Additive nonparametric models with time variable and both stationary and nonstationary Regressors (with C. Dong)
Journal of Econometrics
A Simple and Efficient Estimation Method for Models with Nonignorable Missing Data (with C. Ai and Z. Zheng)
A New Semiparametric Estimation of Large Dynamic Covariance Matrix with Multiple Conditioning Variables (with J. Chen and D. Li)
Journal of Econometrics
Standard Errors for Nonparametric Regression (with B. Chu and D. Jacho-Chavez)
The behaviour of betting and currency markets on the night of the EU referendum (with T. Auld)
International Journal of Forecasting
Estimating the bid ask spread with a simple nonparametric method from the Roll model (with X. Chen, S. Schneeberger, and Y. Yi)
Journal of Econometrics
Annual Review of Economics
Semiparametric Model Averaging of Ultra-High Dimensional Time Series (with J. Chen, D. Li and Z. Lu)
Journal of The American Statistical Association, Theory and Methods, Vol 113, pp 919-932
Quantile Regresion Applications in Finance (with X. Ziao) in Handbook of Quantile Regression (ed. R. Koenker) pp381-408. Chapman and Hall
Journal of the Royal Statistical Society, Series B. 79,Part 1, pp. 5—27
An almost closed form estimator for the EGARCH model (with C. Hafner)
Econometric Theory Access Volume 33, Issue 4 August 2017, pp. 1013-1038
Multivariate Variance Ratio Statistics (with Hui Jun Zhang and Seok Young Hong).
Halbert White Lecture, Journal of Financial Econometrics 15 (2): 173-222
Similarity, dissimilarity and exceptionality: generalizing Gini’s transvariation to measure “differentness” in many distributions (with G. Anderson and J. Thomas)
Metron. (2017) 75: 161
A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance (with L. Boneva)
Journal of Applied Econometrics. 2017;32:1226—1243
Semiparametric identification of the Bid-Ask Spread in Extended Roll Models (with X. Chen and Y. Yi)
Journal of Econometrics Volume 200, Issue 2, 2017, Pages 312-325
L. Boneva (Körber) and M. Vogt)
Journal of Applied Econometrics 31 192-213
Non-parametric transformation regression with non-stationary data (with Qiying Wang)
Econometric Theory 32, 1-29
Semiparametric Dynamic Portfolio Choice with Multiple Conditioning variables (with J. Chen, D. Li and Z. Lu)
Journal of Econometrics Volume 194, Issue 2, Pages 309-318
Testing the martingale hypothesis for gross returns (with E. Smetanina)
Journal of Empirical Finance, Volume 38, Part B, 2016, Pages 664-689
Journal of Econometrics, vol. 194, issue 1, 153-186  The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series (with Heejoon Han, Tatushi Oka, and Yoon Jae Whang)
Journal of Econometrics Volume 193, Issue 1, Pages 251-270, ISSN 0304-4076  Estimating the quadratic covariation matrix for an asynchronously observed continuous time signal masked by additive noise (with S. Park and S.Y. Hong)
Journal of Econometrics 191, 325-347  Averaging of an increasing moment condition estimators (with X. Chen and D. Jacho-Chavez)
Econometric Theory 32, 30-70
Journal of Econometrics Volume 187, Issue 1, Pages 345-357  A semiparametric model for heterogeneous panel data with fixed effects (with L. Boneva,O. Linton, M. Vogt)
Journal of Econometrics, Volume 188, Issue 2, 2015, Pages 327-345
Econometric Theory 2014, Page 1 of 32.  Testing Conditional Independence Restrictions (with P. Gozalo)
Econometric Reviews Special issue in honor of Les Godfrey. Vol. 33, Iss. 5-6, 2014  The Regulatory Challenge of High-Frequency Markets (with M. O’Hara and J.P. Zigrand)
Risk books. Eds. D. Easley, M. Lopez de Prado, and M. O’Hara  Testing for Stochastic Dominance Efficiency (with T. Post and Y. Whang)
Econometrics Journal 17,2 59-74  Nonparametric Estimation of Periodic Functions and Smooth Trends (with M. Vogt)
Biometrika101 (1): 121-140
 Nonparametric estimation of multivariate elliptic densities via finite mixture sieves (with H.Battey)
Journal of Multivariate Analysis Volume 123, pp 43-67
Econometric Theory Volume 29, Issue 05, pp 941-968  Realized Volatility: Theory and Application (with S. Park)
The Handbook of Volatility and Their Applications
John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118272039.ch13  Estimation and Inference regarding Expected Shortfall for time series with infinite variance (with Z. Xiao)
Econometric Theory 29, 4, 771-807
Journal of Econometrics 170, 210-233  Efficient Estimation of a Semiparametric Characteristic-Based Factor model for Security Returns (with G. Connor and M. Hagmann)
Econometrica 80, 713-754  Nonparametric estimation and inference about the overlap of two distributions (with G. Anderson and Y. Whang)
Journal of Econometrics November 2012 issue Volume 171, issue 1, pp. 1-23  What has happened to UK Equity Market Quality in the last decade? An analysis using daily data.
Foresight project on The Future of Computer Trading in Financial Markets.  The impact of computer trading on liquidity, price efficiency/discovery and transaction costs (with M. O’Hara)
Foresight project on The Future of Computer Trading in Financial Markets  Local Linear Fitting under Near-Epoch Dependence: Uniform Consistency with Convergence Rates (with D. Li and Z. Lu).
Econometric Theory 28, 1-24  Semiparametric Estimation of Markov Decision Processes with Continuous State Space: Discrete Control (with S.T. Srisuma).
Journal of Econometrics 166(2): 320-341  Making Inferences about Rich Country-Poor Country Convergence: The Polarization Trapezoid and Overlap Measures (with G. Anderson and T. Wah Leo).
Journal of Economic Growth 17, 49-69
Journal of Probability and Statistics  Computationally and Statistically Efficient Single Index Estimation (with Y. Xia and W.Härdle).
Festschrift for Leopold Simar Eds. I. Van Keilegom. Springer, Berlin.  Nonparametric Regression with Filtered Data (with E. Mammen, J.P. Nielsen, and I. Van Keilegom).
Bernoulli 17, 60-87  Multivariate Density Estimation using Dimensionality Reducing Model Information (with J. Nielsen, T. Buche-Larsen, and M. Guillen).
Insurance: Mathematics and Economics 48, 99-110.  Estimating Features of a Distribution from Binomial Data (with A. Lewbel and D. McFadden)
Journal of Econometrics 162, 170-188.  A Semiparametric Model for Climate Change (with A. Atak and Z. Xiao)
Journal of Econometrics 164, pp. 92-115  Evaluating Value-at-Risk Models via Quantile Regression (with Wagner Piazza Gaglianone, Luiz Renato Lima, and Daniel R. Smith)
Journal of Business and Economic Statistics Jan 2011, Vol. 29, No. 1: 150—160.  Estimation of a Semiparametric IGARCH Model (with W. Kim)
Econometric Theory Special Issue on Inverse Problems 27, 639-662.  Introduction to the Special Issue on Inverse Problems (with J.P. Florens)
Econometric Theory Special Issue on Inverse Problems 27, 457-459.
Journal of Econometrics 154, 186-202  Efficient estimation of a multivariate multiplicative volatility model (with C. Hafner).
Journal of Econometrics 159, 55-73.  Estimation for a non-stationary semi-strong GARCH(1,1) model with heavy-tailed errors(with J. Pan and H. Wang)
Econometric Theory 26, 1-28.  Evaluating Hedge Fund Returns: A stochastic dominance approach (with S. Li).
The Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques ed. John Guerard, Jr. Springer Verlag Date published: 2009-12-30 ISBN-13: 9780387774381 ISBN: 0387774386  The Asymptotic Distribution of Internally Corrected Kernel Estimators for Nonparametric Regression (with D. Jacho-Chavez).
TEST 19, 166-186  Identification and Nonparametric Estimation of a transformed Additively Separable Model (with D. Jacho-Chavez and A. Lewbel).
Journal of Econometrics 156, 392-407  Uniform Bahadur Representation for Local Polynomial Estimates of M-Regression and its application (with E. Kong and Y. Xia)
Econometric Theory 26, 1529-1564
Handbook of Financial Time Series eds. Anderson, Davis, Kreiss, and Mikosch.  Testing for Stochastic Monotonicity (with S. Lee and Y. Whang)
Econometrica 77, 585-602  A nonparametric threshold model with application to zero returns.
FERM Special Issue of Statistics and Its Interface 1.2, 321-326.  Consistent Estimation of A General Nonparametric Regression Function in Time Series(with A. Sancetta)
Journal of Econometrics 152, 70-78.  Nonparametric Regression with a Latent Time Series (with J.P. Nielsen and S.F. Nielsen)
Econometrics Journal 12, 187-207.
