Access Statistics for Oliver Bruce Linton

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A Coupled Component GARCH Model for Intraday and Overnight Volatility 0 0 1 20 0 1 10 85
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 0 0 2 46
A Dynamic Network of Arbitrage Characteristics 0 0 2 18 0 0 11 54
A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection 0 0 0 9 0 1 5 25
A Flexible Semiparametric Model for Time Series 0 0 0 53 0 0 1 77
A GARCH Model of the Implied Volatility of the Swiss Market Index From Option Pricesdffrom Options Prices 0 0 1 310 0 1 8 885
A GARCH model of the implied volatility of the Swiss Market Index from options prices 0 0 1 8 0 0 1 38
A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models 0 0 0 50 0 1 2 224
A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models 0 0 0 2 0 0 3 23
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables 0 0 0 40 1 2 2 69
A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables 0 0 0 12 0 1 4 51
A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form 0 0 0 4 0 0 1 20
A Quantilogram Approach to Evaluating Directional Predictability 0 0 0 1 0 0 0 30
A Quantilogram Approach to Evaluating Directional Predictability 0 0 0 117 0 0 0 469
A ReMeDI for Microstructure Noise 1 2 8 75 1 5 20 154
A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom 0 0 0 95 1 1 3 237
A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom 0 0 0 60 0 0 1 164
A Simulation Comparison between Integration and Backfitting Methods of Estimating Separable Nonparametric Regression Models 0 0 0 0 0 0 0 100
A Unified Framework for Efficient Estimation of General Treatment Models 0 0 1 8 0 0 2 21
A Unified Framework for Efficient Estimation of General Treatment Models 0 0 1 6 0 3 6 31
A Unified Framework for Efficient Estimation of General Treatment Models 0 0 1 29 0 0 2 27
A Unified Framework for Specification Tests of Continuous Treatment Effect Models 0 0 1 4 0 0 6 26
A Unified Framework for Specification Tests of Continuous Treatment Effect Models 0 0 0 9 0 0 1 11
A coupled component GARCH model for intraday and overnight volatility 0 0 0 25 0 0 3 21
A coupled component GARCH model for intraday and overnight volatility 0 0 2 66 0 0 5 53
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 50 1 2 6 82
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 30 0 0 5 176
A flexible semiparametric model for time series 0 0 0 50 0 0 3 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 2 31
A local instrumental variable estimation method for generalized additive volatility models 0 0 0 2 0 0 0 19
A nonparametric regression estimator that adapts to error distribution of unknown form 0 0 0 32 1 1 3 214
A nonparametric regression estimator that adapts to error distribution of unknown form 0 0 0 2 0 0 1 38
A nonparametric test of a strong leverage hypothesis 0 0 0 26 0 0 0 82
A nonparametric test of the leverage hypothesis 0 0 0 19 0 0 1 62
A quantilogram approach to evaluating directional predictability 0 0 1 2 0 0 1 25
A semiparametric model for heterogeneous panel data with fixed effects 0 1 1 101 1 2 4 262
A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom 0 0 0 4 0 0 4 72
A simple and efficient estimation method for models with nonignorable missing data 0 0 1 130 0 1 3 262
A smoothed least squares estimator for threshold regression models 0 0 1 18 0 1 5 72
Adaptive Estimation in ARCH Models 0 0 0 234 0 0 1 609
Adaptive Testing in ARCH Models 0 0 0 172 0 0 0 883
Additive nonparametric models with time variable and both stationary and nonstationary regressions 0 0 1 18 0 1 5 30
An Almost Closed Form Estimator For The EGARCH Model 0 0 0 0 0 0 0 3
An Almost Closed Form Estimator for the EGARCH 0 0 0 0 0 0 2 9
An Almost Closed Form Estimator for the EGARCH model 0 0 0 0 0 0 2 6
An Alternative Way of ComputingEfficient Instrumental VariableEstimators 0 0 0 1 0 0 1 35
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 4 583
An Improved Bootstrap Test of Stochastic Dominance 0 0 1 73 0 0 1 223
An Optimization Interpretation of Integration and Backfitting Estimators for Separable Nonparametric Models 0 0 0 4 0 0 2 81
An almost closed form estimator for the EGARCH model 0 0 0 0 1 1 4 21
