|
2024
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Nonstandard Errors
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Journal of Finance
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A
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343
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2024
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GMM estimation for high-dimensional panel data models
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Journal of Econometrics
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A
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4
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2024
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Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach
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Journal of Econometrics
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A
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5
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2024
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Dynamic Peer Groups of Arbitrage Characteristics
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Journal of Business & Economic Statistics
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A
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3
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|
2024
|
Dynamic Autoregressive Liquidity (DArLiQ)
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Journal of Business & Economic Statistics
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A
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3
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2023
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High dimensional semiparametric moment restriction models
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Journal of Econometrics
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A
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3
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2023
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Testing for time stochastic dominance
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Journal of Econometrics
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A
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3
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2023
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Testing stochastic dominance with many conditioning variables
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Journal of Econometrics
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A
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3
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2023
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News-implied linkages and local dependency in the equity market
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Journal of Econometrics
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A
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3
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2022
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The Impact of Corporate QE on Liquidity: Evidence from the UK
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Economic Journal
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A
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6
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2022
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ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM
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Econometric Theory
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B
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2
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2022
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A score statistic for testing the presence of a stochastic trend in conditional variances
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Economics Letters
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C
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4
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2022
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Adjusted-range self-normalized confidence interval construction for censored dependent data
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Economics Letters
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C
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4
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2022
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Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models
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Journal of Econometrics
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A
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3
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2022
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Comment on “Factor Models for High-Dimensional Tensor Time Series” by Rong Chen, Dan Yang, and Cun-Hui Zhang
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Journal of the American Statistical Association
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B
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2
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2022
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A Unified Framework for Specification Tests of Continuous Treatment Effect Models
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Journal of Business & Economic Statistics
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A
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3
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2022
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A ReMeDI for Microstructure Noise
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Econometrica
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S
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2
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2021
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NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION
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Econometric Theory
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B
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5
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2021
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Estimation and inference in semiparametric quantile factor models
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Journal of Econometrics
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A
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3
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|
2021
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When will the Covid-19 pandemic peak?
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Journal of Econometrics
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A
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2
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2021
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Estimation of a nonparametric model for bond prices from cross-section and time series information
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Journal of Econometrics
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A
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3
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|
2021
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A weighted sieve estimator for nonparametric time series models with nonstationary variables
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Journal of Econometrics
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A
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3
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2021
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On unit free assessment of the extent of multilateral distributional variation
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The Econometrics Journal
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B
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5
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2021
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A unified framework for efficient estimation of general treatment models
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Quantitative Economics
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B
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4
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2020
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INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS
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Econometric Theory
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B
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3
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2020
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Estimation of a multiplicative correlation structure in the large dimensional case
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Journal of Econometrics
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A
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3
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|
2020
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QUANTILOGRAMS UNDER STRONG DEPENDENCE
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Econometric Theory
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B
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3
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2020
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Multiscale clustering of nonparametric regression curves
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Journal of Econometrics
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A
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2
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2020
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A coupled component DCS-EGARCH model for intraday and overnight volatility
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Journal of Econometrics
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A
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2
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2020
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Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
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Journal of Econometrics
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A
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2
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2019
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A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
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Journal of Econometrics
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A
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3
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2019
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Semiparametric estimation of the bid–ask spread in extended roll models
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Journal of Econometrics
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A
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4
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2019
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Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
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Journal of Econometrics
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A
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2
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2019
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The behaviour of betting and currency markets on the night of the EU referendum
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International Journal of Forecasting
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B
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2
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2018
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Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
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Journal of the American Statistical Association
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B
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4
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2018
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Additive nonparametric models with time variable and both stationary and nonstationary regressors
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Journal of Econometrics
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A
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2
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2017
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Semiparametric identification of the bid–ask spread in extended Roll models
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Journal of Econometrics
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A
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3
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2017
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AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
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Econometric Theory
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B
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2
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2017
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A discrete‐choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance
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Journal of Applied Econometrics
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B
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2
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2016
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Semiparametric dynamic portfolio choice with multiple conditioning variables
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Journal of Econometrics
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A
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4
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2016
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AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS
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Econometric Theory
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B
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3
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2016
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The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
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Journal of Econometrics
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A
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4
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2016
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The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market
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Journal of Applied Econometrics
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B
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3
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2016
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NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA
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Econometric Theory
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B
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2
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2016
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Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
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Journal of Econometrics
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A
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3
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|
2016
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A nonparametric test of a strong leverage hypothesis
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Journal of Econometrics
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A
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3
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|
2015
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A semiparametric model for heterogeneous panel data with fixed effects
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Journal of Econometrics
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A
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3
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2015
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LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS
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Econometric Theory
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B
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2
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2015
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A flexible semiparametric forecasting model for time series
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Journal of Econometrics
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A
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3
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2013
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ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
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Econometric Theory
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B
