Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book von Clinet, Simon, Potiron, Yoann

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Disentangling Sources of High Frequency Market Microstructure Noise von Clinet, Simon, Potiron, Yoann

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Classifying patents based on their semantic content von Bergeaud, Antonin, Potiron, Yoann, Raimbault, Juste

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Efficient asymptotic variance reduction when estimating volatility in high frequency data von Clinet, Simon, Potiron, Yoann

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Estimation for high-frequency data under parametric market microstructure noise von Clinet, Simon, Potiron, Yoann

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Statistical inference for the doubly stochastic self-exciting process von CLINET, SIMON, POTIRON, YOANN

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Non-explicit formula of boundary crossing probabilities by the Girsanov theorem von Potiron, Yoann

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Cointegration in high frequency data von Clinet, Simon, Potiron, Yoann

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Local Parametric Estimation in High Frequency Data von Potiron, Yoann, Mykland, Per

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Estimation of integrated quadratic covariation with endogenous sampling times von Potiron, Yoann, Mykland, Per A.

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Explicit formula of boundary crossing probabilities for continuous local martingales to constant boundary von Potiron, Yoann

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Non-explicit formula of boundary crossing probabilities by the Girsanov theorem von Potiron, Yoann

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Approximation convergence in the inverse first-passage time problem von Potiron, Yoann

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Non-explicit formula of boundary crossing probabilities by the Girsanov theorem von Potiron, Yoann

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Explicit formula of boundary crossing probabilities for continuous local martingales to constant boundary von Potiron, Yoann

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Approximation convergence in the inverse first-passage time problem von Potiron, Yoann

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Cointegration in high frequency data von Clinet, Simon, Potiron, Yoann

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Estimation for high-frequency data under parametric market microstructure noise von Clinet, Simon, Potiron, Yoann

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Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book von Clinet, Simon, Potiron, Yoann

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Cointegration in high frequency data von Clinet, Simon, Potiron, Yoann

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