OLIVER BRUCE LINTON : Citation Profile

University of Cambridge

30

H index

81

i10 index

3995

Citations

RESEARCH PRODUCTION:

153

Articles

404

Papers

2

Books

1

Chapters

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   38 years (1986 - 2024). See details.
   Cites by year: 105
   Journals where OLIVER BRUCE LINTON has often published
   Relations with other researchers
   Recent citing documents: 214.    Total self citations: 231 (5.47 %)

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   Permalink: http://citec.repec.org/pli253
   Updated: 2025-03-08    RAS profile: 2025-01-06    
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Relations with other researchers

Works with:

Whang, Yoon-Jae (7)

GAO, Jiti (7)

Dreber, Anna (6)

Harris, Jeffrey (6)

Zhang, S. Sarah (6)

Park, Andreas (6)

Nielsson, Ulf (6)

Smales, Lee (6)

Bos, Charles (6)

Pastor, Lubos (6)

FERROUHI, EL MEHDI (6)

Hurlin, Christophe (6)

Foucault, Thierry (6)

Alexeev, Vitali (6)

Wolff, Christian (6)

Frömmel, Michael (6)

Talavera, Oleksandr (6)

Brownlees, Christian (6)

Lof, Matthijs (6)

Xia, Shuo (6)

Xiu, Dacheng (6)

Gehrig, Thomas (6)

Ferrara, Gerardo (6)

Ødegaard, Bernt (6)

Korajczyk, Robert (6)

Schwarz, Marco (6)

Pasquariello, Paolo (6)

Reitz, Stefan (6)

Liew, Chee (6)

Rinne, Kalle (6)

Wilhelmsson, Anders (6)

Stefanova, Denitsa (6)

Holzmeister, Felix (6)

Johannesson, Magnus (6)

Jurkatis, Simon (6)

Sojli, Elvira (6)

Gerritsen, Dirk (6)

Horenstein, Alex (5)

Hautsch, Nikolaus (5)

Palan, Stefan (5)

Shachar, Or (5)

Schenk-Hoppé, Klaus (5)

Neszveda, Gabor (5)

Huang, Wenqian (5)

Dimpfl, Thomas (5)

Vilkov, Grigory (5)

Renault, Thomas (5)

Ranaldo, Angelo (5)

Chernov, Mikhail (5)

CAPELLE-BLANCARD, Gunther (5)

Schuerhoff, Norman (5)

Frijns, Bart (5)

Deku, Solomon (5)

Davies, Ryan (5)

Caporin, Massimiliano (5)

Bohorquez Correa, Santiago (5)

Koetter, Michael (5)

Sarno, Lucio (5)

Eugster, Nicolas (5)

Füllbrunn, Sascha (5)

Walther, Thomas (5)

Verousis, Thanos (5)

Jalkh, Naji (5)

Deev, Oleg (5)

Menkveld, Albert (5)

Li, Degui (4)

Aloosh, Arash (4)

Colliard, Jean-Edouard (4)

Hong, Yongmiao (4)

Güçbilmez, Ufuk (4)

van Kervel, Vincent (4)

Ait-Sahalia, Yacine (4)

Hafner, Christian (4)

Mihet, Roxana (3)

Degryse, Hans (3)

Voigt, Stefan (3)

Taylor, Nick (3)

Srisuma, Sorawoot (3)

Lewbel, Arthur (3)

hoderlein, stefan (3)

Gil-Bazo, Javier (3)

Escanciano, Juan Carlos (3)

Pittau, Maria Grazia (3)

Peng, Bin (3)

Roy, Saurabh (3)

Zelli, Roberto (3)

Zhou, Chen (2)

Prokopczuk, Marcel (2)

Regis, Luca (2)

McLaren, Nick (2)

He, Xuezhong (Tony) (2)

Hasse, Jean-Baptiste (2)

Gorbenko, Arseny (2)

Putnins, Talis (2)

Kassner, Bernhard (2)

Tonks, Ian (2)

Patton, Andrew (2)

Chen, Jia (2)

Kaminska, Iryna (2)

Lopez-Lira, Alejandro (2)

Adrian, Tobias (2)

Abudy, Menachem (2)

Wong, Wing-Keung (2)

Hjalmarsson, Erik (2)

Pelizzon, Loriana (2)

Theissen, Erik (2)

Rakowski, David (2)

Dumitrescu, Ariadna (2)

Lajaunie, Quentin (2)

Söderlind, Paul (2)

Scaillet, Olivier (2)

Vogel, Sebastian (2)

Patel, Vinay (2)

Bouri, Elie (2)

Kearney, Fearghal (2)

Roy, Saurabh (2)

PASCUAL, ROBERTO (2)

Chow, Nikolai Sheung-Chi (2)

Rau, Raghavendra (2)

Elliott, David (2)

Boneva, Lena (2)

Moinas, Sophie (2)

Heath, Davidson (2)

Bjønnes, Geir (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with OLIVER BRUCE LINTON.

