Oliver B. Linton

University of Cambridge

Faculty of Economics

Cambridge, CB3 9DD

United Kingdom

SCHOLARLY PAPERS

115

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548

Scholarly Papers (115)

1.
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Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,771 (1,887)

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non-standard errors, multi-analyst approach, liquidity

2.

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 1,066 (29,330)
Citation 6

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Term Structure, yield curve estimation, curve fitting

3.
Downloads 921 ( 36,129)
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 803 (43,016)
Citation 1

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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 118 (325,405)
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 723 (49,453)
Citation 7

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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 146 (276,681)

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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 - Kellogg School of Management and University of Cambridge
Downloads 715 (50,197)
Citation 12

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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 - Kellogg School of Management and University of Cambridge

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APT, ARCH, Factor Models, Principal Components, Volatility

6.

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 526 (75,285)
Citation 4

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Capital allocation; risk management; second order condition

7.

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 450 (90,844)
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 338 (124,997)
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 57 (502,488)

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9.

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 315 (135,340)

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stochastic dominance, portfolio diversification, asset pricing, portfolio analysis

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 303 (140,332)
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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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 University of Auckland Business School
Downloads 281 (151,721)

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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 University of Auckland Business School

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

12.

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

Number of pages: 11 Posted: 24 Jan 2005
Dennis Kristensen, Dennis Kristensen and Oliver B. Linton
University College London and University of Cambridge
Downloads 257 (166,763)
Citation 2

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Autocovariance, Exact, Volatility

13.

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, AI Lab and Seoul National University - School of Economics
Downloads 253 (169,356)
Citation 10

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Quantile, Correlogram, Dependence, Predictability, Systemic risk

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 229 (185,896)
Citation 1

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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 24 (690,843)

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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 170 (243,726)

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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 60 (490,241)

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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 184 (227,548)

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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 45 (558,008)
Citation 1

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17.

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 218 (195,314)

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

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 133 (297,655)
Citation 1

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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 75 (435,605)
Citation 3

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DCS, GAS, GARCH, Size Portfolios, Testing

19.

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 197 (214,298)

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

20.

News-Implied Linkages and Local Dependency in the Equity Market

Number of pages: 54 Posted: 19 Apr 2021 Last Revised: 28 Mar 2022
Shuyi Ge, Oliver B. Linton and Shaoran Li
Nankai University - Department of Finance, University of Cambridge and University of Cambridge - Faculty of Economics
Downloads 195 (216,300)

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

21.

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 193 (218,282)

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Portfolio management; Single index; GMM;

22.

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 188 (223,328)
Citation 1

Abstract:

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

23.

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 182 (229,660)
Citation 5

Abstract:

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Flash Crash, Foreign Exchange Market, Liquidity, Price Impact

24.

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 177 (235,214)
Citation 2

Abstract:

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

25.

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 173 (239,827)
Citation 2

Abstract:

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

26.

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 169 (244,597)
Citation 4

Abstract:

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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 116 (329,388)

Abstract:

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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 47 (547,907)
Citation 6

Abstract:

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28.

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 142 (281,881)

Abstract:

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Characteristic function, Deconvolution, Flash Crash, Liquidity

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 80 (419,536)
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 61 (486,229)

Abstract:

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

30.

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
The Chinese University of Hong Kong and University of Cambridge
Downloads 140 (285,035)
Citation 2

Abstract:

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

31.

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
The Chinese University of Hong Kong and University of Cambridge
Downloads 133 (296,457)

Abstract:

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32.

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 133 (296,457)
Citation 1

Abstract:

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

33.

Dynamic Peer Groups of Arbitrage Characteristics

Number of pages: 50 Posted: 21 Jul 2020 Last Revised: 07 Jun 2021
Shaoran Li, Oliver B. Linton and Shuyi Ge
University of Cambridge - Faculty of Economics, University of Cambridge and Nankai University - Department of Finance
Downloads 131 (299,895)
Citation 1

Abstract:

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Semiparametric; Peer Groups; Power-enhanced Test

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 93 (382,458)

Abstract:

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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 38 (595,731)

Abstract:

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35.

