84 citations · 103 across the 8 of their papers we have counts for
11 papers
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
Ruijun Bu, Degui Li, Oliver Linton +1
In this paper, we consider estimating spot/instantaneous volatility matrices of high-frequency data collected for a large number of assets. We first combine classic nonparametric k…
A Large Confirmatory Dynamic Factor Model for Stock Market Returns in Different Time Zones
Oliver B. Linton, Haihan Tang, Jianbin Wu
We propose a confirmatory dynamic factor model for a large number of stocks whose returns are observed daily across multiple time zones. The model has a global factor and a contine…
Improving Estimation Efficiency via Regression-Adjustment in Covariate-Adaptive Randomizations with Imperfect Compliance
Liang Jiang, Oliver B. Linton, Haihan Tang +1
We investigate how to improve efficiency using regression adjustments with covariates in covariate-adaptive randomizations (CARs) with imperfect subject compliance. Our regression-…
On the Time Trend of COVID-19: A Panel Data Study
Chaohua Dong, Jiti Gao, Oliver Linton +1
In this paper, we study the trending behaviour of COVID-19 data at country level, and draw attention to some existing econometric tools which are potentially helpful to understand…
Estimation of the Kronecker Covariance Model by Quadratic Form
Oliver B. Linton, Haihan Tang
We propose a new estimator, the quadratic form estimator, of the Kronecker product model for covariance matrices. We show that this estimator has good properties in the large dimen…
Multiscale clustering of nonparametric regression curves
Michael Vogt, Oliver Linton
In a wide range of modern applications, we observe a large number of time series rather than only a single one. It is often natural to suppose that there is some group structure in…