Oliver B. Linton

University of Cambridge

Faculty of Economics

Cambridge, CB3 9DD

United Kingdom

SCHOLARLY PAPERS

109

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209

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548

Scholarly Papers (109)

1.

Flexible Term Structure Estimation: Which Method is Preferred?

Number of pages: 42 Posted: 08 Feb 2001
Andrew Jeffrey, Oliver B. Linton and Thong Nguyen
Yale School of Management, University of Cambridge and affiliation not provided to SSRN
Downloads 1,060 (24,633)
Citation 6

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Term Structure, yield curve estimation, curve fitting

2.
Downloads 914 ( 30,498)
Citation 11

Yield Curve Estimation by Kernel Smoothing Methods

Number of pages: 43 Posted: 09 Aug 2000
University of Cambridge, University of Mannheim - Department of Economics, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 798 (36,235)
Citation 1

Abstract:

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Coupon bonds, Kernal Estimation, Hilbert Space, nonparametric regression, term structure estimation, yield curve, zero coupon

Yield Curve Estimation by Kernel Smoothing Methods

LSE STICERD Research Paper No. EM385
Number of pages: 46 Posted: 21 Jul 2008
University of Cambridge, University of Mannheim - Department of Economics, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 116 (285,336)
Citation 2

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Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns

Swiss Finance Institute Research Paper No. 07-26
Number of pages: 63 Posted: 21 Sep 2007
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, University of Lausanne - Institute of Banking & Finance (IBF) and University of Cambridge
Downloads 709 (42,635)
Citation 7

Abstract:

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Additive Models, Arbitrage pricing theory, Factor model, Fama-French, Kernel estimation, Nonparametric regression, Panel data

Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns

LSE STICERD Research Paper No. EM524
Number of pages: 62 Posted: 21 Jul 2008
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, University of Lausanne - Institute of Banking & Finance (IBF) and University of Cambridge
Downloads 143 (242,989)

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The Common and Specific Components of Dynamic Volatility

Northwestern University, Finance Working Paper No. 311
Number of pages: 32 Posted: 03 Nov 2002
Gregory Connor, Robert A. Korajczyk and Oliver B. Linton
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, Northwestern University and University of Cambridge
Downloads 709 (42,635)
Citation 12

Abstract:

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APT, ARCH, Factor Models, Principal Components, Volatility

The Common and Specific Components of Dynamic Volatility

Journal of Econometrics, Vol. 132, May 2006
Posted: 03 May 2006
Gregory Connor, Robert A. Korajczyk and Oliver B. Linton
London School of Economics & Political Science (LSE) - Department of Accounting and Finance, Northwestern University and University of Cambridge

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APT, ARCH, Factor Models, Principal Components, Volatility

5.

The Froot-Stein Model Revisited

Number of pages: 10 Posted: 13 Jan 2004
Nils Høgh, Oliver B. Linton and Jens Perch Nielsen
Nordea Markets, University of Cambridge and City University London - Cass Business School
Downloads 507 (66,440)
Citation 4

Abstract:

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Capital allocation; risk management; second order condition

6.

Semiparametric Estimation of a Characteristic-Based Factor Model of Stock Returns

Number of pages: 22 Posted: 15 Mar 2000
Gregory Connor and Oliver B. Linton
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and University of Cambridge
Downloads 444 (78,136)
Citation 2

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Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach

Number of pages: 26 Posted: 13 Sep 2001
Douglas J. Hodgson, Oliver B. Linton and Keith Vorkink
University of Quebec at Montreal (UQAM) - Department of Economics, University of Cambridge and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 335 (107,416)
Citation 1

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Adaptive Estimation, Capital Asset Pricing Model, Elliptical Symmetry, Semiparametric Efficiency

Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach

LSE STICERD Research Paper No. EM398
Number of pages: 39 Posted: 21 Jul 2008
Douglas J. Hodgson, Oliver B. Linton and Keith Vorkink
University of Quebec at Montreal (UQAM) - Department of Economics, University of Cambridge and Brigham Young University - J. Willard and Alice S. Marriott School of Management
Downloads 56 (442,279)

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8.

Testing for Stochastic Dominance Efficiency

ERIM Report Series Reference No. ERS-2005-033-F&A
Number of pages: 29 Posted: 13 May 2005
Oliver B. Linton, Thierry Post and Yoon-Jae Whang
University of Cambridge, Graduate School of Business of Nazarbayev University and Seoul National University - School of Economics
Downloads 309 (117,967)

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stochastic dominance, portfolio diversification, asset pricing, portfolio analysis

Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach

Number of pages: 48 Posted: 25 Aug 2001
Yale School of Management, University of Cambridge, affiliation not provided to SSRN and Yale University - Cowles Foundation
Downloads 280 (130,316)

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Measurement Error, Multifactor Model, Nonparametric Estimation, Volatility Structure

Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach

Journal of Financial Econometrics, Vol. 2, No. 2, pp. 251-289, 2004
Posted: 29 Feb 2008
Yale School of Management, University College London, University of Cambridge, AlphaSimplex Group and Yale University - Cowles Foundation

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continuous-time estimation, dynamic panel data model, Heath-Jarrow-Morton model, measurement errors, nonparametric

10.

