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Marc Hoffmann

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2011. "Modeling microstructure noise with mutually exciting point processes," Papers 1101.3422, arXiv.org.

    Cited by:

    1. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," Papers 1809.08060, arXiv.org, revised Sep 2021.
    2. Ioane Muni Toke & Fabrizio Pomponio, 2012. "Modelling Trades-Through in a Limit Order Book Using Hawkes Processes," Post-Print hal-00745554, HAL.
    3. Fabio Baschetti & Giacomo Bormetti & Silvia Romagnoli & Pietro Rossi, 2020. "The SINC way: A fast and accurate approach to Fourier pricing," Papers 2009.00557, arXiv.org, revised May 2021.
    4. Toke, Ioane Muni & Pomponio, Fabrizio, 2011. "Modelling trades-through in a limited order book using Hawkes processes," Economics Discussion Papers 2011-32, Kiel Institute for the World Economy (IfW Kiel).
    5. Dupret, Jean-Loup & Hainaut, Donatien, 2023. "Optimal liquidation under indirect price impact with propagator," LIDAM Discussion Papers ISBA 2023012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Chen, Jing & Dong, Yizhe & Hou, Wenxuan & McMillan, David G., 2018. "Does feedback trading drive returns of cross-listed shares?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 179-199.
    7. Wen Cao & Clifford Hurvich & Philippe Soulier, 2012. "Drift in Transaction-Level Asset Price Models," Working Papers hal-00756372, HAL.
    8. Angelos Dassios & Hongbiao Zhao, 2014. "A Markov Chain Model for Contagion," Risks, MDPI, vol. 2(4), pages 1-22, November.
    9. Emmanuel Bacry & Jean-Francois Muzy, 2014. "Second order statistics characterization of Hawkes processes and non-parametric estimation," Papers 1401.0903, arXiv.org, revised Feb 2015.
    10. Geon Ho Choe & Kyungsub Lee, 2013. "Conditional correlation in asset return and GARCH intensity model," Papers 1311.4977, arXiv.org.
    11. Marcello Rambaldi & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2018. "Disentangling and quantifying market participant volatility contributions," Papers 1807.07036, arXiv.org.
    12. Thomas Deschatre & Xavier Warin, 2023. "A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation," Papers 2307.16619, arXiv.org.
    13. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
    14. Kyungsub Lee, 2022. "Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures," Papers 2207.05939, arXiv.org, revised Sep 2024.
    15. Huang, Lorick & Khabou, Mahmoud, 2023. "Nonlinear Poisson autoregression and nonlinear Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 201-241.
    16. Angelos Dassios & Xin Dong, 2014. "Stationarity of Bivariate Dynamic Contagion Processes," Papers 1405.5842, arXiv.org.
    17. Ioane Muni Toke & Nakahiro Yoshida, 2020. "Marked point processes and intensity ratios for limit order book modeling," Papers 2001.08442, arXiv.org.
    18. Simon Clinet & Yoann Potiron, 2016. "Statistical inference for the doubly stochastic self-exciting process," Papers 1607.05831, arXiv.org, revised Jun 2017.
    19. Ioane Muni Toke & Nakahiro Yoshida, 2022. "Marked point processes and intensity ratios for limit order book modeling," Post-Print hal-02465428, HAL.
    20. Xiaofei Lu & Frédéric Abergel, 2018. "High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration," Post-Print hal-01686122, HAL.
    21. Hautsch, Nikolaus & Herrera, Rodrigo, 2015. "Multivariate dynamic intensity peaks-over-threshold models," CFS Working Paper Series 516, Center for Financial Studies (CFS).
    22. Dassios, Angelos & Zhao, Hongbiao, 2014. "A Markov chain model for contagion," LSE Research Online Documents on Economics 60155, London School of Economics and Political Science, LSE Library.
    23. Anatoliy Swishchuk & Aiden Huffman, 2020. "General Compound Hawkes Processes in Limit Order Books," Risks, MDPI, vol. 8(1), pages 1-25, March.
    24. Ban Zheng & François Roueff & Frédéric Abergel, 2014. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Post-Print hal-00777941, HAL.
    25. Herrera, Rodrigo & González, Sergio & Clements, Adam, 2018. "Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 70-88.
    26. Clinet, Simon & Yoshida, Nakahiro, 2017. "Statistical inference for ergodic point processes and application to Limit Order Book," Stochastic Processes and their Applications, Elsevier, vol. 127(6), pages 1800-1839.
    27. Bastien Baldacci, 2020. "High-frequency dynamics of the implied volatility surface," Papers 2012.10875, arXiv.org.
