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 new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods […]
We examine a kernel regression estimator for time series that takes account of the error correlation […]
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We investigate the effects of fragmentation in equity markets on the quality of trading outcomes in […]
We establish the consistency and asymptotic normality for a class of estimators that are linear combinations […]
We investigate a longitudinal data model with non-parametric regression functions that may vary across the observed […]
We investigate the effects of fragmentation in equity markets on the quality of trading outcomes in […]
Previous version
In this paper, we consider semiparametric model averaging of the nonlinear dynamic time series system where […]
We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility functions up […]
We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run […]
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In this paper, we propose a semiparametric procedure called the “Model Averaging MArginal Regression” (MAMAR) that […]