A Closed-Form Estimator for the Garch(1,1)-Model

Number of pages: 11 Posted: 24 Jan 2005
Dennis Kristensen and Oliver B. Linton
University College London and University of Cambridge
Downloads 250 (146,899)
Citation 2

Abstract:

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Autocovariance, Exact, Volatility

Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors

Number of pages: 37 Posted: 24 Jun 2001
Mototsugu Shintani and Oliver B. Linton
Vanderbilt University - College of Arts and Science - Department of Economics and University of Cambridge
Downloads 226 (161,656)
Citation 1

Abstract:

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Artificial neural networks, Business cycles, Local polynomial regression, Nonlinear dynamics, Nonlinear time series

Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors

Number of pages: 28 Posted: 13 May 2003
Mototsugu Shintani and Oliver B. Linton
Vanderbilt University - College of Arts and Science - Department of Economics and University of Cambridge
Downloads 21 (626,339)
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Implications of High-Frequency Trading for Security Markets

USC-INET Research Paper No. 18-02
Number of pages: 35 Posted: 09 Feb 2018
Oliver B. Linton and Soheil Mahmoodzadeh
University of Cambridge and University of Cambridge - Faculty of Economics
Downloads 224 (163,064)
Citation 4

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Flash Crash, High-Frequency Rrading, Liquidity, Literature Survey, Volatility

Implications of High-Frequency Trading for Security Markets

Annual Review of Economics, Vol. 10, pp. 237-259, 2018
Posted: 07 Sep 2018
Oliver B. Linton and Soheil Mahmoodzadeh
University of Cambridge and University of Cambridge - Faculty of Economics

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Consistent Testing for Stochastic Dominance: A Subsampling Approach

Number of pages: 42 Posted: 05 Mar 2002
Oliver B. Linton, Esfandiar Maasoumi and Yoon-Jae Whang
University of Cambridge, Southern Methodist University (SMU) - Department of Economics and Seoul National University - School of Economics
Downloads 182 (197,848)

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Bootstrap, Prospect Theory, Stochastic Dominance

Consistent Testing for Stochastic Dominance: A Subsampling Approach

LSE STICERD Research Paper No. EM433
Number of pages: 50 Posted: 21 Jul 2008
Oliver B. Linton, Esfandiar Maasoumi and Yoon-Jae Whang
University of Cambridge, Emory University and Seoul National University - School of Economics
Downloads 42 (501,482)
Citation 1

Abstract:

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More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

Number of pages: 50 Posted: 12 Aug 2002
Zhijie Xiao, Oliver B. Linton, Raymond Carroll and Enno Mammen
University of Illinois at Urbana-Champaign - Department of Economics, University of Cambridge, Texas A&M University - Department of Statistics and University of Mannheim - Department of Economics
Downloads 168 (212,117)

Abstract:

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Time Series Regression, Nonparametric Regression, Kernel, Efficiency

More Efficient Kernel Estimation in Nonparametric Regression with Autocorrelated Errors

LSE STICERD Research Paper No. EM435
Number of pages: 53 Posted: 21 Jul 2008
Raymond Carroll, Oliver B. Linton, Enno Mammen and Zhijie Xiao
Texas A&M University - Department of Statistics, University of Cambridge, University of Mannheim - Department of Economics and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 55 (446,131)

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15.

The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series

Number of pages: 57 Posted: 11 Oct 2013 Last Revised: 16 Jan 2014
Heejoon Han, Oliver B. Linton, Tatsushi Oka and Yoon-Jae Whang
Kyung-Hee University - Department of Economics, University of Cambridge, Monash University - Department of Econometrics and Business Statistics and Seoul National University - School of Economics
Downloads 215 (169,777)
Citation 11

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Quantile, Correlogram, Dependence, Predictability, Systemic risk

16.

The Shape of Risk Premium: Evidence from a Semiparametric GARCH Model

Universite de Montreal, C.R.D.E. Working Paper No. 0899
Number of pages: 32 Posted: 19 May 2001
Oliver B. Linton and Benoit Perron
University of Cambridge and University of Montreal - Department of Economics
Downloads 215 (169,777)

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ARCH, asset pricing, backfitting, fourier series, kernel, risk premium

17.

The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market

Number of pages: 79 Posted: 26 Aug 2013 Last Revised: 27 Aug 2013
Lena Koerber, Oliver B. Linton and Michael Vogt
London School of Economics & Political Science (LSE), University of Cambridge and University of Cambridge
Downloads 184 (195,864)

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Dark Pools, Heterogenous panel data, High Frequency Trading, quantile regression, MiFID

A Coupled Component GARCH Model for Intraday and Overnight Volatility

Number of pages: 63 Posted: 26 Nov 2016
Oliver B. Linton and Jianbin Wu
University of Cambridge and Xiamen University
Downloads 120 (278,333)
Citation 1

Abstract:

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A Coupled Component GARCH Model for Intraday and Overnight Volatility

USC-INET Research Paper No. 18-01
Number of pages: 61 Posted: 09 Feb 2018
Oliver B. Linton and Jianbin Wu
University of Cambridge and Nanjing University
Downloads 60 (427,396)
Citation 3

Abstract:

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DCS, GAS, GARCH, Size Portfolios, Testing

19.

An Investigation into Multivariate Variance Ratio Statistics and Their Application to Stock Market Predictability

Number of pages: 62 Posted: 21 Mar 2014 Last Revised: 11 Jan 2016
Seok Young Hong, Oliver B. Linton and Hui Jun Zhang
University of Nottingham, University of Cambridge and University of Cambridge
Downloads 180 (199,697)
Citation 1

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Autocorrelation, Bubbles, Efficient Markets, Fads, Martingale, Momentum, Predictability

20.

An Almost Closed Form Estimator for the EGARCH Model

Number of pages: 28 Posted: 01 Sep 2012 Last Revised: 27 Apr 2015
Christian Hafner and Oliver B. Linton
Catholic University of Louvain (UCL) - School of Statistics and University of Cambridge
Downloads 167 (212,964)
Citation 2

Abstract:

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Autocorrelations, Generalized Error Distribution, Method of Moments Estimator, Newton-Raphson

21.

Quantilograms under Strong Dependence

Number of pages: 34 Posted: 27 Mar 2017 Last Revised: 15 Jul 2019
Ji Hyung Lee, Oliver B. Linton and Yoon-Jae Whang
University of Illinois at Urbana-Champaign - Department of Economics, University of Cambridge and Seoul National University - School of Economics
Downloads 166 (215,110)
Citation 2

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Long Memory, Moving Block Bootstrap, Nonlinear Dependence, Quantilogram and Cross-Quantilgoram, Uniform Reduction Principle

22.

Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems

Number of pages: 52 Posted: 21 May 2002
Steven Berry, Oliver B. Linton and Ariel Pakes
Yale University - Department of Economics, University of Cambridge and National Bureau of Economic Research (NBER)
Downloads 166 (214,007)
Citation 4

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Choice Models, Method of Moments, Random Coefficients, Product Differentiation

A Quantilogram Approach to Evaluating Directional Predictability

Number of pages: 25 Posted: 10 Jan 2004
Oliver B. Linton and Yoon-Jae Whang
University of Cambridge and Seoul National University - School of Economics
Downloads 107 (302,330)

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Correlogram, Dependence, Efficient Markets, Empirical Process, Portmanteau, Quantiles

A Quantilogram Approach to Evaluating Directional Predictability

LSE STICERD Research Paper No. EM463
Number of pages: 27 Posted: 21 Jul 2008
Oliver B. Linton and Yoon-Jae Whang
University of Cambridge and Seoul National University - School of Economics
Downloads 46 (483,032)
Citation 7

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24.

Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model

Cowles Foundation Discussion Paper No. 2033
Number of pages: 59 Posted: 18 Mar 2016 Last Revised: 18 Apr 2016
Yale University - Cowles Foundation, University of Cambridge, Yale University, Department of Economics, Students and Shanghai University of Finance and Economics - School of Economics
Downloads 136 (252,218)

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Characteristic function, Deconvolution, Flash Crash, Liquidity

Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary

PIER Working Paper No. 08-006
Number of pages: 44 Posted: 26 Feb 2008
Oliver B. Linton, Kyungchul Song and Yoon-Jae Whang
University of Cambridge, University of British Columbia (UBC) - Department of Economics and Seoul National University - School of Economics
Downloads 92 (334,276)

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Set estimation, Size of test, Unbiasedness, Similarity, Bootstrap, Subsampling

Bootstrap Tests of Stochastic Dominance with Asymptotic Similarity on the Boundary

LSE STICERD Research Paper No. EM527
Number of pages: 47 Posted: 13 May 2009
Oliver B. Linton, Kyungchul Song and Yoon-Jae Whang
University of Cambridge, University of British Columbia (UBC) - Department of Economics and Seoul National University - School of Economics
Downloads 37 (525,948)

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26.

Estimating Semiparametric Arch (Infinity) Models by Kernel Smoothing Methods

Number of pages: 77 Posted: 26 Jan 2004
Enno Mammen and Oliver B. Linton
University of Mannheim - Department of Economics and University of Cambridge
Downloads 129 (262,564)
Citation 1

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ARCH, Inverse Problem, Kernel Estimation, News Impact Curve, Nonparametric regression, Profile Likelihood, Semiparametric Estimation, Volatility

Semiparametric Estimation of Locally Stationary Diffusion Models

LSE STICERD Research Paper No. EM551
Number of pages: 57 Posted: 30 Nov 2010
Bonsoo Koo and Oliver B. Linton
Monash Business School and University of Cambridge
Downloads 59 (431,131)
Citation 2

Abstract:

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Semiparametric Estimation of Locally Stationary Diffusion Models

Number of pages: 52 Posted: 09 Sep 2010 Last Revised: 09 May 2013
Bonsoo Koo and Oliver B. Linton
Monash Business School and University of Cambridge
Downloads 54 (449,927)

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diffusion processes, local stationarity, term structure dynamics, density matching, option pricing

A Discrete Choice Model for Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance

Number of pages: 47 Posted: 07 Jan 2016 Last Revised: 13 Jan 2016
Lena Boneva and Oliver B. Linton
Bank of England and University of Cambridge
Downloads 96 (325,179)

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Heterogeneous panel data; discrete choice models; capital structure

A Discrete Choice Model for Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance

Bank of England Working Paper No. 640
Number of pages: 34 Posted: 24 Jan 2017
Lena Boneva and Oliver B. Linton
Bank of England and University of Cambridge
Downloads 15 (672,016)
Citation 2

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heterogeneous panel data, discrete choice models, capital structure

29.

Efficient Estimation of Nonparametric Regression in the Presence of Dynamic Heteroskedasticity

Number of pages: 75 Posted: 26 May 2015 Last Revised: 09 May 2016
Oliver B. Linton and Zhijie Xiao
University of Cambridge and Boston College - Department of Finance and Department of Economics
Downloads 103 (308,207)
Citation 1

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GARCH; Kernel; Prediction

30.

A Semiparametric Model for Heterogeneous Panel Data with Fixed Effects

Number of pages: 63 Posted: 26 Jan 2013
Lena Koerber, Oliver B. Linton and Michael Vogt
London School of Economics & Political Science (LSE), University of Cambridge and University of Cambridge
Downloads 103 (308,207)
Citation 1

Abstract:

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Fixed Effect, Fragmentation

31.

Estimation in Semiparametric Quantile Factor Models

Number of pages: 48 Posted: 06 May 2017
Shujie Ma, Oliver B. Linton and Jiti Gao
University of California, Riverside (UCR), University of Cambridge and Monash University - Department of Econometrics & Business Statistics
Downloads 100 (314,333)
Citation 2

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Cross-Sectional Dependence; Fama-French Model; Inference; Sieve Estimation

32.

The October 2016 Sterling Flash Episode: When Liquidity Disappeared from One of the World's Most Liquid Markets

Bank of England Working Paper No. 687
Number of pages: 30 Posted: 09 Nov 2017
Bank of England, Bank of England, University of Cambridge - Faculty of Economics, University of Cambridge and Bank of England
Downloads 99 (316,327)
Citation 4

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Flash Crash, Foreign Exchange Market, Liquidity, Price Impact

33.

Efficient Estimation of Conditional Risk Measures in a Semiparametric GARCH Model

Number of pages: 65 Posted: 09 Jun 2012 Last Revised: 16 Jul 2012
Yang Yan, Dajing Shang and Oliver B. Linton
London School of Economics & Political Science (LSE), affiliation not provided to SSRN and University of Cambridge
Downloads 97 (320,577)

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Empirical Likelihood, Empirical process, GARCH, Quantile, Value-at-risk, Expected Shortfall

34.

