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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A remedi for microstructure noise
Z. Merrick Li,Oliver Linton +1 more
TL;DR: In this paper, the authors introduce the Realized moMents of Disjoint Increments (ReMeDI) paradigm to measure microstructure noise (the deviation of the observed asset prices from the fundamental values caused by market imperfections).
Journal ArticleDOI
The Shape of Risk Premium: Evidence from a Semiparametric GARCH Model
TL;DR: In this paper, the authors examined the relationship between the risk premium on the S&P500 index total return and its conditional variance, and they proposed a new semiparametric model in which the conditional variance process is parametric.
Journal ArticleDOI
Advances in Robust and Flexible Inference in Econometrics: A Special Issue in Honour of Joel L. Horowitz
Journal Article
An alternative GLS-like transformation in regression models with AR(1)-errors
Estimating Time-Varying Networks for High-Dimensional Time Series
TL;DR: In this paper , the authors explore time-varying networks for high-dimensional locally stationary time series, using the large VAR model framework with both the transition and (error) precision matrices evolving smoothly over time.