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  • About me
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Browsing Category
research
books

Supplementary Materials for The Models and Methods of Financial Econometrics.

March 17, 2020

Topic1a Efficient Markets Hypothesis and Predictability of Asset
Returns I
Slides

Topic1b Efficient Markets Hypothesis and Predictability of Asset
Returns II
Slides

Topic2 Empirical Market Microstructure Slides
Topic3 Event Study Analysis Slides
Topic4 The Capital Asset Pricing Model Slides
Topic5 Multifactor Pricing Models Slides
Topic6 Present Value Relations Slides
Topic7 Volatility Measurement and Modelling Slides
Topic8 Intertemporal Equilibrium Pricing Slides
Problem Sets (Solutions available from the author by request)
An Introduction to Financial Markets and their Empirical Analysis
Data and Code for《The Models and Methods of Financial Econometrics》

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code

Previous Code

September 2, 2019

R Code for Lewbel, McFadden and Linton (2006)

Gauss Code for Lewbel, McFadden and Linton (2006)

R Code for Stochastic Dominance Test

Gauss for Stochastic Dominance Test

R Code for CrossQuantilogram

R Code for Rydberg and Shephard

R Code for Quantilogram

Gauss Code for Quantilogram

R Code for Polarization

Matlab Code for Multivariate Variance Ratios

R Code for Homothetic Separable

R Code for Periodic

Matlab Code for Elliptical Density

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books

AUTHORED BOOKS

January 24, 2019

The Models and Methods of Financial Econometrics.
Cambridge University Press. January 2019.
ISBN 97811071177154 (hardback), 9781316630334 (paperback), 9781316819302 (ebook)
Find Problem Sets
Find supplementary materials HERE:

Probability, Statistics and Econometrics.
Book published by Academic Press, October 2016. 400pp.
ISBN 9780128104958

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papers

JOURNAL ARTICLES

January 28, 2019

The Impact of Corporate QE on Liquidity_ Evidence from the UK (with L. Boneva, D.Elliott, I. Kaminska, B. Morley, and N. McLaren)
Economics Journal

High Dimensional Semiparametric Moment Restriction Models (with C. Dong and J. Gao)
Journal of Econometrics

A ReMeDI for microstructure noise (with Z. Merrick Li)
Econometrica

On Unit Free Assessment of The Extent of Multilateral Distributional Variation (with G.Anderson, G. Pittao, Y. Whang, and R. Zelli)
Econometrics Journal

A unified framework for efficient estimation of general treatment models (with C. Ai, K. Motegi, and Z. Zhang)
Quantitative Economics

Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models (with C. Ai and Z. Zhang)
Journal of Econometrics

The lower regression function and testing the expectation dependence dominance hypothesis (with Y. Whang and Y. Yen)
Econometric Theory

Nonparametric Euler Equation Identification and Estimation (with A. Lewbel, S.T. Srisuma, S. Hoderlein and J.C. Escanciano)
Econometric Theory

Estimation of the Kronecker Covariance Model by Quadratic Form (with H. Tang)
Econometric Theory

A Unified Framework for Specification Tests of Continuous Treatment Effect Models (with Z. Zhang and W. Huang)
Journal of Business and Economic Statistics

A weighted sieve estimation method for nonparametric time series models with nonstationary variables (with C. Dong and B. Peng)
Journal of Econometrics

When will the COVID-19 pandemic peak (with S. Li)
Journal of Econometrics

Estimation and inference in semiparametric quantile factor model (with S. Ma and J. Gao)
Journal of Econometrics[/su_spoiler]

2020
Standard Errors for Nonparametric Regression (with B. Chu and D. Jacho-Chavez)
Econometric Reviews

Estimation of an infinite order nonparametric regression (with with Seok Young Hong)
Journal of Econometrics

Quantilograms under Strong dependence (with J.H. Lee and Y.J. Whang)
Econometric Theory

http://covid.econ.cam.ac.uk/linton-uk-covid-cases-predicted-peak  (Update on Analysis of Covid-19 Data)

Multiscale clustering of nonparametric regression curves (with M. Vogt)
Journal of Econometrics

A coupled component DCS-EGARCH model for intraday and overnight volatility (with J. Wu)
Journal of Econometrics

Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity (with Z. Xiao)
Journal of Econometrics

Additive nonparametric models with time variable and both stationary and nonstationary Regressors (with C. Dong)
Journal of Econometrics

2019
A Simple and Efficient Estimation Method for Models with Nonignorable Missing Data (with C. Ai and Z. Zheng)
Statistica Sinica

A New Semiparametric Estimation of Large Dynamic Covariance Matrix with Multiple Conditioning Variables (with J. Chen and D. Li)
Journal of Econometrics

Standard Errors for Nonparametric Regression (with B. Chu and D. Jacho-Chavez)
Econometric Reviews

The behaviour of betting and currency markets on the night of the EU referendum (with T. Auld)
International Journal of Forecasting

Estimating the bid ask spread with a simple nonparametric method from the Roll model (with X. Chen, S. Schneeberger, and Y. Yi)
Journal of Econometrics

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About me

Address:
Faculty of Economics
Austin Robinson Building Sidgwick Avenue Cambridge, CB3 9DD

Tel:
+44 (0) 1223335229

Email:
obl20@cam.ac.uk

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