189 citations · 697 across the 47 of their papers we have counts for
4 papers · 1 filter
Estimation of volatility functionals: the case of a square root n window
Jean Jacod, Mathieu Rosenbaum
We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency 1/Δ_n, with Δ_n going to zero. The goal of this paper is to provide an estimator for…
Large tick assets: implicit spread and optimal tick size
Khalil Dayri, Mathieu Rosenbaum
In this work, we provide a framework linking microstructural properties of an asset to the tick value of the exchange. In particular, we bring to light a quantity, referred to as i…
Quarticity and other functionals of volatility: Efficient estimation
Jean Jacod, Mathieu Rosenbaum
We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency , with going to zero. The goal of this paper is to provide an estimator…
Testing the finiteness of the support of a distribution: a statistical look at Tsirelson's equation
Sylvain Delattre, Mathieu Rosenbaum
We consider the following statistical problem: based on an i.i.d.sample of size n of integer valued random variables with common law m, is it possible to test whether or not the su…