 15
An Alternative Way of ComputingEfficient Instrumental VariableEstimators 0 0 0 1 1 2 9 32
An Analysis of Transformations for Additive Nonparanetric Regression 0 0 0 27 0 0 3 219
An Asymptotic Expansion in the Garch(1,1) Model 0 0 1 203 1 1 3 576
An Improved Bootstrap Test of Stochastic Dominance 0 0 1 72 2 3 13 218
An Optimization Interpretation of Integration and Backfitting Estimators for Separable Nonparametric Models 0 0 0 4 0 0 1 77
An almost closed form estimator for the EGARCH model 0 0 0 74 0 0 3 104
An almost closed form estimator for the EGARCH model 0 0 0 0 0 0 3 11
An alternative way of computing efficient instrumental variable estimators 0 0 0 3 2 3 10 39
An improved bootstrap test of stochastic dominance 0 0 0 20 2 3 13 94
An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability 0 0 2 19 2 4 12 46
An investigation into multivariate variance ratio statistics and their application to stock market predictability 0 0 0 16 1 4 6 41
Applied Nonparametric Methods 1 4 10 1,114 2 10 33 2,248
Applied nonparametric methods 0 1 2 365 3 4 9 923
Are there Monday effects in Stock Returns: A Stochastic Dominance Approach 0 0 0 320 1 2 10 962
Are there Monday effects in stock returns: a stochastic dominance approach 0 1 1 9 0 1 16 55
Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators 0 0 4 15 1 2 10 36
Asymptotic expansions for some semiparametric program evaluation estimators 0 0 1 174 0 1 7 401
Asymptotic expansions for some semiparametric program evaluation estimators 0 0 1 7 1 2 7 44
Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order 0 0 1 11 0 0 8 23
Averaging of moment condition estimators 0 0 0 47 2 3 12 81
Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary 0 0 1 63 0 1 8 197
Bootstrap Tests of Stochastic Dominance with AsymptoticSimilarity on the Boundary 0 0 0 0 0 2 6 23
Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary 0 0 0 23 0 1 7 105
Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary 0 0 0 0 1 2 9 32
Classification of nonparametric regression functions in heterogeneous panels 0 0 0 28 1 1 3 46
Conditional Independence Restrictions: Testing and Estimation 1 6 9 586 6 13 27 2,081
Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error 0 0 1 24 1 2 14 138
Consistent Testing for Stochastic Dominance under General Sampling Schemes 0 1 2 17 3 4 12 78
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 0 189 0 6 14 822
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 0 0 1 5 13 28
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 0 78 0 4 10 475
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 0 39 2 5 12 190
Consistent estimation of the risk-return tradeoff in the presence of measurement error 0 0 0 39 2 4 18 183
Consistent estimation of the risk-return tradeoff in the presence of measurement error 0 0 0 0 1 2 7 28
Consistent testing for stochastic dominance under general sampling schemes 0 0 2 10 0 0 7 55
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 144 1 5 14 609
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 1 2 4 11 32
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 2 1 4 9 43
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 2 2 5 13 38
ESTIMATION OF A SEMIPARAMETRICIGARCH(1,1) MODEL 0 0 0 0 1 1 4 14
Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models 0 0 0 54 0 4 7 486
Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics 0 0 0 0 1 1 3 13
Edgeworth approximations for semiparametric instrumental variable estimators and test statistics 0 0 0 3 1 1 3 24
Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity 1 2 11 41 4 6 32 49
Efficient Estimation of a Multivariate Multiplicative Volatility Model 0 0 0 0 1 3 8 32
Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns 0 0 0 91 2 6 13 282
Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns 0 0 0 59 2 4 11 223
Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns 0 0 1 2 0 2 9 26
Efficient estimation of a multivariate multiplicative volatility model 0 0 1 5 0 0 5 36
Efficient estimation of a semiparametric characteristic-based factor model of security returns 0 0 0 2 0 1 6 41