A Flexible Semiparametric Model for Time Series

Number of pages: 45 Posted: 06 Aug 2012
Oliver B. Linton, Degui Li and Zudi Lu
University of Cambridge, University of York and University of Southampton
Downloads 95 (324,831)
Citation 6

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Asymptotic normality, model averaging, Nadaraya-Watson kernel estimation, near epoch dependence, semiparametric method

Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics

Number of pages: 45 Posted: 29 Mar 2001
Oliver B. Linton
University of Cambridge
Downloads 76 (375,889)
Citation 2

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Bandwidth Selection, Edgeworth Approximation, Instrumental Variables, Kernel Estimation, Local Polynomials

Edgeworth Approximations for Semiparametric Instrumental Variable Estimators and Test Statistics

LSE STICERD Research Paper No. EM399
Number of pages: 51 Posted: 21 Jul 2008
Oliver B. Linton
University of Cambridge
Downloads 19 (641,156)

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36.

Estimation of and Inference about the Expected Shortfall for Time Series with Infinite Variance

Number of pages: 41 Posted: 04 Nov 2011
Oliver B. Linton and Zhijie Xiao
University of Cambridge and Boston College - Department of Finance and Department of Economics
Downloads 91 (333,828)
Citation 8

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37.

Semiparametric Estimation of a Characteristic-Based Factor Model of Common Stock Returns

LSE STICERD Research Paper No. EM506
Number of pages: 40 Posted: 21 Jul 2008
Gregory Connor and Oliver B. Linton
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and University of Cambridge
Downloads 91 (333,828)
Citation 6

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Nonparametric Estimation of Homothetic and Homothetically Separable Functions

Number of pages: 49 Posted: 26 Jan 2004
Arthur Lewbel and Oliver B. Linton
Boston College - Department of Economics and University of Cambridge
Downloads 64 (413,408)

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Cost function, economies of scale, homogeneous function, homothetic function, index models, nonparametric, production function, separability

Nonparametric Estimation of Homothetic and Homothetically Separable Functions

LSE STICERD Research Paper No. EM461
Number of pages: 51 Posted: 21 Jul 2008
Arthur Lewbel and Oliver B. Linton
Boston College - Department of Economics and University of Cambridge
Downloads 27 (583,828)

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39.

Uniform Bahadur Representation for Local Polynomial Estimates of M-Regression and its Application to the Additive Model

LSE STICERD Research Paper No. EM535
Number of pages: 44 Posted: 08 Feb 2010
Efang Kong, Oliver B. Linton and Yingcun Xia
affiliation not provided to SSRN, University of Cambridge and National University of Singapore (NUS)
Downloads 89 (338,476)
Citation 2

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40.

Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

LSE STICERD Research Paper No. EM455
Number of pages: 49 Posted: 21 Jul 2008
Oliver B. Linton and Mototsugu Shintani
University of Cambridge and Vanderbilt University - College of Arts and Science - Department of Economics
Downloads 89 (338,476)
Citation 2

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41.

Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables

Number of pages: 25 Posted: 11 Feb 2015
Jia Chen, Degui Li, Oliver B. Linton and Zudi Lu
University of York - Department of Economics and Related Studies, University of York, University of Cambridge and University of Southampton
Downloads 88 (340,931)

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Conditioning variables, kernel smoothing, model averaging, portfolio choice, utility function

42.

The Estimation of Conditional Densities

LSE STICERD Research Paper No. EM415
Number of pages: 17 Posted: 21 Jul 2008
Xiaohong Chen and Oliver B. Linton
Yale University - Cowles Foundation and University of Cambridge
Downloads 88 (340,931)

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43.

The impact of corporate QE on liquidity: evidence from the UK

Bank of England Working Paper No. 782
Number of pages: 56 Posted: 04 Mar 2019 Last Revised: 24 Jul 2020
Bank of England, Bank of England, Bank of England, University of Cambridge, Bank of England and Bank of England
Downloads 87 (343,358)
Citation 4

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quantitative easing, market liquidity, market-making, corporate bonds

Nonparametric Estimation of a Polarization Measure

LSE STICERD Research Paper No. EM534
Number of pages: 51 Posted: 08 Feb 2010
Gordon Anderson, Oliver B. Linton and Yoon-Jae Whang
University of Toronto, University of Cambridge and Seoul National University - School of Economics
Downloads 87 (346,454)

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Nonparametric Estimation of a Polarization Measure

Cowles Foundation Discussion Paper No. 1714
Posted: 20 Jul 2009
Gordon Anderson, Oliver B. Linton and Yoon-Jae Whang
University of Toronto, University of Cambridge and Seoul National University - School of Economics

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kernel estimation, inequality, overlap coefficient, poissonization

45.

Nonparametric Estimation of Infinite Order Regression and Its Application to the Risk-Return Tradeoff

Number of pages: 72 Posted: 20 Apr 2016 Last Revised: 05 Sep 2018
Seok Young Hong and Oliver B. Linton
University of Nottingham and University of Cambridge
Downloads 86 (345,769)
Citation 1

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46.

Let's Get LADE: Robust Estimation of Semiparametric Multiplicative Volatility Models

Number of pages: 41 Posted: 21 Aug 2012 Last Revised: 26 Apr 2013
Bonsoo Koo and Oliver B. Linton
Monash Business School and University of Cambridge
Downloads 86 (345,769)

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semiparametric, heavy-tailed errors, time varying, nonstationary multiplicative GARCH

47.

Asymptotic Expansions for Some Semiparametric Program Evaluation Estimators

LSE STICERD Research Paper No. EM451
Number of pages: 28 Posted: 21 Jul 2008
Hidehiko Ichimura and Oliver B. Linton
Graduate School of Economics, University of Tokyo and University of Cambridge
Downloads 86 (345,769)

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48.

