Details about Oliver Bruce Linton

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

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Working Papers

2024

1. Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   Also in Papers, arXiv.org (2024)
   Janeway Institute Working Papers, Faculty of Economics, University of Cambridge (2024)
2. Estimating a Density Ratio Model for Stock Market Risk and Option Demand
   Janeway Institute Working Papers, Faculty of Economics, University of Cambridge
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2024)
3. Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects
   Papers, arXiv.org
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2024)
4. Is the EJRA proportionate and therefore justified? A critical review of the EJRA policy at Cambridge
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   Also in Janeway Institute Working Papers, Faculty of Economics, University of Cambridge (2024)
   Papers, arXiv.org (2024)
5. Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   Also in Janeway Institute Working Papers, Faculty of Economics, University of Cambridge (2024)
6. Nonstandard Errors
   Post-Print, HAL
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   Working Papers, Lund University, Department of Economics (2021)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)
7. Should Expected or Most Likely Returns be the Focus in Investment Decisions? Introducing “Most Likely†Versions of Sharpe and Sortino Ratios
   Working Papers, University of Toronto, Department of Economics
8. Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   Also in Janeway Institute Working Papers, Faculty of Economics, University of Cambridge (2024)
9. The Permanent and Temporary Effects of Stock Splits on Liquidity in a Dynamic Semiparametric Model
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   Also in Janeway Institute Working Papers, Faculty of Economics, University of Cambridge (2024)
10. The effect of stock splits on liquidity in a dynamic model
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

2023

11. Dynamic Autoregressive Liquidity (DArLiQ)
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
    Also in LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2022) View citations (1)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2022) View citations (1)
    See also Journal Article Dynamic Autoregressive Liquidity (DArLiQ), Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) (2024)
12. Estimating Time-Varying Networks for High-Dimensional Time Series
    Papers, arXiv.org View citations (2)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022)
    Janeway Institute Working Papers, Faculty of Economics, University of Cambridge (2022)
13. Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance
    Papers, arXiv.org View citations (1)
    Also in Janeway Institute Working Papers, Faculty of Economics, University of Cambridge (2023)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2023)
14. Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    Also in Janeway Institute Working Papers, Faculty of Economics, University of Cambridge (2023)
    See also Journal Article Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach, Journal of Econometrics, Elsevier (2024) View citations (1) (2024)
15. Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
    Papers, arXiv.org
    Also in Working Papers, University of Liverpool, Department of Economics (2022)
    Janeway Institute Working Papers, Faculty of Economics, University of Cambridge (2022)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022)

2022

16. A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation
    Janeway Institute Working Papers, Faculty of Economics, University of Cambridge
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2022)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022)
17. A Structural Dynamic Factor Model for Daily Global Stock Market Returns
    Janeway Institute Working Papers, Faculty of Economics, University of Cambridge View citations (1)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022) View citations (1)
18. Auditing the Auditors: An evaluation of the REF2021 Output Results
    Janeway Institute Working Papers, Faculty of Economics, University of Cambridge View citations (2)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022) View citations (2)
19. CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects
    Janeway Institute Working Papers, Faculty of Economics, University of Cambridge View citations (1)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022) View citations (1)
20. Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?
    Janeway Institute Working Papers, Faculty of Economics, University of Cambridge
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2022)
21. GMM Estimation for High-Dimensional Panel Data Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2022)
    See also Journal Article GMM estimation for high-dimensional panel data models, Journal of Econometrics, Elsevier (2024) View citations (2) (2024)
22. GMM Estimation for High–Dimensional Panel Data Models
    Janeway Institute Working Papers, Faculty of Economics, University of Cambridge

2021

23. A Unified Framework for Specification Tests of Continuous Treatment Effect Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    Also in Papers, arXiv.org (2021)
    See also Journal Article A Unified Framework for Specification Tests of Continuous Treatment Effect Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) (2022)
24. Consistent Testing for an Implication of Supermodular Dominance
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
25. Robust Estimation of Integrated and Spot Volatility
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)

2020

26. A Dynamic Network of Arbitrage Characteristics
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
27. A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
28. Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
    See also Journal Article Estimation of a nonparametric model for bond prices from cross-section and time series information, Journal of Econometrics, Elsevier (2021) (2021)
29. Estimation of a multiplicative correlation structure in the large dimensional case
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (4)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2018)
    See also Journal Article Estimation of a multiplicative correlation structure in the large dimensional case, Journal of Econometrics, Elsevier (2020) View citations (5) (2020)
30. Estimation of the Kronecker Covariance Model by Quadratic Form
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    See also Journal Article ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM, Econometric Theory, Cambridge University Press (2022) (2022)
31. Nonparametric Euler Equation Identi?cation and Estimation
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2015) View citations (1)
    CeMMAP working papers, Institute for Fiscal Studies (2015) View citations (1)
    Boston College Working Papers in Economics, Boston College Department of Economics (2020) View citations (13)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (8)
    See also Journal Article NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION, Econometric Theory, Cambridge University Press (2021) View citations (3) (2021)
32. On Time Trend of COVID-19: A Panel Data Study
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2020) View citations (1)
    Papers, arXiv.org (2020)
33. On Unit Free Assessment of The Extent of Multilateral Distributional Variation
    Working Papers, University of Toronto, Department of Economics View citations (1)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2020)
    See also Journal Article On unit free assessment of the extent of multilateral distributional variation, The Econometrics Journal, Royal Economic Society (2021) View citations (1) (2021)
34. Testing Stochastic Dominance with Many Conditioning Variables
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    See also Journal Article Testing stochastic dominance with many conditioning variables, Journal of Econometrics, Elsevier (2023) View citations (2) (2023)
35. Testing for Time Stochastic Dominance
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    See also Journal Article Testing for time stochastic dominance, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
36. The impact of corporate QE on liquidity: evidence from the UK
    Bank of England working papers, Bank of England View citations (3)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2019) View citations (4)
    See also Journal Article The Impact of Corporate QE on Liquidity: Evidence from the UK, The Economic Journal, Royal Economic Society (2022) View citations (2) (2022)
37. When will the Covid-19 pandemic peak?
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (24)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2020) View citations (25)
    See also Journal Article When will the Covid-19 pandemic peak?, Journal of Econometrics, Elsevier (2021) View citations (22) (2021)

2019

38. A ReMeDI for Microstructure Noise
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
    See also Journal Article A ReMeDI for Microstructure Noise, Econometrica, Econometric Society (2022) View citations (15) (2022)
39. A Unified Framework for Efficient Estimation of General Treatment Models
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2019)
    Papers, arXiv.org (2018) View citations (3)
    See also Journal Article A unified framework for efficient estimation of general treatment models, Quantitative Economics, Econometric Society (2021) View citations (7) (2021)
40. Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (4)
    See also Journal Article Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity, Journal of Econometrics, Elsevier (2019) View citations (4) (2019)
41. Estimation and Inference in Semiparametric Quantile Factor Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2017) View citations (4)
    See also Journal Article Estimation and inference in semiparametric quantile factor models, Journal of Econometrics, Elsevier (2021) View citations (14) (2021)
42. Estimation with Mixed Data Frequencies: A Bias-Correction Approach
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
    See also Journal Article Estimation with mixed data frequencies: A bias-correction approach, Journal of Empirical Finance, Elsevier (2023) (2023)
43. Nonparametric Predictive Regressions for Stock Return Prediction
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2019) View citations (2)
44. Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
45. Semiparametric Nonlinear Panel Data Models with Measurement Error
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018)