Is cited by:

Lee, Sokbae (Simon) (63)

GAO, Jiti (58)

Chernozhukov, Victor (51)

Wong, Wing-Keung (45)

Shahzad, Syed Jawad Hussain (41)

Härdle, Wolfgang (40)

Chen, Xiaohong (39)

Su, Liangjun (39)

Lewbel, Arthur (36)

Sperlich, Stefan (36)

Hallin, Marc (33)

Cites to:

Phillips, Peter (87)

Chen, Xiaohong (77)

Newey, Whitney (71)

Andrews, Donald (67)

Bollerslev, Tim (60)

Pesaran, Mohammad (58)

Fan, Jianqing (57)

Engle, Robert (56)

Whang, Yoon-Jae (50)

Campbell, John (46)

Powell, James (41)

Main data

Where OLIVER BRUCE LINTON has published?

Journals with more than one article published# docs
Journal of Econometrics48
Econometric Theory32
Econometrica7
Econometric Reviews5
Journal of Business & Economic Statistics4
Journal of Empirical Finance4
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research3
Journal of the American Statistical Association3
Journal of Applied Econometrics3
Econometrics Journal3
Journal of the Royal Statistical Society Series B3
The Review of Economic Studies2
Journal of the American Statistical Association2
Economics Letters2
Journal of the Royal Statistical Society Series A2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies53
CeMMAP working papers / Institute for Fiscal Studies33
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University23
Monash Econometrics and Business Statistics Working Papers / Monash University, Department of Econometrics and Business Statistics13
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes13
Papers / arXiv.org9
Boston College Working Papers in Economics / Boston College Department of Economics6
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía5
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)4
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)4
Post-Print / HAL3
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2

Recent works citing OLIVER BRUCE LINTON (2025 and 2024)

YearTitle of citing document
2024Double/Debiased Machine Learning for Treatment and Causal Parameters. (2017). Chernozhukov, Victor ; Robins, James ; Newey, Whitney ; Hansen, Christian ; Duflo, Esther ; Demirer, Mert ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:1608.00060.

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2024Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545.

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2024Synchronization of endogenous business cycles. (2020). Pangallo, Marco. In: Papers. RePEc:arx:papers:2002.06555.

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2024Identification and Estimation of Average Marginal Effects in Fixed Effects Logit Models. (2021). D'Haultfoeuille, Xavier ; Laage, Louise ; Davezies, Laurent. In: Papers. RePEc:arx:papers:2105.00879.

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2024Identification and Estimation of Average Partial Effects in Semiparametric Binary Response Panel Models. (2021). Poirier, Alexandre ; Shiu, Ji-Liang ; Liu, Laura. In: Papers. RePEc:arx:papers:2105.12891.

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2024Estimations of the Conditional Tail Average Treatment Effect. (2021). Yen, Yu-Min ; Chen, Le-Yu. In: Papers. RePEc:arx:papers:2109.08793.

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2025Pairwise Valid Instruments. (2022). Sun, Zhenting ; Wuthrich, Kaspar. In: Papers. RePEc:arx:papers:2203.08050.

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2025Semiparametric Single-Index Estimation for Average Treatment Effects. (2022). Oka, Tatsushi ; Gao, Jiti ; Huang, Difang. In: Papers. RePEc:arx:papers:2206.08503.

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2025Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2025Isotonic propensity score matching. (2022). Otsu, Taisuke ; Xu, Mengshan. In: Papers. RePEc:arx:papers:2207.08868.

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2024Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects. (2022). GAO, Jiti ; Whang, Yoon-Jae ; Oka, Tatsushi ; Xu, Ruofan. In: Papers. RePEc:arx:papers:2208.03632.

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2024Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

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2024Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2024Inference of Grouped Time-Varying Network Vector Autoregression Models. (2023). Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin ; Li, Degui. In: Papers. RePEc:arx:papers:2303.10117.

