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 investigate a nonparametric regression model including a periodic component, a smooth trend function, and a […]
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We investigate a nonparametric regression model including a periodic component, a smooth trend function, and a […]
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply […]
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This paper considers the class of p-dimensional elliptic distributions (p ≥ 1) satisfying the consistency property […]
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We propose a nonparametric test of the hypothesis of conditional independence between variables of interest based […]
This paper is concerned with the nonparametric estimation of regression quantiles of a response variable that […]
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We investigate the effects of fragmentation in equity trading on the quality of the trading outcomes, […]
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This paper considers the class of p-dimensional elliptic distributions (p ≥ 1) satisfying the consistency property […]
The so-called leverage hypothesis is that negative shocks to prices/ returns affect volatility more than equal […]
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Previous version
This paper considers the class of p-dimensional elliptic distributions (p ≥ 1) satisfying the consistency property […]