← All authors Oliver Linton University of Cambridge (from arXiv:2403.06246, 2024) · OpenAlex
151 papers in scope · 147 published · 5 on the econ.EM arXiv · 6,609 citations · h-index 42 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Qiang Liu Zheng Zhang Zhi Liu Degui Li Kaiji Motegi Frédérique Fève Lujia Bai Weichi Wu Baokuo Li Chunrong Ai Chang Li Boyao Wu Weibiao Wu Songqiao Tang José E. Figueroa-López Enzo D’Innocenzo Zheng Zhang Luca De Angelis Yuning Li Luciano I. de Castro Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (7 of 151)
working paper 2026 · arXiv
Nonparametric predictive regression for stock return prediction
published 2025 · Econometric Reviews · 2 citations · first circulated 2019
Adjusted-range-based self-normalized autocorrelation tests
published 2025 · Economics Letters
with Jiajing Sun, Meiting Zhu
published 2025 · Econometric Theory · 1 citations · first circulated 2023
published 2025 · Journal of Econometrics · 7 citations · first circulated 2023
GMM estimation for high-dimensional panel data models
published 2024 · Journal of Econometrics · 11 citations · first circulated 2022
working paper 2024 · arXiv · 1 citations
Nonparametric estimation of mediation effects with a general treatment
published 2024 · Econometric Reviews · 2 citations · first circulated 2022
Yongmiao Hong, Oliver Linton, Jiajing Sun, and Meiting Zhu’s contribution to the Discussion of ‘the Discussion Meeting on Probabilistic and statistical aspects of machine learning’
published 2023 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2 citations
Robust estimation of integrated and spot volatility
published 2023 · Journal of Econometrics · 4 citations
with Z. Merrick Li
Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach
published 2023 · Journal of Econometrics · 25 citations · first circulated 2021
Estimation with mixed data frequencies: A bias-correction approach
published 2023 · Journal of Empirical Finance · first circulated 2019
with Anisha Ghosh
A non-parametric panel model for climate data with seasonal and spatial variation
published 2023 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 3 citations · first circulated 2022
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
published 2023 · Journal of Econometrics · 4 citations
Shuyi Ge, Oliver Linton and Shaoran Li's Contribution to the ‘First Discussion Meeting on Statistical Aspects of the Covid-19 Pandemic’
published 2022 · Journal of the Royal Statistical Society Series A (Statistics in Society)
with Shuyi Ge, Shaoran Li
Adjusted-range self-normalized confidence interval construction for censored dependent data
published 2022 · Economics Letters · 1 citations
News-implied linkages and local dependency in the equity market
published 2022 · Journal of Econometrics · 11 citations
with Shuyi Ge, Shaoran Li
The Impact of Corporate QE on Liquidity: Evidence from the UK
published 2022 · The Economic Journal · 15 citations · first circulated 2019
with Lena Boneva, David Elliott, Iryna Kaminska, Nick McLaren, Ben Morley, D. T. Elliott
Chaohua Dong, Jiti Gao and Oliver Linton’s Contribution to the Discussion of ‘Assumption-Lean Inference for Generalised Linear Model Parameters’ by Vansteelandt and Dukes
published 2022 · Journal of the Royal Statistical Society Series B (Statistical Methodology)
Testing stochastic dominance with many conditioning variables
published 2022 · Journal of Econometrics · 3 citations · first circulated 2020
Testing for time stochastic dominance
published 2022 · Journal of Econometrics · 4 citations
A score statistic for testing the presence of a stochastic trend in conditional variances
published 2022 · Economics Letters
A ReMeDI for Microstructure Noise
published 2022 · Econometrica · 66 citations · first circulated 2019
with Z. Merrick Li, Zhe Li
High dimensional semiparametric moment restriction models
published 2021 · Journal of Econometrics · 15 citations · first circulated 2017
The lower regression function and testing expectation dependence dominance hypotheses
published 2021 · Econometric Reviews · first circulated 2020
Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models
published 2021 · Journal of Econometrics · 17 citations
working paper 2021 · arXiv
On unit free assessment of the extent of multilateral distributional variation
published 2021 · Econometrics Journal · 2 citations
published 2021 · Quantitative Economics · 23 citations · first circulated 2018
NONPARAMETRIC EULER EQUATION IDENTIFICATION AND ESTIMATION
published 2020 · Econometric Theory · 16 citations · first circulated 2017
A weighted sieve estimator for nonparametric time series models with nonstationary variables
published 2020 · Journal of Econometrics · 20 citations
When will the Covid-19 pandemic peak?