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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2024Adjustment with Many Regressors Under Covariate-Adaptive Randomizations. (2023). Zhang, Yichong ; Miao, KE ; Li, Liyao ; Jiang, Liang. In: Papers. RePEc:arx:papers:2304.08184.

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2025Difference-in-Differences with Compositional Changes. (2023). Xu, QI. In: Papers. RePEc:arx:papers:2304.13925.

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2024Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2023). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934.

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2024Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

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2024Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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2024PySDTest: a Python Package for Stochastic Dominance Tests. (2023). Whang, Yoon-Jae ; Lee, Kyungho. In: Papers. RePEc:arx:papers:2307.10694.

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2024Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2024Estimation of Semiparametric Multi-Index Models Using Deep Neural Networks. (2023). GAO, Jiti ; Dong, Chaohua ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2311.02789.

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2024Inference for Low-rank Models without Estimating the Rank. (2023). Kwon, Hyukjun ; Choi, Jungjun ; Liao, Yuan. In: Papers. RePEc:arx:papers:2311.16440.

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2024Jump detection in high-frequency order prices. (2024). Ristig, Alexander ; Hautsch, Nikolaus ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2403.00819.

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2024Tests for almost stochastic dominance. (2024). Mora-Corral, Carlos ; Ba, Amparo. In: Papers. RePEc:arx:papers:2403.15258.

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2024Debiased Machine Learning when Nuisance Parameters Appear in Indicator Functions. (2024). Park, Gyungbae. In: Papers. RePEc:arx:papers:2403.15934.

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2024Statistical Inference of Optimal Allocations I: Regularities and their Implications. (2024). Hong, Han ; Feng, Kai. In: Papers. RePEc:arx:papers:2403.18248.

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2024Uniform Inference in High-Dimensional Threshold Regression Models. (2024). Yan, Hongqiang ; Li, Jiatong. In: Papers. RePEc:arx:papers:2404.08105.

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2024One Factor to Bind the Cross-Section of Returns. (2024). Borri, Nicola ; Tsyvinski, Aleh ; Liu, Yukun ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:2404.08129.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2025Estimating Export-productivity Cutoff Contours with Profit Data: A Novel Threshold Estimation Approach. (2025). Egger, Peter H ; Wang, Yulong. In: Papers. RePEc:arx:papers:2502.03406.

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2025Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series. (2025). Schulz, Christian ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2502.10065.

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2024New evidence on crude oil market efficiency. (2024). Lee, Yoonjin ; Hu, Liang. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:2:p:892-916.

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2024Conditions for extrapolating differences in consumption to differences in welfare. (2024). Kaplan, David ; Zhao, Wei. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:3:p:1090-1104.

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2024Exchange rates and political uncertainty: the Brexit case. (2024). Moramarco, Graziano ; Manasse, Paolo ; Trigilia, Giulio. In: Economica. RePEc:bla:econom:v:91:y:2024:i:362:p:621-652.

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2024.

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2024.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2025Stock and Sovereign Returns Linkages: Time-Varying Causality and Extreme-Quantile Determinants. (2025). Afonso, Antonio ; Monteiro, Sofia ; Grabowski, Wojciech ; Alves, Jos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11667.

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2024One Factor to Bind the Cross-Section of Returns. (2024). Borri, Nicola ; Tsyvinski, Aleh ; Liu, Yukun ; Chetverikov, Denis. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2386.

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2024Energy security risk and financial development nexus: Disaggregated level evidence from South Korea by cross-quantilogram approach. (2024). Alola, Andrew Adewale ; Pata, Ugur Korkut ; Kartal, Mustafa Tevfik. In: Applied Energy. RePEc:eee:appene:v:363:y:2024:i:c:s030626192400518x.

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2025Spline regression with automatic knot selection. (2025). Goepp, Vivien ; Bouaziz, Olivier ; Nuel, Grgory. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:202:y:2025:i:c:s0167947324001270.

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2024Utility of inequality sensitive measures of the gender wage gap: Evidence from South Africa. (2024). Mosomi, Jacqueline ; Oyenubi, Adeola. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:576-590.

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2024Semiparametric least squares estimation of binary choice panel data models with endogeneity. (2024). Zhou, Qiankun ; Yang, Cynthia Fan ; Xie, Yimeng ; Semykina, Anastasia. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999324000178.