2018

46. A Coupled Component GARCH Model for Intraday and Overnight Volatility
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017) View citations (2)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) View citations (2)
47. A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables
    Discussion Papers, Department of Economics, University of York
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2018)
    See also Journal Article A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables, Journal of Econometrics, Elsevier (2019) View citations (17) (2019)
48. A simple and efficient estimation method for models with nonignorable missing data
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (2)
49. Estimation in semiparametric quantile factor models
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (2)
50. High Dimensional Semiparametric Moment Restriction Models
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (3)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018) View citations (3)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018) View citations (3)
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2018) View citations (3)
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2017) View citations (1)
    See also Journal Article High dimensional semiparametric moment restriction models, Journal of Econometrics, Elsevier (2023) View citations (2) (2023)
51. Implications of High-Frequency Trading for Security Markets
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (9)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018) View citations (9)
    See also Journal Article Implications of High-Frequency Trading for Security Markets, Annual Review of Economics, Annual Reviews (2018) (2018)
52. Inference on a semiparametric model with global power law and local nonparametric trends
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2017)
    See also Journal Article INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS, Econometric Theory, Cambridge University Press (2020) View citations (5) (2020)
53. Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (1)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2017)
54. Multiscale clustering of nonparametric regression curves
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (1)
    See also Journal Article Multiscale clustering of nonparametric regression curves, Journal of Econometrics, Elsevier (2020) View citations (7) (2020)
55. Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    See also Journal Article Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff, Journal of Econometrics, Elsevier (2020) View citations (4) (2020)
56. Quantilograms under Strong Dependence
    Working Paper Series, Institute of Economic Research, Seoul National University
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    See also Journal Article QUANTILOGRAMS UNDER STRONG DEPENDENCE, Econometric Theory, Cambridge University Press (2020) (2020)
57. The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    Also in Working Paper Series, Institute of Economic Research, Seoul National University (2018) View citations (2)
    See also Journal Article The lower regression function and testing expectation dependence dominance hypotheses, Econometric Reviews, Taylor & Francis Journals (2021) (2021)
58. The behaviour of betting and currency markets on the night of the EU referendum
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2017) View citations (2)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2018) View citations (1)
    See also Journal Article The behaviour of betting and currency markets on the night of the EU referendum, International Journal of Forecasting, Elsevier (2019) View citations (8) (2019)
59. The cross-sectional spillovers of single stock circuit breakers
    Bank of England working papers, Bank of England View citations (3)

2017

60. A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (32)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017) View citations (32)
    Bank of England working papers, Bank of England (2017) View citations (33)
    CeMMAP working papers, Institute for Fiscal Studies (2017) View citations (7)
61. Additive nonparametric models with time variable and both stationary and nonstationary regressions
    CeMMAP working papers, Institute for Fiscal Studies
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017)
    See also Journal Article Additive nonparametric models with time variable and both stationary and nonstationary regressors, Journal of Econometrics, Elsevier (2018) View citations (35) (2018)
62. An Almost Closed Form Estimator For The EGARCH Model
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (7)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (7)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2013) View citations (6)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016)
    See also Journal Article AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL, Econometric Theory, Cambridge University Press (2017) View citations (7) (2017)
63. The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets
    Bank of England working papers, Bank of England View citations (5)

2016

64. Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in finite order
    CeMMAP working papers, Institute for Fiscal Studies
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016) View citations (2)
65. Estimation of a Multiplicative Covariance Structure
    CeMMAP working papers, Institute for Fiscal Studies
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016)
66. Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016)
    CeMMAP working papers, Institute for Fiscal Studies (2016)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016)
67. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    Also in CeMMAP working papers, Institute for Fiscal Studies (2016)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2016) View citations (2)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2016) View citations (2)

2015

68. 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 View citations (2)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (2)
    CeMMAP working papers, Institute for Fiscal Studies (2015)
69. Classification of nonparametric regression functions in heterogeneous panels
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (6)
    Also in CeMMAP working papers, Institute for Fiscal Studies (2015)
70. Mean Ratio Statistic for measuring predictability
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
    Also in CeMMAP working papers, Institute for Fiscal Studies (2015)
71. Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables
    Discussion Papers, Department of Economics, University of York View citations (3)
    Also in CeMMAP working papers, Institute for Fiscal Studies (2015)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015) View citations (3)
    See also Journal Article Semiparametric dynamic portfolio choice with multiple conditioning variables, Journal of Econometrics, Elsevier (2016) View citations (7) (2016)
72. Semiparametric Model Averaging of Ultra-High Dimensional Time Series
    Discussion Papers, Department of Economics, University of York
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2015)
    CeMMAP working papers, Institute for Fiscal Studies (2015)

2014

73. Multivariate Variance Ratio Statistics
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
    Also in CeMMAP working papers, Institute for Fiscal Studies (2014)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2014) View citations (1)
74. 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 View citations (13)
75. The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
    Also in CeMMAP working papers, Institute for Fiscal Studies (2014)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2014) View citations (6)
    See also Journal Article The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series, Journal of Econometrics, Elsevier (2016) View citations (274) (2016)
76. 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 View citations (1)
    Also in CeMMAP working papers, Institute for Fiscal Studies (2013)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) View citations (3)
    See also Journal Article The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (11) (2016)

2013

77. A nonparametric test of a strong leverage hypothesis
    CeMMAP working papers, Institute for Fiscal Studies
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) View citations (1)
    See also Journal Article A nonparametric test of a strong leverage hypothesis, Journal of Econometrics, Elsevier (2016) View citations (6) (2016)
78. A semiparametric model for heterogeneous panel data with fixed effects
    CeMMAP working papers, Institute for Fiscal Studies
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) View citations (3)
    See also Journal Article A semiparametric model for heterogeneous panel data with fixed effects, Journal of Econometrics, Elsevier (2015) View citations (17) (2015)
79. An Almost Closed Form Estimator for the EGARCH
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (7)
80. Let's get LADE: robust estimation of semiparametric multiplicative volatility models
    CeMMAP working papers, Institute for Fiscal Studies
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013)
    See also Journal Article LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS, Econometric Theory, Cambridge University Press (2015) View citations (4) (2015)
81. Non-parametric transformation regression with non-stationary data
    CeMMAP working papers, Institute for Fiscal Studies
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013)
    See also Journal Article NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA, Econometric Theory, Cambridge University Press (2016) View citations (8) (2016)
82. Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
    Also in CeMMAP working papers, Institute for Fiscal Studies (2013)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013)
    CeMMAP working papers, Institute for Fiscal Studies (2013)
    See also Journal Article Nonparametric estimation of multivariate elliptic densities via finite mixture sieves, Journal of Multivariate Analysis, Elsevier (2014) View citations (5) (2014)

2012

83. A Flexible Semiparametric Model for Time Series
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) View citations (1)
    CeMMAP working papers, Institute for Fiscal Studies (2012)
84. A nonparametric test of the leverage hypothesis
    CeMMAP working papers, Institute for Fiscal Studies
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012)
85. Averaging of moment condition estimators
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (1)
    Also in CeMMAP working papers, Institute for Fiscal Studies (2012)
86. Efficient estimation of conditional risk measures in a semiparametric GARCH model
    CeMMAP working papers, Institute for Fiscal Studies
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012)
87. Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise
    FMG Discussion Papers, Financial Markets Group View citations (7)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2012) View citations (2)
88. 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
    Also in CeMMAP working papers, Institute for Fiscal Studies (2012)
    See also Journal Article Nonparametric estimation of a periodic sequence in the presence of a smooth trend, Biometrika, Biometrika Trust (2014) View citations (14) (2014)
89. Testing for the stochastic dominance efficiency of a given portfolio
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (1)
    Also in CeMMAP working papers, Institute for Fiscal Studies (2012)
    See also Journal Article Testing for the stochastic dominance efficiency of a given portfolio, Econometrics Journal, Royal Economic Society (2014) View citations (23) (2014)

