O
Oliver Linton
Researcher at University of Cambridge
Publications - 447
Citations - 13008
Oliver Linton is an academic researcher from University of Cambridge. The author has contributed to research in topics: Estimator & Nonparametric statistics. The author has an hindex of 55, co-authored 425 publications receiving 12055 citations. Previous affiliations of Oliver Linton include University of Illinois at Urbana–Champaign & Yale University.
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Multivariate variance ratio statistics
TL;DR: In this paper, the authors derived the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the Efficient Market Hypothesis).
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Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model
TL;DR: The estimators are competitive with Roll's and Hasbrouck's when the latent true fundamental return distribution is Gaussian, and perform much better when this distribution is far from Gaussian.
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Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction
TL;DR: In this article, the authors proposed three new predictive models: the multi-step nonparametric predictive regression model, the multiscale additive predictive regression (MSA-ARG) model, and the Multi-step time-varying coefficient (MTCC) model.
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A nonparametric regression estimator that adapts to error distribution of unknown form
Oliver Linton,Zhijie Xiao +1 more
TL;DR: In this article, the authors proposed a new estimator for nonparametric regression based on local likelihood estimation using an estimated error score function obtained from the residuals of a preliminary NN, which is asymptotically equivalent to the infeasible local maximum likelihood estimator.