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
In this paper, we consider semiparametric model averaging of the nonlinear dynamic time series system where […]
We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility functions up […]
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and […]
We investigate a nonparametric panel model with heterogeneous regression functions. In a variety of applications, it […]
We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based […]
Dynamic portfolio choice has been a central and essential objective for institutional investors in active asset […]
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We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and […]
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply […]
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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 […]