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 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 […]
High frequency trading (HFT) has grown substantially in recent years, due to fast-paced technological developments and […]
This paper considers nonparametric additive models that have a deterministic time trend and both stationary and […]
We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the […]
What is the effect of funding costs on the conditional probability of issuing a corporate bond? […]
We consider a class of nonparametric time series regression models in which the regressor takes values […]
We propose a Kronecker product structure for large covariance or correlation matrices. One feature of this […]
Previous version
We consider a Kronecker product structure for large covariance matrices, which has the feature that the […]
Latest version
We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods […]