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New Directions in Economics

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Special Initiatives

Covid-19 Research

The Cambridge-INET led, COVID-19 Economic Research website has an extensive collection of special features, research papers, blogs and videos, by Cambridge Academics that look into the pandemic and it’s economics effects,

Research Paper

Dynamic Autoregressive Liquidity (DArLiQ)

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Professor Oliver Linton
Professor Oliver Linton

Professor Oliver Linton has published a new Janeway Institute Working Paper with L. Wang and C.M. Hafner.

They introduce a new class of semiparametric dynamic autoregressive models for the Amihud illiquidity measure, which captures both the long-run trend in the illiquidity series with a nonparametric component and the short-run dynamics with an autoregressive component. 

They develop a GMM estimator based on conditional moment restrictions and an efficient semiparametric ML estimator based on an iid assumption. They derive large sample properties for both estimators and further develop a methodology to detect the occurrence of permanent and transitory breaks in the illiquidity process.

Finally, they demonstrate the model performance and its empirical relevance on two applications. First, they study the impact of stock splits on the illiquidity dynamics of the five largest US technology company stocks. Second, they investigate how the different components of the illiquidity process obtained from their model relate to the stock market risk premium using data on the S&P 500 stock market index.

People

Dr. Chen Wang is visiting

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Dr Chen Wang
Dr Chen Wang

Dr. Chen Wang (University of Hong Kong) is being hosted at the Janeway Institute by Prof. Oliver Linton.

He is an Assistant Professor in the Department of Statistics and Actuarial ScienceThe University of Hong Kong.

His research interests are Random Matrix Theory, Time Series Analysis, High-dimensional Data Analysis.


Visiting between:
27th June 2022 - 26th August 2022

Events & Activites

SoFiE 2022 Annual Conference

You can now see a selection of photographs from the SoFiE 2022 Annual Conference on the event page. Watch out for some videos to be added soon.

The conference took place from June 24th to June 27th 2022 and was sponsored by the Janeway Institute, the Cambridge Endowment for Research in Finance (CERF), the Centre for Microdata Methods and Practice (cemmap) and the Society for Financial Econometrics (SoFiE)