Michael Vogt

University of Cambridge

Trinity Ln

Cambridge, CB2 1TN

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

280

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market

Number of pages: 79 Posted: 26 Aug 2013 Last Revised: 27 Aug 2013
Lena Koerber, Oliver B. Linton and Michael Vogt
London School of Economics & Political Science (LSE), University of Cambridge and University of Cambridge
Downloads 198 (217,269)

Abstract:

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Dark Pools, Heterogenous panel data, High Frequency Trading, quantile regression, MiFID

2.

Classification of Nonparametric Regression Functions in Heterogeneous Panels

Number of pages: 38 Posted: 21 Feb 2015
Michael Vogt and Oliver B. Linton
University of Cambridge and University of Cambridge
Downloads 82 (416,793)
Citation 1

Abstract:

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Panel data; nonparametric regression; classification of regression curves

3.

Specification and Structural Break Tests for Additive Models with Applications to Realized Variance Data

Journal of Econometrics, Vol. 188, No. 1, 2015, pp. 196-218
Posted: 01 Nov 2013 Last Revised: 20 Jun 2015
Matthias R. Fengler, Enno Mammen and Michael Vogt
University of St. Gallen - School of Economics and Political Science, University of Mannheim - Department of Economics and University of Cambridge

Abstract:

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Additive models, Backfitting, Nonparametric time series analysis, Specification tests, Realized variance; Heterogeneous autoregressive model