2011

90. A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
    Post-Print, HAL View citations (17)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (2010) View citations (1)
    MPRA Paper, University Library of Munich, Germany (2010) View citations (10)
    See also Journal Article A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom, Journal of Econometrics, Elsevier (2011) View citations (17) (2011)
91. Global Bahadur representation for nonparametric censored regression quantiles and its applications
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
    See also Journal Article GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS, Econometric Theory, Cambridge University Press (2013) View citations (4) (2013)
92. 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
    See also Journal Article LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES, Econometric Theory, Cambridge University Press (2012) View citations (21) (2012)
93. Nonparametric regression with filtered data
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (5)

2010

94. Efficient estimation of a multivariate multiplicative volatility model
    Post-Print, HAL View citations (42)
    Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2009) View citations (1)
    See also Journal Article Efficient estimation of a multivariate multiplicative volatility model, Journal of Econometrics, Elsevier (2010) View citations (46) (2010)
95. Estimating Features of a Distribution from Binomial Data
    Boston College Working Papers in Economics, Boston College Department of Economics View citations (16)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) View citations (1)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2001) View citations (12)
    See also Journal Article Estimating features of a distribution from binomial data, Journal of Econometrics, Elsevier (2011) View citations (18) (2011)
96. Evaluating Value-at-Risk Models via Quantile Regression
    NCER Working Paper Series, National Centre for Econometric Research View citations (10)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009)
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2008) View citations (1)
    Working Papers Series, Central Bank of Brazil, Research Department (2008) View citations (1)
    See also Journal Article Evaluating Value-at-Risk Models via Quantile Regression, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (84) (2011)
97. 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
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2010)
98. Making Inferences About Rich Country - Poor Country Convergence: The Polarization Trapezoid and Overlap measures
    Working Papers, University of Toronto, Department of Economics
99. Semiparametric Estimation of Locally Stationary Diffusion Models
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2010) View citations (2)
100. Semiparametric Estimation of Markov Decision Processeswith Continuous State Space
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2010)
     See also Journal Article Semiparametric estimation of Markov decision processes with continuous state space, Journal of Econometrics, Elsevier (2012) View citations (21) (2012)

2009

101. An Alternative Way of ComputingEfficient Instrumental VariableEstimators
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (1)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) View citations (8)
102. An Improved Bootstrap Test of Stochastic Dominance
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) View citations (2)
     See also Journal Article An improved bootstrap test of stochastic dominance, Journal of Econometrics, Elsevier (2010) View citations (122) (2010)
103. 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
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007)
     FMG Discussion Papers, Financial Markets Group (2007)
104. ESTIMATION OF A SEMIPARAMETRICIGARCH(1,1) MODEL
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
     See also Journal Article ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL, Econometric Theory, Cambridge University Press (2011) View citations (1) (2011)
105. Estimation of tail thickness parameters from GJR-GARCH models
     UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (7)
106. Non Parametric Estimation of a Polarization Measure
     Working Papers, University of Toronto, Department of Economics View citations (2)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) View citations (7)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) View citations (6)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2009) View citations (6)
     UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) View citations (8)
     CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2009) View citations (8)
107. Nonparametric Regression with a Latent Time Series
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (4)
     See also Journal Article Non-parametric regression with a latent time series, Econometrics Journal, Royal Economic Society (2009) View citations (4) (2009)
108. Optimal Smoothing for a Computationallyand StatisticallyEfficient Single Index Estimator
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
     Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2009)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2009) View citations (5)
109. 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 View citations (3)
     See also Journal Article UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL, Econometric Theory, Cambridge University Press (2010) View citations (61) (2010)

2008

110. 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 View citations (6)
     Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2008)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2008) View citations (6)
     CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2008) View citations (7)
111. Identification and Nonparametric Estimation of a Transformed Additively Separable Model
     Boston College Working Papers in Economics, Boston College Department of Economics View citations (4)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) View citations (1)
     See also Journal Article Identification and nonparametric estimation of a transformed additively separable model, Journal of Econometrics, Elsevier (2010) View citations (18) (2010)
112. Testing for stochastic monotonicity
     CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (1)
     Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2006)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006)
     See also Journal Article Testing for Stochastic Monotonicity, Econometrica, Econometric Society (2009) View citations (64) (2009)

2007

113. Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns
     Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (16)
     Also in FMG Discussion Papers, Financial Markets Group (2007) View citations (12)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2007) View citations (8)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (16)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (15)
114. Evaluating hedge fund performance: a stochastic dominance approach
     FMG Discussion Papers, Financial Markets Group View citations (1)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (1)
115. Inference about Realized Volatility using Infill Subsampling
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (6)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (6)
116. Pricing American Options under Stochastic Volatility and Stochastic Interest Rates
     Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2006

117. Are there Monday effects in Stock Returns: A Stochastic Dominance Approach
     FMG Discussion Papers, Financial Markets Group View citations (1)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) View citations (1)
     See also Journal Article Are there Monday effects in stock returns: A stochastic dominance approach, Journal of Empirical Finance, Elsevier (2007) View citations (47) (2007)
118. Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
119. 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 View citations (16)
120. Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions
     Boston College Working Papers in Economics, Boston College Department of Economics
     See also Journal Article Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions, Econometrica, Econometric Society (2007) View citations (15) (2007)
121. Nonparametric Transformation to White Noise
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (4)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) View citations (4)
     See also Journal Article Nonparametric transformation to white noise, Journal of Econometrics, Elsevier (2008) View citations (20) (2008)
122. 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
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006)
     See also Journal Article Semiparametric estimation of a characteristic-based factor model of common stock returns, Journal of Empirical Finance, Elsevier (2007) View citations (37) (2007)

2005

123. A smoothed least squares estimator for threshold regression models
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
     See also Journal Article A smoothed least squares estimator for threshold regression models, Journal of Econometrics, Elsevier (2007) View citations (74) (2007)
124. Nonparametric inference for unbalanced time series data
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (2)
     Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2004) View citations (1)
     CeMMAP working papers, Institute for Fiscal Studies (2004)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) View citations (1)
     CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2004) View citations (1)
     See also Journal Article NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA, Econometric Theory, Cambridge University Press (2005) View citations (2) (2005)
125. 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 View citations (3)

2004

126. A GARCH Model of the Implied Volatility of the Swiss Market Index From Option Pricesdffrom Options Prices
     FMG Discussion Papers, Financial Markets Group View citations (1)
127. 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
128. A Local Instrumental Variable Estimation Method For Generalized Additive Volatility Models
     FMG Discussion Papers, Financial Markets Group View citations (1)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (3)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2003) View citations (3)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) View citations (1)
129. A Quantilogram Approach to Evaluating Directional Predictability
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (3)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (4)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2003) View citations (5)
130. Consistent Testing for Stochastic Dominance: A Subsampling Approach
     FMG Discussion Papers, Financial Markets Group
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) View citations (4)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2002) View citations (13)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2002) View citations (4)
     CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2002) View citations (7)
     FMG Discussion Papers, Financial Markets Group (2002) View citations (7)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) View citations (4)
     CeMMAP working papers, Institute for Fiscal Studies (2002)
131. Estimating Semiparametric ARCH Models by Kernel Smoothing Methods
     FMG Discussion Papers, Financial Markets Group View citations (1)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (5)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2003) View citations (6)
132. Estimating semiparametric ARCH (∞) models by kernel smoothing methods
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (5)
     See also Journal Article Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods, Econometrica, Econometric Society (2005) View citations (58) (2005)
133. Estimation of Linear Regression Models by a Spread-Tolerant Estimator
     FMG Discussion Papers, Financial Markets Group
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004)
134. Flexible Term Structure Estimation: Which Method is Preferable?
     FMG Discussion Papers, Financial Markets Group
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001)
135. The Froot and Stein Model Revisited
     Finance, University Library of Munich, Germany
136. The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model
     FMG Discussion Papers, Financial Markets Group
     Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1999) View citations (2)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000)
137. The live method for generalized additive volatility models
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (3)
     See also Journal Article THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS, Econometric Theory, Cambridge University Press (2004) View citations (3) (2004)
138. Yield Curve Estimation by Kernel Smoothing
     FMG Discussion Papers, Financial Markets Group
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004)