An almost closed form estimator for the EGARCH model 0 0 0 74 0 0 2 108
An alternative way of computing efficient instrumental variable estimators 0 0 0 3 0 0 2 51
An improved bootstrap test of stochastic dominance 0 0 0 20 0 1 4 100
An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability 1 1 2 22 1 2 5 60
An investigation into multivariate variance ratio statistics and their application to stock market predictability 0 0 0 16 0 0 1 51
Applied Nonparametric Methods 2 4 18 1,151 8 17 51 2,348
Applied nonparametric methods 1 1 1 370 2 2 6 940
Are there Monday effects in Stock Returns: A Stochastic Dominance Approach 0 1 2 322 0 1 6 973
Are there Monday effects in stock returns: a stochastic dominance approach 0 0 0 11 0 0 5 66
Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators 0 0 2 17 0 0 3 41
Asymptotic expansions for some semiparametric program evaluation estimators 0 0 2 177 0 0 4 411
Asymptotic expansions for some semiparametric program evaluation estimators 0 0 0 7 0 0 2 48
Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order 0 0 0 11 0 1 4 31
Averaging of moment condition estimators 0 0 0 48 0 0 4 96
Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary 0 0 0 64 0 0 0 200
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 0 0 0 2 36
Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary 0 0 0 23 0 0 0 106
Classification of nonparametric regression functions in heterogeneous panels 0 0 0 28 2 2 3 50
Conditional Independence Restrictions: Testing and Estimation 1 1 9 604 2 3 17 2,134
Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error 0 0 2 26 0 0 4 150
Consistent Testing for Stochastic Dominance under General Sampling Schemes 0 0 1 21 1 2 3 88
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 1 41 0 2 10 216
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 0 189 0 1 3 837
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 0 1 0 5 11 61
Consistent Testing for Stochastic Dominance: A Subsampling Approach 0 0 0 78 0 1 15 503
Consistent Testing for an Implication of Supermodular Dominance 0 2 8 30 0 7 27 63
Consistent estimation of the risk-return tradeoff in the presence of measurement error 0 0 0 39 0 0 5 193
Consistent estimation of the risk-return tradeoff in the presence of measurement error 0 0 0 0 0 0 1 33
Consistent testing for stochastic dominance under general sampling schemes 0 1 1 13 0 1 1 65
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 1 0 6 18 73
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 144 0 0 4 629
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 3 0 1 9 65
Consistent testing for stochastic dominance: a subsampling approach 0 0 0 2 0 0 7 68
Dynamic Autoregressive Liquidity (DArLiQ) 0 0 9 9 0 0 9 9
Dynamic Autoregressive Liquidity (DArLiQ) 0 0 32 32 1 1 12 12
ESTIMATION OF A SEMIPARAMETRICIGARCH(1,1) MODEL 0 0 0 0 0 0 0 17
Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models 0 0 0 54 0 0 2 491
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 0 26
Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity 0 0 0 50 0 2 8 94
Efficient Estimation of a Multivariate Multiplicative Volatility Model 0 0 0 0 0 0 2 34
Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns 0 0 0 92 0 0 0 288
Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns 0 0 0 60 0 1 2 229
Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns 0 0 0 2 0 0 1 30
Efficient estimation of a multivariate multiplicative volatility model 0 0 0 5 0 0 0 39
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 1 40
Efficient estimation of conditional risk measures in a semiparametric GARCH model 0 0 0 58 0 0 3 96
Efficient estimation of generalized additive nonparametric regression models 0 0 0 5 0 0 2 56
Estimating Features of a Distribution from Binomial Data 0 0 0 210 0 0 0 1,290
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods 0 0 0 111 0 0 1 501
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods 0 0 0 0 0 0 0 36
Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError 0 0 0 0 0 1 7 41
Estimating Semiparametric ARCH (8) Models by Kernel Smoothing Methods 0 0 0 0 0 0 0 21
Estimating Semiparametric ARCH Models by Kernel Smoothing Methods 0 0 0 111 0 0 0 343
