EconPapers    
Economics at your fingertips  
 

Details about Oliver Bruce Linton

E-mail:
Workplace:Faculty of Economics, University of Cambridge, (more information at EDIRC)

Access statistics for papers by Oliver Bruce Linton.

Last updated 2017-02-28. Update your information in the RePEc Author Service.

Short-id: pli253


Jump to Journal Articles Chapters Editor

Working Papers

2017

  1. A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance
    Bank of England working papers, Bank of England Downloads

2016

  1. A coupled component GARCH model for intraday and overnight volatility
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
  2. Estimation of a Multiplicative Covariance Structure
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
  3. Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) Downloads
  4. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016) Downloads
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) Downloads

2015

  1. An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads View citations (1)
  2. Classification of nonparametric regression functions in heterogeneous panels
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
  3. Mean Ratio Statistic for measuring predictability
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
  4. Nonparametric Euler Equation Identification andEstimation
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2011) Downloads View citations (3)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads
  5. Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables
    Discussion Papers, Department of Economics, University of York Downloads View citations (2)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2016)
  6. Semiparametric Model Averaging of Ultra-High Dimensional Time Series
    Discussion Papers, Department of Economics, University of York Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) Downloads

2014

  1. Circuit Breakers on the London Stock Exchange: Do they improve subsequent market quality?
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
  2. Multivariate Variance Ratio Statistics
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2014) Downloads
  3. Single stock circuit breakers on the London Stock Exchange: do they improve subsequent market quality?
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (3)
  4. The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2014) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2016)
  5. The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2016)

2013

  1. A nonparametric test of a strong leverage hypothesis
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2016)
  2. A semiparametric model for heterogeneous panel data with fixed effects
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2015)
  3. An almost closed form estimator for the EGARCH model
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  4. Let's get LADE: robust estimation of semiparametric multiplicative volatility models
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
    See also Journal Article in Econometric Theory (2015)
  5. Non-parametric transformation regression with non-stationary data
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
    See also Journal Article in Econometric Theory (2016)
  6. Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) Downloads

    See also Journal Article in Journal of Multivariate Analysis (2014)

2012

  1. A Flexible Semiparametric Model for Time Series
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) Downloads View citations (1)
  2. A nonparametric test of the leverage hypothesis
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
  3. Averaging of moment condition estimators
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)
  4. Efficient estimation of conditional risk measures in a semiparametric GARCH model
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
  5. Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise
    FMG Discussion Papers, Financial Markets Group Downloads View citations (5)
  6. Foresight: the future of computer trading in financial markets: final project report
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)
  7. Nonparametric estimation of a periodic sequence in the presence of a smooth trend
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
    See also Journal Article in Biometrika (2014)
  8. Testing for the stochastic dominance efficiency of a given portfolio
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)
    See also Journal Article in Econometrics Journal (2014)

2011

  1. A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
    Post-Print, HAL Downloads View citations (5)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (8)
    Boston College Working Papers in Economics, Boston College Department of Economics (2010) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2011)
  2. Global Bahadur representation for nonparametric censored regression quantiles and its applications
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
    See also Journal Article in Econometric Theory (2013)
  3. Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article in Econometric Theory (2012)

2010

  1. Efficient estimation of a multivariate multiplicative volatility model
    Post-Print, HAL Downloads View citations (10)
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2009) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2010)
  2. Estimating Features of a Distribution from Binomial Data
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (15)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2001) Downloads View citations (11)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2011)
  3. Evaluating Value-at-Risk Models via Quantile Regression
    NCER Working Paper Series, National Centre for Econometric Research Downloads View citations (7)
    Also in Working Papers Series, Central Bank of Brazil, Research Department (2008) Downloads View citations (2)
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) Downloads
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) (2008) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (2011)
  4. Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2010) Downloads
  5. Making Inferences About Rich Country - Poor Country Convergence: The Polarization Trapezoid and Overlap measures
    Working Papers, University of Toronto, Department of Economics Downloads
  6. Semiparametric Estimation of Locally Stationary Diffusion Models
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2010) Downloads
  7. Semiparametric Estimation of Markov Decision Processeswith Continuous State Space
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2010) Downloads

    See also Journal Article in Journal of Econometrics (2012)