    28. Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2019. "A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance," LSE Research Online Documents on Economics 102043, London School of Economics and Political Science, LSE Library.
    29. Patrick Chang & Etienne Pienaar & Tim Gebbie, 2020. "The Epps effect under alternative sampling schemes," Papers 2011.11281, arXiv.org, revised Aug 2021.
    30. Massil Achab & Emmanuel Bacry & Jean-Franc{c}ois Muzy & Marcello Rambaldi, 2017. "Analysis of order book flows using a nonparametric estimation of the branching ratio matrix," Papers 1706.03411, arXiv.org.
    31. Ioane Muni Toke & Nakahiro Yoshida, 2020. "Analyzing order flows in limit order books with ratios of Cox-type intensities," Post-Print hal-01799398, HAL.
    32. Ying Chen & Ulrich Horst & Hoang Hai Tran, 2019. "Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks," Papers 1912.06426, arXiv.org.
    33. Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
    34. Thibault Jaisson, 2014. "Market impact as anticipation of the order flow imbalance," Papers 1402.1288, arXiv.org.
    35. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2022. "Portfolio liquidation games with self‐exciting order flow," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1020-1065, October.
    36. Marcello Rambaldi & Emmanuel Bacry & Fabrizio Lillo, 2016. "The role of volume in order book dynamics: a multivariate Hawkes process analysis," Papers 1602.07663, arXiv.org.
    37. Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
    38. Kyungsub Lee, 2023. "Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data," Papers 2304.11883, arXiv.org.
    39. Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2013. "Modelling systemic price cojumps with Hawkes factor models," Papers 1301.6141, arXiv.org, revised Mar 2013.
    40. Hainaut, Donatien & Goutte, Stephane, 2018. "A switching microstructure model for stock prices," LIDAM Discussion Papers ISBA 2018014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    41. Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2013. "Dealing with the Inventory Risk. A solution to the market making problem," Post-Print hal-01393110, HAL.
    42. Kyungsub Lee & Byoung Ki Seo, 2019. "Marked Hawkes process modeling of price dynamics and volatility estimation," Papers 1907.12025, arXiv.org.
    43. Kim, Gunhee & Choe, Geon Ho, 2019. "Limit properties of continuous self-exciting processes," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
    44. Tata Subba Rao & Granville Tunnicliffe Wilson & Michael Eichler & Rainer Dahlhaus & Johannes Dueck, 2017. "Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(2), pages 225-242, March.
    45. Lee, Kyungsub & Seo, Byoung Ki, 2017. "Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 154-183.
    46. Dassios, Angelos & Zhao, Hongbiao, 2017. "A generalised contagion process with an application to credit risk," LSE Research Online Documents on Economics 68558, London School of Economics and Political Science, LSE Library.
    47. Emmanuel Bacry & Adrian Iuga & Matthieu Lasnier & Charles-Albert Lehalle, 2014. "Market impacts and the life cycle of investors orders," Papers 1412.0217, arXiv.org, revised Dec 2014.
    48. Frédéric Abergel & Aymen Jedidi, 2015. "Long-Time Behavior of a Hawkes Process--Based Limit Order Book," Post-Print hal-01121711, HAL.
    49. Emmanuel Bacry & Jean-Fran�ois Muzy, 2014. "Hawkes model for price and trades high-frequency dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1147-1166, July.
    50. José Da Fonseca & Riadh Zaatour, 2017. "Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(3), pages 260-285, March.
    51. Behzad Mehrdad & Lingjiong Zhu, 2014. "On the Hawkes Process with Different Exciting Functions," Papers 1403.0994, arXiv.org, revised Sep 2017.
    52. Bonart, Julius & Lillo, Fabrizio, 2018. "A continuous and efficient fundamental price on the discrete order book grid," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 698-713.
    53. Filimonov, Vladimir & Sornette, Didier, 2015. "Power law scaling and “Dragon-Kings” in distributions of intraday financial drawdowns," Chaos, Solitons & Fractals, Elsevier, vol. 74(C), pages 27-45.
    54. Maxime Morariu-Patrichi & Mikko S. Pakkanen, 2017. "Hybrid marked point processes: characterisation, existence and uniqueness," Papers 1707.06970, arXiv.org, revised Oct 2018.
