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.
Papers
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Semiparametric identification of the bid–ask spread in extended Roll models
TL;DR: In this article, the authors provide new identification results for the bid-ask spread and the nonparametric distribution of the latent fundamental price increments (e t ) from the observed transaction prices alone, which allow for discrete or continuous e t and the observed price increments do not need to have any finite moments.
Posted Content
Estimation of a Semiparametric IGARCH(1,1) Model
Woocheol Kim,Oliver Linton +1 more
TL;DR: In this paper, a semiparametric IGARCH model was proposed to allow persistence in variance but also allow for more flexible functional form, assuming that the difference of the squared process is weakly stationary.
Book
Financial Econometrics: Models and Methods
TL;DR: In this article, a thorough exploration of the models and methods of financial econometrics by one of the world's leading econometricians is presented for students in economics, finance, statistics, mathematics and engineering who are interested in financial applications.
Posted Content
Bootstrap tests of stochastic dominance with asymptotic similarity on the boundary
TL;DR: This paper proposed a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling, which requires estimation of the contact sets between the marginal distributions.
Journal ArticleDOI
Nonparametric regression estimation at design poles and zeros
TL;DR: The authors investigates the pointwise asymptotics for nonparametric regression when this assumption fails, that is, the marginal density of the explanatory variable has either an isolated zero or a pole at the point of interest.