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 115 (329,622)
Citation 7

Abstract:

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

36.

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 113 (333,686)
Citation 2

Abstract:

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

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 (374,739)

Abstract:

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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 17 (750,591)
Citation 2

Abstract:

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heterogeneous panel data, discrete choice models, capital structure

38.

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 108 (344,226)
Citation 1

Abstract:

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Fixed Effect, Fragmentation

39.

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 107 (346,396)

Abstract:

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

40.

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 107 (346,396)
Citation 1

Abstract:

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GARCH; Kernel; Prediction

41.

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
Zhongnan University of Economics and Law and University of Cambridge
Downloads 101 (359,940)
Citation 6

Abstract:

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

42.

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 101 (359,940)

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

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 79 (422,645)
Citation 2

Abstract:

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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 (732,754)

Abstract:

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44.

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 97 (369,390)
Citation 6

Abstract:

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45.

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 96 (371,790)
Citation 6

Abstract:

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

46.

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 95 (374,191)

Abstract:

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Nonignorable nonresponse, Generalized method of moments, Semiparametric efficiency

47.

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 95 (374,191)
Citation 3

Abstract:

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48.

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 95 (374,191)

Abstract:

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49.

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 94 (376,759)

Abstract:

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

50.

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 94 (376,759)

Abstract:

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

51.

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 94 (376,759)
Citation 8

Abstract:

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52.

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 94 (376,759)
Citation 4

Abstract:

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53.

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 94 (376,759)

Abstract:

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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 66 (466,843)

Abstract:

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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 28 (660,196)

Abstract:

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55.

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 92 (381,846)
Citation 1

Abstract:

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56.

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 91 (384,480)
Citation 3

Abstract:

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57.
Downloads 90 (387,111)
Citation 1

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 90 (390,573)
Citation 1

Abstract:

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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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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 89 (393,234)

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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

59.

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 87 (395,158)
Citation 7

Abstract:

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

60.

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 87 (395,158)

Abstract:

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

61.

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 87 (395,158)
Citation 2

Abstract:

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62.

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 85 (400,746)

Abstract:

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

Nonparametric Inference for Unbalanced Time Series Data

Number of pages: 15 Posted: 13 Apr 2004
Oliver B. Linton
University of Cambridge
Downloads 60 (490,241)

Abstract:

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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 24 (690,843)

Abstract:

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64.

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
Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics and University of Cambridge
Downloads 83 (406,404)

Abstract:

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high dimensional models, overidentification, sieve method

65.

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 83 (406,404)
Citation 1

Abstract:

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Bias reduction, Kernel, Multiplicative correction

66.

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 83 (406,404)
Citation 18

Abstract:

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67.

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 82 (409,265)
Citation 1

Abstract:

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

68.

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 82 (409,265)
Citation 2

Abstract:

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Distribution function, Leverage Effect, Gaussian Process

69.

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 81 (412,175)

Abstract:

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

70.

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 80 (415,176)
Citation 1

Abstract:

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Panel data; nonparametric regression; classification of regression curves

71.

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
Zhongnan University of Economics and Law, University of Cambridge and Monash University - Department of Econometrics and Business Statistics
Downloads 79 (418,152)

Abstract:

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

72.

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 75 (430,639)

Abstract:

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Variance Ratio Tests, Martingale, Predictability

73.

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 75 (430,639)

Abstract:

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74.

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 75 (430,639)
Citation 8

Abstract:

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

75.

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 71 (443,573)

Abstract:

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

76.

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 68 (453,800)
Citation 16

Abstract:

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77.

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 66 (460,696)
Citation 2

Abstract:

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Correlation Matrix, Kronecker Product, MTMM, Portfolio Choice

78.

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 65 (464,269)
Citation 5

Abstract:

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79.