2009

  1. An Alternative Way of ComputingEfficient Instrumental VariableEstimators
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads View citations (1)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) Downloads View citations (1)
  2. An Improved Bootstrap Test of Stochastic Dominance
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2010)
  3. Consistent estimation of the risk-return tradeoff in the presence of measurement error
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads
    FMG Discussion Papers, Financial Markets Group (2007) Downloads
  4. ESTIMATION OF A SEMIPARAMETRICIGARCH(1,1) MODEL
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    See also Journal Article in Econometric Theory (2011)
  5. Estimation of tail thickness parameters from GJR-GARCH models
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (4)
  6. Non Parametric Estimation of a Polarization Measure
    Working Papers, University of Toronto, Department of Economics Downloads View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) Downloads View citations (3)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) Downloads
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) Downloads View citations (3)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) Downloads View citations (3)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2009) Downloads
  7. Nonparametric Regression with a Latent Time Series
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    See also Journal Article in Econometrics Journal (2009)
  8. Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) Downloads
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2009) Downloads
  9. Uniform Bahadur Representation for LocalPolynomial Estimates of M-Regressionand Its Application to The Additive Model
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    See also Journal Article in Econometric Theory (2010)

2008

  1. Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (4)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) Downloads
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2008) Downloads
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) Downloads View citations (4)
  2. Identification and Nonparametric Estimation of a Transformed Additively Separable Model
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) Downloads

    See also Journal Article in Journal of Econometrics (2010)
  3. Testing for stochastic monotonicity
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) Downloads
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2006) Downloads

    See also Journal Article in Econometrica (2009)

2007

  1. Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (2)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2007) Downloads View citations (2)
    FMG Discussion Papers, Financial Markets Group (2007) Downloads View citations (2)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (2)
  2. Evaluating hedge fund performance: a stochastic dominance approach
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)
    Also in FMG Discussion Papers, Financial Markets Group (2007) Downloads View citations (1)
  3. Inference about Realized Volatility using Infill Subsampling
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (6)

2006

  1. Are there Monday effects in Stock Returns: A Stochastic Dominance Approach
    FMG Discussion Papers, Financial Markets Group Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) Downloads

    See also Journal Article in Journal of Empirical Finance (2007)
  2. Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
  3. Estimating quadratic variation consistently in the presence of correlated measurement error
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (15)
  4. Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads
    See also Journal Article in Econometrica (2007)
  5. Nonparametric Transformation to White Noise
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads View citations (1)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2008)
  6. Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) Downloads

    See also Journal Article in Journal of Empirical Finance (2007)

2005

  1. A smoothed least squares estimator for threshold regression models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2007)
  2. Nonparametric inference for unbalanced time series data
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2004) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) Downloads
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2004) Downloads View citations (1)

    See also Journal Article in Econometric Theory (2005)
  3. Testing for Stochastic Dominance Efficiency
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam Downloads View citations (2)

2004

  1. A GARCH Model of the Implied Volatility of the Swiss Market Index From Option Pricesdffrom Options Prices
    FMG Discussion Papers, Financial Markets Group Downloads View citations (1)
  2. A GARCH model of the implied volatility of the Swiss Market Index from options prices
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
  3. A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models
    FMG Discussion Papers, Financial Markets Group Downloads View citations (1)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) Downloads View citations (1)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2003) Downloads
  4. A Quantilogram Approach to Evaluating Directional Predictability
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2003) Downloads
  5. Consistent Testing for Stochastic Dominance: A Subsampling Approach
    FMG Discussion Papers, Financial Markets Group Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) Downloads View citations (1)
    FMG Discussion Papers, Financial Markets Group (2002) Downloads View citations (8)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2002) Downloads View citations (7)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) Downloads
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2002) Downloads View citations (14)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) Downloads View citations (1)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2002) Downloads View citations (1)
  6. Estimating Semiparametric ARCH Models by Kernel Smoothing Methods
    FMG Discussion Papers, Financial Markets Group Downloads View citations (1)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads View citations (1)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2003) Downloads View citations (1)
  7. Estimation of Linear Regression Models by a Spread-Tolerant Estimator
    FMG Discussion Papers, Financial Markets Group Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) Downloads
  8. Flexible Term Structure Estimation: Which Method is Preferable?
    FMG Discussion Papers, Financial Markets Group Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) Downloads
  9. The Froot and Stein Model Revisited
    Finance, EconWPA Downloads
  10. The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model
    FMG Discussion Papers, Financial Markets Group Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1999) Downloads View citations (2)
  11. The live method for generalized additive volatility models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    See also Journal Article in Econometric Theory (2004)
  12. Yield Curve Estimation by Kernel Smoothing
    FMG Discussion Papers, Financial Markets Group Downloads