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2
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2013
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GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS
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Econometric Theory
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B
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3
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2012
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A polarization-cohesion perspective on cross-country convergence
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Journal of Economic Growth
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A
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3
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2012
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LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES
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Econometric Theory
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B
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3
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2012
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Semiparametric estimation of Markov decision processes with continuous state space
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Journal of Econometrics
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A
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2
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2012
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Estimation of semiparametric locally stationary diffusion models
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Journal of Econometrics
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A
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2
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2012
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Nonparametric estimation and inference about the overlap of two distributions
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Journal of Econometrics
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A
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3
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2011
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Evaluating Value-at-Risk Models via Quantile Regression
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Journal of Business & Economic Statistics
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A
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4
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2011
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Estimating features of a distribution from binomial data
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Journal of Econometrics
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A
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3
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2011
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INTRODUCTION TO THE SPECIAL ISSUE ON INVERSE PROBLEMS
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Econometric Theory
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B
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2
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2011
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ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL
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Econometric Theory
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B
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2
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2011
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Annals issue on forecasting--Guest editors' introduction
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Journal of Econometrics
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A
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3
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2011
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A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
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Journal of Econometrics
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A
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3
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2010
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Efficient estimation of a multivariate multiplicative volatility model
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Journal of Econometrics
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A
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2
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2010
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Identification and nonparametric estimation of a transformed additively separable model
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Journal of Econometrics
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A
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3
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2010
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ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
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Econometric Theory
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B
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3
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2010
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UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL
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Econometric Theory
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B
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3
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2010
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An improved bootstrap test of stochastic dominance
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Journal of Econometrics
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A
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3
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2009
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Consistent estimation of a general nonparametric regression function in time series
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Journal of Econometrics
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A
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2
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2008
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Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
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Journal of Econometrics
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A
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2
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2008
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Nonparametric transformation to white noise
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Journal of Econometrics
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A
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2
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2007
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Semiparametric methods in econometrics
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Journal of Econometrics
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A
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3
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2007
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HIGHER ORDER ASYMPTOTIC THEORY WHEN A PARAMETER IS ON A BOUNDARY WITH AN APPLICATION TO GARCH MODELS
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Econometric Theory
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B
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2
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2007
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LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE
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Econometric Theory
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B
|
2
|
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2007
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A NONPARAMETRIC REGRESSION ESTIMATOR THAT ADAPTS TO ERROR DISTRIBUTION OF UNKNOWN FORM
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Econometric Theory
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B
|
2
|
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2007
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The quantilogram: With an application to evaluating directional predictability
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Journal of Econometrics
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A
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2
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2007
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A smoothed least squares estimator for threshold regression models
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Journal of Econometrics
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A
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2
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2006
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The common and specific components of dynamic volatility
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Journal of Econometrics
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A
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3
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2006
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A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
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Econometric Theory
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B
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2
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2005
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NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA
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Econometric Theory
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B
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1
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2005
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Consistent Testing for Stochastic Dominance under General Sampling Schemes
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Review of Economic Studies
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S
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3
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2004
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Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems
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Review of Economic Studies
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S
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3
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2004
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03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution
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Econometric Theory
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B
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2
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2004
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THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
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Econometric Theory
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B
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2
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2004
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Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
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Journal of Econometrics
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A
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2
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|
2003
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03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation
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Econometric Theory
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B
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2
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2002
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NONPARAMETRIC ESTIMATION WITH AGGREGATED DATA
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Econometric Theory
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B
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2
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2002
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Edgeworth approximations for semiparametric instrumental variable estimators and test statistics
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Journal of Econometrics
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A
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1
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2002
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Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach
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Journal of Applied Econometrics
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B
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3
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2001
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SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
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Econometric Theory
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B
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2
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2001
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ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL Lq NORM: THE CURSE OF FRACTIONALITY
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Econometric Theory
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B
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1
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2001
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Testing additivity in generalized nonparametric regression models with estimated parameters
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Journal of Econometrics
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A
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2
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2001
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Yield curve estimation by kernel smoothing methods
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Journal of Econometrics
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A
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4
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2000
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EFFICIENT ESTIMATION OF GENERALIZED ADDITIVE NONPARAMETRIC REGRESSION MODELS
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Econometric Theory
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B
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1
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2000
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Local nonlinear least squares: Using parametric information in nonparametric regression
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Journal of Econometrics
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A
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2
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1999
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The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
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Journal of Econometrics
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A
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2
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1998
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AN INTRODUCTION TO ECONOMETRIC THEORY
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Econometric Theory
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B
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1
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1997
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An Asymptotic Expansion in the GARCH(l, 1) Model
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Econometric Theory
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B
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1
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1996
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Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models
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Econometric Theory
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B
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1
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1996
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Estimation, Inference and Specification AnalysisH. White, Cambridge University Press, 1994
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Econometric Theory
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B
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1
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1993
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Adaptive Estimation in ARCH Models
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Econometric Theory
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B
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1
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