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
More filters
Posted Content
Nonparametric Estimation of a Polarization Measure
TL;DR: In this article, a nonparametric estimation of a polarization measure based on kernel estimation techniques is proposed, which yields consistent inference in all cases we consider, and we investigate the finite sample properties of our methods by simulation methods.
Posted Content
A GARCH Model of the Implied Volatility of the Swiss Market Index From Option Pricesdffrom Options Prices
Michael Sabbatini,Oliver Linton +1 more
TL;DR: In this paper, the implied stochastic process of the volatility of the Swiss market index (SMI) from the prices of options written on it was estimated by using the GARCH option pricing model of Duan (1991).
Journal ArticleDOI
Dynamic Autoregressive Liquidity (DArLiQ)
Posted Content
Inference about Realized Volatility using Infill Subsampling
Ilze Kalnina,Oliver Linton +1 more
TL;DR: In this article, the authors investigate the use of subsampling for conducting inference about the quadratic variation of a discretely observed diffusion process under an infill asymptotic scheme.