Additive Nonparametric Models with Time Variable and Both Stationary and Nonstationary Regressors

Number of pages: 79 Posted: 05 Oct 2016 Last Revised: 19 Dec 2017
Chaohua Dong and Oliver B. Linton
Southwestern University of Finance and Economics and University of Cambridge
Downloads 85 (348,231)
Citation 6

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Additive nonparametric models, deterministic trend, series estimator, stationary and locally stationary processes, pairs trading, unit root process

49.

A Smoothed Least Squares Estimator for Threshold Regression Models

LSE STICERD Research Paper No. EM496
Number of pages: 52 Posted: 21 Jul 2008
Oliver B. Linton and Myunghwan Seo
University of Cambridge and affiliation not provided to SSRN
Downloads 85 (348,231)
Citation 4

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50.

Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series

Number of pages: 55 Posted: 07 Jan 2016
Jia Chen, Degui Li, Oliver B. Linton and Zudi Lu
University of York - Department of Economics and Related Studies, University of York, University of Cambridge and University of Southampton
Downloads 84 (350,618)
Citation 7

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Kernel smoother, penalised MAMAR, principal component analysis, semiparametric approximation, sure independence screening, ultra-high dimensional time series

Nonparametric Inference for Unbalanced Time Series Data

Number of pages: 15 Posted: 13 Apr 2004
Oliver B. Linton
University of Cambridge
Downloads 59 (431,131)

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Bootstrap, Efficient, HAC estimation, Missing Data, Subsampling

Nonparametric Inference for Unbalanced Time Series Data

LSE STICERD Research Paper No. EM474
Number of pages: 16 Posted: 21 Jul 2008
Oliver B. Linton
University of Cambridge
Downloads 23 (611,785)

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52.

A Simple and Efficient Estimation Method for Models with Nonignorable Missing Data

Number of pages: 51 Posted: 16 Jan 2018
Chunrong Ai, Oliver B. Linton and Zheng Zhang
University of Florida - Warrington College of Business Administration - Department of Economics, University of Cambridge and Renmin University of China - Institute of Statistics and Big Data
Downloads 80 (360,880)

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Nonignorable nonresponse, Generalized method of moments, Semiparametric efficiency

53.

Multivariate Density Estimation Using Dimension Reducing Information and Tail Flattening Transformations

Number of pages: 29 Posted: 16 Apr 2010
Royal & SunAlliance, affiliation not provided to SSRN, University of Cambridge and City University London - Cass Business School
Downloads 80 (360,880)
Citation 1

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Bias reduction, Kernel, Multiplicative correction

54.

Efficient Estimation of a Multivariate Multiplicative Volatility Model

LSE STICERD Research Paper No. EM541
Number of pages: 53 Posted: 08 Feb 2010
Christian Hafner and Oliver B. Linton
Catholic University of Louvain (UCL) - School of Statistics and University of Cambridge
Downloads 80 (360,880)
Citation 2

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55.

The Behaviour of Betting and Currency Markets on the Night of the EU Referendum

Number of pages: 44 Posted: 06 Nov 2017 Last Revised: 08 Feb 2018
Tom Auld and Oliver B. Linton
University of Cambridge and University of Cambridge
Downloads 79 (363,545)
Citation 1

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EU Referendum, Prediction Markets, Machine Learning, Efficient Markets Hypothesis, Pairs Trading, Cointegration, Bayesian Methods, Exchange Rates

56.

A Nonparametric Test of a Strong Leverage Hypothesis

Number of pages: 89 Posted: 13 Sep 2012 Last Revised: 26 May 2015
Oliver B. Linton, Yoon-Jae Whang and Yumin Yen
University of Cambridge, Seoul National University - School of Economics and Academia Sinica
Downloads 79 (363,545)
Citation 2

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Distribution function, Leverage Effect, Gaussian Process

57.

Global Bahadur Representation for Nonparametric Censored Regression Quantiles and its Applications

Number of pages: 30 Posted: 04 Nov 2011
Oliver B. Linton, Efang Kong and Yingcun Xia
University of Cambridge, affiliation not provided to SSRN and National University of Singapore (NUS)
Downloads 74 (377,487)

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Bahadur representation, Censored data, Kernel smoothing, Quantile regression, Semiparametric models

58.

Do Consumption-Based Asset Pricing Models Explain Own-History Predictability in Stock Market Returns?

Number of pages: 44 Posted: 18 May 2018 Last Revised: 28 Aug 2020
Michael Ashby and Oliver B. Linton
Faculty of Economics, University of Cambridge and University of Cambridge
Downloads 73 (380,260)

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Consumption-Based Asset Pricing Models, Serial Correlation, Predictability, Martingale Difference Sequence, Variance Ratio, Quantilogram, Rescaled Range, Mean Reversion

59.

Classification of Nonparametric Regression Functions in Heterogeneous Panels

Number of pages: 38 Posted: 21 Feb 2015
Michael Vogt and Oliver B. Linton
University of Cambridge and University of Cambridge
Downloads 73 (380,260)
Citation 1

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Panel data; nonparametric regression; classification of regression curves

60.

Testing the Martingale Hypothesis for Gross Returns

Number of pages: 32 Posted: 23 Dec 2014
Oliver B. Linton and Ekaterina Smetanina
University of Cambridge and University of Chicago
Downloads 73 (380,260)

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Variance Ratio Tests, Martingale, Predictability

61.

Estimation of a Semiparametric IGARCH(1,1) Model

LSE STICERD Research Paper No. EM539
Number of pages: 33 Posted: 08 Feb 2010
Woocheol Kim and Oliver B. Linton
affiliation not provided to SSRN and University of Cambridge
Downloads 73 (380,260)

Abstract:

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62.

