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

A coupled component GARCH model for intraday and overnight volatility

We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the […]

Oliver Linton, Jianbin Wu
26 January 2017 | CWP05/17
A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance

What is the effect of funding costs on the conditional probability of issuing a corporate bond? […]

Lena Boneva (Körber), Oliver Linton
12 January 2017 | CWP02/17
Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in…finite order

We consider a class of nonparametric time series regression models in which the regressor takes values […]

Seok Young Hong, Oliver Linton
23 November 2016 | CWP53/16
Estimation of a multiplicative covariance structure in the large dimensional case

We propose a Kronecker product structure for large covariance or correlation matrices. One feature of this […]

Christian M. Hafner, Oliver Linton, Haihan Tang
9 November 2016 | CWP52/16

Previous version

Estimation of a Multiplicative Covariance Structure
Christian M. Hafner, Oliver Linton, Haihan Tang
17 May 2016 | CWP23/16
Semiparametric dynamic portfolio choice with multiple conditioning variables

Dynamic portfolio choice has been a central and essential objective for investors in active asset management. […]

Jia Chen, Degui Li, Oliver Linton, Zudi Lu
1 October 2016 | Journal Article

Previous version

Semiparametric dynamic portfolio choice with multiple conditioning variables
Jia Chen, Degui Li, Oliver Linton, Zudi Lu
20 February 2015 | CWP07/15
A ratio test of the Martingale Hypothesis for Gross Returns

We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based […]

Oliver Linton, Katja Smetanina
1 September 2016 | Journal Article
A nonparametric test of a strong leverage hypothesis

The so-called leverage hypothesis is that negative shocks to prices/returns affect volatility more than equal positive […]

Oliver Linton, Yoon-Jae Whang, Yu-Min Yen
1 September 2016 | Journal Article

Previous version

A nonparametric test of a strong leverage hypothesis
Oliver Linton, Yoon-Jae Whang, Yu-Min Yen
1 July 2013 | CWP28/13
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series

This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply […]

Heejoon Han, Oliver Linton, Tatsushi Oka, Yoon-Jae Whang
1 July 2016 | Journal Article

Previous version

The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
Heejoon Han, Oliver Linton, Tatsushi Oka, Yoon-Jae Whang
20 February 2014 | CWP06/14
Estimation of a Multiplicative Covariance Structure

We consider a Kronecker product structure for large covariance matrices, which has the feature that the […]

Christian M. Hafner, Oliver Linton, Haihan Tang
17 May 2016 | CWP23/16

Latest version

Estimation of a multiplicative covariance structure in the large dimensional case
Christian M. Hafner, Oliver Linton, Haihan Tang
9 November 2016 | CWP52/16
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error

This paper studies the estimation problem of the covariance matrices of asset returns in the presence […]

Sujin Park, Seok Young Hong, Oliver Linton
1 April 2016 | Journal Article