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2024Nonlinear dynamics of Kimchi premium. (2024). Yang, Yangzhuoran Fin ; Koo, Bonsoo ; Seo, Myung Hwan. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000828.

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2024Financial, institutional, and macroeconomic determinants of cross-country portfolio equity flows: The case of developed countries. (2024). Alves, José ; Afonso, Antonio ; Jackson, Karen ; Beck, Krzysztof. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002591.

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2024Frequency spillover effects and cross-quantile dependence between crude oil and stock markets: Evidence from BRICS and G7 countries. (2024). Li, Shuang ; Ye, Fangyu ; Huang, XI ; Zhu, Huiming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001857.

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2024Revisit the impact of exchange rate on stock market returns during the pandemic period. (2024). Wang, Mei-Chih ; Chang, Tsangyao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001912.

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2024Crypto havens during war times? Evidence from the Russian invasion of Ukraine. (2024). Horvath, Matu ; Linnertova, Dagmar Vagnerova ; Hampl, Filip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000172.

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2024Green bond and green stock in China: The role of economic and climate policy uncertainty. (2024). Cheung, Adrian (Wai-Kong) ; Wang, YU ; Yan, Wanlin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001530.

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2024Functional coefficient cointegration models with Box–Cox transformation. (2024). Tu, Yundong ; Lin, Yingqian. In: Economics Letters. RePEc:eee:ecolet:v:234:y:2024:i:c:s0165176523004986.

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2024Optimal nonparametric range-based volatility estimation. (2024). Li, Qiyuan ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002646.

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2024Causal inference of general treatment effects using neural networks with a diverging number of confounders. (2024). Ma, Shujie ; Liu, Ying ; Chen, Xiaohong ; Zhang, Zheng. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002713.

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2024Semi-parametric single-index predictive regression models with cointegrated regressors. (2024). GAO, Jiti ; Zhou, Weilun ; Kew, Hsein ; Harris, David. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002932.

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2024Rank-based max-sum tests for mutual independence of high-dimensional random vectors. (2024). Feng, Long ; Liu, Binghui ; Wang, Hongfei ; Ma, Yanyuan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002944.

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2024A residual bootstrap for conditional Value-at-Risk. (2024). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002701.

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2024Role models and revealed gender-specific costs of STEM in an extended Roy model of major choice. (2024). Mourifie, Ismael ; Meango, Romuald ; Henry, Marc. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002877.

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2024Nonparametric estimation of stochastic frontier models with weak separability. (2024). Centorrino, Samuele ; Parmeter, Christopher F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003573.

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2024Sieve bootstrap inference for linear time-varying coefficient models. (2024). Lin, Yicong ; Friedrich, Marina. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407622001701.

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2024Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property. (2024). Yang, Songshan ; Wen, Jiawei ; Li, Changcheng ; Cai, Zhanrui. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622000902.

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2024Optimal covariance matrix estimation for high-dimensional noise in high-frequency data. (2024). Tang, Cheng Yong ; Liu, Cheng ; Hu, Qiao ; Chang, Jinyuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001543.

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2024Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Zhong, Wei ; Yang, Yanrong ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646.

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2024Cross-section bootstrap for CCE regressions. (2024). Stauskas, Ovidijus ; de Vos, Ignace. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003640.

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2024Nonparametric estimation for high-frequency data incorporating trading information. (2024). Wang, Jiandong ; Hu, Jie ; Cui, Wenhao. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000368.

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2024Time-varying forecast combination for factor-augmented regressions with smooth structural changes. (2024). Li, Haiqi ; Hong, Yongmiao ; Chen, Qitong. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000393.

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2024Testing unconditional and conditional independence via mutual information. (2024). Zhu, Liping ; Zhang, Zheng ; Sun, Li-Hsien ; Ai, Chunrong. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407622001609.

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2024Estimation and inference of seller’s expected revenue in first-price auctions. (2024). Zincenko, Federico. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000800.

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2024A Correlated Random Coefficient panel model with time-varying endogeneity. (2024). Laage, Louise. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:2:s0304407624001507.

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2024Testing for sparse idiosyncratic components in factor-augmented regression models. (2024). Striaukas, Jonas ; Beyhum, Jad. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001908.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2024A model specification test for semiparametric nonignorable missing data modeling. (2024). Tang, Cheng Yong. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:124-132.