published 2020 · Journal of Econometrics · 46 citations
with Shaoran Li
Editorial for the special issue on financial econometrics in the age of the digital economy
published 2020 · Journal of Econometrics
Estimation and inference in semiparametric quantile factor models
published 2020 · Journal of Econometrics · 31 citations · first circulated 2017
working paper 2020 · arXiv
Estimation of a nonparametric model for bond prices from cross-section and time series information
published 2020 · Journal of Econometrics · 3 citations · first circulated 2019
Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
published 2020 · Journal of Econometrics · 14 citations · first circulated 2018
with Seok Young Hong
Multiscale clustering of nonparametric regression curves
published 2020 · Journal of Econometrics · 25 citations · first circulated 2018
with Michael Vogt
A coupled component DCS-EGARCH model for intraday and overnight volatility
published 2020 · Journal of Econometrics · 18 citations
with Jianbin Wu
QUANTILOGRAMS UNDER STRONG DEPENDENCE
published 2019 · Econometric Theory · 3 citations · first circulated 2017
Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
published 2019 · Journal of Econometrics · 13 citations · first circulated 2015
INFERENCE ON A SEMIPARAMETRIC MODEL WITH GLOBAL POWER LAW AND LOCAL NONPARAMETRIC TRENDS
published 2019 · Econometric Theory · 7 citations · first circulated 2017
A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
published 2019 · Journal of Econometrics · 25 citations · first circulated 2018
The behaviour of betting and currency markets on the night of the EU referendum
published 2018 · International Journal of Forecasting · 12 citations
with Tom Auld
A Simple and Efficient Estimation Method for Models with Nonignorable Missing Data
published 2018 · Statistica Sinica · 10 citations
Semiparametric estimation of the bid–ask spread in extended roll models
published 2018 · Journal of Econometrics · 4 citations
Editorial for the special issue on financial engineering and risk management for JoE
published 2018 · Journal of Econometrics · 3 citations
with Zhengjun Zhang
The Cross-Sectional Spillovers of Single Stock Circuit Breakers
published 2018 · Market Microstructure and Liquidity · 6 citations
with James Brugler, Joseph Noss, Lucas Pedace
Additive nonparametric models with time variable and both stationary and nonstationary regressors
published 2018 · Journal of Econometrics · 45 citations · first circulated 2016
Implications of High-Frequency Trading for Security Markets
published 2018 · Annual Review of Economics · 27 citations
with Soheil Mahmoodzadeh
Similarity, dissimilarity and exceptionality: generalizing Gini’s transvariation to measure “differentness” in many distributions
published 2017 · METRON · 10 citations
with Gordon Anderson, Jasmin Thomas
A discrete‐choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance
published 2017 · Journal of Applied Econometrics · 32 citations
with Lena Boneva
Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
published 2017 · Journal of the American Statistical Association · 65 citations · first circulated 2015
An Investigation into Multivariate Variance Ratio Statistics and their Application to Stock Market Predictability*
published 2016 · Journal of Financial Econometrics · 9 citations
with Seok Young Hong, Hui Jun Zhang
AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
published 2016 · Econometric Theory · 12 citations · first circulated 2012
with Christian Hafner
A nonparametric test of a strong leverage hypothesis
published 2016 · Journal of Econometrics · 7 citations · first circulated 2012
Semiparametric dynamic portfolio choice with multiple conditioning variables
published 2016 · Journal of Econometrics · 13 citations · first circulated 2015
The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
published 2016 · Journal of Econometrics · 541 citations · first circulated 2013
Testing the martingale hypothesis for gross returns
published 2016 · Journal of Empirical Finance · 1 citations
with Ekaterina Smetanina
Classification of non‐parametric regression functions in longitudinal data models Series B Statistical methodology
published 2016 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 61 citations