    55. Chang, Patrick & Pienaar, Etienne & Gebbie, Tim, 2021. "The Epps effect under alternative sampling schemes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
    56. Chen, Zezhun & Dassios, Angelos & Kuan, Valerie & Lim, Jia Wei & Qu, Yan & Surya, Budhi & Zhao, Hongbiao, 2021. "A two-phase dynamic contagion model for COVID-19," LSE Research Online Documents on Economics 105064, London School of Economics and Political Science, LSE Library.
    57. V. Filimonov & D. Sornette, 2015. "Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1293-1314, August.
    58. Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard, 2012. "Integer-valued L�vy processes and low latency financial econometrics," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 587-605, January.
    59. Hainaut, Donatien, 2016. "A bivariate Hawkes process for interest rate modeling," Economic Modelling, Elsevier, vol. 57(C), pages 180-196.
    60. Geon Choe & Kyungsub Lee, 2014. "Conditional correlation in asset return and GARCH intensity model," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 98(3), pages 197-224, July.
    61. Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Optimal Portfolio Liquidation with Limit Orders," Papers 1106.3279, arXiv.org, revised Jul 2012.
    62. Mercuri, Lorenzo & Perchiazzo, Andrea & Rroji, Edit, 2024. "A Hawkes model with CARMA(p,q) intensity," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 1-26.
    63. Thibault Jaisson & Mathieu Rosenbaum, 2015. "Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes," Papers 1504.03100, arXiv.org.
    64. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
    65. Ulrich Horst & Wei Xu, 2024. "Functional Limit Theorems for Hawkes Processes," Papers 2401.11495, arXiv.org, revised Dec 2024.
    66. Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo, 2015. "Collective synchronization and high frequency systemic instabilities in financial markets," Papers 1505.00704, arXiv.org.
    67. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Post-Print hal-00971369, HAL.
    68. Buccioli, Alice & Kokholm, Thomas & Nicolosi, Marco, 2019. "Expected shortfall and portfolio management in contagious markets," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 100-115.
    69. Da Fonseca, José & Malevergne, Yannick, 2021. "A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    70. Swishchuk, Anatoliy & Zagst, Rudi & Zeller, Gabriela, 2021. "Hawkes processes in insurance: Risk model, application to empirical data and optimal investment," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 107-124.
    71. Christophe M. Boucher & Bertrand B. Maillet, 2013. "Learning by Failing: A Simple VaR Buffer," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 22(2), pages 113-127, May.
    72. Bacry, E. & Delattre, S. & Hoffmann, M. & Muzy, J.F., 2013. "Some limit theorems for Hawkes processes and application to financial statistics," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2475-2499.
    73. Tomasz R. Bielecki & Jacek Jakubowski & Mariusz Niewęgłowski, 2022. "Construction and Simulation of Generalized Multivariate Hawkes Processes," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2865-2896, December.
    74. Chen, Zezhun & Dassios, Angelos, 2022. "Cluster point processes and Poisson thinning INARMA," LSE Research Online Documents on Economics 113652, London School of Economics and Political Science, LSE Library.
    75. Mohammad Masoud Rahimi & Elham Naghizade & Mark Stevenson & Stephan Winter, 2023. "SentiHawkes: a sentiment-aware Hawkes point process to model service quality of public transport using Twitter data," Public Transport, Springer, vol. 15(2), pages 343-376, June.
    76. Pietro Fodra & Huy^en Pham, 2013. "High frequency trading and asymptotics for small risk aversion in a Markov renewal model," Papers 1310.1756, arXiv.org, revised Jan 2015.
    77. Mehdi Tomas & Mathieu Rosenbaum, 2019. "From microscopic price dynamics to multidimensional rough volatility models," Papers 1910.13338, arXiv.org, revised Oct 2019.
    78. Xiaofei Lu & Frédéric Abergel, 2017. "Limit order book modelling with high dimensional Hawkes processes," Working Papers hal-01512430, HAL.
    79. Roueff, Francois & von Sachs, Rainer & Sansonnet, Laure, 2015. "Time-frequency analysis of locally stationary Hawkes processes," LIDAM Discussion Papers ISBA 2015011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    80. Aim'e Lachapelle & Jean-Michel Lasry & Charles-Albert Lehalle & Pierre-Louis Lions, 2013. "Efficiency of the Price Formation Process in Presence of High Frequency Participants: a Mean Field Game analysis," Papers 1305.6323, arXiv.org, revised Aug 2015.