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2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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2024Enhancing betting against beta with stochastic dominance. (2024). Xu, Xia ; Kolokolova, Olga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:76:y:2024:i:c:s0927539823001329.

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OLIVER BRUCE LINTON is editor of

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Works by OLIVER BRUCE LINTON:

YearTitleTypeCited
2004Testing forward exchange rate unbiasedness efficiently: A semiparametric approach In: Journal of Applied Economics.
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2004Testing forward exchange rate unbiasedness efficiently: a semiparametric approach.(2004) In: Journal of Applied Economics.
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2004Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach.(2004) In: Journal of Applied Economics.
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2013An Almost Closed Form Estimator for the EGARCH In: LIDAM Discussion Papers ISBA.
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2016An Almost Closed Form Estimator for the EGARCH model In: LIDAM Discussion Papers ISBA.
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2017An Almost Closed Form Estimator For The EGARCH Model.(2017) In: LIDAM Reprints ISBA.
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2013An almost closed form estimator for the EGARCH model.(2013) In: LIDAM Discussion Papers CORE.
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2017An almost closed form estimator for the EGARCH model.(2017) In: LIDAM Reprints CORE.
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2017AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL.(2017) In: Econometric Theory.
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2022Dynamic Autoregressive Liquidity (DArLiQ) In: LIDAM Discussion Papers ISBA.
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2023Dynamic Autoregressive Liquidity (DArLiQ).(2023) In: LIDAM Reprints ISBA.
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2022Dynamic Autoregressive Liquidity (DArLiQ).(2022) In: LIDAM Discussion Papers LFIN.
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2024Dynamic Autoregressive Liquidity (DArLiQ).(2024) In: Journal of Business & Economic Statistics.
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2024The effect of stock splits on liquidity in a dynamic model In: LIDAM Discussion Papers ISBA.
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2011Nonparametric regression with filtered data In: LIDAM Reprints ISBA.
[Citation analysis]		paper4
2020Estimation of a multiplicative correlation structure in the large dimensional case In: LIDAM Reprints ISBA.
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2018Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case.(2018) In: Cambridge Working Papers in Economics.
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2020Estimation of a multiplicative correlation structure in the large dimensional case.(2020) In: Journal of Econometrics.
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2018A Unified Framework for Efficient Estimation of General Treatment Models In: Papers.
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2019A Unified Framework for Efficient Estimation of General Treatment Models.(2019) In: Cambridge Working Papers in Economics.
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2019A Unified Framework for Efficient Estimation of General Treatment Models.(2019) In: CeMMAP working papers.
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2021A unified framework for efficient estimation of general treatment models.(2021) In: Quantitative Economics.
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2020On the Time Trend of COVID-19: A Panel Data Study In: Papers.
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2020On Time Trend of COVID-19: A Panel Data Study.(2020) In: Cambridge Working Papers in Economics.
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2020On Time Trend of COVID-19: A Panel Data Study.(2020) In: Monash Econometrics and Business Statistics Working Papers.
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2021A Unified Framework for Specification Tests of Continuous Treatment Effect Models In: Papers.
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2021A Unified Framework for Specification Tests of Continuous Treatment Effect Models.(2021) In: Cambridge Working Papers in Economics.
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2022A Unified Framework for Specification Tests of Continuous Treatment Effect Models.(2022) In: Journal of Business & Economic Statistics.
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2023Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance In: Papers.
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2023Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance.(2023) In: Cambridge Working Papers in Economics.
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2024Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects In: Papers.
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2024Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects.(2024) In: Cambridge Working Papers in Economics.
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2023Estimating Time-Varying Networks for High-Dimensional Time Series In: Papers.
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2022Estimating Time-Varying Networks for High-Dimensional Time Series.(2022) In: Cambridge Working Papers in Economics.
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2023Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data In: Papers.
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2022Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data.(2022) In: Cambridge Working Papers in Economics.
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2022Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data.(2022) In: Research Papers.
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2024Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data In: Papers.
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2024Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data.(2024) In: Cambridge Working Papers in Economics.
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2024Is the EJRA proportionate and therefore justified? A critical review of the EJRA policy at Cambridge In: Papers.
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2024Is the EJRA proportionate and therefore justified? A critical review of the EJRA policy at Cambridge.(2024) In: Cambridge Working Papers in Economics.
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2003Estimation of Semiparametric Models when the Criterion Function is not Smooth.(2003) In: STICERD - Econometrics Paper Series.
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2003Estimation of Semiparametric Models when the Criterion Function Is Not Smooth.(2003) In: Econometrica.
