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Oliver Linton

By this expert

Nonparametric Euler Equation Identication and Estimation

Paper Working paper | By Juan Carlos Escanciano, Stefan Hoderlein, Arthur Lewbel, Oliver Linton, and Sorawoot Srisuma | Sep 2015

We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility functions up to scale, in consumption based asset pricing Euler equations. Ours is the first paper to prove nonparametric identification of Euler equations under low level conditions (without imposing functional restrictions or just assuming completeness).

An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability

Paper Working paper | By Seok Young Hong, Oliver Linton, and Hui Jun Zhang | Mar 2015

We propose several multivariate variance ratio statistics. We derive 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 weak form Efficient Market Hypothesis). We do not impose the no leverage assumption of Lo and MacKinlay (1988) but our asymptotic standard errors are relatively simple and in particular do not require the selection of a bandwidth parameter. We extend the framework to allow for a time varying risk premium through common systematic factors.