2003

  1. Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2001) Downloads View citations (16)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads
  2. Consistent Testing for Stochastic Dominance under General Sampling Schemes
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (16)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads View citations (4)

    See also Journal Article in Review of Economic Studies (2005)
  3. Estimating semiparametric ARCH (∞) models by kernel smoothing methods
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    See also Journal Article in Econometrica (2005)
  4. Estimation of Semiparametric Models when the Criterion Function is not Smooth
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads View citations (32)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2002) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads View citations (42)

    See also Journal Article in Econometrica (2003)
  5. Nonparametric Estimation of Homothetic and Homothetically Separable Functions
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2003) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads
  6. Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) Downloads
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2003) Downloads
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2002) Downloads

    See also Journal Article in Journal of Econometrics (2004)
  7. Semiparametric Regression Analysis under Imputation for Missing Response Data
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) Downloads
  8. Semiparametric regression analysis with missing response at random
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (1)
    See also Journal Article in Journal of the American Statistical Association (2004)

2002

  1. Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads View citations (5)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2002) Downloads View citations (9)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2000) Downloads

    See also Journal Article in Review of Economic Studies (2004)
  2. More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2002) Downloads View citations (1)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) Downloads
  3. Nonparametric estimation with aggregated data
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2000) Downloads
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads

    See also Journal Article in Econometric Theory (2002)

2001

  1. A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) Downloads
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2001) Downloads

    See also Journal Article in Econometric Theory (2007)
  2. Estimating Multiplicative and Additive Hazard Functions by Kernel Methods
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) Downloads
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2001) Downloads View citations (1)
  3. Estimating additive nonparametric models by partial Lq norm: the curse of fractionality
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)
    See also Journal Article in Econometric Theory (2001)
  4. Flexible Term Structure Estimation: Which Method Is Preferred?
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (2)
    Also in FMG Discussion Papers, Financial Markets Group (2001) Downloads View citations (1)

    See also Journal Article in Metrika: International Journal for Theoretical and Applied Statistics (2006)
  5. Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors
    Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics Downloads
    Also in FMG Discussion Papers, Financial Markets Group (2001) Downloads View citations (4)

    See also Journal Article in International Economic Review (2003)
  6. Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  7. Second-order approximation for adaptive regression estimators
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (2)
    See also Journal Article in Econometric Theory (2001)
  8. Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach
    FMG Discussion Papers, Financial Markets Group Downloads
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2000) Downloads View citations (1)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads View citations (1)
    Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal (2001) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2002)
  9. The Estimation of Conditional Densities
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) Downloads

2000

  1. A local instrumental estimation method for generalized additive volatility models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  2. Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads View citations (1)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2002)
  3. Efficient estimation of generalized additive nonparametric regression models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (8)
    See also Journal Article in Econometric Theory (2000)
  4. Nonparametric Censored and Truncated Regression
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads View citations (1)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (1)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads View citations (1)
    Boston College Working Papers in Economics, Boston College Department of Economics (2000) Downloads View citations (4)

    See also Journal Article in Econometrica (2002)
  5. Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns
    FMG Discussion Papers, Financial Markets Group Downloads View citations (1)
  6. The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (1999) Downloads View citations (70)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1997) Downloads View citations (13)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads
  7. Yield Curve Estimation by Kernel Smoothing Methods
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2001)

1998

  1. Estimating Yield Curves by Kernel Smoothing Methods
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1998) Downloads View citations (1)
  2. Integration and Backfitting methods in additive models: finite sample properties and comparison
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads
    See also Journal Article in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research (1999)
  3. Nonparametric Censored Regression
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  4. Nonparametric factor analysis of time series
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
  5. On a semiparametric survival model with flexible covariate effect
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (1)

1997

  1. A Simulation Comparison between Integration and Backfitting Methods of Estimating Separable Nonparametric Regression Models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (2)
  2. Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
  3. Some Higher Order Theory for a Consistent Nonparametric Model Specification Test
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (7)
  4. The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Journal of Econometrics (1999)

