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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Foresight: the future of computer trading in financial markets: final project report
John Beddington,Clara Furse,Philip Bond,Dave Cliff,Charles Goodhart,Kevin Houstoun,Oliver Linton,Jean-Pierre Zigrand +7 more
TL;DR: SRC researchers were involved in a study that explores how computer generated trading in financial markets will evolve over the next 10 years The project was led by the Government Office for Science Advances in technology are transforming how our financial markets operate as discussed by the authors.
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Classification of Nonparametric Regression Functions in Heterogeneous Panels
Michael Vogt,Oliver Linton +1 more
TL;DR: In this paper, a nonparametric panel model with heterogeneous regression functions is investigated and a statistical procedure to estimate the unknown group structure from the observed data is developed, and the asymptotic properties of the procedure and its finite sample performance are investigated by means of a simulation study and a real data example.
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More efficient kernel estimation in nonparametric regression with autocorrelated errors
TL;DR: This paper proposed a modification of kernel time series regression estimators that improves efficiency when the innovation process is autocorrelated, based on a pre-whitening transformation of the dependent variable that has to be estimated from the data.
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An almost closed form estimator for the EGARCH model
TL;DR: In this article, an alter-native estimator for the EGARCH model is presented, which is available in a simple closed form and which can be used as starting values for MLE.