Estimation of Semiparametric Models When the Criterion Function is Not Smooth

LSE STICERD Research Paper No. EM450
Number of pages: 23 Posted: 21 Jul 2008
Xiaohong Chen, Oliver B. Linton and Ingrid Van Keilegom
Yale University - Cowles Foundation, University of Cambridge and Catholic University of Louvain (UCL)
Downloads 73 (380,260)
Citation 17

Abstract:

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Nonparametric Censored and Truncated Regression

LSE STICERD Research Paper No. EM389
Number of pages: 37 Posted: 21 Jul 2008
Arthur Lewbel and Oliver B. Linton
Boston College - Department of Economics and University of Cambridge
Downloads 72 (387,726)
Citation 1

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Nonparametric Censored and Truncated Regression

Posted: 05 Sep 2002
Arthur Lewbel and Oliver B. Linton
Boston College - Department of Economics and University of Cambridge

Abstract:

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64.

Dynamic Peer Groups of Arbitrage Characteristics

Number of pages: 48 Posted: 21 Jul 2020 Last Revised: 23 Feb 2021
Shaoran Li, Oliver B. Linton and Shuyi Ge
University of Cambridge - Faculty of Economics, University of Cambridge and University of Cambridge
Downloads 68 (395,214)
Citation 1

Abstract:

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Semiparametric; Peer Groups; Power-enhanced Test

65.

High Dimensional Semiparametric Moment Restriction Models

Number of pages: 74 Posted: 02 Oct 2017 Last Revised: 24 Nov 2018
Chaohua Dong, Jiti Gao and Oliver B. Linton
Southwestern University of Finance and Economics, Monash University - Department of Econometrics & Business Statistics and University of Cambridge
Downloads 68 (395,214)

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high dimensional models, overidentification, sieve method

66.

Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case

Number of pages: 83 Posted: 20 May 2016 Last Revised: 18 Oct 2018
Christian Hafner, Oliver B. Linton and Haihan Tang
Catholic University of Louvain (UCL) - School of Statistics, University of Cambridge and University of Cambridge, Faculty of Economics, Students
Downloads 63 (411,287)
Citation 2

Abstract:

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Correlation Matrix, Kronecker Product, MTMM, Portfolio Choice

67.

An Improved Bootstrap Test of Stochastic Dominance

Cowles Foundation Discussion Paper No. 1713
Number of pages: 44 Posted: 20 Jul 2009
Oliver B. Linton, Kyungchul Song and Yoon-Jae Whang
University of Cambridge, University of British Columbia (UBC) - Department of Economics and Seoul National University - School of Economics
Downloads 63 (411,287)
Citation 8

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set estimation, size of test, similarity, bootstrap, subsampling

68.

A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 21-1
Number of pages: 32 Posted: 12 Mar 2021 Last Revised: 05 May 2021
Gregory Connor, Shaoran Li and Oliver B. Linton
National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics, University of Cambridge - Faculty of Economics and University of Cambridge
Downloads 62 (417,874)

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Portfolio management; Single index; GMM;

69.

Consistent Testing for Stochastic Dominance Under General Sampling Schemes

LSE STICERD Research Paper No. EM466
Number of pages: 54 Posted: 21 Jul 2008
Oliver B. Linton, Esfandiar Maasoumi and Yoon-Jae Whang
University of Cambridge, Emory University and Seoul National University - School of Economics
Downloads 62 (414,581)
Citation 16

Abstract:

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70.

Estimation of a Nonparametric model for Bond Prices from Cross-section and Time series Information

Number of pages: 44 Posted: 01 Mar 2019
Bonsoo Koo, Davide La Vecchia and Oliver B. Linton
Monash Business School, University of Geneva - Geneva School of Economics and Management - Research Center for Statistics and University of Cambridge
Downloads 61 (417,874)

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nonparametric inference, panel data, time varying, yield curve dynamics

71.

Estimating Multiplicative and Additive Hazard Functions by Kernel Methods

LSE STICERD Research Paper No. EM411
Number of pages: 39 Posted: 21 Jul 2008
Oliver B. Linton, Jens Perch Nielsen and Sara van de Geer
University of Cambridge, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 59 (424,789)

Abstract:

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72.

Nonparametric Regression with a Latent Time Series

LSE STICERD Research Paper No. EM538
Number of pages: 29 Posted: 08 Feb 2010
University of Cambridge, Copenhagen Business School and City University London - Cass Business School
Downloads 57 (431,780)

Abstract:

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73.

Estimating Features of a Distribution from Binomial Data

LSE STICERD Research Paper No. EM507
Number of pages: 60 Posted: 21 Jul 2008
Arthur Lewbel, Oliver B. Linton and DL McFadden
Boston College - Department of Economics, University of Cambridge and affiliation not provided to SSRN
Downloads 57 (431,780)

Abstract:

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74.

A Weighted Sieve Estimator for Nonparametric Time Series Models With Nonstationary Variables

Number of pages: 41 Posted: 21 Aug 2018 Last Revised: 08 Nov 2019
Chaohua Dong, Oliver B. Linton and Bin Peng
Southwestern University of Finance and Economics, University of Cambridge and Monash University - Department of Econometrics and Business Statistics
Downloads 56 (435,408)

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Nonparametric regression, nonstationary variable, sieve estimation, stationary variable, time trend, unbounded support

75.

Estimating Quadratic Variation Consistently in the Presence of Correlated Measurement Error

LSE STICERD Research Paper No. EM509
Number of pages: 45 Posted: 21 Jul 2008
Ilze Kalnina and Oliver B. Linton
North Carolina State University - Department of Economics and University of Cambridge
Downloads 55 (439,046)
Citation 5

Abstract:

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76.

The Cross-Sectional Spillovers of Single Stock Circuit Breakers

Bank of England Working Paper No. 759
Number of pages: 35 Posted: 11 Dec 2018
James Brugler, Oliver B. Linton, Joseph Noss and Lucas Pedace
University of Melbourne - Department of Finance, University of Cambridge, Bank of England and Bank of England
Downloads 54 (442,643)
Citation 5

Abstract:

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Circuit breakers, market microstructure, market quality

77.

Inference About Realized Volatility Using Infill Subsampling

LSE STICERD Research Paper No. EM523
Number of pages: 49 Posted: 21 Jul 2008
Ilze Kalnina and Oliver B. Linton
North Carolina State University - Department of Economics and University of Cambridge
Downloads 54 (442,643)

Abstract:

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78.

Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator

LSE STICERD Research Paper No. EM537
Number of pages: 32 Posted: 08 Feb 2010
Wolfgang K. Härdle, Oliver B. Linton and Yingcun Xia
Blockchain Research Center, University of Cambridge and National University of Singapore (NUS)
Downloads 51 (453,834)
Citation 26

Abstract:

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79.

Testing Stochastic Dominance with Many Conditioning Variables

Number of pages: 55 Posted: 07 Mar 2020
Oliver B. Linton, Myunghwan Seo and Yoon-Jae Whang
University of Cambridge, affiliation not provided to SSRN and Seoul National University - School of Economics
Downloads 49 (461,728)

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Bootstrap; Empirical process; Home bias; LASSO; Power boosting; Sparsity

80.

A New Semiparametric Estimation Approach of Large Dynamic Covariance Matrices with Multiple Conditioning Variables

Number of pages: 39 Posted: 30 Jul 2018
Jia Chen, Degui Li and Oliver B. Linton
University of York - Department of Economics and Related Studies, University of York and University of Cambridge
Downloads 47 (469,920)
Citation 3

Abstract:

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Dynamic Covariance Matrix, MAMAR, Semiparametric Estimation, Sparsity, Uniform Consistency

81.

Testing for Stochastic Monotonicity

LSE STICERD Research Paper No. EM504
Number of pages: 26 Posted: 21 Jul 2008
Sokbae Lee, Oliver B. Linton and Yoon-Jae Whang
University College London, University of Cambridge and Seoul National University - School of Economics
Downloads 47 (469,920)

Abstract:

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82.

Semiparametric Regression Analysis Under Imputation for Missing Response Data

LSE STICERD Research Paper No. EM454
Number of pages: 42 Posted: 21 Jul 2008
Wolfgang K. Härdle, Oliver B. Linton and Qihua Wang
Blockchain Research Center, University of Cambridge and AMSS
Downloads 47 (469,920)

Abstract:

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83.

Robust Estimation of Integrated Volatility

Number of pages: 26 Posted: 17 Nov 2020 Last Revised: 23 Feb 2021
Z. Merrick Li and Oliver B. Linton
University of Cambridge and University of Cambridge
Downloads 46 (474,011)

Abstract:

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84.

Semiparametric Estimation of Markov Decision Processes with Continuous State Space

LSE STICERD Research Paper No. EM550
Number of pages: 62 Posted: 30 Nov 2010
Oliver B. Linton and Sorawoot Srisuma
University of Cambridge and University of Surrey
Downloads 46 (474,011)

Abstract:

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85.

Inference on a Semiparametric Model with Global Power Law and Local Nonparametric Trends

Number of pages: 55 Posted: 20 Jul 2017
Jiti Gao, Oliver B. Linton and Bin Peng
Monash University - Department of Econometrics & Business Statistics, University of Cambridge and Monash University - Department of Econometrics and Business Statistics
Downloads 45 (478,270)

Abstract:

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Global Mean Sea Level; Nonparametric Kernel Estimation; Nonstationarity

86.

Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos

LSE STICERD Research Paper No. EM434
Number of pages: 40 Posted: 21 Jul 2008
Oliver B. Linton and Mototsugu Shintani
University of Cambridge and Vanderbilt University - College of Arts and Science - Department of Economics
Downloads 43 (486,998)

Abstract:

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87.

Estimating Semiparametric Arch (∞) Models by Kernel Smoothing Methods

LSE STICERD Research Paper No. EM453
Number of pages: 62 Posted: 21 Jul 2008
Oliver B. Linton and Enno Mammen
University of Cambridge and University of Mannheim - Department of Economics
Downloads 41 (495,785)

Abstract:

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88.

Nonparametric Estimation of a Periodic Sequence in the Presence of a Smooth Trend

Number of pages: 39 Posted: 13 Sep 2012
Michael Vogt and Oliver B. Linton
University of Cambridge and University of Cambridge
Downloads 39 (504,881)

Abstract:

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Nonparametric estimation, penalized least squares, periodic sequenc, temperature anomaly data

89.

The Existence and Asymptotic Properties of a Backfitting Projection Algorithm Under Weak Conditions

LSE STICERD Research Paper No. EM386
Number of pages: 59 Posted: 21 Jul 2008
Oliver B. Linton, Enno Mammen and N Nielsen
University of Cambridge, University of Mannheim - Department of Economics and affiliation not provided to SSRN
Downloads 39 (504,881)
Citation 2

Abstract:

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90.

Let's Get Lade: Robust Estimation of Semiparametric Multiplicative Volatility Models

Number of pages: 41 Posted: 22 Mar 2013
Oliver B. Linton and Bonsoo Koo
University of Cambridge and Monash Business School
Downloads 36 (518,978)

Abstract:

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semiparametric, heavy-tailed errors, time varying, nonstationary multiplicative GARCH

91.

Nonparametric Transformation to White Noise

LSE STICERD Research Paper No. EM503
Number of pages: 36 Posted: 21 Jul 2008
Oliver B. Linton and Enno Mammen
University of Cambridge and University of Mannheim - Department of Economics
Downloads 36 (518,978)

Abstract:

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92.

A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models

LSE STICERD Research Paper No. EM456
Number of pages: 46 Posted: 21 Jul 2008
Woocheol Kim and Oliver B. Linton
affiliation not provided to SSRN and University of Cambridge
Downloads 31 (544,808)

Abstract:

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93.

A Semiparametric Panel Model for Unbalanced Data with Application to Climate Change in the United Kingdom

Journal of Econometrics, Forthcoming
Number of pages: 56 Posted: 12 Apr 2010
Alev Atak, Oliver B. Linton and Zhijie Xiao
Queen Mary, University of London, University of Cambridge and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 28 (561,683)
Citation 1

Abstract:

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Global warming, Kernel estimation, Semiparametric, Trend analysis

94.