Efficient estimation of a semiparametric characteristic-based factor model of security returns 0 0 0 1 0 1 6 33
Efficient estimation of conditional risk measures in a semiparametric GARCH model 0 0 0 56 1 2 5 91
Efficient estimation of generalized additive nonparametric regression models 0 0 0 4 0 2 5 47
Estimating Features of a Distribution from Binomial Data 0 0 0 210 3 3 8 1,280
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods 0 0 0 110 2 2 10 493
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods 0 0 0 0 1 1 2 32
Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError 0 0 0 0 0 1 13 27
Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods 0 0 0 0 1 1 5 18
Estimating Semiparametric ARCH Models by Kernel Smoothing Methods 0 0 0 111 0 0 5 338
Estimating Yield Curves by Kernel Smoothing Methods 0 0 0 691 0 1 2 1,883
Estimating additive nonparametric models by partial Lq norm: the curse of fractionality 0 0 0 0 0 0 1 19
Estimating features of a distribution from binomial data 0 0 1 104 1 1 7 706
Estimating features of a distribution from binomial data 0 0 0 0 0 0 6 41
Estimating multiplicative and additive hazard functions by kernel methods 0 0 0 0 4 4 7 25
Estimating quadratic variation consistently in the presence of correlated measurement error 0 0 0 1 1 1 5 23
Estimating semiparametric ARCH (8) models by kernel smoothing methods 0 0 0 1 0 0 4 59
Estimating semiparametric ARCH (∞) models by kernel smoothing methods 0 0 0 1 4 4 5 26
Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise 0 0 0 48 1 3 9 119
Estimating yield curves by Kernel smoothing methods 0 0 1 212 0 0 2 749
Estimation and inference in semiparametric quantile factor models 1 2 2 69 2 11 22 113
Estimation in semiparametric quantile factor models 0 1 6 20 2 5 20 35
Estimation of Additive Regression Models with Links 0 0 0 3 1 2 6 89
Estimation of Linear Regression Models by a Spread-Tolerant Estimator 0 0 0 17 0 1 2 124
Estimation of Semiparametric Models when the Criterion Function is not Smooth 0 0 0 5 2 4 5 46
Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case 1 2 6 22 5 7 24 41
Estimation of a Multiplicative Covariance Structure 0 0 0 26 0 1 4 26
Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case 0 0 0 10 3 5 18 53
Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case 0 0 0 22 0 0 1 31
Estimation of a multiplicative covariance structure in the large dimensional case 0 0 0 2 0 0 6 16
Estimation of linear regression models by a spread-tolerant estimator 0 0 0 0 1 2 3 20
Estimation of semiparametric models when the criterion function is not smooth 0 1 2 147 0 2 7 607
Estimation of semiparametric models when the criterion function is not smooth 0 0 0 2 1 4 11 56
Estimation of tail thickness parameters from GJR-GARCH models 0 1 5 252 1 3 21 825
Evaluating Value-at-Risk Models via Quantile Regression 0 0 2 144 1 6 18 360
Evaluating Value-at-Risk Models via Quantile Regressions 0 0 0 216 0 2 6 528
Evaluating Value-at-Risk models via Quantile Regression 0 0 1 199 0 4 13 528
Evaluating Value-at-Risk models via Quantile regressions 0 0 1 184 3 5 14 403
Evaluating hedge fund performance: a stochastic dominance approach 0 0 1 7 2 4 10 49
Evaluating hedge fund performance: a stochastic dominance approach 0 1 1 157 1 4 10 363
Flexible Term Structure Estimation: Which Method Is Preferred? 0 0 0 182 0 0 12 467
Flexible Term Structure Estimation: Which Method is Preferable? 0 0 0 40 1 2 6 154
Flexible Term Structure Estimation: Which Method is Preferred? 0 0 1 215 0 1 8 476
Flexible term structure estimation: which method is preferable? 0 0 0 1 0 1 6 24
Global Bahadur representation for nonparametric censored regression quantiles and its applications 0 0 0 48 1 6 12 93
High Dimensional Semiparametric Moment Restriction Models 0 1 1 9 2 4 16 33
High dimensional semiparametric moment restriction models 0 0 0 3 0 2 13 27
High dimensional semiparametric moment restriction models 1 1 3 49 4 7 28 93
High dimensional semiparametric moment restriction models 0 0 2 26 0 3 18 43
High dimensional semiparametric moment restriction models 0 0 1 2 0 1 11 17
Identification and Nonparametric Estimation of a Transformed Additively Separable Model 0 0 0 58 1 1 8 256
