Centre Fellows
Oliver Linton
University of Cambridge
Oliver is Professor of Political Economy at Cambridge University. His research interests include econometric theory, nonparametric and semiparametric methods and empirical finance.
Selected Publications
We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for […]
We study a longitudinal data model with nonparametric regression functions that may vary across the observed […]
This paper develops the identification and estimation of nonlinear semi-parametric panel data models with mismeasured variables […]
This paper considers nonparametric additive models that have a deterministic time trend and both stationary and […]
We propose two semiparametric model averaging schemes for nonlinear dynamic time series regression models with a […]
This paper provides new identification results for the bid–ask spread and the nonparametric distribution of the […]
The exponential GARCH (EGARCH) model introduced by Nelson (1991) is a popular model for discrete time […]
Following the work of Gini, Dagum and Tukey, this paper extends Gini’s Transvariation measure for comparing […]
What is the effect of funding costs on the conditional probability of issuing a corporate bond? […]
We propose several multivariate variance ratio statistics for “testing” the weak form Efficient Market Hypothesis and […]