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2003Estimation of semiparametric models when the criterion function is not smooth.(2003) In: LSE Research Online Documents on Economics.
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2002Estimation of semiparametric models when the criterion function is not smooth.(2002) In: CeMMAP working papers.
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2015A semiparametric model for heterogeneous panel data with fixed effects.(2015) In: Journal of Econometrics.
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2013A semiparametric model for heterogeneous panel data with fixed effects.(2013) In: CeMMAP working papers.
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2017A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance.(2017) In: Bank of England working papers.
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2017A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance.(2017) In: Cambridge Working Papers in Economics.
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2017A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance.(2017) In: CeMMAP working papers.
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2002Consistent Testing for Stochastic Dominance: A Subsampling Approach.(2002) In: STICERD - Econometrics Paper Series.
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2002Consistent Testing for Stochastic Dominance: A Subsampling Approach.(2002) In: Cowles Foundation Discussion Papers.
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2002Consistent testing for stochastic dominance : a subsampling approach.(2002) In: LSE Research Online Documents on Economics.
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2003Consistent testing for stochastic dominance: a subsampling approach.(2003) In: LSE Research Online Documents on Economics.
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2002Consistent testing for stochastic dominance: a subsampling approach.(2002) In: LSE Research Online Documents on Economics.
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2002Consistent testing for stochastic dominance: a subsampling approach.(2002) In: CeMMAP working papers.
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2003Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators.(2003) In: STICERD - Econometrics Paper Series.
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2003Asymptotic expansions for some semiparametric program evaluation estimators.(2003) In: LSE Research Online Documents on Economics.
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2001Asymptotic expansions for some semiparametric program evaluation estimators.(2001) In: CeMMAP working papers.
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2004Nonparametric Inference for Unbalanced Time Series Data.(2004) In: STICERD - Econometrics Paper Series.
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2005NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA.(2005) In: Econometric Theory.
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2004Nonparametric inference for unbalanced time series data.(2004) In: LSE Research Online Documents on Economics.
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2005Nonparametric inference for unbalanced time series data.(2005) In: LSE Research Online Documents on Economics.
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2004Nonparametric inference for unbalance time series data.(2004) In: CeMMAP working papers.
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2014The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series.(2014) In: Cambridge Working Papers in Economics.
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2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series.(2016) In: Journal of Econometrics.
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2014The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series.(2014) In: CeMMAP working papers.
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2015Classification of nonparametric regression functions in heterogeneous panels.(2015) In: CeMMAP working papers.
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2016Semiparametric dynamic portfolio choice with multiple conditioning variables.(2016) In: Journal of Econometrics.
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2015Semiparametric dynamic portfolio choice with multiple conditioning variables.(2015) In: CeMMAP working papers.
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2015Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables.(2015) In: Discussion Papers.
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2015Mean Ratio Statistic for measuring predictability.(2015) In: CeMMAP working papers.
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2004Semiparametric Regression Analysis With Missing Response at Random.(2004) In: Journal of the American Statistical Association.
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2003Semiparametric regression analysis with missing response at random.(2003) In: CeMMAP working papers.
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2015LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS.(2015) In: Econometric Theory.
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2013Lets get LADE: robust estimation of semiparametric multiplicative volatility models.(2013) In: CeMMAP working papers.
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2016Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model.(2016) In: Cambridge Working Papers in Economics.
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2016Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model.(2016) In: Cowles Foundation Discussion Papers.
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2016Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model.(2016) In: CeMMAP working papers.
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2015An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability.(2015) In: Cambridge Working Papers in Economics.
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2015An investigation into multivariate variance ratio statistics and their application to stock market predictability.(2015) In: CeMMAP working papers.
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2003Nonparametric Estimation of Homothetic and Homothetically Separable Functions.(2003) In: STICERD - Econometrics Paper Series.
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2003Nonparametric estimation of homothetic and homothetically separable functions.(2003) In: LSE Research Online Documents on Economics.
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2003Nonparametric estimation of homothetic and homothetically separable functions.(2003) In: CeMMAP working papers.
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2014Nonparametric estimation of multivariate elliptic densities via finite mixture sieves.(2014) In: Journal of Multivariate Analysis.
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2013Nonparametric estimation of multivariate elliptic densities via finite mixture sieves.(2013) In: CeMMAP working papers.