Estimating Yield Curves by Kernel Smoothing Methods 0 0 0 691 0 0 0 1,887
Estimating additive nonparametric models by partial Lq norm: the curse of fractionality 0 0 0 0 0 0 1 23
Estimating features of a distribution from binomial data 0 0 0 0 0 0 0 43
Estimating features of a distribution from binomial data 0 0 0 105 0 1 3 712
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 0 24
Estimating semiparametric ARCH (8) models by kernel smoothing methods 0 0 0 1 0 0 1 63
Estimating semiparametric ARCH (∞) models by kernel smoothing methods 0 1 1 3 0 1 2 30
Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise 0 0 0 49 0 0 0 121
Estimating yield curves by Kernel smoothing methods 0 0 0 212 0 0 0 751
Estimation and Inference in Semiparametric Quantile Factor Models 2 2 6 10 2 2 8 43
Estimation and inference in semiparametric quantile factor models 0 1 2 76 0 1 4 136
Estimation in semiparametric quantile factor models 0 0 0 26 0 0 3 49
Estimation of Additive Regression Models with Links 0 0 0 3 0 0 0 91
Estimation of Linear Regression Models by a Spread-Tolerant Estimator 0 0 0 17 0 0 0 127
Estimation of Semiparametric Models when the Criterion Function is not Smooth 0 0 0 6 0 0 1 59
Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case 0 1 1 25 0 2 3 62
Estimation of a Multiplicative Covariance Structure 0 0 0 26 0 0 2 29
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 1 4 10 81
Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information 1 1 1 50 1 1 6 59
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 2 24
Estimation of semiparametric models when the criterion function is not smooth 0 0 0 152 1 1 2 617
Estimation of semiparametric models when the criterion function is not smooth 0 0 1 3 1 1 2 66
Estimation of tail thickness parameters from GJR-GARCH models 0 0 1 257 1 2 8 837
Estimation of the Kronecker Covariance Model by Quadratic Form 0 0 2 6 0 0 4 37
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 0 0 1 145 0 0 2 373
Evaluating Value-at-Risk Models via Quantile Regressions 0 0 1 219 2 2 9 548
Evaluating Value-at-Risk models via Quantile Regression 0 0 0 199 0 0 2 536
Evaluating Value-at-Risk models via Quantile regressions 0 0 0 184 0 0 4 409
Evaluating hedge fund performance: a stochastic dominance approach 0 0 1 158 0 0 1 365
Evaluating hedge fund performance: a stochastic dominance approach 0 0 0 7 0 0 3 55
Flexible Term Structure Estimation: Which Method Is Preferred? 0 1 1 1 0 1 2 2
Flexible Term Structure Estimation: Which Method Is Preferred? 0 0 2 186 0 0 2 484
Flexible Term Structure Estimation: Which Method is Preferable? 0 0 1 42 0 0 3 164
Flexible Term Structure Estimation: Which Method is Preferred? 0 0 1 216 0 0 1 484
Flexible term structure estimation: which method is preferable? 0 0 0 1 0 0 0 29
Global Bahadur representation for nonparametric censored regression quantiles and its applications 0 0 0 49 0 0 3 109
High Dimensional Semiparametric Moment Restriction Models 0 0 0 14 0 1 3 56
High dimensional semiparametric moment restriction models 0 0 0 27 0 1 1 56
High dimensional semiparametric moment restriction models 0 0 0 4 0 1 1 37
High dimensional semiparametric moment restriction models 0 0 1 53 0 0 7 114
High dimensional semiparametric moment restriction models 0 0 0 2 1 1 2 28
Identification and Nonparametric Estimation of a Transformed Additively Separable Model 0 0 0 58 0 1 5 268
Identification and nonparametric estimation of a transformed additively separable model 0 0 0 0 0 0 1 52
Implications of High-Frequency Trading for Security Markets 0 0 0 68 0 1 13 108
Implications of high-frequency trading for security markets 0 0 1 17 0 0 1 46
Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance 0 0 14 14 0 1 8 8
Inference about Realized Volatility using Infill Subsampling 0 0 0 1 0 0 0 17
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 1 52 0 0 2 71
Inference on a semiparametric model with global power law and local nonparametric trends 0 0 0 4 0 0 0 31
Integration and Backfitting methods in additive models: finite sample properties and comparison 0 0 0 4 0 0 2 20
Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors 0 0 0 208 0 0 0 602
Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors 0 0 0 278 0 0 3 875
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 1 34 0 0 2 99
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 0 206 0 0 0 912
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 0 0 0 0 5 37
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 0 104 0 0 3 416
Limit theorems for estimating the parameters of differentiated product demand systems 0 0 0 1 0 1 2 45
Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates 0 0 2 39 0 0 5 90
Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically 0 0 2 289 0 0 2 1,148
Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate 0 0 0 1 0 0 0 22
Loch linear fitting under near epoch dependence: uniform consistency with convergence rate 0 0 0 2 0 0 1 25
Making Inferences About Rich Country - Poor Country Convergence: The Polarization Trapezoid and Overlap measures 0 0 0 72 0 0 0 389
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 0 241 0 0 2 805
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 5 0 0 1 38
Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction 0 0 0 30 0 0 1 63
Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction 0 1 1 71 1 3 3 94
Multiscale clustering of nonparametric regression curves 0 0 0 17 0 0 0 27
Multivariate Variance Ratio Statistics 0 0 0 6 0 0 1 29
Multivariate variance ratio statistics 0 0 0 32 0 0 0 79
Non Parametric Estimation of a Polarization Measure 0 0 1 33 0 0 4 99
Non-Standard Errors 0 2 23 23 10 22 160 160
Non-Standard Errors 2 3 36 36 15 40 233 233
Non-parametric transformation regression with non-stationary data 0 0 0 46 0 0 1 70
Nonparametric Censored Regression 0 0 1 410 1 1 3 1,372
Nonparametric Censored and Truncated Regression 0 0 1 4 0 0 6 67
Nonparametric Censored and Truncated Regression 0 0 1 478 0 0 3 1,881
Nonparametric Censored and Truncated Regression 0 0 0 197 0 0 0 527
Nonparametric Estimation of Additive Seperable Regression Models 0 0 0 18 0 1 5 155
Nonparametric Estimation of Homothetic and Homothetically Separable Functions 0 0 0 1 0 0 1 21
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data 0 0 13 13 0 1 8 8
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data 0 0 53 53 1 2 12 12
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 0 209 0 0 0 683
Nonparametric Estimation of a Polarization Measure 0 0 1 59 0 0 1 186
Nonparametric Estimation of a Polarization Measure 0 0 0 3 0 0 0 38
Nonparametric Estimation with Aggregated Data 0 0 0 0 0 0 0 21
Nonparametric Euler Equation Identi?cation and Estimation 0 0 1 26 0 1 6 27
Nonparametric Euler Equation Identification and Estimation 0 0 1 51 1 1 16 173
Nonparametric Euler Equation Identification andEstimation 1 1 1 46 1 3 8 93
Nonparametric Euler equation identification and estimation 0 0 0 41 1 2 5 109
Nonparametric Inference for Unbalanced Time Series Data 0 0 0 3 0 0 1 19
Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions 0 0 0 135 0 0 4 725
Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos 0 0 0 368 0 0 5 1,168
Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos 0 0 0 1 0 0 3 25
Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos 0 0 0 0 0 0 0 20
Nonparametric Predictive Regressions for Stock Return Prediction 0 0 3 50 0 0 12 41
Nonparametric Predictive Regressions for Stock Return Prediction 2 2 2 122 2 3 4 116
Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information 0 0 2 56 1 1 6 93
Nonparametric Regression 0 0 0 74 1 2 5 215
Nonparametric Regression with a Latent Time Series 0 0 0 2 0 0 0 21
Nonparametric Transformation to White Noise 0 0 0 3 0 0 1 36
Nonparametric censored and truncated regression 0 0 0 4 0 0 1 74
Nonparametric estimation of a periodic sequence in the presence of a smooth trend 0 0 0 32 0 1 2 64
Nonparametric estimation of a polarization measure 0 0 0 25 0 0 0 66
Nonparametric estimation of a polarization measure 0 0 0 1 0 0 0 36
Nonparametric estimation of a polarization measure 0 0 0 39 0 0 0 103
Nonparametric estimation of homothetic and homothetically separable functions 0 0 0 5 0 0 2 30
Nonparametric estimation of homothetic and homothetically separable functions 0 0 0 40 0 0 1 310
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff 0 0 0 12 0 0 0 49
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves 0 0 0 4 0 1 1 31
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 3 0 0 2 28
Nonparametric estimation with aggregated data 0 0 0 2 0 0 0 23
Nonparametric factor analysis of time series 0 0 0 7 0 0 1 252
Nonparametric inference for unbalance time series data 0 0 0 58 0 0 1 262
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 31
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 0 1
Nonparametric transformation to white noise 0 0 0 2 0 0 1 31
On Time Trend of COVID-19: A Panel Data Study 0 0 17 84 1 5 48 321
On Time Trend of COVID-19: A Panel Data Study 0 0 2 46 0 0 3 109
On Unit Free Assessment of The Extent of Multilateral Distributional Variation 0 0 0 4 0 0 6 25
On Unit Free Assessment of The Extent of Multilateral Distributional Variation 0 0 1 30 0 0 1 38
On a semiparametric survival model with flexible covariate effect 0 0 0 3 0 0 0 28
On the Time Trend of COVID-19: A Panel Data Study 0 0 0 2 0 0 4 19
Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator 0 0 0 73 0 0 0 148
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 0 22
Pricing American Options under Stochastic Volatility and Stochastic Interest Rates 0 0 0 22 0 0 1 124
Quantilograms under Strong Dependence 0 0 1 4 0 0 4 9
Quantilograms under Strong Dependence 0 0 0 50 0 1 1 29
Robust Estimation of Integrated and Spot Volatility 1 2 4 36 2 3 7 23
Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form 0 0 1 59 0 0 2 466
Second Order Approximation in the Partially Linear Regression Model 0 0 1 165 0 0 3 1,266
Second-order approximation for adaptive regression estimators 0 0 0 5 0 0 1 25
Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables 0 0 0 32 0 1 2 118
Semiparametric Estimation of Locally Stationary Diffusion Models 0 0 0 6 0 0 3 29
Semiparametric Estimation of Markov Decision Processeswith Continuous State Space 0 0 0 1 0 0 1 28
Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns 0 0 1 155 0 1 2 414
Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns 0 0 0 2 0 0 1 31
Semiparametric Model Averaging of Ultra-High Dimensional Time Series 0 0 0 68 0 0 3 103
Semiparametric Nonlinear Panel Data Models with Measurement Error 0 0 2 6 0 0 4 48
Semiparametric Regression Analysis under Imputation for Missing Response Data 0 0 0 3 0 1 1 20
Semiparametric dynamic portfolio choice with multiple conditioning variables 0 0 0 8 0 0 0 33
Semiparametric estimation of Markov decision processeswith continuous state space 0 0 0 1 0 0 2 29
Semiparametric estimation of a characteristic-based factor model of common stock returns 0 0 0 2 0 0 1 43
Semiparametric estimation of locally stationary diffusion models 0 0 0 6 0 0 1 24
Semiparametric model averaging of ultra-high dimensional time series 0 0 0 32 2 3 6 69
Semiparametric nonlinear panel data models with measurement error 0 0 1 21 0 0 1 24
Semiparametric regression analysis under imputation for missing response data 0 0 0 0 0 0 0 37
Semiparametric regression analysis under imputation for missing response data 0 0 0 31 0 0 3 241
Semiparametric regression analysis with missing response at random 0 0 0 244 0 0 4 741
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model 0 0 1 20 0 0 2 44
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model 0 0 1 16 0 1 2 29
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model 0 0 0 36 1 1 1 81
Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality? 0 0 0 39 1 2 7 252
Some Higher Order Theory for a Consistent Nonparametric Model Specification Test 0 1 2 97 0 1 4 385
TESTING FOR STOCHASTICMONOTONICITY 0 0 0 0 0 0 1 51
Testing Additivity in Generalized Nonparametric Regression Models 0 0 0 134 0 1 1 903
Testing Additivity in Generalized Nonparametric Regression Models 0 0 0 0 0 0 1 59
Testing Stochastic Dominance with Many Conditioning Variables 0 0 2 16 0 0 4 32
Testing for Stochastic Dominance Efficiency 0 0 0 58 0 0 0 144
Testing for Time Stochastic Dominance 0 0 12 58 2 7 59 151
Testing for stochastic monotonicity 0 0 1 53 1 1 4 157
Testing for stochastic monotonicity 0 0 1 2 0 0 2 52
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 1 645 0 0 4 3,484
Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach 0 0 0 244 0 0 1 1,160