2003

139. Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (3)
     Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2001) View citations (20)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (3)
     CeMMAP working papers, Institute for Fiscal Studies (2001)
140. 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 View citations (23)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (22)
     See also Journal Article Consistent Testing for Stochastic Dominance under General Sampling Schemes, The Review of Economic Studies, Review of Economic Studies Ltd (2005) View citations (317) (2005)
141. 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 View citations (340)
     Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2002)
     CeMMAP working papers, Institute for Fiscal Studies (2002)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (283)
     See also Journal Article Estimation of Semiparametric Models when the Criterion Function Is Not Smooth, Econometrica, Econometric Society (2003) View citations (331) (2003)
142. Nonparametric Estimation of Homothetic and Homothetically Separable Functions
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (1)
     Also in CeMMAP working papers, Institute for Fiscal Studies (2003)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (1)
     CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2003) View citations (1)
143. Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
     Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics View citations (2)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (1)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2002)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2003) View citations (2)
     See also Journal Article Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos, Journal of Econometrics, Elsevier (2004) View citations (66) (2004)
144. Semiparametric Regression Analysis under Imputation for Missing Response Data
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2002)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003)
145. Semiparametric regression analysis with missing response at random
     CeMMAP working papers, Institute for Fiscal Studies View citations (23)
     Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2003) View citations (2)
     See also Journal Article Semiparametric Regression Analysis With Missing Response at Random, Journal of the American Statistical Association, American Statistical Association (2004) View citations (65) (2004)

2002

146. Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (13)
     Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2000)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000)
     Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations (9)
     See also Journal Article Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems, The Review of Economic Studies, Review of Economic Studies Ltd (2004) View citations (87) (2004)
147. 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 View citations (2)
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2002) View citations (2)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2002) View citations (2)
148. Nonparametric estimation with aggregated data
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (11)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2000)
     See also Journal Article NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA, Econometric Theory, Cambridge University Press (2002) View citations (11) (2002)

2001

149. 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
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2001)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001)
     See also Journal Article A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM, Econometric Theory, Cambridge University Press (2007) View citations (13) (2007)
150. Estimating Multiplicative and Additive Hazard Functions by Kernel Methods
     Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (1)
     Also in STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2001)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001)
151. 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 View citations (3)
     See also Journal Article ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY, Econometric Theory, Cambridge University Press (2001) View citations (3) (2001)
152. Flexible Term Structure Estimation: Which Method Is Preferred?
     Yale School of Management Working Papers, Yale School of Management View citations (2)
     Also in FMG Discussion Papers, Financial Markets Group (2001) View citations (1)
     Yale School of Management Working Papers, Yale School of Management (2001)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001)
     See also Journal Article Flexible Term Structure Estimation: Which Method is Preferred?, Metrika: International Journal for Theoretical and Applied Statistics, Springer (2006) View citations (9) (2006)
153. Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors
     FMG Discussion Papers, Financial Markets Group View citations (4)
     Also in Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics (2001) View citations (1)
     See also Journal Article Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2003) View citations (33) (2003)
154. Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
155. Second-order approximation for adaptive regression estimators
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (6)
     See also Journal Article SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS, Econometric Theory, Cambridge University Press (2001) View citations (6) (2001)
156. Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach
     Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal View citations (1)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) View citations (2)
     FMG Discussion Papers, Financial Markets Group (2001)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2000) View citations (2)
     See also Journal Article Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2002) View citations (11) (2002)
157. The Estimation of Conditional Densities
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (14)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) View citations (13)

2000

158. 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
159. 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 View citations (1)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) View citations (1)
     See also Journal Article Edgeworth approximations for semiparametric instrumental variable estimators and test statistics, Journal of Econometrics, Elsevier (2002) View citations (7) (2002)
160. Efficient estimation of generalized additive nonparametric regression models
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (29)
     See also Journal Article EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS, Econometric Theory, Cambridge University Press (2000) View citations (46) (2000)
161. Nonparametric Censored and Truncated Regression
     Boston College Working Papers in Economics, Boston College Department of Economics View citations (5)
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) View citations (1)
     Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (1)
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2000) View citations (1)
     See also Journal Article Nonparametric Censored and Truncated Regression, Econometrica, Econometric Society (2002) View citations (49) (2002)
162. Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns
     FMG Discussion Papers, Financial Markets Group View citations (1)
163. 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
     Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (1999) View citations (104)
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1997) View citations (16)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000)
164. Yield Curve Estimation by Kernel Smoothing Methods
     STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
     Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (1)
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000)
     See also Journal Article Yield curve estimation by kernel smoothing methods, Journal of Econometrics, Elsevier (2001) View citations (23) (2001)

1998

165. Estimating Yield Curves by Kernel Smoothing Methods
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1998) View citations (1)
166. 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
     See also Journal Article 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, Springer (1999) View citations (22) (1999)
167. Nonparametric Censored Regression
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
168. Nonparametric factor analysis of time series
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
169. On a semiparametric survival model with flexible covariate effect
     LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (7)

1997

170. 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)
171. Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
172. Some Higher Order Theory for a Consistent Nonparametric Model Specification Test
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (7)
173. 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 View citations (1)
     See also Journal Article The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series, Journal of Econometrics, Elsevier (1999) View citations (35) (1999)

1996

174. An Asymptotic Expansion in the Garch(1,1) Model
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
     See also Journal Article An Asymptotic Expansion in the GARCH(l, 1) Model, Econometric Theory, Cambridge University Press (1997) View citations (5) (1997)
175. 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
     See also Journal Article An optimization interpretation of integration and back‐fitting estimators for separable nonparametric models, Journal of the Royal Statistical Society Series B, Royal Statistical Society (1998) View citations (18) (1998)
176. Conditional Independence Restrictions: Testing and Estimation
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (11)
177. Testing Additivity in Generalized Nonparametric Regression Models
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
     Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1995) View citations (1)

1995

178. Adaptive Testing in ARCH Models
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
     See also Journal Article Adaptive testing in arch models, Econometric Reviews, Taylor & Francis Journals (2000) View citations (7) (2000)
179. 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 (15)
180. 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)
181. 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 (8)
182. Nonparametric Regression
     SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (12)

1994

183. Applied Nonparametric Methods
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (286)
     Also in Working Papers, Humboldt University, Statistic und Oekonometrie View citations (6)
     See also Chapter Applied nonparametric methods, Handbook of Econometrics, Elsevier (1986) View citations (10) (1986)
184. Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models, Econometric Theory, Cambridge University Press (1996) View citations (24) (1996)
185. Local Nonlinear Least Squares Estimation: Using Parametric Information Nonparametrically
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (12)

1993

186. Adaptive Estimation in ARCH Models
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (76)
     See also Journal Article Adaptive Estimation in ARCH Models, Econometric Theory, Cambridge University Press (1993) View citations (76) (1993)
187. Second Order Approximation in the Partially Linear Regression Model
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (1)
     See also Journal Article Second Order Approximation in the Partially Linear Regression Model, Econometrica, Econometric Society (1995) View citations (86) (1995)

Undated

188. Kernel estimation in a nonparametric marker dependent Hazard Model
     Working Papers, Humboldt University, Statistic und Oekonometrie View citations (4)

