63 citations · 155 across the 16 of their papers we have counts for
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math.ST2015
The different asymptotic regimes of nearly unstable autoregressive processes
Thibault Jaisson, Mathieu Rosenbaum
We extend classical results about the convergence of nearly unstable AR(p) processes to the infinite order case. To do so, we proceed as in recent works about Hawkes processes by u…
math.ST2013★ 63 cited
Estimation of the lead-lag parameter from non-synchronous data
M. Hoffmann, M. Rosenbaum, N. Yoshida
We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process reproduces a lead-lag effect if, for…
math.ST2009★ 55 cited
Integrated volatility and round-off error
Mathieu Rosenbaum
We consider a microstructure model for a financial asset, allowing for price discreteness and for a diffusive behavior at large sampling scale. This model, introduced by Delattre a…