    81. Omar Euch & Masaaki Fukasawa & Mathieu Rosenbaum, 2018. "The microstructural foundations of leverage effect and rough volatility," Finance and Stochastics, Springer, vol. 22(2), pages 241-280, April.
    82. Benjamin Favetto, 2019. "The European intraday electricity market : a modeling based on the Hawkes process," Working Papers hal-02089289, HAL.
    83. Toke, Ioane Muni & Pomponio, Fabrizio, 2012. "Modelling trades-through in a limit order book using hawkes processes," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-23.
    84. Pierre Blanc & Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Quadratic Hawkes processes for financial prices," Papers 1509.07710, arXiv.org.
    85. Roueff, Francois & von Sachs, Rainer, 2017. "Time-frequency analysis of locally stationary Hawkes processes," LIDAM Discussion Papers ISBA 2017005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    86. Aur'elien Alfonsi & Pierre Blanc, 2014. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Papers 1404.0648, arXiv.org, revised Jun 2015.
    87. Marcello Rambaldi & Vladimir Filimonov & Fabrizio Lillo, 2016. "Detection of intensity bursts using Hawkes processes: an application to high frequency financial data," Papers 1610.05383, arXiv.org.
    88. Bilodeau, Yann, 2020. "Deep limit order book events dynamics," Working Papers 20-4, HEC Montreal, Canada Research Chair in Risk Management.
    89. Fu, Guanxing & Horst, Ulrich & Xia, Xiaonyu, 2022. "Portfolio Liquidation Games with Self-Exciting Order Flow," Rationality and Competition Discussion Paper Series 327, CRC TRR 190 Rationality and Competition.
    90. Donatien Hainaut, 2016. "A bivariate Hawkes process based model, for interest rates," Post-Print hal-01458162, HAL.
    91. Anatoliy Swishchuk & Aiden Huffman, 2018. "General Compound Hawkes Processes in Limit Order Books," Papers 1812.02298, arXiv.org.
    92. Thomas Deschatre & Pierre Gruet, 2021. "Electricity intraday price modeling with marked Hawkes processes," Papers 2103.07407, arXiv.org, revised Mar 2021.
    93. Pietro Fodra & Huyen Pham, 2013. "High frequency trading in a Markov renewal model," Working Papers hal-00867113, HAL.
    94. Thibault Jaisson, 2015. "Market impact as anticipation of the order flow imbalance," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1123-1135, July.
    95. Emmanuel Bacry & Thibault Jaisson & Jean-Francois Muzy, 2014. "Estimation of slowly decreasing Hawkes kernels: Application to high frequency order book modelling," Papers 1412.7096, arXiv.org.
    96. Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2015. "Modelling systemic price cojumps with Hawkes factor models," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1137-1156, July.
    97. Donatien Hainaut, 2016. "A model for interest rates with clustering effects," Quantitative Finance, Taylor & Francis Journals, vol. 16(8), pages 1203-1218, August.
    98. Lorenzo Mercuri & Andrea Perchiazzo & Edit Rroji, 2024. "Option Pricing with a Compound CARMA(p,q)-Hawkes," Papers 2412.15172, arXiv.org.
    99. E. Bacry & J. F Muzy, 2013. "Hawkes model for price and trades high-frequency dynamics," Papers 1301.1135, arXiv.org.
    100. El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu, 2016. "The microstructural foundations of leverage effect and rough volatility," Papers 1609.05177, arXiv.org.
    101. Ruihua Ruan & Emmanuel Bacry & Jean-Franc{c}ois Muzy, 2023. "The self-exciting nature of the bid-ask spread dynamics," Papers 2303.02038, arXiv.org, revised Jun 2023.
    102. Angelos Dassios & Jiwook Jang & Hongbiao Zhao, 2019. "A Generalised CIR Process with Externally-Exciting and Self-Exciting Jumps and Its Applications in Insurance and Finance," Risks, MDPI, vol. 7(4), pages 1-18, October.
    103. Hainaut, Donatien, 2016. "Impact of volatility clustering on equity indexed annuities," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 367-381.
    104. Fan, Lina & Yang, Hao & Zhai, Jia & Zhang, Xiaotao, 2023. "Forecasting stock volatility during the stock market crash period: The role of Hawkes process," Finance Research Letters, Elsevier, vol. 55(PA).
    105. Lee, Kyungsub, 2023. "Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data," Finance Research Letters, Elsevier, vol. 55(PA).