Journal Articles

2024

1. Do Consumption-Based Asset Pricing Models Explain the Dynamics of Stock Market Returns?
   JRFM, 2024, 17, (2), 1-41
2. Dynamic Autoregressive Liquidity (DArLiQ)
   Journal of Business & Economic Statistics, 2024, 42, (2), 774-785
   See also Working Paper Dynamic Autoregressive Liquidity (DArLiQ), LIDAM Reprints ISBA (2023) (2023)
3. Dynamic Peer Groups of Arbitrage Characteristics
   Journal of Business & Economic Statistics, 2024, 42, (2), 367-390
4. GMM estimation for high-dimensional panel data models
   Journal of Econometrics, 2024, 244, (1) View citations (2)
   See also Working Paper GMM Estimation for High-Dimensional Panel Data Models, Cambridge Working Papers in Economics (2022) (2022)
5. Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach
   Journal of Econometrics, 2024, 238, (2) View citations (1)
   See also Working Paper Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach, Cambridge Working Papers in Economics (2023) (2023)
6. Nonparametric estimation of mediation effects with a general treatment
   Econometric Reviews, 2024, 43, (2-4), 215-237
7. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard Errors, Post-Print (2024) (2024)

2023

8. Estimation with mixed data frequencies: A bias-correction approach
   Journal of Empirical Finance, 2023, 74, (C)
   See also Working Paper Estimation with Mixed Data Frequencies: A Bias-Correction Approach, CeMMAP working papers (2019) (2019)
9. High dimensional semiparametric moment restriction models
   Journal of Econometrics, 2023, 232, (2), 320-345 View citations (2)
   See also Working Paper High Dimensional Semiparametric Moment Restriction Models, Cambridge Working Papers in Economics (2018) View citations (3) (2018)
10. News-implied linkages and local dependency in the equity market
    Journal of Econometrics, 2023, 235, (2), 779-815 View citations (1)
11. Testing for time stochastic dominance
    Journal of Econometrics, 2023, 235, (2), 352-371 View citations (1)
    See also Working Paper Testing for Time Stochastic Dominance, Cambridge Working Papers in Economics (2020) (2020)
12. Testing stochastic dominance with many conditioning variables
    Journal of Econometrics, 2023, 235, (2), 507-527 View citations (2)
    See also Working Paper Testing Stochastic Dominance with Many Conditioning Variables, Cambridge Working Papers in Economics (2020) (2020)

2022

13. A ReMeDI for Microstructure Noise
    Econometrica, 2022, 90, (1), 367-389 View citations (15)
    See also Working Paper A ReMeDI for Microstructure Noise, Cambridge Working Papers in Economics (2019) View citations (1) (2019)
14. A Unified Framework for Specification Tests of Continuous Treatment Effect Models
    Journal of Business & Economic Statistics, 2022, 40, (4), 1817-1830
    See also Working Paper A Unified Framework for Specification Tests of Continuous Treatment Effect Models, Cambridge Working Papers in Economics (2021) (2021)
15. A score statistic for testing the presence of a stochastic trend in conditional variances
    Economics Letters, 2022, 213, (C)
16. Adjusted-range self-normalized confidence interval construction for censored dependent data
    Economics Letters, 2022, 220, (C) View citations (1)
17. Chaohua Dong, Jiti Gao and Oliver Linton’s contribution to the Discussion of ‘Assumption‐lean inference for generalised linear model parameters’ by Vansteelandt and Dukes
    Journal of the Royal Statistical Society Series B, 2022, 84, (3), 707-708
18. Comment on “Factor Models for High-Dimensional Tensor Time Series” by Rong Chen, Dan Yang, and Cun-Hui Zhang
    Journal of the American Statistical Association, 2022, 117, (537), 117-117
19. ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM
    Econometric Theory, 2022, 38, (5), 1014-1067
    See also Working Paper Estimation of the Kronecker Covariance Model by Quadratic Form, Cambridge Working Papers in Economics (2020) View citations (2) (2020)
20. Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models
    Journal of Econometrics, 2022, 228, (1), 39-61 View citations (3)
21. Shaoran Li, Oliver Linton and Shuyi Ge's contribution to the ‘First Discussion Meeting on Statistical Aspects of the Covid‐19 Pandemic’
    Journal of the Royal Statistical Society Series A, 2022, 185, (4), 1836-1837
22. Shuyi Ge, Oliver Linton and Shaoran Li's contribution to the ‘First Discussion Meeting on Statistical Aspects of the Covid‐19 Pandemic’
    Journal of the Royal Statistical Society Series A, 2022, 185, (4), 1831-1832
23. The Impact of Corporate QE on Liquidity: Evidence from the UK
    The Economic Journal, 2022, 132, (648), 2615-2643 View citations (2)
    See also Working Paper The impact of corporate QE on liquidity: evidence from the UK, Bank of England working papers (2020) View citations (3) (2020)

2021

24. A unified framework for efficient estimation of general treatment models
    Quantitative Economics, 2021, 12, (3), 779-816 View citations (7)
    See also Working Paper A Unified Framework for Efficient Estimation of General Treatment Models, CeMMAP working papers (2019) (2019)
25. A weighted sieve estimator for nonparametric time series models with nonstationary variables
    Journal of Econometrics, 2021, 222, (2), 909-932 View citations (12)
26. Estimation and inference in semiparametric quantile factor models
    Journal of Econometrics, 2021, 222, (1), 295-323 View citations (14)
    See also Working Paper Estimation and Inference in Semiparametric Quantile Factor Models, Cambridge Working Papers in Economics (2019) View citations (3) (2019)
27. Estimation of a nonparametric model for bond prices from cross-section and time series information
    Journal of Econometrics, 2021, 220, (2), 562-588
    See also Working Paper Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information, Monash Econometrics and Business Statistics Working Papers (2020) View citations (2) (2020)
28. NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION
    Econometric Theory, 2021, 37, (5), 851-891 View citations (3)
    See also Working Paper Nonparametric Euler Equation Identi?cation and Estimation, Cambridge Working Papers in Economics (2020) View citations (4) (2020)
29. On unit free assessment of the extent of multilateral distributional variation
    The Econometrics Journal, 2021, 24, (3), 502-518 View citations (1)
    See also Working Paper On Unit Free Assessment of The Extent of Multilateral Distributional Variation, Working Papers (2020) View citations (1) (2020)
30. The lower regression function and testing expectation dependence dominance hypotheses
    Econometric Reviews, 2021, 40, (8), 709-727
    See also Working Paper The Lower Regression Function and Testing Expectation Dependence Dominance Hypotheses, Cambridge Working Papers in Economics (2018) View citations (2) (2018)
31. When will the Covid-19 pandemic peak?
    Journal of Econometrics, 2021, 220, (1), 130-157 View citations (22)
    See also Working Paper When will the Covid-19 pandemic peak?, CeMMAP working papers (2020) View citations (24) (2020)

2020

32. A coupled component DCS-EGARCH model for intraday and overnight volatility
    Journal of Econometrics, 2020, 217, (1), 176-201 View citations (9)
33. Estimation of a multiplicative correlation structure in the large dimensional case
    Journal of Econometrics, 2020, 217, (2), 431-470 View citations (5)
    See also Working Paper Estimation of a multiplicative correlation structure in the large dimensional case, LIDAM Reprints ISBA (2020) View citations (4) (2020)
34. INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS
    Econometric Theory, 2020, 36, (2), 223-249 View citations (5)
    See also Working Paper Inference on a semiparametric model with global power law and local nonparametric trends, CeMMAP working papers (2018) (2018)
35. Multiscale clustering of nonparametric regression curves
    Journal of Econometrics, 2020, 216, (1), 305-325 View citations (7)
    See also Working Paper Multiscale clustering of nonparametric regression curves, CeMMAP working papers (2018) View citations (1) (2018)
36. Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
    Journal of Econometrics, 2020, 219, (2), 389-424 View citations (4)
    See also Working Paper Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff, Cambridge Working Papers in Economics (2018) (2018)
37. QUANTILOGRAMS UNDER STRONG DEPENDENCE
    Econometric Theory, 2020, 36, (3), 457-487
    See also Working Paper Quantilograms under Strong Dependence, Working Paper Series (2018) (2018)
38. Standard Errors for Nonparametric Regression
    Econometric Reviews, 2020, 39, (7), 674-690 View citations (1)

