Yoann Potiron

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
Local Parametric Estimation in High Frequency Data Journal of Business and Economic Statistics	2024-10-28	Paper
Disentangling Sources of High Frequency Market Microstructure Noise Journal of Business and Economic Statistics	2024-10-11	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
Approximation convergence in the inverse first-passage time problem	2021-06-22	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
Estimation of integrated quadratic covariation with endogenous sampling times Journal of Econometrics	2017-01-30	Paper
Formula of boundary crossing probabilities by the Girsanov theorem (available as arXiv preprint)	N/A	Paper
Explicit formula of boundary crossing probabilities for continuous local martingales to constant boundary (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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