1996

  1. An Asymptotic Expansion in the Garch(1,1) Model
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
    See also Journal Article in Econometric Theory (1997)
  2. An Optimization Interpretation of Integration and Backfitting Estimators for Separable Nonparametric Models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
  3. Conditional Independence Restrictions: Testing and Estimation
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (8)
  4. Testing Additivity in Generalized Nonparametric Regression Models aareadme.txt
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1995

  1. Adaptive Testing in ARCH Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article in Econometric Reviews (2000)
  2. An Analysis of Transformations for Additive Nonparanetric Regression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (11)
  3. Estimation of Additive Regression Models with Links
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (7)
  4. Nonparametric Estimation of Additive Seperable Regression Models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (4)
  5. Nonparametric Regression
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (12)
  6. Testing Additivity in Generalized Nonparametric Regression Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)

1994

  1. Applied Nonparametric Methods
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (235)
    Also in Working Papers, Humboldt University, Statistic und Oekonometrie Downloads View citations (5)

    See also Chapter (1986)
  2. Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometric Theory (1996)
  3. Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (9)

1993

  1. Adaptive Estimation in ARCH Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (45)
    See also Journal Article in Econometric Theory (1993)
  2. Second Order Approximation in the Partially Linear Regression Model
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Econometrica (1995)

Undated

  1. Kernel estimation in a nonparametric marker dependent Hazard Model
    Working Papers, Humboldt University, Statistic und Oekonometrie Downloads View citations (4)
  2. We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters, this method can accurately price options with time-to-maturity up to several years. The main advantage of our approach over existing methods lies in its straightforward extension to models with stochastic volatility and stochastic interest rates. We exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and correlations on the American put price
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

Journal Articles

2016

  1. A nonparametric test of a strong leverage hypothesis
    Journal of Econometrics, 2016, 194, (1), 153-186 Downloads
    See also Working Paper (2013)
  2. AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS
    Econometric Theory, 2016, 32, (01), 30-70 Downloads View citations (2)
  3. Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
    Journal of Financial Econometrics, 2016, 14, (2), 261-264 Downloads
  4. Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
    Journal of Econometrics, 2016, 191, (2), 325-347 Downloads
  5. NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA
    Econometric Theory, 2016, 32, (01), 1-29 Downloads
    See also Working Paper (2013)
  6. Semiparametric dynamic portfolio choice with multiple conditioning variables
    Journal of Econometrics, 2016, 194, (2), 309-318 Downloads
    See also Working Paper (2015)
  7. Testing the martingale hypothesis for gross returns
    Journal of Empirical Finance, 2016, 38, (PB), 664-689 Downloads
  8. The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market
    Journal of Applied Econometrics, 2016, 31, (1), 192-213 Downloads
    See also Working Paper (2014)
  9. The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
    Journal of Econometrics, 2016, 193, (1), 251-270 Downloads View citations (4)
    See also Working Paper (2014)

2015

  1. A flexible semiparametric forecasting model for time series
    Journal of Econometrics, 2015, 187, (1), 345-357 Downloads View citations (6)
  2. A semiparametric model for heterogeneous panel data with fixed effects
    Journal of Econometrics, 2015, 188, (2), 327-345 Downloads View citations (4)
    See also Working Paper (2013)
  3. LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS
    Econometric Theory, 2015, 31, (04), 671-702 Downloads
    See also Working Paper (2013)

2014

  1. Advances in Robust and Flexible Inference in Econometrics: A Special Issue in Honour of Joel L. Horowitz
    Econometrics Journal, 2014, 17, (2), Si-Sii Downloads
  2. Nonparametric estimation of a periodic sequence in the presence of a smooth trend
    Biometrika, 2014, 101, (1), 121-140 Downloads View citations (4)
    See also Working Paper (2012)
  3. Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
    Journal of Multivariate Analysis, 2014, 123, (C), 43-67 Downloads View citations (2)
    See also Working Paper (2013)
  4. Testing Conditional Independence Restrictions
    Econometric Reviews, 2014, 33, (5-6), 523-552 Downloads
  5. Testing for the stochastic dominance efficiency of a given portfolio
    Econometrics Journal, 2014, 17, (2), S59-S74 Downloads View citations (3)
    See also Working Paper (2012)

