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

Non-parametric transformation regression with non-stationary data

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

Oliver Linton, Qiying Wang
23 April 2013 | CWP16/13

Latest version

Nonparametric transformation regression with non-stationary data
Oliver Linton, Qiying Wang
28 February 2016 | Journal Article
Let’s get LADE: robust estimation of semiparametric multiplicative volatility models

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run […]

Bonsoo Koo, Oliver Linton
19 March 2013 | CWP11/13

Latest version

Let’s get LADE: robust estimation of semiparametric multiplicative volatility models
Bonsoo Koo, Oliver Linton
31 August 2015 | Journal Article
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
21 January 2013 | CWP02/13

Latest version

A semiparametric model for heterogeneous panel data with fixed effects
Lena Boneva (Körber), Oliver Linton, Michael Vogt
24 March 2015 | Journal Article
A flexible semiparametric model for time series

We consider approximating a multivariate regression function by an affine combination of one-dimensional conditional component regression […]

Degui Li, Oliver Linton, Zudi Lu
21 September 2012 | CWP28/12
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, Yoon-Jae Whang
21 September 2012 | CWP27/12

Latest version

Testing for the stochastic dominance efficiency of a given portfolio
Oliver Linton, Thierry Post, Yoon-Jae Whang
1 June 2014 | Journal Article
Averaging of moment condition estimators

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations […]

Xiaohong Chen, David Jacho-Chávez, Oliver Linton
21 September 2012 | CWP26/12
Efficient estimation of conditional risk measures in a semiparametric GARCH model

This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment […]

Oliver Linton, Dajing Shang, Yang Yan
21 September 2012 | CWP25/12
A nonparametric test of the leverage hypothesis

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

Oliver Linton, Yoon-Jae Whang, Yu-Min Yen
13 September 2012 | CWP24/12

Latest version

A nonparametric test of a strong leverage hypothesis
Oliver Linton, Yoon-Jae Whang, Yu-Min Yen
1 July 2013 | CWP28/13
Nonparametric estimation of a periodic sequence in the presence of a smooth trend

In this paper, we study a nonparametric regression model including a periodic component, a smooth trend […]

Oliver Linton, Michael Vogt
12 September 2012 | CWP23/12

Latest version

Nonparametric estimation of a periodic sequence in the presence of a smooth trend
Oliver Linton, Michael Vogt
31 March 2014 | Journal Article
Global Bahadur representation for nonparametric censored regression quantiles and its applications

This paper is concerned with the nonparametric estimation of regression quantiles where the response variable is […]

Efang Kong, Oliver Linton, Yingcun Xia
3 November 2011 | CWP33/11

Latest version

Global Bahadur representation for nonparametric censored regression quantiles and its applications
Efang Kong, Oliver Linton, Yingcun Xia
31 October 2013 | Journal Article