    106. Riccardo Brignone & Carlo Sgarra, 2020. "Asian options pricing in Hawkes-type jump-diffusion models," Annals of Finance, Springer, vol. 16(1), pages 101-119, March.
    107. Hyun Jin Jang & Kiseop Lee & Kyungsub Lee, 2020. "Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach," Papers 2012.04181, arXiv.org.
    108. Aymen Jedidi & Frédéric Abergel, 2013. "Stability and price scaling limit of a Hawkes-process based order book model," Working Papers hal-00821607, HAL.
    109. Donatien Hainaut, 2016. "A model for interest rates with clustering effects," Post-Print hal-01393994, HAL.
    110. Hainaut, Donatien, 2023. "A mutually exciting rough jump diffusion for financial modelling," LIDAM Discussion Papers ISBA 2023011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    111. Thibault Jaisson & Mathieu Rosenbaum, 2013. "Limit theorems for nearly unstable Hawkes processes," Papers 1310.2033, arXiv.org, revised Mar 2015.
    112. Julius Bonart & Fabrizio Lillo, 2016. "A continuous and efficient fundamental price on the discrete order book grid," Papers 1608.00756, arXiv.org, revised Aug 2016.
    113. Guanxing Fu & Ulrich Horst & Xiaonyu Xia, 2020. "Portfolio Liquidation Games with Self-Exciting Order Flow," Papers 2011.05589, arXiv.org.
    114. Frederic Paik Schoenberg & Marc Hoffmann & Ryan J. Harrigan, 2019. "A recursive point process model for infectious diseases," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(5), pages 1271-1287, October.
    115. Vladimir Filimonov & Didier Sornette, 2013. "Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data," Papers 1308.6756, arXiv.org, revised Jul 2014.
    116. Sobin Joseph & Lekhapriya Dheeraj Kashyap & Shashi Jain, 2020. "Shallow Neural Hawkes: Non-parametric kernel estimation for Hawkes processes," Papers 2006.02460, arXiv.org.
    117. Ban Zheng & Franc{c}ois Roueff & Fr'ed'eric Abergel, 2013. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Papers 1301.5007, arXiv.org, revised Feb 2014.
    118. Aur'elien Alfonsi, 2023. "Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation," Papers 2302.07758, arXiv.org, revised Oct 2024.
    119. Timoth'ee Fabre & Ioane Muni Toke, 2024. "Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets," Papers 2401.09361, arXiv.org, revised Nov 2024.
    120. Jang, Hyun Jin & Woo, Han-Gyun & Lee, Changyong, 2017. "Hawkes process-based technology impact analysis," Journal of Informetrics, Elsevier, vol. 11(2), pages 511-529.
    121. Angelos Dassios & Hongbiao Zhao, 2017. "A Generalized Contagion Process With An Application To Credit Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-33, February.
    122. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2021. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Post-Print hal-02998555, HAL.
    123. Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.
    124. Zhang, Yichen & Hurvich, Clifford M., 2022. "Estimation of α, β and portfolio weights in a pure-jump model with long memory in volatility," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 972-994.
    125. Emmanuel Bacry & Iacopo Mastromatteo & Jean-Franc{c}ois Muzy, 2015. "Hawkes processes in finance," Papers 1502.04592, arXiv.org, revised May 2015.
    126. A. Saichev & D. Sornette & V. Filimonov & F. Corsi, 2014. "Bridge homogeneous volatility estimators," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 87-99, January.
    127. A. Sadoghi & J. Vecer, 2015. "Optimum Liquidation Problem Associated with the Poisson Cluster Process," Papers 1507.06514, arXiv.org, revised Dec 2015.
    128. Maxime Morariu-Patrichi & Mikko Pakkanen, 2018. "State-dependent Hawkes processes and their application to limit order book modelling," CREATES Research Papers 2018-26, Department of Economics and Business Economics, Aarhus University.
    129. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events," Papers 2005.05730, arXiv.org.
    130. Bo Jing & Shenghong Li & Yong Ma, 2020. "Pricing VIX options with volatility clustering," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 928-944, June.
    131. Vladimir Filimonov & Didier Sornette, 2014. "Power law scaling and "Dragon-Kings" in distributions of intraday financial drawdowns," Papers 1407.5037, arXiv.org, revised Apr 2015.
    132. Roueff, François & von Sachs, Rainer & Sansonnet, Laure, 2016. "Locally stationary Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 126(6), pages 1710-1743.