with Michael Vogt
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
published 2015 · Journal of Econometrics · 31 citations
with Sujin Park, Seok Young Hong
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
published 2015 · Journal of Financial Econometrics
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market
published 2015 · Journal of Applied Econometrics · 34 citations
with Lena Boneva, Michael Vogt
A flexible semiparametric forecasting model for time series
published 2015 · Journal of Econometrics · 61 citations · first circulated 2012
A semiparametric model for heterogeneous panel data with fixed effects
published 2015 · Journal of Econometrics · 27 citations
with Lena Boneva, Michael Vogt
AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS
published 2014 · Econometric Theory · 22 citations
LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS
published 2014 · Econometric Theory · 7 citations · first circulated 2012
NONPARAMETRIC TRANSFORMATION REGRESSION WITH NONSTATIONARY DATA
published 2014 · Econometric Theory · 21 citations
Nonparametric regression ‐ Theory
published 2014 · Wiley StatsRef: Statistics Reference Online
Editorial
published 2014 · Econometrics Journal · 2 citations
Nonparametric estimation of a periodic sequence in the presence of a smooth trend
published 2014 · Biometrika · 23 citations · first circulated 2012
with Michael Vogt
Testing for the stochastic dominance efficiency of a given portfolio
published 2013 · Econometrics Journal · 51 citations · first circulated 2012
Nonparametric estimation of multivariate elliptic densities via finite mixture sieves
published 2013 · Journal of Multivariate Analysis · 14 citations
with Heather Battey
Testing Conditional Independence Restrictions
published 2013 · Econometric Reviews · 20 citations
with Pedro Gozalo
GLOBAL BAHADUR REPRESENTATION FOR NONPARAMETRIC CENSORED REGRESSION QUANTILES AND ITS APPLICATIONS
published 2013 · Econometric Theory · 15 citations · first circulated 2011
ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
published 2013 · Econometric Theory · 40 citations · first circulated 2011
Nonparametric estimation and inference about the overlap of two distributions
published 2012 · Journal of Econometrics · 85 citations
with Gordon Anderson, Yoon-Jae Whang
Estimation of semiparametric locally stationary diffusion models
published 2012 · Journal of Econometrics · 40 citations · first circulated 2010
Royal Economic Society Annual Conference 2010 Special Issue on Econometrics of Inequality
published 2012 · Econometrics Journal
with Richard Smith
Efficient Semiparametric Estimation of the Fama-French Model and Extensions
published 2012 · Econometrica · 195 citations
with Gregory Connor, Matthias Hagmann
Semiparametric estimation of Markov decision processes with continuous state space
published 2011 · Journal of Econometrics · 34 citations · first circulated 2010
A polarization-cohesion perspective on cross-country convergence
published 2011 · Journal of Economic Growth · 40 citations
with Gordon Anderson, Teng Wah Leo
Annals issue on forecasting—Guest editors’ introduction
published 2011 · Journal of Econometrics
A semiparametric panel model for unbalanced data with application to climate change in the United Kingdom
published 2011 · Journal of Econometrics · 32 citations
Nonparametric regression with filtered data
published 2011 · Bernoulli · 14 citations
Estimating features of a distribution from binomial data
published 2010 · Journal of Econometrics · 21 citations · first circulated 2001
Multivariate density estimation using dimension reducing information and tail flattening transformations
published 2010 · Insurance Mathematics and Economics · 11 citations
with Tine Buch-Kromann, Montserrat Guillén, Jens Perch Nielsen
INTRODUCTION TO THE SPECIAL ISSUE ON INVERSE PROBLEMS
published 2010 · Econometric Theory
Evaluating Value-at-Risk Models via Quantile Regression
published 2010 · Journal of Business and Economic Statistics · 181 citations · first circulated 2009
with Wagner Piazza Gaglianone, Luiz Renato Lima, Daniel R. Smith
Efficient estimation of a multivariate multiplicative volatility model
published 2010 · Journal of Econometrics · 93 citations · first circulated 2009
with Christian Hafner
UNIFORM BAHADUR REPRESENTATION FOR LOCAL POLYNOMIAL ESTIMATES OF M-REGRESSION AND ITS APPLICATION TO THE ADDITIVE MODEL
published 2010 · Econometric Theory · 116 citations · first circulated 2007
Identification and nonparametric estimation of a transformed additively separable model
published 2009 · Journal of Econometrics · 5 citations · first circulated 2007
An improved bootstrap test of stochastic dominance
published 2009 · Journal of Econometrics · 177 citations
Non-parametric regression with a latent time series
published 2009 · Econometrics Journal · 12 citations
with Jens Perch Nielsen, Søren Feodor Nielsen
ESTIMATION FOR A NONSTATIONARY SEMI-STRONG GARCH(1,1) MODEL WITH HEAVY-TAILED ERRORS
published 2009 · Econometric Theory · 66 citations
with Jiazhu Pan, Hui Wang
Consistent estimation of a general nonparametric regression function in time series
published 2009 · Journal of Econometrics · 17 citations
with Alessio Sancetta
Testing for Stochastic Monotonicity
published 2009 · Econometrica · 70 citations · first circulated 2006
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
published 2008 · Journal of Econometrics · 129 citations
Semiparametric and Nonparametric Methods in Econometrics
published 2008 · Oberwolfach Reports · 230 citations
A nonparametric threshold model with application to zero returns
published 2008 · Statistics and Its Interface
Nonparametric Matching and Efficient Estimators of Homothetically Separable Functions
published 2007 · Econometrica · 37 citations · first circulated 2006
Are there Monday effects in stock returns: A stochastic dominance approach
published 2007 · Journal of Empirical Finance · 104 citations · first circulated 2006
The quantilogram: With an application to evaluating directional predictability
published 2007 · Journal of Econometrics · 214 citations
Semiparametric methods in econometrics
published 2007 · Journal of Econometrics · 2 citations
A smoothed least squares estimator for threshold regression models
published 2007 · Journal of Econometrics · 154 citations · first circulated 2005
LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES
published 2006 · Econometric Theory · 42 citations
Semiparametric estimation of a characteristic-based factor model of common stock returns
published 2006 · Journal of Empirical Finance · 92 citations · first circulated 2000
with Gregory Connor
The Froot-Stein Model Revisited
published 2006 · Annals of Actuarial Science · 7 citations · first circulated 2004
with Nils Høgh, Jens Perch Nielsen
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
published 2006 · Econometric Theory · 63 citations · first circulated 2005
Flexible Term Structure Estimation: Which Method is Preferred?
published 2006 · Metrika · 19 citations · first circulated 2001
with Andrew Jeffrey, Thong Nguyen
Testing for Stochastic Dominance Efficiency
published 2005 · ERIM report series research in management · 1 citations
no link
The common and specific components of dynamic volatility
published 2005 · Journal of Econometrics · 65 citations
with Gregory Connor, Robert A. Korajczyk
NONPARAMETRIC INFERENCE FOR UNBALANCED TIME SERIES DATA
published 2005 · Econometric Theory
THE LIVE METHOD FOR GENERALIZED ADDITIVE VOLATILITY MODELS
published 2004 · Econometric Theory · 26 citations
with Woocheol Kim
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution
published 2004 · Econometric Theory · 21 citations · first circulated 2003
Semiparametric Regression Analysis With Missing Response at Random
published 2004 · Journal of the American Statistical Association · 228 citations · first circulated 2003
Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach
published 2004 · Journal of Applied Economics · 45 citations
with Douglas J. Hodgson, Keith Vorkink
More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
published 2003 · Journal of the American Statistical Association · 100 citations · first circulated 2002
Estimation of Semiparametric Models when the Criterion Function Is Not Smooth
published 2003 · Econometrica · 414 citations
Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
published 2003 · Journal of Econometrics · 140 citations
with Mototsugu Shintani
