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Oliver Linton

Biography

Oliver is Professor of Political Economy at Cambridge University. His research interests include econometric theory, nonparametric and semiparametric methods and empirical finance.

Selected publications

  

All available outputs

A coupled component GARCH model for intraday and overnight volatility, January 2017, (with Jianbin Wu), Working Paper, CWP05/17, The IFS
Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in…finite order, November 2016, (with Seok Young Hong ), Working Paper, CWP53/16, The IFS
Estimation of a multiplicative covariance structure in the large dimensional case, November 2016, (with Christian M. Hafner , Haihan Tang), Working Paper, CWP52/16, The IFS
Previous version:
Christian M. Hafner, Oliver Linton and Haihan Tang May 2016, Estimation of a Multiplicative Covariance Structure, cemmap Working Paper , CWP23/16
Semiparametric dynamic portfolio choice with multiple conditioning variables, October 2016, (with Jia Chen Degui Li , Zudi Lu), Journal of Econometrics, Elsevier, Journal Articles
Previous version:
Jia Chen, Degui Li, Oliver Linton and Zudi Lu February 2015, Semiparametric dynamic portfolio choice with multiple conditioning variables, cemmap Working Paper , CWP07/15
A nonparametric test of a strong leverage hypothesis, September 2016, (with Yoon-Jae Whang , Yu-Min Yen), Journal of Econometrics, Elsevier, Journal Articles
Previous version:
Oliver Linton, Yoon-Jae Whang and Yu-Min Yen July 2013, A nonparametric test of a strong leverage hypothesis, cemmap Working Paper , CWP28/13
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series, July 2016, (with Heejoon Han , Tatsushi Oka , Yoon-Jae Whang), Journal of Econometrics, Elsevier, Journal Articles
Previous version:
Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang February 2014, The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series, cemmap Working Paper , CWP06/14
Estimation of a Multiplicative Covariance Structure, May 2016, (with Christian M. Hafner , Haihan Tang), Working Paper, CWP23/16, IFS
New version:
Christian M. Hafner, Oliver Linton and Haihan Tang November 2016, Estimation of a multiplicative covariance structure in the large dimensional case, cemmap Working Paper , CWP52/16
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model, March 2016, (with Xiaohong Chen , Stefan Schneeberger , Yanping Yi), Working Paper, CWP12/16, The Institute for Fiscal Studies
Nonparametric transformation regression with non-stationary data, February 2016, (with Qiying Wang), Econometric Theory, Cambridge Journals, Journal Articles
Previous version:
Oliver Linton and Qiying Wang April 2013, Non-parametric transformation regression with non-stationary data, cemmap Working Paper , CWP16/13
Averaging of an increasing number of moment condition estimators, February 2016, (with Xiaohong Chen David Jacho-Chávez ), Econometric Theory, Cambridge University Press, Journal Articles
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market, February 2016, (with Lena Boneva (Körber) , Michael Vogt), Journal of Applied Econometrics, Wiley, Journal Articles
The effect of fragmentation in trading on market quality in the UK equity market, February 2016, (with Lena Boneva (Körber) , Michael Vogt), Journal of Applied Econometrics, Wiley Online Library, Journal Articles
Previous version:
Lena Boneva (Körber), Oliver Linton and Michael Vogt August 2013, The effect of fragmentation in trading on market quality in the UK equity market, cemmap Working Paper , CWP42/13
Semiparametric model averaging of ultra-high dimensional time series, October 2015, (with Jia Chen Degui Li , Zudi Lu), Working Paper, CWP62/15, Institute for Fiscal Studies
Nonparametric Euler equation identification and estimation, October 2015, (with Juan Carlos Escanciano Stefan Hoderlein , Arthur Lewbel , Sorawoot Srisuma), Working Paper, CWP61/15, Institute for Fiscal Studies
Let's get LADE: robust estimation of semiparametric multiplicative volatility models, August 2015, (with Bonsoo Koo ), Econometric Theory, Cambridge University Press, Journal Articles
Previous version:
Bonsoo Koo and Oliver Linton March 2013, Let's get LADE: robust estimation of semiparametric multiplicative volatility models, cemmap Working Paper , CWP11/13
A flexible semiparametric forecasting model for time series, June 2015, (with Degui Li , Zudi Lu), Journal of Econometrics, Vol. 187, No. 1, pp. 345-357, Elsevier B.V., Journal Articles
Discussion of A. Ronald Gallant: “Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference”, May 2015, (with Ruochen Wu), Journal of Financial Econometrics, early view online, Oxford Journals, Journal Articles
A semiparametric model for heterogeneous panel data with fixed effects, March 2015, (with Lena Boneva (Körber) , Michael Vogt), Journal of Econometrics, Vol. 188, No. 2, pp. 327-345, Elsevier, Journal Articles
Previous version:
Lena Boneva (Körber), Oliver Linton and Michael Vogt January 2013, A semiparametric model for heterogeneous panel data with fixed effects, cemmap Working Paper , CWP02/13
An investigation into multivariate variance ratio statistics and their application to stock market predictability, March 2015, (with Seok Young Hong , Hui Jun Zhang), Working Paper, CWP13/15, Institute for Fiscal Studies
Semiparametric dynamic portfolio choice with multiple conditioning variables, February 2015, (with Jia Chen Degui Li , Zudi Lu), Working Paper, CWP07/15, IFS
Now published:
Jia Chen, Degui Li, Oliver Linton and Zudi Lu October 2016, Semiparametric dynamic portfolio choice with multiple conditioning variables, Journal Articles Journal of Econometrics
Mean Ratio Statistic for measuring predictability, February 2015, (with Katja Smetanina), Working Paper, CWP08/15, IFS
Classification of nonparametric regression functions in heterogeneous panels, February 2015, (with Michael Vogt ), Working Paper, CWP06/15, IFS
Multivariate variance ratio statistics, June 2014, (with Seok Young Hong , Hui Jun Zhang), Working Paper, CWP29/14, Cemmap
Testing for the stochastic dominance efficiency of a given portfolio, June 2014, (with Thierry Post , Yoon-Jae Whang), Econometrics Journal, Wiley Online Library, Journal Articles
Previous version:
Oliver Linton and Yoon-Jae Whang September 2012, Testing for the stochastic dominance efficiency of a given portfolio, cemmap Working Paper , CWP27/12
Testing for the stochastic dominance efficiency of a given portfolio, May 2014, (with Thierry Post , Yoon-Jae Whang), Econometrics Journal, Vol. 17, No. 2, pp. S59-S74, Wiley, Journal Articles
Nonparametric estimation of a periodic sequence in the presence of a smooth trend, March 2014, (with Michael Vogt), Biometrika, Oxford University Press, Journal Articles
Previous version:
Oliver Linton and Michael Vogt September 2012, Nonparametric estimation of a periodic sequence in the presence of a smooth trend, cemmap Working Paper , CWP23/12
Nonparametric estimation of a periodic sequence in the presence of a smooth trend, March 2014, (with Michael Vogt), Biometrika, Vol. 101, No. 1, pp. 121-140, Oxford University Press, Journal Articles
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series, February 2014, (with Heejoon Han , Tatsushi Oka , Yoon-Jae Whang), Working Paper, CWP06/14
Now published:
Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang July 2016, The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series, Journal Articles Journal of Econometrics
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves, January 2014, (with Heather Battey ), Journal of Multivariate Analysis, Vol. 123, pp. 43-67, Elsevier, Journal Articles
Previous version:
Heather Battey and Oliver Linton April 2013, Nonparametric estimation of multivariate elliptic densities via finite mixture sieves, cemmap Working Paper , CWP15/13
Testing Conditional Independence Restrictions, November 2013, (with Pedro Gozalo ), Econometric Reviews, Vol. 33, No. 5-6, pp. 523-552, Taylor & Francis Online, Journal Articles
Global Bahadur representation for nonparametric censored regression quantiles and its applications, October 2013, (with Efang Kong , Yingcun Xia), Econometric Theory, Cambridge University Press, Journal Articles
Previous version:
Efang Kong, Oliver Linton and Yingcun Xia November 2011, Global Bahadur representation for nonparametric censored regression quantiles and its applications, cemmap Working Paper , CWP33/11
The effect of fragmentation in trading on market quality in the UK equity market, August 2013, (with Lena Boneva (Körber) , Michael Vogt), Working Paper, CWP42/13, Institute for Fiscal Studies
Now published:
Lena Boneva (Körber), Oliver Linton and Michael Vogt February 2016, The effect of fragmentation in trading on market quality in the UK equity market, Journal Articles Journal of Applied Econometrics
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves, August 2013, (with Heather Battey ), Working Paper, CWP41/13, cemmap
Now published:
Heather Battey and Oliver Linton January 2014, Nonparametric estimation of multivariate elliptic densities via finite mixture sieves, Journal Articles Journal of Multivariate Analysis
A nonparametric test of a strong leverage hypothesis, July 2013, (with Yoon-Jae Whang , Yu-Min Yen), Working Paper, CWP28/13
Now published:
Oliver Linton, Yoon-Jae Whang and Yu-Min Yen September 2016, A nonparametric test of a strong leverage hypothesis, Journal Articles Journal of Econometrics
Previous version:
Oliver Linton, Yoon-Jae Whang and Yu-Min Yen September 2012, A nonparametric test of the leverage hypothesis, cemmap Working Paper , CWP24/12
Non-parametric transformation regression with non-stationary data, April 2013, (with Qiying Wang), Working Paper, CWP16/13, Institute for Fiscal Studies
Now published:
Oliver Linton and Qiying Wang February 2016, Nonparametric transformation regression with non-stationary data, Journal Articles Econometric Theory
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves, April 2013, (with Heather Battey ), Working Paper, CWP15/13, cemmap
Now published:
Heather Battey and Oliver Linton January 2014, Nonparametric estimation of multivariate elliptic densities via finite mixture sieves, Journal Articles Journal of Multivariate Analysis
Let's get LADE: robust estimation of semiparametric multiplicative volatility models, March 2013, (with Bonsoo Koo ), Working Paper, CWP11/13, Institute for Fiscal Studies
Now published:
A semiparametric model for heterogeneous panel data with fixed effects, January 2013, (with Lena Boneva (Körber) , Michael Vogt), Working Paper, CWP02/13, Institute for Fiscal Studies
Now published:
Lena Boneva (Körber), Oliver Linton and Michael Vogt March 2015, A semiparametric model for heterogeneous panel data with fixed effects, Journal Articles Journal of Econometrics
A flexible semiparametric model for time series, September 2012, (with Degui Li , Zudi Lu), Working Paper, CWP28/12, Institute for Fiscal Studies
Averaging of moment condition estimators, September 2012, (with Xiaohong Chen David Jacho-Chávez ), Working Paper, CWP26/12, Institute for Fiscal Studies
Testing for the stochastic dominance efficiency of a given portfolio, September 2012, (with Yoon-Jae Whang), Working Paper, CWP27/12, Institute for Fiscal Studies
Now published:
Oliver Linton, Thierry Post and Yoon-Jae Whang June 2014, Testing for the stochastic dominance efficiency of a given portfolio, Journal Articles Econometrics Journal
Efficient estimation of conditional risk measures in a semiparametric GARCH model, September 2012, (with Dajing Shang , Yang Yan), Working Paper, CWP25/12, Institute of Fiscal Studies
A nonparametric test of the leverage hypothesis, September 2012, (with Yoon-Jae Whang , Yu-Min Yen), Working Paper, CWP24/12
New version:
Oliver Linton, Yoon-Jae Whang and Yu-Min Yen July 2013, A nonparametric test of a strong leverage hypothesis, cemmap Working Paper , CWP28/13
Nonparametric estimation of a periodic sequence in the presence of a smooth trend, September 2012, (with Michael Vogt), Working Paper, CWP23/12, Institute for Fiscal Studies
Now published:
Oliver Linton and Michael Vogt March 2014, Nonparametric estimation of a periodic sequence in the presence of a smooth trend, Journal Articles Biometrika
Global Bahadur representation for nonparametric censored regression quantiles and its applications, November 2011, (with Efang Kong , Yingcun Xia), Working Paper, CWP33/11
Now published:
Estimating features of a distribution from binomial data, June 2011, (with Arthur Lewbel , Daniel McFadden), Journal of Econometrics, Elsevier, Journal Articles
Previous version:
Arthur Lewbel, Oliver Linton and Daniel McFadden December 2001, Estimating features of a distribution from binomial data, cemmap Working Paper , CWP07/01
Estimating features of a distribution from binomial data, forthcoming, (with Arthur Lewbel , Daniel McFadden), Journal of Econometrics, Journal Articles
An improved bootstrap test of stochastic dominance, February 2010, (with Song, Kyungchul , Yoon-Jae Wang), Journal of Econometrics, Elsevier, Journal Articles
Previous version:
Oliver Linton, Kyungchui (Kevin) Song and Yoon-Jae Whang March 2008, Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary, cemmap Working Paper , CWP08/08
Nonparametric estimation of a polarization measure, June 2009, (with Gordon Anderson , Yoon-Jae Whang), Working Paper, CWP14/09
Testing for stochastic monotonicity, March 2009, (with Sokbae Lee ), Econometrica, Vol. 77, No. 2, pp. 585-602, Journal Articles
Previous version:
Sokbae Lee, Oliver Linton and Yoon-Jae Whang July 2008, Testing for stochastic monotonicity, cemmap Working Paper , CWP21/08
Testing for stochastic monotonicity, July 2008, (with Sokbae Lee , Yoon-Jae Whang), Working Paper, CWP21/08
Now published:
Sokbae Lee and Oliver Linton March 2009, Testing for stochastic monotonicity, Journal Articles Econometrica
Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary, March 2008, (with Kyungchui (Kevin) Song , Yoon-Jae Whang), Working Paper, CWP08/08
Now published:
Oliver Linton, Song, Kyungchul and Yoon-Jae Wang February 2010, An improved bootstrap test of stochastic dominance, Journal Articles Journal of Econometrics
Nonparametric estimation of homothetic and homothetically separable functions, July 2007, (with Arthur Lewbel ), Econometrica, Vol. 75, No. 4, pp. 1209-1227, Journal Articles
Previous version:
Arthur Lewbel and Oliver Linton October 2003, Nonparametric estimation of homothetic and homothetically separable functions, cemmap Working Paper , CWP14/03
Testing for stochastic monotonicity, August 2006, (with Sokbae Lee , Yoon-Jae Whang), External publications, STICERD
Asymptotic expansions for some semiparametric program evaluation estimators, October 2005, (with Hidehiko Ichimura ), Ch. 8, pp. 149-170, Journal Articles
Previous version:
Hidehiko Ichimura and Oliver Linton September 2001, Asymptotic expansions for some semiparametric program evaluation estimators, cemmap Working Paper , CWP04/01
Consistent testing for stochastic dominance: a subsampling approach, July 2005, (with Esfandiar Maasoumi , Yoon-Jae Wang), Review of Economic Studies, Vol. 72, No. 3, pp. 735-765, Journal Articles
Previous version:
Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Wang December 2002, Consistent testing for stochastic dominance: a subsampling approach, cemmap Working Paper , CWP03/02
Nonparametric inference for unbalance time series data, February 2005, Econometric Theory, Vol. 21, No. 1, pp. 143-157, Journal Articles
Previous version:
Oliver Linton April 2004, Nonparametric inference for unbalance time series data, cemmap Working Paper , CWP06/04
Semiparametric regression analysis with missing response at random, December 2004, (with Wang, Qihua , Wolfgang Härdle), Journal of the American Statistical Association, Taylor & Francis, Journal Articles
Previous version:
Wolfgang Härdle, Oliver Linton and Wang, Qihua April 2003, Semiparametric regression analysis with missing response at random, cemmap Working Paper , CWP11/03
Nonparametric inference for unbalance time series data, April 2004, Working Paper, CWP06/04, IFS
Now published:
Oliver Linton February 2005, Nonparametric inference for unbalance time series data, Journal Articles Econometric Theory , 12 pp.
Nonparametric estimation of homothetic and homothetically separable functions, October 2003, (with Arthur Lewbel ), Working Paper, CWP14/03
Now published:
Arthur Lewbel and Oliver Linton July 2007, Nonparametric estimation of homothetic and homothetically separable functions, Journal Articles Econometrica , 17 pp.
Estimation of semiparametric models when the criterion function is not smooth, September 2003, (with Xiaohong Chen , Ingred van Keilegom), Econometrica, Vol. 71, No. 5, pp. 1591-1608, Journal Articles
Previous version:
Xiaohong Chen, Oliver Linton and Ingred van Keilegom November 2002, Estimation of semiparametric models when the criterion function is not smooth, cemmap Working Paper , CWP02/02
Semiparametric regression analysis with missing response at random, April 2003, (with Wolfgang Härdle , Wang, Qihua), Working Paper, CWP11/03, IFS
Now published:
Wang, Qihua, Oliver Linton and Wolfgang Härdle December 2004, Semiparametric regression analysis with missing response at random, Journal Articles Journal of the American Statistical Association , 30 pp.
Consistent testing for stochastic dominance: a subsampling approach, December 2002, (with Esfandiar Maasoumi , Yoon-Jae Wang), Working Paper, CWP03/02, IFS
Now published:
Oliver Linton, Esfandiar Maasoumi and Yoon-Jae Wang July 2005, Consistent testing for stochastic dominance: a subsampling approach, Journal Articles Review of Economic Studies , 42 pp.
Estimation of semiparametric models when the criterion function is not smooth, November 2002, (with Xiaohong Chen , Ingred van Keilegom), Working Paper, CWP02/02
Now published:
Xiaohong Chen, Oliver Linton and Ingred van Keilegom September 2003, Estimation of semiparametric models when the criterion function is not smooth, Journal Articles Econometrica , 28 pp.
Estimating features of a distribution from binomial data, December 2001, (with Arthur Lewbel , Daniel McFadden), Working Paper, CWP07/01
Now published:
Arthur Lewbel, Oliver Linton and Daniel McFadden June 2011, Estimating features of a distribution from binomial data, Journal Articles Journal of Econometrics , 32 pp.
Asymptotic expansions for some semiparametric program evaluation estimators, September 2001, (with Hidehiko Ichimura ), Working Paper, CWP04/01
Now published:
Hidehiko Ichimura and Oliver Linton October 2005, Asymptotic expansions for some semiparametric program evaluation estimators, Journal Articles

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