  2. Hoffmann, Marc & Munk, Axel & Schmidt-Hieber, Johannes, 2010. "Nonparametric estimation of the volatility under microstructure noise: wavelet adaptation," MPRA Paper 24562, University Library of Munich, Germany.

    Cited by:

    1. E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2011. "Modeling microstructure noise with mutually exciting point processes," Papers 1101.3422, arXiv.org.
    2. Zu, Yang & Peter Boswijk, H., 2014. "Estimating spot volatility with high-frequency financial data," Journal of Econometrics, Elsevier, vol. 181(2), pages 117-135.
    3. Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo, 2013. "Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise," MPRA Paper 63293, University Library of Munich, Germany, revised 10 Mar 2014.

  3. Cohen, Albert & Hoffmann, Marc & Reiß, Markus, 2002. "Adaptive wavelet Galerkin methods for linear inverse problems," SFB 373 Discussion Papers 2002,50, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    Cited by:

    1. Xiaohong Chen & Markus Reiss, 2007. "On Rate Optimality for Ill-posed Inverse Problems in Econometrics," Cowles Foundation Discussion Papers 1626, Cowles Foundation for Research in Economics, Yale University.
    2. Xiaohong Chen & Timothy Christensen, 2013. "Optimal Uniform Convergence Rates for Sieve Nonparametric Instrumental Variables Regression," Papers 1311.0412, arXiv.org.
    3. Chen, Xiaohong & Pouzo, Demian, 2008. "Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments," Working Papers 47, Yale University, Department of Economics.
    4. Marteau Clement & Loubes Jean-Michel, 2012. "Adaptive estimation for an inverse regression model with unknown operator," Statistics & Risk Modeling, De Gruyter, vol. 29(3), pages 215-242, August.
    5. Pawan Gupta & Marianna Pensky, 2018. "Solution of Linear Ill-Posed Problems Using Random Dictionaries," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 80(1), pages 178-193, May.
    6. Anne Vanhems & Jean-Michel Loubes, 2004. "Saturation spaces for regularization methods in inverse problems," Econometric Society 2004 North American Summer Meetings 380, Econometric Society.

