41 citations · 64 across the 10 of their papers we have counts for
13 papers
Parametric estimation of Hawkes processes based on ordinary least squares
Benjamin Poignard, Yoann Potiron
We develop a parametric estimation framework for self-exciting Hawkes processes whose intensity functions admit a parametric form. The estimation procedure is based on ordinary lea…
The realized copula of volatility
Kim Christensen, Wenjing Liu, Zhi Liu +1
We study a new measure of codependency in the second moment of a continuous-time multivariate asset price process, which we name the realized copula of volatility. The statistic is…
Explicit formula of boundary crossing probabilities for continuous local martingales to constant boundary
Yoann Potiron
An explicit formula for the probability that a continuous local martingale crosses a one or two-sided random constant boundary in a finite time interval is derived. We obtain that…
Non-explicit formula of boundary crossing probabilities by the Girsanov theorem
Yoann Potiron
This paper derives several formulae for the probability that a Wiener process, which has a stochastic drift and random variance, crosses a one-sided stochastic boundary within a fi…
Approximation convergence in the inverse first-passage time problem
Yoann Potiron
The inverse first-passage time problem determines a boundary such that the first-passage time of a Wiener process to this boundary has a given distribution. An approximation which…
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…
Estimation for high-frequency data under parametric market microstructure noise
Simon Clinet, Yoann Potiron
We develop a general class of noise-robust estimators based on the existing estimators in the non-noisy high-frequency data literature. The microstructure noise is a parametric fun…
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…
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…
Classifying Patents Based on their Semantic Content
Antonin Bergeaud, Yoann Potiron, Juste Raimbault
In this paper, we extend some usual techniques of classification resulting from a large-scale data-mining and network approach. This new technology, which in particular is designed…
Statistical inference for the doubly stochastic self-exciting process
Simon Clinet, Yoann Potiron
We introduce and show the existence of a Hawkes self-exciting point process with exponentially-decreasing kernel and where parameters are time-varying. The quantity of interest is…
Local Parametric Estimation in High Frequency Data
Yoann Potiron, Per Mykland
In this paper, we give a general time-varying parameter model, where the multidimensional parameter possibly includes jumps. The quantity of interest is defined as the integrated v…
Estimation of integrated quadratic covariation with endogenous sampling times
Yoann Potiron, Per Mykland
When estimating high-frequency covariance (quadratic covariation) of two arbitrary assets observed asynchronously, simple assumptions, such as independence, are usually imposed on…