41 citations · 64 across the 10 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…