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Research Interests

Econometric Theory and practice; Empirical Finance

Recent Publications

Published Papers

Chen, X.,Linton, O. and Yi, Y. Semiparametric identification of the bid-ask spread in extended Roll models, (2017) Journal of Econometrics
Vogt, M. and Linton, O. Classification of non-parametric regression functions in longitudinal data models, (2017) Journal of the Royal Statistical Society. Series B: Statistical Methodology
Hong, S.Y., Linton, O. and Zhang, H.J. An investigation into multivariate variance ratio statistics and their application to stock market predictability, (2017) Journal of Financial Econometrics
Linton, O., Whang, Y.-J. and Yen, Y.-M. A nonparametric test of a strong leverage hypothesis, (2016) Journal of Econometrics
Linton, O. and Wu, R. Comment on: Reflections on the probability space induced by moment conditions with implications for Bayesian Inference, (2016) Journal of Financial Econometrics

Cambridge Working Papers in Economics

Boneva, L. and Linton, O. A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance, (2017) CWPE1703
Chen, X., Linton, O. and Schneeberger, S. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model, (2016) CWPE1620
Hafner, C. M. and Linton, O. Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case, (2016) CWPE1664
Linton, O. and Wu, J. A coupled component GARCH model for intraday and overnight volatility , (2016) CWPE1671
Hong, S. Y., Linton, O. and Zhang, H. J. An investigation into Multivariate Variance Ratio Statistics and their application to Stock Market Predictability, (2015) CWPE1552

Chapter in Book

Linton, O. and Park, S. Realized volatility : theory and applications, (2012) in the book: Handbook of volatility models and their applications - Wiley
Xia, Y., Haerdle, W. and Linton, O. Optimal smoothing for a computationally and statistically efficient single index estimator, (2011) in the book: Exploring research frontiers in contemporary statistics and econometrics : a festschrift for Leopold Simar - Springer / Physica Verlag
Li, S. and Linton, O. Evaluating hedge fund performance: a stochastic dominance approach , (2010) in the book: Handbook of portfolio construction: contemporary applications of Markowitz techniques - Springer

Recent Activities

Panel Data Workshop - Publication Date: 2017-05-11
This workshop will take place on the 23rd - 24th May 2017, Winstanley theatre, Trinity College and will involve a number of speakers domestic and international presenting their work on panel data methods with applications in finance and macroeconomics.

Text, Herding and Sentiment - Publication Date: 2017-05-11
This 3 day workshop will take place on the 11th - 13th September, 2017, in the Winstanley theatre, Trinity College, Cambridge.

Prof Oliver B. Linton awarded status of “Thousand Talents Plan” by Renmin University of China - Publication Date: 2016-09-21
Prof Oliver B. Linton of the University of Cambridge was designated the status of “Thousand Talents Plan” with affiliation at Renmin University of China. The ceremony for signing of the contract was held in Beijing on the 15th of June, 2016. (Please note the article is only available in Chinese)

Stochastic Dominance Theory and Applications Workshop - Publication Date: 2016-07-20
The Stochastic Dominance Theory and Applications workshop will be held in the Winstanley theatre, Trinity College, on the 15th and 16th September 2016.

The Microstructure of Foreign Exchange Markets - Publication Date: 2016-05-19
The Microstructure of Foreign Exchange Markets will take place on Thursday 19th May - Saturday 21st May 2016, in the Winstanley theatre, Trinity college.

Research Grants

Namsef — Nonparametric And Semiparametric Methods In Economics And Finance (EC FP7 ERC AIG)

Keynes Fund Sponsored Projects

The effectiveness of circuit breakers on the LSE (JHLD) Research Output
Central Clearing and the Demand for Risk Sharing in OTC Derivative Markets (JHOF)


PIIA Paper 6 - Lent - Econometrics
F500 - Empirical Finance
Phd30 - Topics in Advanced Econometrics

PhD Students


Haihan Tang
PhD Title: Adaptive LASSO Estimator in Dynamic Panel Data Models
Research: Econometric Theory (particularly high-dimensional methods), Financial Econometrics, Applied Econometrics
Jeroen Dalderop
PhD Title: Econometric Analysis of Derivative Prices
Research: Econometrics, Financial Economics, and Asset Pricing
Ekaterina Smetanina
PhD Title: Real-time GARCH: Does Current Information Matter?
Research: Econometrics, Finance
Dario Palumbo
PhD Title: Modelling and Extracting the Term Structure of Interest Rates: A Unifying Framework
Alexis De Boeck
PhD Title: Inference in Partially Identified Non-separable Models
Joseph Fisher
PhD Title: Forecasting economic variables with machine learning techniques and internet data
Ondrej Tobek
PhD Title: In Search of Ultimate Liquidity Proxy
Research: Empirical Finance, Asset pricing
Michael Ashby
PhD Title: Do Consumption-based asset pricing models explain mean reversion in stock returns
Shuyi Ge
PhD Title: Network Econometrics
Shaoran Li
PhD Title: Specification, Selection, Estimation and Classification of semi-parametric Regressions
Yashuang Ding
PhD Title:
Weiguang Liu
PhD Title:


Ashish Patel
PhD Title: Partition-based goodness of fit tests for moment condition models
Ruochen Wu
PhD Title: Semi-parametric Bayesian Bootstrapped Semiparametric Bayesian Inference: An Application to Demand SystemsEconometrics

Professor Oliver Linton

Professor of Political Economy
Director of Research Strategy

Research Group:

CV: Curriculum Vitae

Personal Site:

Contact Details
Room: 25
Office Hours: Wednesday 5-6pm
College: Fellow of Trinity College