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 0 0 53
The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series 0 0 0 243 0 0 1 958
The Behaviour of Betting and Currency Markets on the Night of the EU Referendum 0 0 0 15 0 1 2 42
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series 0 0 1 9 1 2 13 79
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market 0 0 0 3 0 0 1 33
The Estimation of Conditional Densities 1 1 1 4 1 3 4 22
The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions 0 0 0 62 0 0 4 311
The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions 0 0 0 0 0 0 1 14
The Froot and Stein Model Revisited 1 1 1 454 2 3 5 1,424
The Impact of Corporate QE on Liquidity: Evidence from the UK 0 0 1 36 1 1 8 70
The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses 0 0 0 3 0 0 0 7
The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses 0 0 1 11 0 2 5 29
The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets 0 0 0 10 0 1 1 46
The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model 0 0 0 48 0 0 0 213
The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model 0 0 0 95 0 0 1 363
The behaviour of betting and currency markets on the night of the EU referendum 0 0 0 33 0 0 2 51
The behaviour of betting and currency markets on the night of the EU referendum 0 0 0 18 0 0 1 29
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series 0 0 0 42 0 1 10 98
The cross-sectional spillovers of single stock circuit breakers 0 0 3 22 0 0 8 61
The effect of fragmentation in trading on market quality in the UK equity market 0 0 0 27 0 0 0 78
The estimation of conditional densities 0 0 0 6 0 0 1 28
The existence and asymptotic properties of a backfitting projection algorithm under weak conditions 0 0 0 2 0 0 0 40
The existence and asymptotic properties of a backfitting projection algorithm under weak conditions 0 0 0 1 0 0 0 24
The impact of corporate QE on liquidity: evidence from the UK 0 0 1 39 1 3 10 109
The live method for generalized additive volatility models 0 0 0 1 2 2 3 35
The shape of the risk premium: evidence from a semiparametric GARCH model 0 0 0 1 0 0 1 28
Uniform Bahadur Representation for LocalPolynomial Estimates of M-Regressionand Its Application to The Additive Model 0 0 0 2 0 0 2 30
When will the Covid-19 pandemic peak? 0 0 0 0 0 4 4 5
When will the Covid-19 pandemic peak? 0 0 3 50 0 0 6 141
Yield Curve Estimation by Kernel Smoothing 0 0 0 48 0 0 2 178
Yield Curve Estimation by Kernel Smoothing Methods 0 0 0 356 0 0 0 757
Yield Curve Estimation by Kernel Smoothing Methods 0 2 2 8 0 2 4 65
Yield curve estimation by kernel smoothing methods 0 0 0 5 0 1 2 33
Total Working Papers 17 37 369 19,043 88 253 1,457 66,078


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 22 0 0 0 298
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution 1 1 2 37 1 1 2 99
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 0 0 5 163 2 2 11 357
A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM 0 0 0 28 0 0 0 73
A Nonparametric Prewhitened Covariance Estimator 0 0 1 1 0 0 3 7
A ReMeDI for Microstructure Noise 1 2 5 5 4 7 11 11
A coupled component DCS-EGARCH model for intraday and overnight volatility 0 0 4 12 0 1 10 54
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 3 0 1 5 28
A flexible semiparametric forecasting model for time series 0 2 5 28 0 2 6 120
A multiplicative bias reduction method for nonparametric regression 0 1 3 45 0 1 3 102
A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables 1 1 1 9 2 3 6 38
A nonparametric test of a strong leverage hypothesis 0 0 0 2 0 1 1 46
A polarization-cohesion perspective on cross-country convergence 0 0 0 54 0 1 6 243
A score statistic for testing the presence of a stochastic trend in conditional variances 0 0 0 0 0 1 1 1
A semiparametric model for heterogeneous panel data with fixed effects 0 0 2 20 0 1 5 104
A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom 0 0 0 66 0 0 5 206
A smoothed least squares estimator for threshold regression models 0 1 7 159 1 3 25 383
A unified framework for efficient estimation of general treatment models 0 0 1 1 0 0 5 8
A weighted sieve estimator for nonparametric time series models with nonstationary variables 0 1 5 6 0 2 8 17
AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL 0 0 0 3 0 0 1 25
AN INTRODUCTION TO ECONOMETRIC THEORY 0 0 0 47 0 0 4 130
AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS 0 0 1 6 0 0 1 48
Adaptive Estimation in ARCH Models 0 0 0 10 0 0 1 51
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 1 2 5 0 2 10 40
Advances in Robust and Flexible Inference in Econometrics: A Special Issue in Honour of Joel L. Horowitz 0 0 0 7 0 1 2 48
An Asymptotic Expansion in the GARCH(l, 1) Model 0 0 0 12 0 0 0 36
An improved bootstrap test of stochastic dominance 0 2 4 115 2 8 21 311
An optimization interpretation of integration and back‐fitting estimators for separable nonparametric models 0 0 1 1 0 0 1 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 5 123 0 1 14 324
Classification of non-parametric regression functions in longitudinal data models 0 0 5 19 0 0 11 77
Comment 0 0 0 5 0 1 3 34
Comment on “Factor Models for High-Dimensional Tensor Time Series” by Rong Chen, Dan Yang, and Cun-Hui Zhang 1 1 2 2 2 2 3 3
Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 1 0 0 0 14
Consistent Testing for Stochastic Dominance under General Sampling Schemes 0 0 7 181 2 9 41 618
Consistent estimation of a general nonparametric regression function in time series 0 0 0 39 0 0 1 87
EDITORIAL 0 0 0 13 0 0 2 63
EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS 0 0 0 7 0 0 2 57
ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY 0 0 0 2 0 0 1 21
ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS 0 1 2 32 0 1 4 114
ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL 0 0 2 13 0 0 2 59
ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE 1 1 1 13 1 1 1 68
Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models 0 0 2 8 0 0 2 30
Edgeworth approximations for semiparametric instrumental variable estimators and test statistics 0 0 0 24 0 0 2 124
Efficient Semiparametric Estimation of the Fama–French Model and Extensions 0 0 2 71 0 0 12 297
Efficient estimation of a multivariate multiplicative volatility model 0 0 2 86 1 2 9 207
Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity 1 1 1 7 1 1 3 19
Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods 0 0 0 66 0 0 0 273
Estimating features of a distribution from binomial data 0 1 2 51 0 1 4 226
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error 1 2 3 52 1 2 4 165
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error 0 0 7 45 0 0 10 118
Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models 0 0 2 2 1 1 7 7
Estimation and inference in semiparametric quantile factor models 1 3 5 7 2 5 19 31
Estimation of Linear Regression Models from Bid-Ask Data by a Spread-Tolerant Estimator 0 0 0 26 0 0 0 181
Estimation of Semiparametric Models when the Criterion Function Is Not Smooth 0 0 0 53 0 0 2 321
Estimation of a multiplicative correlation structure in the large dimensional case 0 0 0 0 0 2 7 20
Estimation of a nonparametric model for bond prices from cross-section and time series information 0 0 0 5 0 0 5 24
Estimation of semiparametric locally stationary diffusion models 0 0 7 26 0 1 10 78
Estimation, Inference and Specification AnalysisH. White, Cambridge University Press, 1994 1 1 1 100 2 2 5 222
Evaluating Value-at-Risk Models via Quantile Regression 0 1 5 144 2 3 16 357
Evaluating Value-at-Risk Models via Quantile Regression 0 0 0 22 0 1 4 92
Flexible Term Structure Estimation: Which Method is Preferred? 0 0 2 48 0 0 7 112
GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS 0 0 0 7 0 0 1 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 1 5 0 0 2 31
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 6 185
Implications of High-Frequency Trading for Security Markets 0 0 1 15 0 1 9 81
Integration and backfitting methods in additive models-finite sample properties and comparison 0 0 1 37 0 0 1 123
Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors 0 0 0 93 0 0 0 412
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 4 98
LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES 0 0 0 9 0 0 1 55
Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems 0 0 1 297 1 1 7 948
Local nonlinear least squares: Using parametric information in nonparametric regression 0 0 1 94 1 2 9 254