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 61 (479,229)

Abstract:

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80.

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 61 (479,229)

Abstract:

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81.

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 60 (483,055)

Abstract:

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82.

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 59 (486,943)

Abstract:

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83.

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 58 (490,837)
Citation 6

Abstract:

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Circuit breakers, market microstructure, market quality

84.

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 57 (494,697)
Citation 26

Abstract:

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85.

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 56 (498,742)
Citation 3

Abstract:

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

86.

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 49 (528,684)

Abstract:

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Global Mean Sea Level; Nonparametric Kernel Estimation; Nonstationarity

87.

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 49 (528,684)

Abstract:

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88.

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 49 (528,684)

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89.

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 49 (528,684)

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90.

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 47 (537,729)

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91.

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 46 (542,479)
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92.

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 45 (547,268)

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

93.

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 43 (557,023)

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

94.

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 43 (557,023)

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95.

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 42 (562,072)

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

96.

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 39 (577,436)

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97.

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 38 (582,679)

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

98.

Supplementary Materials for 'A ReMeDI for Microstructure Noise'

Number of pages: 40 Posted: 24 Mar 2021
Z. Merrick Li and Oliver B. Linton
The Chinese University of Hong Kong and University of Cambridge
Downloads 35 (599,388)

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99.

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 33 (611,064)

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100.

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 31 (623,148)
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101.

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 30 (629,464)
Citation 1

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

102.

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 30 (629,464)
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Global warming, Kernel estimation, Semiparametric, Trend analysis

103.

Dynamic Autoregressive Liquidity (DArLiQ)

Number of pages: 80 Posted: 23 Mar 2022
Christian Hafner, Oliver B. Linton and Linqi Wang
Catholic University of Louvain (UCL) - School of Statistics, University of Cambridge and Catholic University of Louvain (UCL) - Louvain Finance (LFIN)
Downloads 28 (642,494)

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Nonparametric, Semiparametric, Splits, Structural Change

104.

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 28 (642,494)
Citation 1

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105.

GMM Estimation for High–Dimensional Panel Data Models

Number of pages: 58 Posted: 13 May 2022 Last Revised: 07 Jul 2022
Tingting Cheng, Chaohua Dong, Jiti Gao and Oliver B. Linton
Nankai University, Zhongnan University of Economics and Law, Monash University - Department of Econometrics & Business Statistics and University of Cambridge
Downloads 27 (649,215)

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Generalized method of moments, High dimensional moment model, Interactive effect, Over-identification issue, Panel data, Sieve method

106.

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 27 (649,215)

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107.

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 26 (656,286)

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

108.

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 24 (670,789)
Citation 1

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109.

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 23 (678,231)

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110.

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 19 (709,370)
Citation 1

Abstract:

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Breast cancer, Exponentiated Gradient, Semiparametric Estimation

111.

A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation

Number of pages: 58 Posted: 29 Jun 2022
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 17 (725,800)

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Bootstrap method; Interactive fixed-effect; Panel rainfall data; Time trend

112.

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 (751,856)

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113.

Adjusted-Range Self-Normalized Confidence Interval Construction for Censored Dependent Data

Number of pages: 12 Posted: 16 May 2022 Last Revised: 08 Jul 2022
Jiajing Sun, Yongmiao Hong, Oliver B. Linton and Xiaolu Zhao
Chinese Academy of Sciences (CAS) - School of Economics and Management, affiliation not provided to SSRN, University of Cambridge and Dongbei University of Finance and Economics
Downloads 7 (819,279)

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Adjusted-range, censored dependent data, Empirical likelihood, self-normalization, survival analysis

114.

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

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forward exchange market, time series econometrics, nonparametric statistics

115.

Robust Estimation of Integrated and Spot Volatility

Number of pages: 35
Z. Merrick Li and Oliver B. Linton
The Chinese University of Hong Kong and University of Cambridge
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Integrated volatility, spot volatility, microstructure noise