Research Interests
Econometric Theory and practice; Empirical Finance
Recent Publications
Published Papers
Linton, O. A coupled component DCS-EGARCH model for intraday and overnight volatility, (2020) Journal of EconometricsVogt, M., Linton, O. Multiscale clustering of nonparametric regression curves, (2020) Journal of Econometrics
Linton, O. and Xiao, Z. Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity, (2019) Journal of Econometrics
Chen, J., Li, D., & Linton, O. A new semiparameteric estimation approach for large dynamic covariance matrices with multiple conditioning variables, (2019) Journal of Econometrics
Auld, T. and Linton, O. The Behaviour of Betting and Currency Markets on the Night of the EU Referendum, (2019) International Journal of Forecasting
Cambridge Working Papers in Economics
Linton, O., Seo, M., Whang, Y-J. Testing Stochastic Dominance with Many Conditioning Variables, (2020) CWPE2004Linton, O., Shiu, J-L. Semiparametric Nonlinear Panel Data Models with Measurement Error, (2019) CWPE1906
Linton, O., Xiao, Z. Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity, (2019) CWPE1907
Merrick Li, Z., Linton, O A ReMeDI for Microstructure Noise, (2019) CWPE1908
Koo, B., La Vecchia, D., Linton, O. Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information, (2019) CWPE1916
Authored Book
Linton, O. Probability, Statistics and Econometrics, (2017) - Academic PressChapter in Book
Linton, O. and Xiao, Z. Quantile regression applications in finance, (2017) in the book: Handbook of quantile regression - CRC PressLinton, 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
Research Activities
J M Keynes Fellowship Fund Lectures
Professor Oliver Linton will give a talk on "Some Empirical Methods for High Frequency Financial Data" as part of the J M Keynes Fellowships Fund Lectures 2020. The event will take place on Tuesday 25th February 2020, between 5:30-6:30pm, in the McGrath Centre, St Catharine’s College, Cambridge and will also feature Professor Eilís Ferran discussing "European Financial Market Infrastructure: Ownership, Governance and Regulation".
Event Date - Tuesday 25th February 2020
Workshop on Financial Econometrics
Cambridge-INET is sponsoring a one day workshop on Financial Econometrics on 18th December 2019 from 9.30am to 5.30pm, in the Meade Room, Faculty of Economics.
Event Date - Wednesday 18th December 2019
Cambridge-INET Econometrics Mini Conference
Cambridge-INET are hosting an Econometrics Mini Conference in the Keynes Room, Faculty of Economics, on Tuesday 23rd July, between 12.30pm - 6.00pm.
Event Date - Tuesday 23rd July 2019
Big Data Methods in Econometrics and Finance
Cambridge-INET and CERF are holding an conference "Big Data Methods in Econometrics and Finance" on 20th and 21st May 2019, from 9.00am - 5.00pm, in Winstanley lecture theatre, Trinity College, Cambridge.
Event Date - Monday 20th May 2019 - Tuesday 21st May 2019
Gamblers Predicted Brexit before Financial Traders
The University's Research site have published an article on a study authored by Tom Auld and Professor Oliver Linton that shows the betting market predicted the Brexit result an hour earlier than the foreign exchange market. A number of media outlets have also picked up the findings of their paper, including Sky News, Daily Mail, Hindustan Times, London Economic, Interesting Engineering, Belfast Telegraph and The Express.
Published on - Monday 14th January 2019
Research Grants
Namsef - Nonparametric And Semiparametric Methods In Economics And Finance (European Commission (FP7))
Institute for New Economic Thinking (INET)
The Cambridge-INET Institute
Coordinator for Empirical Analysis of Financial Markets Research Theme
Keynes Fund Affiliation & Sponsored Projects
Deputy Director of the Keynes Fund
The effectiveness of circuit breakers on the LSE, Linton, O. (JHLD) Research OutputCentral Clearing and the Demand for Risk Sharing in OTC Derivative Markets, Linton, O. (JHOF)
New Statistical Inference Methods of High-frequency Liquidity and Volatility, Li, M. and Linton, O. (JHUL )
Teaching
PIIA Paper 6 - Lent - Econometrics
MPhil F500 - Empirical Finance
PhD Students
Supervisor
Joseph Fisher
PhD Title: Forecasting economic variables with machine learning techniques and internet data
Research:
PhD Title: Forecasting economic variables with machine learning techniques and internet data
Research:
Michael Ashby
PhD Title: Do Consumption-based asset pricing models explain mean reversion in stock returns
Research:
PhD Title: Do Consumption-based asset pricing models explain mean reversion in stock returns
Research:
Shuyi Ge
PhD Title: Financial networks and risk spillovers
Research: Financial econometrics, networks, systemic risk, applied econometrics
PhD Title: Financial networks and risk spillovers
Research: Financial econometrics, networks, systemic risk, applied econometrics
Shaoran Li
PhD Title: Specification, Selection, Estimation and Classification of semi-parametric Regressions
Research:
PhD Title: Specification, Selection, Estimation and Classification of semi-parametric Regressions
Research:
Advisor
Dario Palumbo
PhD Title: Modelling and Extracting the Term Structure of Interest Rates: A Unifying Framework
Research: Econometrics, Macroeconometrics, Empirical Finance, Asset Pricing
PhD Title: Modelling and Extracting the Term Structure of Interest Rates: A Unifying Framework
Research: Econometrics, Macroeconometrics, Empirical Finance, Asset Pricing
Thomas Auld
PhD Title: Market Efficiency and Political Events
Research: Market Efficiency, Bayesian Methods, Politics, High Frequency Trading, Market Microstructure
PhD Title: Market Efficiency and Political Events
Research: Market Efficiency, Bayesian Methods, Politics, High Frequency Trading, Market Microstructure
Yiming Xu
PhD Title: Expected stock returns and capital misallocation in production networks
Research:
PhD Title: Expected stock returns and capital misallocation in production networks
Research:
