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 examine a kernel regression smoother for time series that takes account of the error correlation […]
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We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run […]
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This paper develops methodology for semiparametric panel data models in a setting where both the time […]
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We consider approximating a multivariate regression function by an affine combination of one-dimensional conditional component regression […]
We propose a new statistical test of the stochastic dominance efficiency of a given portfolio over […]
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We establish the consistency and asymptotic normality for a class of estimators that are linear combinations […]
This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment […]
The so-called leverage hypothesis is that negative shocks to prices/returns aff ect volatility more than equal […]
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In this paper, we study a nonparametric regression model including a periodic component, a smooth trend […]
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This paper is concerned with the nonparametric estimation of regression quantiles where the response variable is […]