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2013Nonparametric estimation of multivariate elliptic densities via finite mixture sieves.(2013) In: CeMMAP working papers.
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2016NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA.(2016) In: Econometric Theory.
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2013Non-parametric transformation regression with non-stationary data.(2013) In: CeMMAP working papers.
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2012Nonparametric estimation of a periodic sequence in the presence of a smooth trend.(2012) In: CeMMAP working papers.
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2014Nonparametric estimation of a periodic sequence in the presence of a smooth trend.(2014) In: Biometrika.
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2016Estimation of a Multiplicative Covariance Structure.(2016) In: CeMMAP working papers.
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2012A nonparametric test of the leverage hypothesis.(2012) In: CeMMAP working papers.
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2012Efficient estimation of conditional risk measures in a semiparametric GARCH model.(2012) In: CeMMAP working papers.
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2012Averaging of moment condition estimators.(2012) In: CeMMAP working papers.
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2012Testing for the stochastic dominance efficiency of a given portfolio.(2012) In: CeMMAP working papers.
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2014Testing for the stochastic dominance efficiency of a given portfolio.(2014) In: Econometrics Journal.
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2012A flexible semiparametric model for time series.(2012) In: CeMMAP working papers.
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2012A Flexible Semiparametric Model for Time Series.(2012) In: Monash Econometrics and Business Statistics Working Papers.
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2016A nonparametric test of a strong leverage hypothesis.(2016) In: Journal of Econometrics.
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2013A nonparametric test of a strong leverage hypothesis.(2013) In: CeMMAP working papers.
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2014Multivariate Variance Ratio Statistics.(2014) In: Cambridge Working Papers in Economics.
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2014Multivariate variance ratio statistics.(2014) In: CeMMAP working papers.
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2014The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market.(2014) In: Cambridge Working Papers in Economics.
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2013The effect of fragmentation in trading on market quality in the UK equity market.(2013) In: CeMMAP working papers.
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2016The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market.(2016) In: Journal of Applied Econometrics.
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2016Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case.(2016) In: Cambridge Working Papers in Economics.
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2016Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case.(2016) In: LIDAM Discussion Papers CORE.
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2016Estimation of a multiplicative covariance structure in the large dimensional case.(2016) In: CeMMAP working papers.
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2016Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order.(2016) In: CeMMAP working papers.
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2018Additive nonparametric models with time variable and both stationary and nonstationary regressors.(2018) In: Journal of Econometrics.
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2017Additive nonparametric models with time variable and both stationary and nonstationary regressions.(2017) In: CeMMAP working papers.
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2020Nonparametric Euler Equation Identification and Estimation.(2020) In: Boston College Working Papers in Economics.
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2015Nonparametric Euler Equation Identification andEstimation.(2015) In: Cambridge Working Papers in Economics.
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2020Nonparametric Euler Equation Identi?cation and Estimation.(2020) In: Cambridge Working Papers in Economics.
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2021NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION.(2021) In: Econometric Theory.
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2015Nonparametric Euler equation identification and estimation.(2015) In: CeMMAP working papers.
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2015Semiparametric model averaging of ultra-high dimensional time series.(2015) In: CeMMAP working papers.
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2015Semiparametric Model Averaging of Ultra-High Dimensional Time Series.(2015) In: Discussion Papers.
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2008Evaluating Value-at-Risk Models via Quantile Regressions. In: Working Papers Series.
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2011Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics.
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2009Evaluating Value-at-Risk models via Quantile Regression.(2009) In: UC3M Working papers. Economics.
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2008Evaluating Value-at-Risk models via Quantile regressions.(2008) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2010Evaluating Value-at-Risk Models via Quantile Regression.(2010) In: NCER Working Paper Series.
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2011Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics.
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2006Comment In: Journal of the American Statistical Association.
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2003More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors In: Journal of the American Statistical Association.
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2003The Shape of the Risk Premium: Evidence from a Semiparametric Generalized Autoregressive Conditional Heteroscedasticity Model. In: Journal of Business & Economic Statistics.
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2024Nonstandard Errors In: Journal of Finance.
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2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
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2024Nonstandard Errors.(2024) In: Post-Print.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2022Shuyi Ge, Oliver Linton and Shaoran Lis contribution to the ‘First Discussion Meeting on Statistical Aspects of the Covid‐19 Pandemic’ In: Journal of the Royal Statistical Society Series A.
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