2019

39. A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
    Journal of Econometrics, 2019, 212, (1), 155-176 View citations (17)
    See also Working Paper A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables, Discussion Papers (2018) (2018)
40. Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
    Journal of Econometrics, 2019, 213, (2), 608-631 View citations (4)
    See also Working Paper Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity, Cambridge Working Papers in Economics (2019) View citations (4) (2019)
41. Semiparametric estimation of the bid–ask spread in extended roll models
    Journal of Econometrics, 2019, 208, (1), 160-178
42. The behaviour of betting and currency markets on the night of the EU referendum
    International Journal of Forecasting, 2019, 35, (1), 371-389 View citations (8)
    See also Working Paper The behaviour of betting and currency markets on the night of the EU referendum, Monash Econometrics and Business Statistics Working Papers (2018) View citations (1) (2018)

2018

43. Additive nonparametric models with time variable and both stationary and nonstationary regressors
    Journal of Econometrics, 2018, 207, (1), 212-236 View citations (35)
    See also Working Paper Additive nonparametric models with time variable and both stationary and nonstationary regressions, CeMMAP working papers (2017) (2017)
44. Implications of High-Frequency Trading for Security Markets
    Annual Review of Economics, 2018, 10, (1), 237-259
    See also Working Paper Implications of High-Frequency Trading for Security Markets, Cambridge Working Papers in Economics (2018) View citations (9) (2018)
45. Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
    Journal of the American Statistical Association, 2018, 113, (522), 919-932 View citations (23)

2017

46. A discrete†choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance
    Journal of Applied Econometrics, 2017, 32, (7), 1226-1243 View citations (30)
47. AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
    Econometric Theory, 2017, 33, (4), 1013-1038 View citations (7)
    See also Working Paper An Almost Closed Form Estimator For The EGARCH Model, LIDAM Reprints ISBA (2017) View citations (7) (2017)
48. Classification of non-parametric regression functions in longitudinal data models
    Journal of the Royal Statistical Society Series B, 2017, 79, (1), 5-27 View citations (15)
49. Semiparametric identification of the bid–ask spread in extended Roll models
    Journal of Econometrics, 2017, 200, (2), 312-325 View citations (2)
50. Similarity, dissimilarity and exceptionality: generalizing Gini’s transvariation to measure “differentness” in many distributions
    METRON, 2017, 75, (2), 161-180 View citations (7)

2016

51. A nonparametric test of a strong leverage hypothesis
    Journal of Econometrics, 2016, 194, (1), 153-186 View citations (6)
    See also Working Paper A nonparametric test of a strong leverage hypothesis, CeMMAP working papers (2013) (2013)
52. AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS
    Econometric Theory, 2016, 32, (1), 30-70 View citations (12)
53. 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
54. 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 View citations (13)
55. NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA
    Econometric Theory, 2016, 32, (1), 1-29 View citations (8)
    See also Working Paper Non-parametric transformation regression with non-stationary data, CeMMAP working papers (2013) (2013)
56. Semiparametric dynamic portfolio choice with multiple conditioning variables
    Journal of Econometrics, 2016, 194, (2), 309-318 View citations (7)
    See also Working Paper Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables, Discussion Papers (2015) View citations (3) (2015)
57. Testing the martingale hypothesis for gross returns
    Journal of Empirical Finance, 2016, 38, (PB), 664-689 View citations (1)
58. The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market
    Journal of Applied Econometrics, 2016, 31, (1), 192-213 View citations (11)
    See also Working Paper The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market, Cambridge Working Papers in Economics (2014) View citations (1) (2014)
59. The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
    Journal of Econometrics, 2016, 193, (1), 251-270 View citations (274)
    See also Working Paper The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series, Cambridge Working Papers in Economics (2014) View citations (6) (2014)

2015

60. A flexible semiparametric forecasting model for time series
    Journal of Econometrics, 2015, 187, (1), 345-357 View citations (27)
61. A semiparametric model for heterogeneous panel data with fixed effects
    Journal of Econometrics, 2015, 188, (2), 327-345 View citations (17)
    See also Working Paper A semiparametric model for heterogeneous panel data with fixed effects, CeMMAP working papers (2013) (2013)
62. LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS
    Econometric Theory, 2015, 31, (4), 671-702 View citations (4)
    See also Working Paper Let's get LADE: robust estimation of semiparametric multiplicative volatility models, CeMMAP working papers (2013) (2013)

2014

63. Advances in Robust and Flexible Inference in Econometrics: A Special Issue in Honour of Joel L. Horowitz
    Econometrics Journal, 2014, 17, (2), Si-Sii
64. Nonparametric estimation of a periodic sequence in the presence of a smooth trend
    Biometrika, 2014, 101, (1), 121-140 View citations (14)
    See also Working Paper Nonparametric estimation of a periodic sequence in the presence of a smooth trend, CeMMAP working papers (2012) (2012)
65. Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
    Journal of Multivariate Analysis, 2014, 123, (C), 43-67 View citations (5)
    See also Working Paper Nonparametric estimation of multivariate elliptic densities via finite mixture sieves, CeMMAP working papers (2013) (2013)
66. Testing Conditional Independence Restrictions
    Econometric Reviews, 2014, 33, (5-6), 523-552 View citations (7)
67. Testing for the stochastic dominance efficiency of a given portfolio
    Econometrics Journal, 2014, 17, (2), S59-S74 View citations (23)
    See also Working Paper Testing for the stochastic dominance efficiency of a given portfolio, CeMMAP working papers (2012) View citations (1) (2012)

2013

68. ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
    Econometric Theory, 2013, 29, (4), 771-807 View citations (15)
69. GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS
    Econometric Theory, 2013, 29, (5), 941-968 View citations (4)
    See also Working Paper Global Bahadur representation for nonparametric censored regression quantiles and its applications, CeMMAP working papers (2011) (2011)

2012

70. A polarization-cohesion perspective on cross-country convergence
    Journal of Economic Growth, 2012, 17, (1), 49-69 View citations (27)
71. EDITORIAL
    Econometrics Journal, 2012, 15, (1), Ci-Cii
72. Efficient Semiparametric Estimation of the Fama–French Model and Extensions
    Econometrica, 2012, 80, (2), 713-754 View citations (51)
73. Estimation of semiparametric locally stationary diffusion models
    Journal of Econometrics, 2012, 170, (1), 210-233 View citations (12)
74. LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES
    Econometric Theory, 2012, 28, (5), 935-958 View citations (21)
    See also Working Paper Local Linear Fitting Under Near Epoch Dependence: Uniform consistency with Convergence Rates, Monash Econometrics and Business Statistics Working Papers (2011) (2011)
75. Nonparametric estimation and inference about the overlap of two distributions
    Journal of Econometrics, 2012, 171, (1), 1-23 View citations (30)
76. Semiparametric estimation of Markov decision processes with continuous state space
    Journal of Econometrics, 2012, 166, (2), 320-341 View citations (21)
    See also Working Paper Semiparametric Estimation of Markov Decision Processeswith Continuous State Space, STICERD - Econometrics Paper Series (2010) (2010)

