3 citations · 4 across the 6 of their papers we have counts for
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q-fin.ST2019
Cointegration in high frequency data
Simon Clinet, Yoann Potiron
In this paper, we consider a framework adapting the notion of cointegration when two asset prices are generated by a driftless Itô-semimartingale featuring jumps with infinite acti…
math.ST2019
Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes
Simon Clinet, William T. M. Dunsmuir, Gareth W. Peters +1
The asymptotic distribution of the score test of the null hypothesis that marks do not impact the intensity of a Hawkes marked self-exciting point process is shown to be chi-square…