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Nonparametric estimation of a multifactor Heath-Jarrow-Morton model: an integrated approach
Jeffrey, Andrew; Kristensen, Dennis; Linton, Oliver; … - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 251-289
Persistent link: https://www.econbiz.de/10002214284
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A coupled component GARCH model for intraday and overnight volatility
Linton, Oliver; Wu, Jianbin - 2018
Persistent link: https://www.econbiz.de/10012671142
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Robust estimation of integrated volatility
Li, Zhen; Linton, Oliver - 2021
Persistent link: https://www.econbiz.de/10013206057
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Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning; Chen, Jia; Linton, Oliver - 2021
Persistent link: https://www.econbiz.de/10013259517
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Implications of high-frequency trading for security markets
Linton, Oliver; Mahmoodzadeh, Soheil - 2018
Persistent link: https://www.econbiz.de/10012667529
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Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun; Li, Degui; Linton, Oliver; Wang, Hanchao - 2022 - This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
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A coupled component GARCH model for intraday and overnight volatility
Linton, Oliver; Wu, Jianbin - 2016
Persistent link: https://www.econbiz.de/10011630744