Journal of Econometrics 141, 241-264.  Estimating Quadratic Variation Consistently in the presence of Correlated Measurement Error (with I. Kalnina)
Journal of Econometrics 147, 47-59.  Estimation of a Semiparametric Transformation Model by Minimum Distance (with S. Sperlich and I. Van Keilegom)
The Annals of Statistics 36, 686-718.  ARCH Models
The New Palgrave Dictionary of Economics 2nd Edition, Edited by Steven N. Durlauf and Lawrence E. Blum  Local Regression Models
The New Palgrave Dictionary of Economics 2nd Edition, Edited by Steven N. Durlauf and Lawrence E. Blum
Econometric Theory 23, 37-70.  A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form (with Z. Xiao)
Econometric Theory 23, 371-413  Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions (with A. Lewbel)
Econometrica 75, 1209-1228.  Discussion of Ait-Sahalia and Shephard (with I. Kalnina)
World Congress, Cambridge University Press  Semiparametric Estimation of A Characteristic-Based Factor Model (with G. Connor).
Journal of Empirical Finance 14, 694-717.  Are There Monday Effects in Stock Markets? A Stochastic Dominance Approach (with Y.Cho and Y. Whang)
Journal of Empirical Finance 14, 736-755.  A Quantilogram approach to testing for Directional Predictability (with Y. Whang)
Journal of Econometrics 141, 250-282.  A Smoothed Least Squares Estimator for the Threshold Regression Model (with M. Seo)
Journal of Econometrics 141, 704-735  Higher-order Asymptotic Theory when a parameter is on the boundary with an application to GARCH Models (with E. Iglesias)
Econometric Theory 23, 1136-1161
Metrika January, 1-24.  The Froot-Stein Model Revisited (with N. Hogh and J.P. Nielsen)
The Annals of Actuarial Science 1, 37-48.  The Common and Specific Components of Dynamic Volatility (with G. Connor and R.Korajczyk).
Journal of Econometrics 132, 231-255.12  A Closed-form Estimator for the GARCH(1,1)-Model (with D. Kristensen)
Econometric Theory 22, 323-327.  Discussion of Koenker and Xiao (with C. Hafner)
Journal of the American Statistical Association 101, 998-1001.
Econometrica 73, 771-836.  Testing for Stochastic Dominance under general conditions: A subsampling approach (with Y. Whang and E. Maasoumi)
Review of Economic Studies 72, 735-765. Corrigendum, 2007, 75, 1-5.  Nonparametric Inference for Unbalanced Time Series Data Econometric Theory,
20th Anniversary Special Issue 21, 143-157.  Asymptotic expansions for some semiparametric program evaluation estimators (with H. Ichimura)
Cambridge University Press, Volume in Honour of Tom Rothenberg, Eds. D.W.K. Andrews and J. Stock.
Journal of Econometrics 120, 1-34.  Non-Parametric Estimation of Multi-Factor Heath Jarrow Morton Term Structure Models (with A. Jeffrey, D. Kristensen, T. Nguyen, and P.C.B. Phillips)
Journal of Financial Econometrics 2, 251-289.  Semiparametric Regression Analysis for Missing Response Data (with Q. Wang and W.Härdle)
Journal of the American Statistical Association 99, 334-345.  Limit theorems for estimating the parameters of differentiated product demand systems (with S. Berry and A. Pakes).
Review of Economic Studies 71, 613-654.  Testing forward exchange rate unbiasedness efficiently: A Semiparametric Approach (with D. Hodgson and K. Vorkink)
Journal of Applied Economics 7, 1, 325-353 [51 The LIVE Method for Generalized Additive Volatility Models (with W. Kim).
Econometric Theory 20, 1094-1139.
The Annals of Statistics 31, 2, 464-492.  Is there Chaos in the World Economy? A Test Using Nonparametric Regression (with M.Shintani).
International Economic Review 44, 331-357  Some higher-order theory for a consistent nonparametric model specification test. (with Y. Fan)
The Journal of Statistical Planning and Inference 109, 1-2, 125-154  The shape of the risk premium: Evidence from a semiparametric-mean GARCH model (with B. Perron)
Journal of Business and Economic Statistics 2003, 354-367.  Estimation of Semiparametric Models when the Criterion is not Smooth (with X. Chen and I. Van Keilegom)
Econometrica 71, 1591-1608.  Nonparametric smoothing methods for a class of non-standard curve estimation problems (with E. Mammen)
Recent Advances and Trends in Nonparametric Statistics pp 203-216, Elsevier, Amsterdam  More Efficient Local Polynomial Estimation in Nonparametric Regression with Autocorrelated Errors (with Raymond J. Carroll, Enno Mammen, and Zhijie Xiao)
Journal of the American Statistical Association 98, 980-992.  Accounting for Correlation in Marginal Longitudinal Nonparametric Regression (with R.J. Carroll, X. Lin, and E. Mammen)
Second Seattle Symposium on Biostatistics, editor D. Lin.
Econometric Theory 18, 420-468.  Edgeworth approximations for semiparametric instrumental variable estimator and test statistics. Journal of Econometrics 106, 325-368.  Nonparametric Censored and Truncated Regression (with A. Lewbel).