2011

77. A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
    Journal of Econometrics, 2011, 164, (1), 92-115 View citations (17)
    See also Working Paper A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom, Post-Print (2011) View citations (17) (2011)
78. Annals issue on forecasting--Guest editors' introduction
    Journal of Econometrics, 2011, 164, (1), 1-3 View citations (1)
79. ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL
    Econometric Theory, 2011, 27, (3), 639-661 View citations (1)
    See also Working Paper ESTIMATION OF A SEMIPARAMETRICIGARCH(1,1) MODEL, STICERD - Econometrics Paper Series (2009) (2009)
80. Estimating features of a distribution from binomial data
    Journal of Econometrics, 2011, 162, (2), 170-188 View citations (18)
    See also Working Paper Estimating Features of a Distribution from Binomial Data, Boston College Working Papers in Economics (2010) View citations (16) (2010)
81. Evaluating Value-at-Risk Models via Quantile Regression
    Journal of Business & Economic Statistics, 2011, 29, (1), 150-160 View citations (84)
    Also in Journal of Business & Economic Statistics, 2011, 29, (1), 150-160 (2011) View citations (84)
    See also Working Paper Evaluating Value-at-Risk Models via Quantile Regression, NCER Working Paper Series (2010) View citations (10) (2010)
82. INTRODUCTION TO THE SPECIAL ISSUE ON INVERSE PROBLEMS
    Econometric Theory, 2011, 27, (3), 457-459
83. Multivariate density estimation using dimension reducing information and tail flattening transformations
    Insurance: Mathematics and Economics, 2011, 48, (1), 99-110 View citations (5)
84. Semi- and Nonparametric ARCH Processes
    Journal of Probability and Statistics, 2011, 2011, 1-17 View citations (2)

2010

85. An improved bootstrap test of stochastic dominance
    Journal of Econometrics, 2010, 154, (2), 186-202 View citations (122)
    See also Working Paper An Improved Bootstrap Test of Stochastic Dominance, Cowles Foundation Discussion Papers (2009) View citations (1) (2009)
86. ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
    Econometric Theory, 2010, 26, (1), 1-28 View citations (18)
87. Efficient estimation of a multivariate multiplicative volatility model
    Journal of Econometrics, 2010, 159, (1), 55-73 View citations (46)
    See also Working Paper Efficient estimation of a multivariate multiplicative volatility model, Post-Print (2010) View citations (42) (2010)
88. Identification and nonparametric estimation of a transformed additively separable model
    Journal of Econometrics, 2010, 156, (2), 392-407 View citations (18)
    See also Working Paper Identification and Nonparametric Estimation of a Transformed Additively Separable Model, Boston College Working Papers in Economics (2008) View citations (4) (2008)
89. 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 View citations (5)
90. UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL
    Econometric Theory, 2010, 26, (5), 1529-1564 View citations (61)
    See also Working Paper Uniform Bahadur Representation for LocalPolynomial Estimates of M-Regressionand Its Application to The Additive Model, STICERD - Econometrics Paper Series (2009) View citations (3) (2009)

2009

91. Consistent estimation of a general nonparametric regression function in time series
    Journal of Econometrics, 2009, 152, (1), 70-78 View citations (12)
92. Non-parametric regression with a latent time series
    Econometrics Journal, 2009, 12, (2), 187-207 View citations (4)
    See also Working Paper Nonparametric Regression with a Latent Time Series, STICERD - Econometrics Paper Series (2009) View citations (4) (2009)
93. Review 2
    Economic Journal, 2009, 119, (538), F410-F413
    Also in Economic Journal, 2009, 119, (538), F410-F413 (2009)
94. Testing for Stochastic Monotonicity
    Econometrica, 2009, 77, (2), 585-602 View citations (64)
    See also Working Paper Testing for stochastic monotonicity, CeMMAP working papers (2008) View citations (1) (2008)

2008

95. Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
    Journal of Econometrics, 2008, 147, (1), 47-59 View citations (63)
96. Nonparametric transformation to white noise
    Journal of Econometrics, 2008, 142, (1), 241-264 View citations (20)
    See also Working Paper Nonparametric Transformation to White Noise, STICERD - Econometrics Paper Series (2006) View citations (4) (2006)

2007

97. A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM
    Econometric Theory, 2007, 23, (3), 371-413 View citations (13)
    See also Working Paper A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form, STICERD - Econometrics Paper Series (2001) (2001)
98. A smoothed least squares estimator for threshold regression models
    Journal of Econometrics, 2007, 141, (2), 704-735 View citations (74)
    See also Working Paper A smoothed least squares estimator for threshold regression models, LSE Research Online Documents on Economics (2005) View citations (2) (2005)
99. Are there Monday effects in stock returns: A stochastic dominance approach
    Journal of Empirical Finance, 2007, 14, (5), 736-755 View citations (47)
    See also Working Paper Are there Monday effects in Stock Returns: A Stochastic Dominance Approach, FMG Discussion Papers (2006) View citations (1) (2006)
100. HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS
     Econometric Theory, 2007, 23, (6), 1136-1161 View citations (12)
101. LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE
     Econometric Theory, 2007, 23, (1), 37-70 View citations (27)
102. Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions
     Econometrica, 2007, 75, (4), 1209-1227 View citations (15)
     See also Working Paper Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions, Boston College Working Papers in Economics (2006) (2006)
103. Semiparametric estimation of a characteristic-based factor model of common stock returns
     Journal of Empirical Finance, 2007, 14, (5), 694-717 View citations (37)
     See also Working Paper Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns, STICERD - Econometrics Paper Series (2006) (2006)
104. Semiparametric methods in econometrics
     Journal of Econometrics, 2007, 141, (1), 1-4 View citations (1)
105. The quantilogram: With an application to evaluating directional predictability
     Journal of Econometrics, 2007, 141, (1), 250-282 View citations (112)

2006

106. A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
     Econometric Theory, 2006, 22, (2), 323-337 View citations (30)
107. Comment
     Journal of the American Statistical Association, 2006, 101, 998-1001
108. Flexible Term Structure Estimation: Which Method is Preferred?
     Metrika: International Journal for Theoretical and Applied Statistics, 2006, 63, (1), 99-122 View citations (9)
     See also Working Paper Flexible Term Structure Estimation: Which Method Is Preferred?, Yale School of Management Working Papers (2001) View citations (2) (2001)
109. The Froot-Stein Model Revisited
     Annals of Actuarial Science, 2006, 1, (1), 37-47
110. The common and specific components of dynamic volatility
     Journal of Econometrics, 2006, 132, (1), 231-255 View citations (35)

2005

111. Consistent Testing for Stochastic Dominance under General Sampling Schemes
     The Review of Economic Studies, 2005, 72, (3), 735-765 View citations (317)
     See also Working Paper Consistent Testing for Stochastic Dominance under General Sampling Schemes, SFB 373 Discussion Papers (2003) View citations (23) (2003)
112. Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods
     Econometrica, 2005, 73, (3), 771-836 View citations (58)
     See also Working Paper Estimating semiparametric ARCH (∞) models by kernel smoothing methods, LSE Research Online Documents on Economics (2004) (2004)
113. NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA
     Econometric Theory, 2005, 21, (1), 143-157 View citations (2)
     See also Working Paper Nonparametric inference for unbalanced time series data, LSE Research Online Documents on Economics (2005) View citations (2) (2005)

