53 citations · 273 across the 11 of their papers we have counts for
Showing 2013 · q-fin.STShow all
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q-fin.ST2013★ 5 cited
Non-linear dependences in finance
Rémy Chicheportiche
The thesis is composed of three parts. Part I introduces the mathematical and statistical tools that are relevant for the study of dependences, as well as statistical tests of Good…
q-fin.ST2013★ 31 cited
The fine structure of volatility feedback II: overnight and intra-day effects
Pierre Blanc, Rémy Chicheportiche, Jean-Philippe Bouchaud
We decompose, within an ARCH framework, the daily volatility of stocks into overnight and intra-day contributions. We find, as perhaps expected, that the overnight and intra-day re…
q-fin.ST2013★ 1 cited
Some applications of first-passage ideas to finance
Rémy Chicheportiche, Jean-Philippe Bouchaud
Many problems in finance are related to first passage times. Among all of them, we chose three on which we contributed personally. Our first example relates Kolmogorov-Smirnov like…