| Publication | Date of Publication | Type |
|---|
| GMM estimation for high-dimensional panel data models | 2025-01-16 | Paper |
| A non-parametric panel model for climate data with seasonal and spatial variation | 2024-12-20 | Paper |
| Time series for economics and finance (to appear) | 2024-11-13 | Paper |
| Dynamic Peer Groups of Arbitrage Characteristics | 2024-10-28 | Paper |
| Dynamic Autoregressive Liquidity (DArLiQ) | 2024-10-28 | Paper |
| A Unified Framework for Specification Tests of Continuous Treatment Effect Models | 2024-10-17 | Paper |
| 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 | 2024-09-10 | Paper |
| Nonparametric estimation of mediation effects with a general treatment | 2024-08-12 | Paper |
| Yongmiao Hong, Oliver Linton, Jiajing Sun, and Meiting Zhu's contribution to the discussion of `the Discussion Meeting on Probabilistic and statistical aspects of machine learning' | 2024-07-09 | Paper |
| Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach | 2024-02-13 | Paper |
| Testing for time stochastic dominance | 2023-06-29 | Paper |
| Testing stochastic dominance with many conditioning variables | 2023-06-29 | Paper |
| News-implied linkages and local dependency in the equity market | 2023-06-29 | Paper |
| Comment on “Factor Models for High-Dimensional Tensor Time Series” by Rong Chen, Dan Yang, and Cun-Hui Zhang | 2023-03-09 | Paper |
| High dimensional semiparametric moment restriction models | 2023-02-01 | Paper |
| ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM | 2022-11-23 | Paper |
| Adjusted-range self-normalized confidence interval construction for censored dependent data | 2022-11-16 | Paper |
| Testing for the stochastic dominance efficiency of a given portfolio | 2022-07-26 | Paper |
| A ReMeDI for Microstructure Noise | 2022-07-11 | Paper |
| Testing Conditional Independence Restrictions | 2022-05-31 | Paper |
| A score statistic for testing the presence of a stochastic trend in conditional variances | 2022-04-20 | Paper |
| Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models | 2022-03-16 | Paper |
| Standard Errors for Nonparametric Regression | 2022-03-04 | Paper |
| The lower regression function and testing expectation dependence dominance hypotheses | 2022-03-04 | Paper |
| A Large Confirmatory Dynamic Factor Model for Stock Market Returns in Different Time Zones | 2022-02-07 | Paper |
| NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION | 2021-11-25 | Paper |
| A unified framework for efficient estimation of general treatment models | 2021-11-11 | Paper |
| A weighted sieve estimator for nonparametric time series models with nonstationary variables | 2021-05-04 | Paper |
| A Simple and Efficient Estimation Method for Models with Nonignorable Missing Data | 2021-04-27 | Paper |
| Estimation and inference in semiparametric quantile factor models | 2021-03-24 | Paper |
| Estimation of a nonparametric model for bond prices from cross-section and time series information | 2021-02-04 | Paper |
| Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff | 2021-02-04 | Paper |
| When will the Covid-19 pandemic peak? | 2021-02-04 | Paper |
| Estimation of a nonparametric model for bond prices from cross-section and time series information | 2021-02-01 | Paper |
| A coupled component DCS-EGARCH model for intraday and overnight volatility | 2020-06-18 | Paper |
| Estimation of a multiplicative correlation structure in the large dimensional case | 2020-06-18 | Paper |
| QUANTILOGRAMS UNDER STRONG DEPENDENCE | 2020-05-27 | Paper |
| INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS | 2020-03-25 | Paper |
| Multiscale clustering of nonparametric regression curves | 2020-03-20 | Paper |
| Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity | 2019-12-19 | Paper |
| A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables | 2019-09-02 | Paper |
| Financial Econometrics | 2019-07-24 | Paper |
| Estimation of the Kronecker Covariance Model by Quadratic Form | 2019-06-20 | Paper |
| Classification of Non-Parametric Regression Functions in Longitudinal Data Models | 2019-06-12 | Paper |
| Semiparametric estimation of the bid-ask spread in extended roll models | 2019-04-26 | Paper |
| LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE | 2018-12-21 | Paper |
| Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series | 2018-11-02 | Paper |
| Supplementary Material for "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case" | 2018-10-15 | Paper |
| Additive nonparametric models with time variable and both stationary and nonstationary regressors | 2018-10-12 | Paper |
| AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL | 2017-09-15 | Paper |
| Semiparametric identification of the bid-ask spread in extended Roll models | 2017-08-24 | Paper |
| Estimation of semiparametric locally stationary diffusion models | 2017-05-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2833264 | 2016-11-17 | Paper |
| Semiparametric dynamic portfolio choice with multiple conditioning variables | 2016-09-06 | Paper |
| Semiparametric estimation of Markov decision processes with continuous state space | 2016-08-15 | Paper |
| Estimating features of a distribution from binomial data | 2016-08-12 | Paper |
| A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom | 2016-08-12 | Paper |
| Efficient estimation of a multivariate multiplicative volatility model | 2016-08-04 | Paper |
| Identification and nonparametric estimation of a transformed additively separable model | 2016-08-01 | Paper |
| A nonparametric test of a strong leverage hypothesis | 2016-07-27 | Paper |
| An improved bootstrap test of stochastic dominance | 2016-07-25 | Paper |
| Consistent estimation of a general nonparametric regression function in time series | 2016-07-18 | Paper |
| Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error | 2016-06-22 | Paper |
| The common and specific components of dynamic volatility | 2016-06-10 | Paper |
| Nonparametric transformation to white noise | 2016-06-03 | Paper |
| A smoothed least squares estimator for threshold regression models | 2016-05-27 | Paper |
| The quantilogram: with an application to evaluating directional predictability | 2016-05-25 | Paper |
| The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series | 2016-05-18 | Paper |
| Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error | 2016-03-01 | Paper |
| NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA | 2016-02-23 | Paper |
| AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS | 2016-02-23 | Paper |
| LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS | 2015-11-03 | Paper |
| A flexible semiparametric forecasting model for time series | 2015-09-01 | Paper |
| A semiparametric model for heterogeneous panel data with fixed effects | 2015-08-13 | Paper |
| GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS | 2014-06-20 | Paper |
| Nonparametric estimation of a periodic sequence in the presence of a smooth trend | 2014-04-16 | Paper |
| ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE | 2014-03-25 | Paper |
| Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos | 2014-03-07 | Paper |
| Nonparametric estimation of multivariate elliptic densities via finite mixture sieves | 2014-01-13 | Paper |
| Efficient Semiparametric Estimation of the Fama-French Model and Extensions | 2013-11-06 | Paper |
| LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES | 2012-10-31 | Paper |
| A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM | 2012-05-14 | Paper |
| HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS | 2012-05-14 | Paper |
| A nonparametric threshold model with application to zero returns | 2012-01-25 | Paper |
| Nonparametric regression with filtered data | 2011-09-02 | Paper |
| Multivariate density estimation using dimension reducing information and tail flattening trans\-formations | 2011-08-01 | Paper |
| ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL | 2011-07-26 | Paper |
| Evaluating Value-at-Risk Models via Quantile Regression | 2011-04-13 | Paper |
| On internally corrected and symmetrized kernel estimators for nonparametric regression | 2011-01-22 | Paper |
| Semi- and nonparametric ARCH processes | 2010-12-01 | Paper |
| Non-parametric regression with a latent time series | 2010-10-15 | Paper |
| UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL | 2010-10-14 | Paper |
| ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS | 2010-02-26 | Paper |
| Semiparametric and Nonparametric ARCH Modeling | 2009-11-27 | Paper |
| Testing for Stochastic Monotonicity | 2009-04-16 | Paper |
| Estimation of a semiparametric transformation model | 2008-04-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5447123 | 2008-03-06 | Paper |
| Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions | 2008-02-11 | Paper |
| A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL | 2008-01-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5309192 | 2007-10-09 | Paper |
| Correlation and Marginal Longitudinal Kernel Nonparametric Regression | 2007-09-28 | Paper |
| Semiparametric Regression Analysis With Missing Response at Random | 2007-08-20 | Paper |
| Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1 | 2006-10-24 | Paper |
| Flexible term structure estimation: Which method is preferred? | 2006-08-14 | Paper |
| Estimation of Semiparametric Models when the Criterion Function Is Not Smooth | 2006-06-19 | Paper |
| Nonparametric Censored and Truncated Regression | 2006-06-16 | Paper |
| NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA | 2005-10-18 | Paper |
| Consistent Testing for Stochastic Dominance under General Sampling Schemes | 2005-09-28 | Paper |
| THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS | 2005-09-05 | Paper |
| A Nonparametric Prewhitened Covariance Estimator | 2005-05-20 | Paper |
| Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems | 2005-04-05 | Paper |
| More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors | 2004-06-10 | Paper |
| Estimating multiplicative and additive hazard functions by kernel methods | 2004-05-18 | Paper |
| SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS | 2003-05-18 | Paper |
| SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS | 2003-05-18 | Paper |
| NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA | 2003-05-18 | Paper |
| Some higher-order theory for a consistent non-parametric model specification test | 2003-04-03 | Paper |
| Symmetrizing and unitizing transformations for linear smoother weights | 2003-03-09 | Paper |
| Edgeworth approximations for semiparametric instrumental variable estimators and test statis\-tics. | 2003-02-17 | Paper |
| Local nonlinear least squares: using parametric information in nonparametric regression | 2002-12-03 | Paper |
| The existence and asymptotic properties of a backfitting projection algorithm under weak conditions | 2002-06-10 | Paper |
| Nonparametric factor analysis of residual time series | 2002-03-26 | Paper |
| Testing additivity in generalized nonparametric regression models with estimated parameters | 2002-02-04 | Paper |
| EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS | 2001-07-03 | Paper |
| Yield curve estimation by kernel smoothing methods | 2001-01-01 | Paper |
| Adaptive testing in arch models | 2000-11-20 | Paper |
| Integration and backfitting methods in additive models -- finite sample properties and comparison | 2000-06-13 | Paper |
| On a semiparametric survival model with flexible covariate effect | 1999-11-09 | Paper |
| The existence and asymptotic properties of a backfitting projection algorithm under weak conditions | 1999-10-01 | Paper |
| The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series | 1999-01-01 | Paper |
| An Optimization Interpretation of Integration and Back-Fitting Estimators for Separable Nonparametric Models | 1998-10-18 | Paper |
| An Analysis of Transformations for Additive Nonparametric Regression | 1998-02-08 | Paper |
| Miscellanea. Efficient estimation of additive nonparametric regression models | 1997-11-18 | Paper |
| Estimation of additive regression models with known links | 1996-12-08 | Paper |
| Kernel estimation in a nonparametric marker dependent hazard model | 1996-10-08 | Paper |
| Second order approximation in a linear regression with heteroskedasticity of unknown form | 1996-08-29 | Paper |
| Second Order Approximation in the Partially Linear Regression Model | 1996-05-02 | Paper |
| Nonparametric regression estimation at design poles and zeros | 1996-01-01 | Paper |
| A kernel method of estimating structured nonparametric regression based on marginal integration | 1995-11-02 | Paper |
| A simple bias reduction method for density estimation | 1995-08-16 | Paper |
| A multiplicative bias reduction method for nonparametric regression | 1994-05-24 | Paper |
