Centre Fellows
Oliver Linton
University of Cambridge
Oliver is Professor of Political Economy at Cambridge University. His research interests include econometric theory, nonparametric and semiparametric methods and empirical finance.
Selected Publications
We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the […]
What is the effect of funding costs on the conditional probability of issuing a corporate bond? […]
We consider a class of nonparametric time series regression models in which the regressor takes values […]
We propose a Kronecker product structure for large covariance or correlation matrices. One feature of this […]
Previous version
Dynamic portfolio choice has been a central and essential objective for investors in active asset management. […]
Previous version
We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based […]
The so-called leverage hypothesis is that negative shocks to prices/returns affect volatility more than equal positive […]
Previous version
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply […]
Previous version
We consider a Kronecker product structure for large covariance matrices, which has the feature that the […]
Latest version
This paper studies the estimation problem of the covariance matrices of asset returns in the presence […]