skip to content

Research Interests

Econometric Theory and practice; Empirical Finance

Recent Publications

Published Papers

Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise, (2021) Econometrica, forthcoming
Ai, C., Linton, O., Motegi, K. and Zhang, Z. A Unified Framework for Efficient Estimation of General Treatment Models, (2021) Quantitative Economics, forthcoming
Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O. and Srisuma, S. Nonparametric Euler Equation Identification and Estimation, (2021) Econometric Theory, forthcoming
Linton, O. and Tang, H. Estimation of the Kronecker Covariance Model by Quadratic Form, (2021) Econometric Theory, forthcoming
Linton, O. and Wu, J. A Coupled Component DCS GARCH Model for Intraday and Overnight Volatility, (2020) Journal of Econometrics
Li, S. and Linton, O. When Will the Covid-19 Pandemic Peak?, (2021) 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
Linton, O. and Mahmoodzadeh, S. Implications of High-Frequency Trading for Security Markets, (2018) Annual Review of Economics
Chen, J., Li, D., Linton, O., and Lu, Z. Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series, (2018) Journal of the American Statistical Association
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
Vogt, M. and Linton, O. Nonparametric Estimation of a Periodic Sequence in the Presence of a Smooth Trend, (2014) Biometrika
Connor, G., Hagmann, M. and Linton, O. Efficient Semiparametric Estimation of the Fama–French Model and Extensions, (2012) Econometrica
Linton, O. and O'hara, M The Impact of Computer Trading on Liquidity, Price Efficiency/Discovery and Transaction Costs, (2011) The Future of Computer Trading in Financial Markets

Cambridge Working Papers in Economics

Huang, W., Linton, O., Zhang, Z. A Unified Framework for Specification Tests of Continuous Treatment Effect Models, (2021) CWPE2113
Li, M. Z. and Linton, O. Robust Estimation of Integrated Volatility, (2021) CWPE2115
Chung, D., Linton, O. and Whang Y-J. Consistent Testing for an Implication of Supermodular Dominance, (2021) CWPE2134
Linton, O. and Tang, H. Estimation of the Kronecker Covariance Model by Quadratic Form, (2020) CWPE2050
Ge, S., Li, S. and Linton, O. A Dynamic Network of Arbitrage Characteristics, (2020) CWPE2060

Authored Book

Linton, O. The Models and Methods of Financial Econometrics, (2019), Cambridge University Press
Linton, O. Probability, Statistics and Econometrics, (2017), Science Direct

Research Activities

Oliver Linton Elected Society for Financial Econometrics President
The Society for Financial Econometrics is a global network of academics and practitioners dedicated to sharing research and ideas in the fast growing field of financial econometrics.
Published on - Tuesday 6th April 2021

Fourteenth Annual SoFiE Conference
Cambridge-INET Institute, Cambridge Endowment for Research in Finance (CERF), Centre for Microdata Methods and Practice (cemmap) & Society for Financial Econometrics (SoFiE) are sponsoring the Fourteenth Annual SoFiE Conference. The event will take place at Churchill College, University of Cambridge, from the 24th-26th June 2022. The Post-Conference for Young Scholars will be held on 27th June 2022. See event page for more details.
Event Date - Friday 24th June 2022 - Sunday 26th June 2022

COVID Economics Alumni Webinar Series
Cambridge-INET and Dr. Meredith Crowley are hosting a series of public lectures for Cambridge Alumni. The forth of these webinars " Integrating economics into epidemiological approaches", will take place on Friday 5th June 2020, at 1.00pm and feature talks by Dr Flavio Toxvaerd and Professor Oliver Linton. Please see the Cambridge-INET COVID Economics Alumni webinar series webpage for details.
Published on - Tuesday 12th May 2020

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".
Published on - Friday 7th 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

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 Sponsored Projects

Linton, O., The Effectiveness of Circuit Breakers on the LSE (JHLD)
Linton, O., Central Clearing and the Demand for Risk Sharing in OTC Derivative Markets (JHOF)
Li, M. and Linton, O., New Statistical Inference Methods of High-frequency Liquidity and Volatility (JHUL)

COVID-19 Economic Research

Special Feature: When will the Covid-19 Pandemic Peak?


PIIA Paper 6 - Lent - Econometrics
MPhil R301a Advanced Econometrics II: Time Series
MPhil F500 - Empirical Finance

PhD Students


Joseph Fisher
PhD Title: Forecasting economic variables with machine learning techniques and internet data
Shuyi Ge
PhD Title: Financial networks and risk spillovers
Research: Financial Econometrics, Asset Pricing, Network, and Machine Learning
Shaoran Li
PhD Title: Specification, Selection, Estimation and Classification of semi-parametric Regressions
Research: Fields: Financial Econometrics, Asset Pricing, Portfolio Management, Machine Learning
Yashuang (Dexter) Ding
PhD Title: Essays in Financial Economics, Continuous Time, Stochastic Models
Weiguang Liu
PhD Title: Non-parametric Econometrics and Empirical Finance
Mingmei Xiao
PhD Title:
Zhaocheng Zhang
PhD Title:
Research: Credit Risk Prediction with Supply Chain Factors


Dario Palumbo
PhD Title: Modelling and Extracting the Term Structure of Interest Rates: A Unifying Framework
Research: Time Series, Heavy Tailed Distribution, Circular Data and Financial Econometrics
Thomas Auld
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

Professor Oliver Linton

Professor of Political Economy
Director of Research

Research Group:

CV: Curriculum Vitae

Personal Site:

Contact Details
Room: 25
Office Hours: Wednesday 4-5pm
College: Fellow of Trinity College