Simon Clinet

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Disentangling Sources of High Frequency Market Microstructure Noise Journal of Business and Economic Statistics	2024-10-11	Paper
Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes Statistical Inference for Stochastic Processes	2022-06-01	Paper
Asymptotic distribution of the score test for detecting marks in Hawkes processes Statistical Inference for Stochastic Processes	2021-11-11	Paper
Cointegration in high frequency data Electronic Journal of Statistics	2021-08-09	Paper
Estimation for high-frequency data under parametric market microstructure noise Annals of the Institute of Statistical Mathematics	2021-07-28	Paper
Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes (available as arXiv preprint)	2020-01-30	Paper
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book Journal of Econometrics	2019-04-30	Paper
Efficient asymptotic variance reduction when estimating volatility in high frequency data Journal of Econometrics	2018-08-29	Paper
Statistical inference for the doubly stochastic self-exciting process Bernoulli	2018-05-18	Paper
Statistical inference for the doubly stochastic self-exciting process Bernoulli	2018-05-18	Paper
Statistical inference for ergodic point processes and application to limit order book Stochastic Processes and their Applications	2017-06-22	Paper

Research outcomes over time

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