Identification and nonparametric estimation of a transformed additively separable model 0 0 0 0 2 4 8 43
Implications of High-Frequency Trading for Security Markets 0 1 4 62 1 4 20 67
Implications of high-frequency trading for security markets 0 0 3 14 2 2 14 32
Inference about Realized Volatility using Infill Subsampling 0 0 0 1 0 0 5 15
Inference about realized volatility using infill subsampling 0 0 0 2 0 0 4 20
Inference on a Semiparametric Model with Global Power Law and Local Nonparametric Trends 1 3 4 51 2 7 13 66
Inference on a semiparametric model with global power law and local nonparametric trends 0 0 0 4 2 2 7 22
Integration and Backfitting methods in additive models: finite sample properties and comparison 0 0 0 4 0 0 2 17
Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors 0 0 0 278 0 0 3 866
Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors 0 0 0 208 5 5 9 598
Kernel estimation in a nonparametric marker dependent Hazard Model 0 0 0 134 2 2 3 401
Let's get LADE: robust estimation of semiparametric multiplicative volatility models 0 0 0 33 0 0 1 91
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 0 206 2 3 7 901
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 0 0 1 2 5 20
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 0 104 2 3 8 404
Limit theorems for estimating the parameters of differentiated product demand systems 0 0 0 1 1 2 5 33
Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates 0 0 2 36 0 1 12 80
Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically 0 0 1 286 1 1 5 1,142
Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate 0 0 0 1 1 1 1 19
Loch linear fitting under near epoch dependence: uniform consistency with convergence rate 0 0 0 2 1 2 3 21
Making Inferences About Rich Country - Poor Country Convergence: The Polarization Trapezoid and Overlap measures 0 0 6 70 3 4 27 371
Mean Ratio Statistic for measuring predictability 0 0 0 19 0 0 3 36
More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors 0 0 0 3 1 1 6 36
More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors 0 0 2 239 0 0 7 798
More efficient kernel estimation in nonparametric regression with autocorrelated errors 0 0 1 5 1 1 4 33
Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction 1 2 3 70 1 5 7 87
Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction 0 0 0 30 1 1 5 60
Multiscale clustering of nonparametric regression curves 0 0 1 16 0 0 5 18
Multivariate Variance Ratio Statistics 0 1 1 4 1 3 5 19
Multivariate variance ratio statistics 0 0 0 32 1 2 8 79
Non Parametric Estimation of a Polarization Measure 0 0 0 32 1 2 7 93
Non-parametric transformation regression with non-stationary data 0 0 0 46 2 3 6 65
Nonparametric Censored Regression 0 0 0 408 0 0 6 1,361
Nonparametric Censored and Truncated Regression 0 0 0 2 1 4 20 53
Nonparametric Censored and Truncated Regression 0 0 0 196 1 3 11 523
Nonparametric Censored and Truncated Regression 0 0 0 477 0 4 13 1,873
Nonparametric Estimation of Additive Seperable Regression Models 0 0 0 18 0 1 5 149
Nonparametric Estimation of Homothetic and Homothetically Separable Functions 0 0 1 1 1 1 5 19
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 0 208 1 1 10 678
Nonparametric Estimation of a Polarization Measure 0 0 0 3 1 2 5 36
Nonparametric Estimation of a Polarization Measure 0 0 0 58 2 3 7 183
Nonparametric Estimation with Aggregated Data 0 0 0 0 0 0 6 18
Nonparametric Euler Equation Identification and Estimation 0 0 1 49 0 1 9 133
Nonparametric Euler Equation Identification andEstimation 0 0 0 43 1 4 21 66
Nonparametric Euler equation identification and estimation 0 0 0 41 2 5 11 90
Nonparametric Inference for Unbalanced Time Series Data 0 0 0 3 1 1 2 15
Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions 0 0 1 135 0 0 2 720
Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos 0 0 1 1 0 1 8 20
Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos 1 1 1 368 1 1 3 1,162
Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos 0 0 0 0 0 0 5 18
Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information 1 2 8 49 2 6 24 68