Econometrica 70,765-780.  A Nonparametric Prewhitened Covariance Estimator (with Z. Xiao)
Journal of Time Series Analysis 23, 215-250.  Testing the CAPM efficiently under elliptical symmetry: A Semiparametric Approach (with D. Hodgson and K. Vorkink).
Journal of Applied Econometrics 17, 617-639
Annals of Economics and Finance 2, 99-109.  Second order approximations for Adaptive estimators of regression model parameters (with Zhiejie Xiao).
Econometric Theory 17, 984-1024.  Symmetrizing and unitizing transformations for linear smoothing weights.
Computational Statistics 16, 153-164.  Estimating the Yield Curve by Kernel Smoothing Methods (with J. Nielsen, C. Tangaard, and E. Mammen).
Journal of Econometrics 105/1 185-223.  Nonparametric Factor Analysis for Residual Time Series (with J.R. Poo).
TEST 10, 161-182.  The estimation of conditional densities (with X. Chen and P. Robinson)
The Journal of Statistical Planning and Inference Special Issue in Honor of George Roussas pp 71-84.  A Nonparametric Test of Additivity in Generalized Nonparametric Regression with estimated parameters (with P. Gozalo).
Journal of Econometrics 104, 1-48.  Estimating additive nonparametric models by partial Lq Norm: The Curse of Fractionality.
Econometric Theory 17, 1037-1050.
Econometric Reviews 19, 145-174.  Efficient estimation of generalized additive nonparametric regression models.
Econometric Theory 16, 502-523.  Local nonlinear least squares estimation: Using parametric information nonparametrically (with P. Gozalo)
The Journal of Econometrics 99, 63-106.
The Journal of Econometrics 91, 1-42.  A computationally efficient oracle estimator for additive nonparametric regression with bootstrap confidence intervals. (with W. Kim and N. Hengartner)
The Journal of Computational and Graphical Statistics 8, 278-297.  The existence and asymptotic properties of a backfitting projection algorithm under weak conditions. (with E. Mammen and J.P. Nielsen)
The Annals of Statistics 27, 1443- 1490.  A Simulation comparison between the Backfitting and Integration methods of estimating Separable Nonparametric Models (with W. Härdle and S. Sperlich).
TEST 8, 419-458.
Encyclopedia of Statistical Sciences, Update Volume 2, (1998), 470-485.  An optimization interpretation of integration and backfitting estimators for separable non- parametric models (with J.P. Nielsen)
Journal of The Royal Statistical Society, Series B (1998), 60, 217-22.  A GARCH model of the implied volatility of the Swiss market index from Option prices. (with M. Sabbatini)
(The International Journal of Forecasting 14, 199-213.  A semiparametric survival model with flexible covariate effect (with P.J. Bickel and J.P.Nielsen).
The Annals of Statistics26, 215-241.
Econometric Theory, (1997) 13,558-581.  Efficient estimation of additive nonparametric regression models.
Biometrika, (1997), 84,469-474.  An analysis of transformations for additive nonparametric regression (with R. Chen, N. Wang, and W. Härdle).
Journal of The American Statistical Association 92, 1512- 1521.
Biometrika, 83, 529-540.  Edgeworth approximation for MINPIN estimators in semiparametric regressions models
Econometric Theory (1996) 12, 30-60.  Second order approximation in a linear regression with heteroskedasticity of unknown form Econometric Reviews, (1996), 15, 1-32.  Nonparametric estimation of additive separable regression (with R. Chen, W. Härdle, and E. Severance—Lossin).
In Statistical Theory and Computational Aspects of Smoothing Physica Verlag, p247-265.  Nonparametric regression estimation at design poles and zeros (with N. Hengartner).
The Canadian Journal of Statistics, 24, 583-591.
Econometrica (1995) 63,1079-1113.  Kernel estimation in a nonparametric marker dependent hazard model (with J. P. Nielsen)
The Annals of Statistics, (1995), 23, 1735-1748.  A kernel method of estimating structured nonparametric regression based on marginal integration (with J.P. Nielsen)
Biometrika 82, 93-100.  A simple bias reduction method for density estimation (with M.C. Jones and J.P. Nielsen)
Biometrika , 82, 327-338.  Estimation in semiparametric models: A review, in P.C.B. Phillips and G.S. Maddala (eds.)
A Volume in Honor of C.R. Rao, Blackwell
Statistics and Probability Letters, 19, 181-187.  Applied nonparametric methods (with W. Härdle), in D.F. McFadden and R.F. Engle (eds.)
The Handbook of Econometrics, Volume IV, (1994) pp 2295-2339, North Holland.
Econometric Theory (1993) 9, 539-569.  On Ultrapoverty (with S. Anand and C.J. Harris)
Harvard Center for Population and Development, No. 93.02.