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

Multiscale clustering of nonparametric regression curves

We study a longitudinal data model with nonparametric regression functions that may vary across the observed […]

Michael Vogt, Oliver Linton
10 January 2018 | CWP08/18
Semiparametric nonlinear panel data models with measurement error

This paper develops the identification and estimation of nonlinear semi-parametric panel data models with mismeasured variables […]

Oliver Linton, Ji-Liang Shiu
10 January 2018 | CWP09/18
Implications of high-frequency trading for security markets

High frequency trading (HFT) has grown substantially in recent years, due to fast-paced technological developments and […]

Oliver Linton, Soheil Mahmoodzadeh
10 January 2018 | CWP06/18
Additive nonparametric models with time variable and both stationary and nonstationary regressions

This paper considers nonparametric additive models that have a deterministic time trend and both stationary and […]

Chaohua Dong, Oliver Linton
20 December 2017 | CWP59/17
A coupled component GARCH model for intraday and overnight volatility

We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the […]

Oliver Linton, Jianbin Wu
26 January 2017 | CWP05/17
A discrete choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance

What is the effect of funding costs on the conditional probability of issuing a corporate bond? […]

Lena Boneva (Körber), Oliver Linton
12 January 2017 | CWP02/17
Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in…finite order

We consider a class of nonparametric time series regression models in which the regressor takes values […]

Seok Young Hong, Oliver Linton
23 November 2016 | CWP53/16
Estimation of a multiplicative covariance structure in the large dimensional case

We propose a Kronecker product structure for large covariance or correlation matrices. One feature of this […]

Christian M. Hafner, Oliver Linton, Haihan Tang
9 November 2016 | CWP52/16

Previous version

Estimation of a Multiplicative Covariance Structure
Christian M. Hafner, Oliver Linton, Haihan Tang
17 May 2016 | CWP23/16
Estimation of a Multiplicative Covariance Structure

We consider a Kronecker product structure for large covariance matrices, which has the feature that the […]

Christian M. Hafner, Oliver Linton, Haihan Tang
17 May 2016 | CWP23/16

Latest version

Estimation of a multiplicative covariance structure in the large dimensional case
Christian M. Hafner, Oliver Linton, Haihan Tang
9 November 2016 | CWP52/16
Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model

We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods […]

Xiaohong Chen, Oliver Linton, Stefan Schneeberger, Yanping Yi
18 March 2016 | CWP12/16