O
Oliver Linton
Researcher at University of Cambridge
Publications - 447
Citations - 13008
Oliver Linton is an academic researcher from University of Cambridge. The author has contributed to research in topics: Estimator & Nonparametric statistics. The author has an hindex of 55, co-authored 425 publications receiving 12055 citations. Previous affiliations of Oliver Linton include University of Illinois at Urbana–Champaign & Yale University.
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Similarity, dissimilarity and exceptionality: generalizing Gini’s transvariation to measure “differentness” in many distributions
TL;DR: The authors studied the differences between the income distributions of males and females drawn from Metis, Inuit, North American Indian and Non-Aboriginal constituencies in Canada in the first decade of the twenty-first century.
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Non‐parametric regression with a latent time series
TL;DR: In this paper, the authors investigate a class of semiparametric models for panel datasets where the cross-section and time dimensions are large, and they propose estimation procedures based on local linear kernel smoothing; their estimators are all explicitly given.
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Implications of High-Frequency Trading for Security Markets
TL;DR: In this article, the authors investigated how high-frequency trading could evolve and, by developing a robust understanding of its effects, identified potential risks and opportunities that HFT could present in terms of financial stability and other market outcomes such as volatility, liquidity, price efficiency and price discovery.
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Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
Seok Young Hong,Oliver Linton +1 more
TL;DR: In this article, a nonparametric estimation of the infinite order regression E (Y t k | F t − 1 ), k ∈ Z with stationary and weakly dependent data is proposed.
Posted Content
Estimating Semiparametric Arch (∞) Models by Kernel Smoothing Methods
Oliver Linton,Enno Mammen +1 more
TL;DR: In this article, the authors investigate a class of semiparametric ARCH(∞) models that includes the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the "news impact" function.