Nonparametric Regression 0 0 0 74 0 0 3 207
Nonparametric Regression with a Latent Time Series 0 0 0 2 2 2 4 20
Nonparametric Transformation to White Noise 0 0 0 2 0 1 7 29
Nonparametric censored and truncated regression 0 0 0 4 2 3 15 67
Nonparametric estimation of a periodic sequence in the presence of a smooth trend 0 0 0 32 2 4 8 51
Nonparametric estimation of a polarization measure 0 0 0 39 2 5 6 101
Nonparametric estimation of a polarization measure 0 0 0 1 5 6 10 35
Nonparametric estimation of a polarization measure 0 0 0 25 1 2 5 64
Nonparametric estimation of homothetic and homothetically separable functions 0 0 2 40 0 0 5 304
Nonparametric estimation of homothetic and homothetically separable functions 0 0 0 5 0 0 2 26
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff 0 0 2 12 0 1 13 37
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves 0 0 0 5 0 2 5 27
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves 0 0 0 4 0 1 4 28
Nonparametric estimation with aggregated data 0 0 0 2 1 1 5 20
Nonparametric estimation with aggregated data 0 0 0 3 1 1 2 24
Nonparametric factor analysis of time series 0 0 0 7 0 1 2 246
Nonparametric inference for unbalance time series data 0 0 0 58 1 2 6 257
Nonparametric inference for unbalanced time series data 0 0 0 0 3 3 3 22
Nonparametric inference for unbalanced time series data 0 0 1 3 3 3 7 29
Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos 0 0 0 2 0 0 4 24
Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos 0 0 0 0 1 1 3 16
Nonparametric neutral network estimation of lyapunov exponents and a direct test for chaos 0 0 0 1 0 0 3 21
Nonparametric transformation to white noise 0 0 0 2 0 1 3 29
On a semiparametric survival model with flexible covariate effect 0 0 0 3 3 4 7 27
Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator 0 0 0 73 0 1 2 148
Optimal Smoothing for a Computationallyand StatisticallyEfficient Single Index Estimator 0 0 0 0 2 2 5 14
Optimal smoothing for a computationally and statistically efficient single index estimator 0 0 0 0 1 1 3 18
Pricing American Options under Stochastic Volatility and Stochastic Interest Rates 0 0 0 21 1 1 2 119
Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form 0 0 0 58 1 1 2 459
Second Order Approximation in the Partially Linear Regression Model 0 1 4 163 0 1 7 1,247
Second-order approximation for adaptive regression estimators 0 0 0 4 0 0 1 21
Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables 0 0 0 32 0 0 10 109
Semiparametric Estimation of Locally Stationary Diffusion Models 0 0 0 4 0 0 1 21
Semiparametric Estimation of Markov Decision Processeswith Continuous State Space 0 0 0 1 2 3 5 22
Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns 0 0 0 154 0 1 5 406
Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns 0 0 0 2 0 1 5 29
Semiparametric Model Averaging of Ultra-High Dimensional Time Series 0 0 1 64 0 0 15 91
Semiparametric Nonlinear Panel Data Models with Measurement Error 0 0 2 4 1 4 17 29
Semiparametric Regression Analysis under Imputation for Missing Response Data 0 0 0 2 0 0 3 14
Semiparametric dynamic portfolio choice with multiple conditioning variables 0 0 0 8 0 0 0 31
Semiparametric estimation of Markov decision processeswith continuous state space 0 0 0 1 1 1 4 25
Semiparametric estimation of a characteristic-based factor model of common stock returns 0 0 0 2 0 1 3 40
Semiparametric estimation of locally stationary diffusion models 0 0 0 4 0 0 1 20
Semiparametric model averaging of ultra-high dimensional time series 1 1 1 28 2 2 12 51
Semiparametric nonlinear panel data models with measurement error 0 0 1 20 1 3 7 21
Semiparametric regression analysis under imputation for missing response data 0 0 0 0 0 0 2 32
Semiparametric regression analysis under imputation for missing response data 0 0 0 31 0 0 4 235
Semiparametric regression analysis with missing response at random 0 0 2 240 0 0 6 710
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model 0 0 0 19 1 1 7 39
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model 0 0 1 33 2 4 19 66
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model 0 0 0 15 0 0 6 23
Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality? 0 0 1 30 5 13 33 166
Some Higher Order Theory for a Consistent Nonparametric Model Specification Test 0 0 1 93 0 0 3 378
TESTING FOR STOCHASTICMONOTONICITY 0 0 0 0 2 3 11 39
Testing Additivity in Generalized Nonparametric Regression Models 0 0 0 0 0 0 2 55
Testing Additivity in Generalized Nonparametric Regression Models 0 0 0 134 0 0 3 898
Testing for Stochastic Dominance Efficiency 0 0 0 58 2 4 6 141
Testing for stochastic monotonicity 0 0 0 1 1 2 10 41
Testing for stochastic monotonicity 0 0 0 52 1 3 11 146
Testing for the stochastic dominance efficiency of a given portfolio 0 0 0 48 1 1 6 145
Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach 0 0 0 643 2 3 17 3,472
Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach 0 0 0 244 0 2 6 1,153
Testing the Capital Asset Pricing Model Efficiently under Elliptical Symmetry: A Semiparametric Approach 0 0 0 4 0 1 5 21
Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach 0 0 0 2 0 1 10 51
The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series 0 0 0 243 4 4 13 952
The Behaviour of Betting and Currency Markets on the Night of the EU Referendum 0 0 0 15 2 3 10 35
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series 0 1 1 5 1 4 12 43
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market 0 0 0 2 1 1 5 27
The Estimation of Conditional Densities 0 0 0 2 1 1 3 15
The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions 0 0 1 61 0 1 9 301
The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions 0 0 0 0 0 0 3 13
The Froot and Stein Model Revisited 0 0 0 452 1 2 8 1,402
The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses 0 0 0 10 0 0 1 19
The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets 0 0 1 10 0 2 8 36
The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model 0 0 0 48 2 2 5 211
The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model 0 0 1 93 1 1 10 353
The behaviour of betting and currency markets on the night of the EU referendum 0 0 2 18 1 2 11 25
The behaviour of betting and currency markets on the night of the EU referendum 0 0 0 32 1 4 13 45
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series 0 0 0 41 0 1 7 80
The cross-sectional spillovers of single stock circuit breakers 0 0 1 18 3 7 24 46
The effect of fragmentation in trading on market quality in the UK equity market 0 1 1 26 0 1 2 72
The estimation of conditional densities 0 0 1 6 1 1 7 23
The existence and asymptotic properties of a backfitting projection algorithm under weak conditions 0 0 0 1 1 1 4 23
The existence and asymptotic properties of a backfitting projection algorithm under weak conditions 0 0 0 1 1 2 6 34
The impact of corporate QE on liquidity: evidence from the UK 1 1 3 34 2 5 32 69
The live method for generalized additive volatility models 0 0 0 1 0 0 1 29
The shape of the risk premium: evidence from a semiparametric GARCH model 0 0 0 1 2 2 7 22
Uniform Bahadur Representation for LocalPolynomial Estimates of M-Regressionand Its Application to The Additive Model 0 0 0 1 3 7 9 20
Yield Curve Estimation by Kernel Smoothing 0 0 0 48 1 1 5 175
Yield Curve Estimation by Kernel Smoothing Methods 0 0 1 5 1 2 10 55
Yield Curve Estimation by Kernel Smoothing Methods 0 0 0 356 0 1 9 755
Yield curve estimation by kernel smoothing methods 0 0 1 3 0 0 5 28
Total Working Papers 15 46 206 17,703 282 600 2,426 61,357
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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 22 1 2 5 295
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution 0 0 0 35 0 1 1 92
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 0 1 2 157 0 2 5 336
A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM 0 0 0 28 0 0 2 72
A Nonparametric Prewhitened Covariance Estimator 0 0 0 0 0 1 2 2
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 1 1 2 8 17
A flexible semiparametric forecasting model for time series 1 1 2 17 4 4 19 96
A multiplicative bias reduction method for nonparametric regression 0 0 1 42 0 0 5 96
A nonparametric test of a strong leverage hypothesis 0 0 0 1 0 0 8 39
A polarization-cohesion perspective on cross-country convergence 0 0 1 52 0 0 11 221
A semiparametric model for heterogeneous panel data with fixed effects 0 0 0 16 1 2 9 90
A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom 0 0 0 64 0 0 10 195
A smoothed least squares estimator for threshold regression models 1 2 11 139 2 4 27 319
AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL 0 1 1 3 0 2 2 17
AN INTRODUCTION TO ECONOMETRIC THEORY 0 0 0 47 0 0 1 118
AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS 0 0 0 5 1 2 8 43
Adaptive Estimation in ARCH Models 0 0 0 9 0 1 3 47
Adaptive testing in arch models 0 0 0 17 0 0 1 115
Additive nonparametric models with time variable and both stationary and nonstationary regressors 0 0 2 2 2 3 12 21
Advances in Robust and Flexible Inference in Econometrics: A Special Issue in Honour of Joel L. Horowitz 0 0 2 7 1 1 10 44
An Asymptotic Expansion in the GARCH(l, 1) Model 0 1 1 12 0 1 2 35
An improved bootstrap test of stochastic dominance 0 0 2 110 2 3 20 284
An optimization interpretation of integration and back‐fitting estimators for separable nonparametric models 0 0 0 0 0 0 0 0
Annals issue on forecasting--Guest editors' introduction 0 0 0 21 0 0 1 69
Are there Monday effects in stock returns: A stochastic dominance approach 0 0 8 113 0 2 24 290
Classification of non-parametric regression functions in longitudinal data models 1 2 4 10 3 7 22 46
Comment 0 0 0 5 1 1 1 25
Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 1 1 0 0 3 13
Consistent Testing for Stochastic Dominance under General Sampling Schemes 0 2 6 164 1 3 25 540
Consistent estimation of a general nonparametric regression function in time series 0 0 0 39 0 0 2 85
EDITORIAL 0 0 0 13 0 0 7 54
EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS 0 0 0 7 0 0 3 51
ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY 0 0 0 2 0 1 1 15
ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS 0 0 0 30 0 3 5 107
ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL 0 0 0 11 0 1 2 54
ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE 0 0 0 12 0 0 1 64
Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models 0 0 0 6 0 0 0 28
Edgeworth approximations for semiparametric instrumental variable estimators and test statistics 0 0 1 24 0 1 4 122
Efficient Semiparametric Estimation of the Fama–French Model and Extensions 0 1 2 66 1 7 23 268
Efficient estimation of a multivariate multiplicative volatility model 0 0 5 81 0 1 14 189
Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods 0 1 1 66 1 2 8 269
Estimating features of a distribution from binomial data 0 0 4 48 0 4 19 211
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error 0 0 0 45 0 0 12 154
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error 0 0 3 36 0 5 19 102
Estimation of Linear Regression Models from Bid-Ask Data by a Spread-Tolerant Estimator 0 0 0 25 0 1 5 169
Estimation of Semiparametric Models when the Criterion Function Is Not Smooth 0 0 2 53 1 3 10 304
Estimation of semiparametric locally stationary diffusion models 0 0 0 17 0 0 6 62
Estimation, Inference and Specification AnalysisH. White, Cambridge University Press, 1994 2 2 3 96 2 3 5 206
Evaluating Value-at-Risk Models via Quantile Regression 0 0 3 19 2 8 21 76
Evaluating Value-at-Risk Models via Quantile Regression 1 2 2 136 2 8 17 329
Flexible Term Structure Estimation: Which Method is Preferred? 0 0 0 46 0 0 2 102
GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS 0 0 0 7 0 2 5 49
HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS 0 0 0 27 1 1 4 91
INTRODUCTION TO THE SPECIAL ISSUE ON INVERSE PROBLEMS 0 0 0 13 0 0 0 40
Identification and nonparametric estimation of a transformed additively separable model 0 0 0 52 1 1 8 175
Implications of High-Frequency Trading for Security Markets 0 1 5 10 1 9 33 45
Integration and backfitting methods in additive models-finite sample properties and comparison 0 0 0 36 0 2 7 122
Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors 0 0 0 93 0 0 2 406
LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS 0 0 0 2 0 1 2 36
LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE 0 0 1 18 0 0 6 91
LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES 0 0 1 9 0 0 4 48
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 1 296 2 4 20 926
Local nonlinear least squares: Using parametric information in nonparametric regression 0 2 5 92 0 3 11 233
More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors 0 0 0 75 1 2 8 192
Multivariate density estimation using dimension reducing information and tail flattening transformations 0 0 0 5 1 1 3 53
NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA 0 0 0 8 0 0 3 40
NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA 0 0 0 6 1 1 1 49
NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA 0 0 1 13 0 1 3 53
Non-parametric regression with a latent time series 0 0 0 56 1 1 6 230
Nonparametric Censored and Truncated Regression 0 0 2 124 1 2 11 517
Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions 0 0 0 40 1 1 11 298
Nonparametric estimation and inference about the overlap of two distributions 1 1 3 75 1 3 10 327
Nonparametric estimation of a periodic sequence in the presence of a smooth trend 0 0 1 4 1 3 15 30
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves 0 0 0 3 1 2 6 21
Nonparametric factor analysis of residual time series 0 0 1 58 0 0 4 172
Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos 0 1 2 146 0 1 6 482
Nonparametric transformation to white noise 0 0 0 31 0 0 3 126
On internally corrected and symmetrized kernel estimators for nonparametric regression 0 0 0 7 0 0 1 37
Review 2 0 0 0 2 0 0 2 33
SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS 0 0 0 10 0 0 3 41
Second Order Approximation in the Partially Linear Regression Model 0 0 1 111 0 2 9 658
Semiparametric Regression Analysis With Missing Response at Random 0 0 2 64 0 1 9 173
Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series 0 0 0 0 0 0 2 3
Semiparametric dynamic portfolio choice with multiple conditioning variables 0 0 0 3 1 1 5 38
Semiparametric estimation of Markov decision processes with continuous state space 0 1 1 19 1 3 8 92
Semiparametric estimation of a characteristic-based factor model of common stock returns 0 1 2 45 1 3 11 150
Semiparametric estimation of the bid–ask spread in extended roll models 0 0 4 7 0 1 24 40
Semiparametric identification of the bid–ask spread in extended Roll models 0 0 1 6 0 1 7 47
Semiparametric methods in econometrics 0 0 1 108 0 0 3 226
Similarity, dissimilarity and exceptionality: generalizing Gini’s transvariation to measure “differentness” in many distributions 0 0 2 9 0 1 8 24
THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS 0 0 0 8 0 2 3 43
Testing Conditional Independence Restrictions 0 0 1 4 0 1 4 23
Testing additivity in generalized nonparametric regression models with estimated parameters 0 0 1 61 0 0 4 207
Testing for Stochastic Monotonicity 0 0 0 97 2 3 15 381
Testing for the stochastic dominance efficiency of a given portfolio 0 0 0 7 0 0 6 80
Testing forward exchange rate unbiasedness efficiently: A semiparametric approach 0 0 0 0 2 2 5 8
Testing forward exchange rate unbiasedness efficiently: a semiparametric approach 1 1 1 246 1 2 8 1,048
Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach 0 0 0 241 0 2 8 1,048
Testing the martingale hypothesis for gross returns 0 0 0 1 0 2 5 43
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market 0 0 1 5 0 1 4 31
The Froot-Stein Model Revisited 0 0 0 2 0 0 0 20
The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model 0 0 0 0 0 1 2 129
The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series 0 0 0 39 0 0 3 206
The behaviour of betting and currency markets on the night of the EU referendum 0 0 3 10 1 4 17 39
The common and specific components of dynamic volatility 0 1 1 108 1 3 9 294
The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series 1 5 16 33 3 15 56 123
The quantilogram: With an application to evaluating directional predictability 0 1 6 64 1 2 26 184
UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL 0 0 0 26 0 1 3 97
Yield curve estimation by kernel smoothing methods 1 1 2 137 1 1 6 465
Total Journal Articles 10 32 139 4,757 58 188 901 17,481


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