2013

  1. ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
    Econometric Theory, 2013, 29, (04), 771-807 Downloads View citations (3)
  2. GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS
    Econometric Theory, 2013, 29, (05), 941-968 Downloads
    See also Working Paper (2011)

2012

  1. A polarization-cohesion perspective on cross-country convergence
    Journal of Economic Growth, 2012, 17, (1), 49-69 Downloads View citations (15)
  2. EDITORIAL
    Econometrics Journal, 2012, 15, (1), Ci-Cii Downloads
  3. Efficient Semiparametric Estimation of the Fama–French Model and Extensions
    Econometrica, 2012, 80, (2), 713-754 Downloads View citations (13)
  4. Estimation of semiparametric locally stationary diffusion models
    Journal of Econometrics, 2012, 170, (1), 210-233 Downloads View citations (1)
  5. LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES
    Econometric Theory, 2012, 28, (05), 935-958 Downloads View citations (9)
    See also Working Paper (2011)
  6. Nonparametric estimation and inference about the overlap of two distributions
    Journal of Econometrics, 2012, 171, (1), 1-23 Downloads View citations (14)
  7. Semiparametric estimation of Markov decision processes with continuous state space
    Journal of Econometrics, 2012, 166, (2), 320-341 Downloads View citations (5)
    See also Working Paper (2010)

2011

  1. A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
    Journal of Econometrics, 2011, 164, (1), 92-115 Downloads View citations (7)
    See also Working Paper (2011)
  2. Annals issue on forecasting--Guest editors' introduction
    Journal of Econometrics, 2011, 164, (1), 1-3 Downloads
  3. ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL
    Econometric Theory, 2011, 27, (03), 639-661 Downloads View citations (1)
    See also Working Paper (2009)
  4. Estimating features of a distribution from binomial data
    Journal of Econometrics, 2011, 162, (2), 170-188 Downloads View citations (7)
    See also Working Paper (2010)
  5. Evaluating Value-at-Risk Models via Quantile Regression
    Journal of Business & Economic Statistics, 2011, 29, (1), 150-160 Downloads View citations (27)
    Also in Journal of Business & Economic Statistics, 2011, 29, (1), 150-160 (2011) Downloads View citations (19)

    See also Working Paper (2010)
  6. INTRODUCTION TO THE SPECIAL ISSUE ON INVERSE PROBLEMS
    Econometric Theory, 2011, 27, (03), 457-459 Downloads
  7. Multivariate density estimation using dimension reducing information and tail flattening transformations
    Insurance: Mathematics and Economics, 2011, 48, (1), 99-110 Downloads View citations (4)

2010

  1. An improved bootstrap test of stochastic dominance
    Journal of Econometrics, 2010, 154, (2), 186-202 Downloads View citations (38)
    See also Working Paper (2009)
  2. ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
    Econometric Theory, 2010, 26, (01), 1-28 Downloads View citations (12)
  3. Efficient estimation of a multivariate multiplicative volatility model
    Journal of Econometrics, 2010, 159, (1), 55-73 Downloads View citations (16)
    See also Working Paper (2010)
  4. Identification and nonparametric estimation of a transformed additively separable model
    Journal of Econometrics, 2010, 156, (2), 392-407 Downloads View citations (8)
    See also Working Paper (2008)
  5. On internally corrected and symmetrized kernel estimators for nonparametric regression
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2010, 19, (1), 166-186 Downloads View citations (3)
  6. UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL
    Econometric Theory, 2010, 26, (05), 1529-1564 Downloads View citations (26)
    See also Working Paper (2009)

2009

  1. Consistent estimation of a general nonparametric regression function in time series
    Journal of Econometrics, 2009, 152, (1), 70-78 Downloads View citations (9)
  2. Non-parametric regression with a latent time series
    Econometrics Journal, 2009, 12, (2), 187-207 Downloads View citations (3)
    See also Working Paper (2009)
  3. Review 2
    Economic Journal, 2009, 119, (538), F410-F413 Downloads
  4. Testing for Stochastic Monotonicity
    Econometrica, 2009, 77, (2), 585-602 Downloads View citations (22)
    See also Working Paper (2008)

2008

  1. Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
    Journal of Econometrics, 2008, 147, (1), 47-59 Downloads View citations (37)
  2. Nonparametric transformation to white noise
    Journal of Econometrics, 2008, 142, (1), 241-264 Downloads View citations (10)
    See also Working Paper (2006)