2004

114. 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution
     Econometric Theory, 2004, 20, (5), 990-993 View citations (16)
115. Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems
     The Review of Economic Studies, 2004, 71, (3), 613-654 View citations (87)
     See also Working Paper Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems, Cowles Foundation Discussion Papers (2002) View citations (13) (2002)
116. Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
     Journal of Econometrics, 2004, 120, (1), 1-33 View citations (66)
     See also Working Paper Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos, Vanderbilt University Department of Economics Working Papers (2003) View citations (2) (2003)
117. Semiparametric Regression Analysis With Missing Response at Random
     Journal of the American Statistical Association, 2004, 99, 334-345 View citations (65)
     See also Working Paper Semiparametric regression analysis with missing response at random, CeMMAP working papers (2003) View citations (23) (2003)
118. THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
     Econometric Theory, 2004, 20, (6), 1094-1139 View citations (3)
     See also Working Paper The live method for generalized additive volatility models, LSE Research Online Documents on Economics (2004) View citations (3) (2004)
119. Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach
     Journal of Applied Economics, 2004, 7, (1), 325-353 View citations (4)
     Also in Journal of Applied Economics, 2004, 07, (2), 29 (2004) View citations (6)
     Journal of Applied Economics, 2004, 7, 325-353 (2004) View citations (5)

2003

120. 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation
     Econometric Theory, 2003, 19, (5), 879-880 View citations (1)
121. Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
     Econometrica, 2003, 71, (5), 1591-1608 View citations (331)
     See also Working Paper Estimation of Semiparametric Models when the Criterion Function is not Smooth, STICERD - Econometrics Paper Series (2003) View citations (340) (2003)
122. Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors
     International Economic Review, 2003, 44, (1), 331-357 View citations (33)
     See also Working Paper Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors, FMG Discussion Papers (2001) View citations (4) (2001)
123. More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
     Journal of the American Statistical Association, 2003, 98, 980-992 View citations (31)
124. 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 (16)

2002

125. A Nonparametric Prewhitened Covariance Estimator
     Journal of Time Series Analysis, 2002, 23, (2), 215-250 View citations (13)
126. Edgeworth approximations for semiparametric instrumental variable estimators and test statistics
     Journal of Econometrics, 2002, 106, (2), 325-368 View citations (7)
     See also Working Paper Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics, STICERD - Econometrics Paper Series (2000) View citations (1) (2000)
127. NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA
     Econometric Theory, 2002, 18, (2), 420-468 View citations (11)
     See also Working Paper Nonparametric estimation with aggregated data, LSE Research Online Documents on Economics (2002) View citations (11) (2002)
128. Nonparametric Censored and Truncated Regression
     Econometrica, 2002, 70, (2), 765-779 View citations (49)
     See also Working Paper Nonparametric Censored and Truncated Regression, Boston College Working Papers in Economics (2000) View citations (5) (2000)
129. Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach
     Journal of Applied Econometrics, 2002, 17, (6), 617-639 View citations (11)
     Also in Journal of Applied Econometrics, 2002, 17, (6), 617-639 (2002) View citations (43)
     See also Working Paper Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach, Cahiers de recherche CREFE / CREFE Working Papers (2001) View citations (1) (2001)

2001

130. ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY
     Econometric Theory, 2001, 17, (6), 1037-1050 View citations (3)
     See also Working Paper Estimating additive nonparametric models by partial Lq norm: the curse of fractionality, LSE Research Online Documents on Economics (2001) View citations (3) (2001)
131. Estimation of Linear Regression Models from Bid-Ask Data by a Spread-Tolerant Estimator
     Annals of Economics and Finance, 2001, 2, (1), 237-248
132. 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 View citations (14)
133. SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
     Econometric Theory, 2001, 17, (5), 984-1024 View citations (6)
     See also Working Paper Second-order approximation for adaptive regression estimators, LSE Research Online Documents on Economics (2001) View citations (6) (2001)
134. Symmetrizing and unitizing transformations for linear smoother weights
     Computational Statistics, 2001, 16, (1), 153-164
135. Testing additivity in generalized nonparametric regression models with estimated parameters
     Journal of Econometrics, 2001, 104, (1), 1-48 View citations (39)
136. Yield curve estimation by kernel smoothing methods
     Journal of Econometrics, 2001, 105, (1), 185-223 View citations (23)
     See also Working Paper Yield Curve Estimation by Kernel Smoothing Methods, STICERD - Econometrics Paper Series (2000) (2000)

2000

137. Adaptive testing in arch models
     Econometric Reviews, 2000, 19, (2), 145-174 View citations (7)
     See also Working Paper Adaptive Testing in ARCH Models, Cowles Foundation Discussion Papers (1995) View citations (2) (1995)
138. EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS
     Econometric Theory, 2000, 16, (4), 502-523 View citations (46)
     See also Working Paper Efficient estimation of generalized additive nonparametric regression models, LSE Research Online Documents on Economics (2000) View citations (29) (2000)
139. Local nonlinear least squares: Using parametric information in nonparametric regression
     Journal of Econometrics, 2000, 99, (1), 63-106 View citations (48)

1999

140. 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 View citations (22)
     See also Working Paper Integration and Backfitting methods in additive models: finite sample properties and comparison, DES - Working Papers. Statistics and Econometrics. WS (1998) (1998)
141. The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
     Journal of Econometrics, 1999, 91, (1), 1-42 View citations (35)
     See also Working Paper The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series, Cowles Foundation Discussion Papers (1997) View citations (1) (1997)

1998

142. AN INTRODUCTION TO ECONOMETRIC THEORY
     Econometric Theory, 1998, 14, (6), 795-798
143. An optimization interpretation of integration and back‐fitting estimators for separable nonparametric models
     Journal of the Royal Statistical Society Series B, 1998, 60, (1), 217-222 View citations (18)
     See also Working Paper An Optimization Interpretation of Integration and Backfitting Estimators for Separable Nonparametric Models, SFB 373 Discussion Papers (1996) (1996)

1997

144. An Asymptotic Expansion in the GARCH(l, 1) Model
     Econometric Theory, 1997, 13, (4), 558-581 View citations (5)
     See also Working Paper An Asymptotic Expansion in the Garch(1,1) Model, Cowles Foundation Discussion Papers (1996) (1996)

1996

145. Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models
     Econometric Theory, 1996, 12, (1), 30-60 View citations (24)
     See also Working Paper Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models, Cowles Foundation Discussion Papers (1994) View citations (1) (1994)
146. Estimation, Inference and Specification AnalysisH. White, Cambridge University Press, 1994
     Econometric Theory, 1996, 12, (3), 581-583

1995

147. Second Order Approximation in the Partially Linear Regression Model
     Econometrica, 1995, 63, (5), 1079-1112 View citations (86)
     See also Working Paper Second Order Approximation in the Partially Linear Regression Model, Cowles Foundation Discussion Papers (1993) View citations (1) (1993)

1994

148. A multiplicative bias reduction method for nonparametric regression
     Statistics & Probability Letters, 1994, 19, (3), 181-187 View citations (12)

1993

149. Adaptive Estimation in ARCH Models
     Econometric Theory, 1993, 9, (4), 539-569 View citations (76)
     See also Working Paper Adaptive Estimation in ARCH Models, Cowles Foundation Discussion Papers (1993) View citations (76) (1993)

Books

2019

1. Financial Econometrics
   Cambridge Books, Cambridge University Press View citations (8)
   Also in Cambridge Books, Cambridge University Press (2019) View citations (8)

Chapters

1986

1. Applied nonparametric methods
   Chapter 38 in Handbook of Econometrics, 1986, vol. 4, pp 2295-2339 View citations (10)
   See also Working Paper Applied Nonparametric Methods, Cowles Foundation for Research in Economics, Yale University (1994) View citations (286) (1994)

Editor

1. Econometrics Journal
   Royal Economic Society
2. Econometrics Journal
   Royal Economic Society