More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors 0 0 2 79 0 0 3 199
Multiscale clustering of nonparametric regression curves 0 0 1 9 0 0 6 28
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 1 44
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION 0 0 1 2 0 0 5 9
NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA 0 0 0 6 0 0 0 53
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 1 231
Nonparametric Censored and Truncated Regression 0 0 0 124 0 0 17 541
Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions 0 0 0 40 0 0 1 303
Nonparametric estimation and inference about the overlap of two distributions 0 0 1 85 0 1 9 363
Nonparametric estimation of a periodic sequence in the presence of a smooth trend 0 0 0 5 0 0 4 44
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff 0 0 0 4 1 1 3 16
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 1 60 0 0 2 177
Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos 0 0 0 146 0 1 4 489
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 0 40
QUANTILOGRAMS UNDER STRONG DEPENDENCE 0 0 1 1 0 0 1 4
Review 2 0 0 0 0 0 0 0 1
Review 2 0 0 0 2 0 0 0 34
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 1 114 1 2 5 681
Semi- and Nonparametric ARCH Processes 0 0 0 0 0 0 2 3
Semiparametric Regression Analysis With Missing Response at Random 0 0 0 64 0 2 6 184
Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series 0 0 0 0 1 3 10 21
Semiparametric dynamic portfolio choice with multiple conditioning variables 0 0 0 4 0 1 2 42
Semiparametric estimation of Markov decision processes with continuous state space 1 1 2 23 1 2 7 108
Semiparametric estimation of a characteristic-based factor model of common stock returns 0 0 1 46 0 1 4 159
Semiparametric estimation of the bid–ask spread in extended roll models 0 0 2 14 1 1 8 64
Semiparametric identification of the bid–ask spread in extended Roll models 0 0 0 7 0 0 1 50
Semiparametric methods in econometrics 0 0 1 109 0 0 2 230
Similarity, dissimilarity and exceptionality: generalizing Gini’s transvariation to measure “differentness” in many distributions 0 0 1 11 0 0 4 34
Standard Errors for Nonparametric Regression 0 0 1 4 0 0 2 11
Symmetrizing and unitizing transformations for linear smoother weights 0 0 0 0 0 0 2 3
THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS 0 0 0 8 0 0 2 47
Testing Conditional Independence Restrictions 0 0 2 6 0 1 5 31
Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach 0 0 1 1 0 0 1 1
Testing additivity in generalized nonparametric regression models with estimated parameters 0 0 0 61 0 0 0 209
Testing for Stochastic Monotonicity 0 0 1 98 0 0 2 395
Testing for the stochastic dominance efficiency of a given portfolio 0 0 1 8 0 0 4 86
Testing forward exchange rate unbiasedness efficiently: A semiparametric approach 0 0 0 0 0 0 1 14
Testing forward exchange rate unbiasedness efficiently: a semiparametric approach 0 0 0 247 0 0 1 1,057
Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach 0 0 1 3 0 0 3 8
Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach 0 0 0 241 0 0 1 1,059
Testing the martingale hypothesis for gross returns 0 0 0 2 0 0 2 49
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market 0 0 0 5 0 0 0 34
The Froot-Stein Model Revisited 0 0 0 2 0 0 0 23
The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model 0 0 0 0 0 0 2 134
The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series 0 0 0 39 0 1 3 214
The behaviour of betting and currency markets on the night of the EU referendum 0 0 1 12 0 0 2 51
The common and specific components of dynamic volatility 0 1 1 111 0 1 6 308
The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series 1 3 24 84 8 19 82 329
The lower regression function and testing expectation dependence dominance hypotheses 0 0 2 2 0 0 3 5
The quantilogram: With an application to evaluating directional predictability 1 1 7 79 3 3 13 218
UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL 0 0 1 29 0 0 2 110
When will the Covid-19 pandemic peak? 0 0 0 1 0 0 6 32
Yield curve estimation by kernel smoothing methods 0 0 3 141 1 2 8 485
Total Journal Articles 12 30 181 5,140 46 121 668 19,318


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