2007

  1. A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM
    Econometric Theory, 2007, 23, (03), 371-413 Downloads View citations (7)
    See also Working Paper (2001)
  2. A smoothed least squares estimator for threshold regression models
    Journal of Econometrics, 2007, 141, (2), 704-735 Downloads View citations (32)
    See also Working Paper (2005)
  3. Are there Monday effects in stock returns: A stochastic dominance approach
    Journal of Empirical Finance, 2007, 14, (5), 736-755 Downloads View citations (19)
    See also Working Paper (2006)
  4. HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS
    Econometric Theory, 2007, 23, (06), 1136-1161 Downloads View citations (4)
  5. LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE
    Econometric Theory, 2007, 23, (01), 37-70 Downloads View citations (15)
  6. Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions
    Econometrica, 2007, 75, (4), 1209-1227 Downloads View citations (8)
    See also Working Paper (2006)
  7. Semiparametric estimation of a characteristic-based factor model of common stock returns
    Journal of Empirical Finance, 2007, 14, (5), 694-717 Downloads View citations (10)
    See also Working Paper (2006)
  8. Semiparametric methods in econometrics
    Journal of Econometrics, 2007, 141, (1), 1-4 Downloads View citations (1)
  9. The quantilogram: With an application to evaluating directional predictability
    Journal of Econometrics, 2007, 141, (1), 250-282 Downloads View citations (24)

2006

  1. A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
    Econometric Theory, 2006, 22, (02), 323-337 Downloads View citations (19)
  2. Comment
    Journal of the American Statistical Association, 2006, 101, 998-1001 Downloads
  3. Flexible Term Structure Estimation: Which Method is Preferred?
    Metrika: International Journal for Theoretical and Applied Statistics, 2006, 63, (1), 99-122 Downloads View citations (5)
    See also Working Paper (2001)
  4. The Froot-Stein Model Revisited
    Annals of Actuarial Science, 2006, 1, (01), 37-47 Downloads
  5. The common and specific components of dynamic volatility
    Journal of Econometrics, 2006, 132, (1), 231-255 Downloads View citations (14)

2005

  1. Consistent Testing for Stochastic Dominance under General Sampling Schemes
    Review of Economic Studies, 2005, 72, (3), 735-765 Downloads View citations (151)
    See also Working Paper (2003)
  2. Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods
    Econometrica, 2005, 73, (3), 771-836 Downloads View citations (17)
    See also Working Paper (2003)
  3. NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA
    Econometric Theory, 2005, 21, (01), 143-157 Downloads View citations (1)
    See also Working Paper (2005)

2004

  1. 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation Solution
    Econometric Theory, 2004, 20, (05), 990-993 Downloads View citations (9)
  2. Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems
    Review of Economic Studies, 2004, 71, (3), 613-654 Downloads View citations (27)
    See also Working Paper (2002)
  3. Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
    Journal of Econometrics, 2004, 120, (1), 1-33 Downloads View citations (39)
    See also Working Paper (2003)
  4. Semiparametric Regression Analysis With Missing Response at Random
    Journal of the American Statistical Association, 2004, 99, 334-345 Downloads View citations (32)
    See also Working Paper (2003)
  5. THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
    Econometric Theory, 2004, 20, (06), 1094-1139 Downloads View citations (3)
    See also Working Paper (2004)
  6. Testing forward exchange rate unbiasedness efficiently: a semiparametric approach
    Journal of Applied Economics, 2004, 7, 325-353 Downloads View citations (3)

2003

  1. 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation
    Econometric Theory, 2003, 19, (05), 879-880 Downloads View citations (1)
  2. Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
    Econometrica, 2003, 71, (5), 1591-1608 Downloads View citations (110)
    See also Working Paper (2003)
  3. Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors
    International Economic Review, 2003, 44, (1), 331-357 Downloads View citations (24)
    See also Working Paper (2001)
  4. More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
    Journal of the American Statistical Association, 2003, 98, 980-992 Downloads View citations (15)
  5. The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model
    Journal of Business & Economic Statistics, 2003, 21, (3), 354-67 View citations (8)

