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Research Interests


Econometric Theory and practice; Empirical Finance

Recent Publications


Published Papers

Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise, (2022) Econometrica
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

Cheng, T., Dong, C., Gao, J., Linton, O. GMM Estimation for High–Dimensional Panel Data Models, (2022) CWPE2245
Vogt, M., Walsh, C., Linton, O. CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects, (2022) CWPE2242
Gao, J., Linton, O., Peng, B. A Nonparametric Panel Model for Climate Data with Seasonal and Spatial Variation, (2022) CWPE2239
Linton, O. B., Tang, H., Wu, J. A Structural Dynamic Factor Model for Daily Global Stock Market Returns, (2022) CWPE2237
Bu, R., Li, D., Linton, O., Wang, H. Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data, (2022) CWPE2218

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


SoFiE 2022 Annual Conference
The Janeway Institute, Cambridge Endowment for Research in Finance (CERF), Centre for Microdata Methods and Practice (cemmap) & Society for Financial Econometrics (SoFiE) sponsored the SoFiE 2022 Annual Conference. The event took place at Churchill College (24th - 26th June) and Robinson College (27th June), University of Cambridge.
Event Date - Friday 24th June 2022 - Monday 27th June 2022

Cambridge’s Economics and Econometrics recognised in REF 2021
The results from the latest Research Excellence Framework (REF) have highlighted the global impact of the University of Cambridge’s research in the field of economics, with an acknowledgement of the world leading quality of our overall research submission marked by both an increase in GPA, and an increase in the percentage of the submission scored as ‘world leading’.
Published on - Thursday 12th May 2022

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

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

Research Grants


Namsef - Nonparametric And Semiparametric Methods In Economics And Finance (European Commission (FP7))

The Janeway Institute for Economics


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. and Dalderop, J., 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?

Teaching


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

PhD Students


Supervisor

Yashuang (Dexter) Ding
PhD Title: Essays in Volatility Modelling
Research: Financial Econometrics, Time Series, Empirical Asset Pricing, Continuous Time Finance
Weiguang Liu
PhD Title: Non-parametric Econometrics and Empirical Finance
Research:
Mingmei Xiao
PhD Title:
Research:
Zhaocheng Zhang
PhD Title:
Research: Empirical Research in Finance and Networks

Advisor

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
Research:

Professor Oliver Linton













Professor of Political Economy
Director of Research

Research Group:
Econometrics

CV: Curriculum Vitae

Personal Site:
https://obl20.com/

Contact Details
Email: obl20@cam.ac.uk
Room: 25
Office Hours: Wednesday 4-5pm
College: Fellow of Trinity College