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

Discussion of A. Ronald Gallant: “Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference”

The paper of Gallant discussed the practicability of Bayesian inference under distributional assertions on the moment […]

Oliver Linton, Ruochen Wu
28 May 2015 | Journal Article
An investigation into multivariate variance ratio statistics and their application to stock market predictability

We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and […]

Seok Young Hong, Oliver Linton, Hui Jun Zhang
24 March 2015 | CWP13/15
A semiparametric model for heterogeneous panel data with fixed effects

This paper develops methodology for semiparametric panel data models in a setting where both the time […]

Lena Boneva (Körber), Oliver Linton, Michael Vogt
24 March 2015 | Journal Article

Previous version

A semiparametric model for heterogeneous panel data with fixed effects
Lena Boneva (Körber), Oliver Linton, Michael Vogt
21 January 2013 | CWP02/13
Semiparametric dynamic portfolio choice with multiple conditioning variables

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

Jia Chen, Degui Li, Oliver Linton, Zudi Lu
20 February 2015 | CWP07/15

Latest version

Semiparametric dynamic portfolio choice with multiple conditioning variables
Jia Chen, Degui Li, Oliver Linton, Zudi Lu
1 October 2016 | Journal Article
Mean Ratio Statistic for measuring predictability

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

Oliver Linton, Katja Smetanina
20 February 2015 | CWP08/15
Classification of nonparametric regression functions in heterogeneous panels

We investigate a nonparametric panel model with heterogeneous regression functions. In a variety of applications, it […]

Michael Vogt, Oliver Linton
20 February 2015 | CWP06/15
Non-parametric transformation regression with non-stationary data

We examine a kernel regression estimator for time series that takes account of the error correlation […]

Oliver Linton, Qiying Wang
10 October 2014 | Journal Article
Multivariate variance ratio statistics

We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and […]

Seok Young Hong, Oliver Linton, Hui Jun Zhang
6 June 2014 | CWP29/14
Testing for the stochastic dominance efficiency of a given portfolio

We propose a new statistical test of the stochastic dominance efficiency of a given portfolio over […]

Oliver Linton, Thierry Post, Yoon-Jae Whang
1 June 2014 | Journal Article

Previous version

Testing for the stochastic dominance efficiency of a given portfolio
Oliver Linton, Yoon-Jae Whang
21 September 2012 | CWP27/12
Testing for the stochastic dominance efficiency of a given portfolio

We propose a new statistical test of the stochastic dominance efficiency of a given portfolio over […]

Oliver Linton, Thierry Post, Yoon-Jae Whang
19 May 2014 | Journal Article