Oliver Linton


Oliver Linton is a Professor of Political Economy and Econometrics at Cambridge University. Before joining Cambridge University, Dr. Linton was Professor at the London School of Economics and Yale University. He is a Fellow of the Society of Financial Econometrics, a Fellow of the British Academy, a Fellow of the Econometric Society, and a Fellow of the Institute of Mathematical Statistics.

Linton has been Associate Editor with Journal of Econometrics, Journal of the American Statistical Association Case Studies and Applications, and Econometrica. In addition, he has been co-editor of Econometric Theory and Econometrics Journal. Nowadays, he is co-editor of Journal of Econometrics and a member of the Department of BIS Go-Science Foresight Lead Expert Group on The Future of Computer Trading in Financial Markets.

Dr. Linton concentrates his research contribution on econometric theory, nonparametric and semiparametric methods, and financial econometrics. Together with Jens Perch Nielsen, he introduced a new method which they called marginal integration for estimating additive nonparametric regression trying to solve the curse of dimensionality problem characteristic of this type of models. This work led to a number of papers on estimating additive and other separable models. In addition, he is interested in the econometrics of continuous time, realized volatility and its uses. This field has developed rapidly in the last ten years and much new theory is being written about the estimation of ex post volatility using high frequency data in a context of microstruture noise and occasional large price movements. In this framework, Linton has been working with Greg Connor on estimating a class of semiparametric factor models that are useful for large cross-section and low frequency (i.e. monthly) time series.

He has published more than 130 works in several academic journals such as the Econometric Theory, Journal of Applied Econometrics, Econometric Reviews, Biometrika, Journal of Econometrics and Econometrica, among others. Also, he has presented his research at a great deal of professional conferences and academic institutions. He received a bachelor’s degree in mathematics and a master’s in Econometrics and Mathematical Economics from London School of Economics. He earned his Doctorate in Economics from University of Berkeley.

More information: www.oliverlinton.me.uk