2002

  1. Edgeworth approximations for semiparametric instrumental variable estimators and test statistics
    Journal of Econometrics, 2002, 106, (2), 325-368 Downloads View citations (4)
    See also Working Paper (2000)
  2. NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA
    Econometric Theory, 2002, 18, (02), 420-468 Downloads View citations (3)
    See also Working Paper (2002)
  3. Nonparametric Censored and Truncated Regression
    Econometrica, 2002, 70, (2), 765-779 Downloads View citations (33)
    See also Working Paper (2000)
  4. Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach
    Journal of Applied Econometrics, 2002, 17, (6), 617-639 Downloads View citations (26)
    See also Working Paper (2001)

2001

  1. ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY
    Econometric Theory, 2001, 17, (06), 1037-1050 Downloads View citations (3)
    See also Working Paper (2001)
  2. Estimation of Linear Regression Models from Bid-Ask Data by a Spread-Tolerant Estimator
    Annals of Economics and Finance, 2001, 2, (1), 237-248 Downloads
  3. Nonparametric factor analysis of residual time series
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2001, 10, (1), 161-182 Downloads View citations (5)
  4. SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
    Econometric Theory, 2001, 17, (05), 984-1024 Downloads View citations (4)
    See also Working Paper (2001)
  5. Testing additivity in generalized nonparametric regression models with estimated parameters
    Journal of Econometrics, 2001, 104, (1), 1-48 Downloads View citations (30)
  6. Yield curve estimation by kernel smoothing methods
    Journal of Econometrics, 2001, 105, (1), 185-223 Downloads View citations (13)
    See also Working Paper (2000)

2000

  1. Adaptive testing in arch models
    Econometric Reviews, 2000, 19, (2), 145-174 Downloads View citations (4)
    See also Working Paper (1995)
  2. EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS
    Econometric Theory, 2000, 16, (04), 502-523 Downloads View citations (28)
    See also Working Paper (2000)
  3. Local nonlinear least squares: Using parametric information in nonparametric regression
    Journal of Econometrics, 2000, 99, (1), 63-106 Downloads View citations (35)

1999

  1. Integration and backfitting methods in additive models-finite sample properties and comparison
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 1999, 8, (2), 419-458 Downloads View citations (15)
    See also Working Paper (1998)
  2. The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
    Journal of Econometrics, 1999, 91, (1), 1-42 Downloads View citations (20)
    See also Working Paper (1997)

1998

  1. AN INTRODUCTION TO ECONOMETRIC THEORY
    Econometric Theory, 1998, 14, (06), 795-798 Downloads

1997

  1. An Asymptotic Expansion in the GARCH(l, 1) Model
    Econometric Theory, 1997, 13, (04), 558-581 Downloads View citations (1)
    See also Working Paper (1996)
  2. Asymptotic Inefficiency of an Estimator Derived from a Kernel-Based Test Statistic
    Econometric Theory, 1997, 13, (02), 306-307 Downloads View citations (1)
  3. Kernel Regression with “No” Information
    Econometric Theory, 1997, 13, (03), 464-465 Downloads

1996

  1. Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models
    Econometric Theory, 1996, 12, (01), 30-60 Downloads View citations (10)
    See also Working Paper (1994)
  2. Estimation, Inference and Specification Analysis H. White, Cambridge University Press, 1994
    Econometric Theory, 1996, 12, (03), 581-583 Downloads

1995

  1. Differentiation of an Exponential Matrix Function
    Econometric Theory, 1995, 11, (05), 1182-1185 Downloads View citations (2)
  2. Second Order Approximation in the Partially Linear Regression Model
    Econometrica, 1995, 63, (5), 1079-1112 Downloads View citations (57)
    See also Working Paper (1993)

1994

  1. A multiplicative bias reduction method for nonparametric regression
    Statistics & Probability Letters, 1994, 19, (3), 181-187 Downloads View citations (9)

1993

  1. Adaptive Estimation in ARCH Models
    Econometric Theory, 1993, 9, (04), 539-569 Downloads View citations (48)
    See also Working Paper (1993)

Chapters

1986

  1. Applied nonparametric methods
    Chapter 38 in Handbook of Econometrics, 1986, vol. 4, pp 2295-2339 Downloads View citations (10)
    See also Working Paper (1994)

Editor

  1. Econometrics Journal
    Royal Economic Society
  2. Econometrics Journal
    Royal Economic Society
 
Page updated 2017-06-28