3 citations · 4 across the 6 of their papers we have counts for
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q-fin.ST2017
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Simon Clinet, Yoann Potiron
In this paper, we build tests for the presence of residual noise in a model where the market microstructure noise is a known parametric function of some variables from the limit or…
q-fin.ST2017★ 1 cited
Efficient asymptotic variance reduction when estimating volatility in high frequency data
Simon Clinet, Yoann Potiron
This paper shows how to carry out efficient asymptotic variance reduction when estimating volatility in the presence of stochastic volatility and microstructure noise with the real…