84 citations · 103 across the 8 of their papers we have counts for
7 papers · 1 filter
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…
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…
Supplementary Material for "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case"
Christian M. Hafner, Oliver B. Linton, Haihan Tang
Supplementary Material for "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case"
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series
Heejoon Han, Oliver Linton, Tatsushi Oka +1
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional pr…
Nonparametric regression with filtered data
Oliver Linton, Enno Mammen, Jens Perch Nielsen +1
We present a general principle for estimating a regression function nonparametrically, allowing for a wide variety of data filtering, for example, repeated left truncation and righ…