News-Implied Linkages and Local Dependency in the Equity Market

Number of pages: 34 Posted: 19 Apr 2021 Last Revised: 03 May 2021
Shuyi Ge and Oliver B. Linton
University of Cambridge and University of Cambridge
Downloads 26 (593,194)

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Spatial asset pricing model, weak and strong cross-sectional dependence, local dependency, networks, textual analysis, big data, large heterogeneous panel

95.

Loch Linear Fitting Under Near Epoch Dependence: Uniform Consistency with Convergence Rate

LSE STICERD Research Paper No. EM549
Number of pages: 36 Posted: 30 Nov 2010
Degui Li, Oliver B. Linton and Zudi Lu
University of Adelaide - School of Economics, University of Cambridge and affiliation not provided to SSRN
Downloads 26 (573,930)
Citation 1

Abstract:

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96.

Non-Parametric Transformation Regression with Non-Stationary Data

Number of pages: 30 Posted: 23 Apr 2013
Oliver B. Linton and Qiying Wang
University of Cambridge and University of Sydney
Downloads 25 (580,282)

Abstract:

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Dependence, Efficiency, Cointegration, Non-stationarity, Non-parametric estimation

97.

Semiparametric Estimation of Markov Decision Processes with Continuous State Space

LSE STICERD Research Paper No. EM/2010/550
Number of pages: 60 Posted: 08 Aug 2010
Sorawoot Srisuma and Oliver B. Linton
University of Surrey and University of Cambridge
Downloads 24 (586,716)
Citation 1

Abstract:

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Discrete Markov Decision Models, Kernel Smoothing, Markovian Games, Semiparametric Estimation, Well-posed Inverse Problem

98.

A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form

LSE STICERD Research Paper No. EM419
Number of pages: 79 Posted: 21 Jul 2008
Oliver B. Linton and Zhijie Xiao
University of Cambridge and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 24 (586,716)
Citation 1

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99.

Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems

LSE STICERD Research Paper No. EM400
Number of pages: 46 Posted: 21 Jul 2008
Steve Berry, Oliver B. Linton and Ariel Pakes
affiliation not provided to SSRN, University of Cambridge and National Bureau of Economic Research (NBER)
Downloads 24 (586,716)

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100.

Empirical Likelihood Estimation of Value-at-Risk and Expected Shortfall With Moment Constraints

Number of pages: 50 Posted: 19 Feb 2021
Oliver B. Linton and Xiaolu Zhao
University of Cambridge and Dongbei University of Finance and Economics
Downloads 21 (606,534)

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Empirical Likelihood; GARCH; Quantile; Value-at-Risk; Expected Shortfall.

101.

Identification and Nonparametric Estimation of a Transformed Additively Separable Model

LSE STICERD Research Paper No. EM508
Number of pages: 75 Posted: 21 Jul 2008
David Jacho-Chávez, Arthur Lewbel and Oliver B. Linton
affiliation not provided to SSRN, Boston College - Department of Economics and University of Cambridge
Downloads 21 (606,534)
Citation 1

Abstract:

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102.

Nonparametric Estimation with Aggregated Data

LSE STICERD Research Paper No. EM397
Number of pages: 52 Posted: 21 Jul 2008
Oliver B. Linton and Yoon-Jae Whang
University of Cambridge and Seoul National University - School of Economics
Downloads 21 (606,534)

Abstract:

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103.

Nonparametric Estimation of Multivariate Elliptic Densities via Finite Mixture Sieves

Number of pages: 69 Posted: 23 Apr 2013
Heather Battey and Oliver B. Linton
University of Bristol and University of Cambridge
Downloads 18 (626,800)
Citation 1

Abstract:

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Breast cancer, Exponentiated Gradient, Semiparametric Estimation

104.

Separate Noise and Jumps From Tick Data: An Endogenous Thresholding Approach

Number of pages: 70 Posted: 25 Mar 2021
Xiaolu Zhao, Seok Young Hong and Oliver B. Linton
Dongbei University of Finance and Economics, University of Nottingham and University of Cambridge
Downloads 17 (633,677)

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Price jump detection; Market microstructure noise; Price durations; High-frequency data.

105.

First Passage Time Covariance Matrix Estimators

Number of pages: 25 Posted: 26 Mar 2021
Seok Young Hong, Oliver B. Linton and Xiaolu Zhao
University of Nottingham, University of Cambridge and Dongbei University of Finance and Economics
Downloads 16 (640,655)

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Price durations; Covariance matrix estimation; High-frequency data; GMV portfolio allocation

106.

A Nonparametric Prewhitened Covariance Estimator

Number of pages: 36 Posted: 25 Apr 2002
Zhijie Xiao and Oliver B. Linton
University of Illinois at Urbana-Champaign - Department of Economics and University of Cambridge
Downloads 14 (655,041)
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107.

Supplementary Materials for 'A ReMeDI for Microstructure Noise'

Number of pages: 40 Posted: 24 Mar 2021
Z. Merrick Li and Oliver B. Linton
University of Cambridge and University of Cambridge
Downloads 11 (677,224)

Abstract:

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108.

A ReMeDI for Microstructure Noise

Econometrica, Forthcoming
Number of pages: 30 Posted: 22 Mar 2021 Last Revised: 05 May 2021
Z. Merrick Li and Oliver B. Linton
University of Cambridge and University of Cambridge
Downloads 7 (165,548)
Citation 1

Abstract:

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Microstructure noise, semimartingale, serial dependence, stable convergence, mixing sequence, infill asymptotics, finite sample bias

109.

Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach

Journal of Applied Economics, Vol. 7, No. I, pp. 325-353, 2004
Posted: 28 Feb 2005
Douglas J. Hodgson, Oliver B. Linton and Keith Vorkink
University of Quebec at Montreal (UQAM) - Department of Economics, University of Cambridge and Brigham Young University - J. Willard and Alice S. Marriott School of Management

Abstract:

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forward exchange market, time series econometrics, nonparametric statistics