The Shape of the Risk Premium
published 2003 · Journal of Business and Economic Statistics · 40 citations
Is There Chaos in The World Economy? A Nonparametric Test Using Consistent Standard Errors*
published 2003 · International Economic Review · 62 citations · first circulated 2001
with Mototsugu Shintani
Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach
published 2002 · Journal of Applied Econometrics · 71 citations
with Douglas J. Hodgson, Keith Vorkink
Nonparametric Censored and Truncated Regression
published 2002 · Econometrica · 96 citations
Edgeworth approximations for semiparametric instrumental variable estimators and test statistics
published 2002 · Journal of Econometrics · 2 citations
An adaptive estimation of dimension reduction space - Discussion on the paper by Xia, Tong, Li and Zhu
published 2002 · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 1 citations
no link
An alternative GLS-like transformation in regression models with AR(1)-errors
published 2002 · Econometric Theory · 1 citations
no link
ESTIMATING ADDITIVE NONPARAMETRIC MODELS BY PARTIAL L q NORM: THE CURSE OF FRACTIONALITY
published 2001 · Econometric Theory · 5 citations
Yield curve estimation by kernel smoothing methods
published 2001 · Journal of Econometrics · 20 citations
with Enno Mammen, Jans Perch Nielsen, Carsten Tanggaard
SECOND-ORDER APPROXIMATION FOR ADAPTIVE REGRESSION ESTIMATORS
published 2001 · Econometric Theory · 1 citations
Nonparametric factor analysis of residual time series
published 2001 · Test · 23 citations
Symmetrizing and unitizing transformations for linear smoother weights
published 2001 · Computational Statistics · 2 citations
Nonparametric Regression Estimation using Weak Separability
published 2001 · Somatosensory & Motor Research · 17 citations
Estimation of Linear Regression Models from Bid-Ask Data by a Spread-Tolerant Estimator *
published 2001 · Annals of economics and finance
no link
Some higher-order theory for a consistent non-parametric model specification test
published 2000 · Econometric Theory · 90 citations · first circulated 1997
Local nonlinear least squares: Using parametric information in nonparametric regression
published 2000 · Journal of Econometrics · 86 citations
with Pedro Gozalo
The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
published 1999 · Journal of Econometrics · 54 citations · first circulated 1997
A GARCH model of the implied volatility of the Swiss market index from option prices
published 1998 · International Journal of Forecasting · 35 citations
with Michael Sabbatini
On a semiparametric survival model with flexible covariate effect
published 1998 · The Annals of Statistics · 42 citations
Kernel Regression with “No” Information
published 1997 · Econometric Theory
Asymptotic Inefficiency of an Estimator Derived from a Kernel-Based Test Statistic
published 1997 · Econometric Theory · 2 citations
An Asymptotic Expansion in the GARCH(l, 1) Model
published 1997 · Econometric Theory · 50 citations · first circulated 1996
Estimation of additive regression models with known links
published 1996 · Biometrika · 129 citations · first circulated 1995
Problems: Kernel Regression with “No” Information
published 1996 · Econometric Theory
Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models
published 1996 · Econometric Theory · 22 citations · first circulated 1994
Differentiation of an Exponential Matrix Function
published 1995 · Econometric Theory · 7 citations · first circulated 1994
with J. Roderick McCrorie
Second Order Approximation in the Partially Linear Regression Model
published 1995 · Econometrica · 130 citations · first circulated 1993
A Simple Bias Reduction Method for Density Estimation
published 1995 · Biometrika · 8 citations
with M. C. Jones, Jens Perch Nielsen
A Kernel Method of Estimating Structured Nonparametric Regression Based on Marginal Integration
published 1995 · Biometrika · 399 citations
with Jens Perch Nielsen
A multiplicative bias reduction method for nonparametric regression
published 1994 · Statistics & Probability Letters · 67 citations
with Jens Perch Nielsen
Adaptive Estimation in ARCH Models
published 1993 · Econometric Theory · 139 citations
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