  4. Gobet, Emmanuel & Hoffmann, Marc & Reiß, Markus, 2002. "Nonparametric estimation of scalar diffusions based on low frequency data is ill-posed," SFB 373 Discussion Papers 2002,57, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    Cited by:

    1. Dennis Kristensen, 2007. "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2007-01, Department of Economics and Business Economics, Aarhus University.
    2. Timothy Christensen, 2014. "Nonparametric Stochastic Discount Factor Decomposition," Papers 1412.4428, arXiv.org, revised May 2017.
    3. Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers dp500, Financial Markets Group.
    4. Jianqing Fan, 2004. "A selective overview of nonparametric methods in financial econometrics," Papers math/0411034, arXiv.org.
    5. Jianqing Fan & Yingying Fan & Jinchi Lv, 0. "Aggregation of Nonparametric Estimators for Volatility Matrix," Journal of Financial Econometrics, Oxford University Press, vol. 5(3), pages 321-357.
    6. Timothy M. Christensen, 2015. "Nonparametric stochastic discount factor decomposition," CeMMAP working papers CWP24/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    7. Ilia Negri & Yoichi Nishiyama, 2011. "Goodness of fit test for small diffusions by discrete time observations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(2), pages 211-225, April.
    8. Alessandro De Gregorio & Stefano Maria Iacus, 2008. "Clustering of discretely observed diffusion processes," Papers 0809.3902, arXiv.org.
    9. Ilia Negri & Yoichi Nishiyama, 2010. "Goodness of fit test for ergodic diffusions by tick time sample scheme," Statistical Inference for Stochastic Processes, Springer, vol. 13(1), pages 81-95, April.
    10. Xiaohong Chen & Lars Peter Hansen & Jose Scheinkman, 2009. "Principal Components and Long Run Implications of Multivariate Diffusions," Cowles Foundation Discussion Papers 1694, Cowles Foundation for Research in Economics, Yale University.
    11. Yunyan Wang & Lixin Zhang & Mingtian Tang, 2012. "Re-weighted functional estimation of second-order diffusion processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(8), pages 1129-1151, November.

Articles

  1. E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013. "Modelling microstructure noise with mutually exciting point processes," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 65-77, January.
    See citations under working paper version above.
  2. Bacry, E. & Delattre, S. & Hoffmann, M. & Muzy, J.F., 2013. "Some limit theorems for Hawkes processes and application to financial statistics," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2475-2499.

    Cited by:

    1. Qi Guo & Bruno Remillard & Anatoliy Swishchuk, 2020. "Multivariate General Compound Point Processes in Limit Order Books," Risks, MDPI, vol. 8(3), pages 1-20, September.
    2. Fuentes, Fernanda & Herrera, Rodrigo & Clements, Adam, 2018. "Modeling extreme risks in commodities and commodity currencies," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 108-120.
    3. Hainaut, Donatien, 2021. "Moment generating function of non-Markov self-excited claims processes," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 406-424.
    4. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
    5. Simon Clinet & Yoann Potiron, 2016. "Statistical inference for the doubly stochastic self-exciting process," Papers 1607.05831, arXiv.org, revised Jun 2017.
    6. Kim, Gunhee & Choe, Geon Ho, 2019. "Limit properties of continuous self-exciting processes," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
    7. Ulrich Horst & Wei Xu, 2019. "Functional Limit Theorems for Marked Hawkes Point Measures ," Working Papers hal-02443841, HAL.
    8. Patrick Chang & Roger Bukuru & Tim Gebbie, 2019. "Revisiting the Epps effect using volume time averaging: An exercise in R," Papers 1912.02416, arXiv.org, revised Feb 2020.
    9. Takeuchi, Atsushi, 2019. "Integration by parts formulas for marked Hawkes processes," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 229-237.
    10. Emmanuel Bacry & Jean-Fran�ois Muzy, 2014. "Hawkes model for price and trades high-frequency dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1147-1166, July.
    11. Sarma, Utpal Jyoti Deba & Selvamuthu, Dharmaraja, 2024. "Study of discrete-time Hawkes process and its compensator," Statistics & Probability Letters, Elsevier, vol. 214(C).
    12. Omar El Euch & Mathieu Rosenbaum, 2017. "Perfect hedging in rough Heston models," Papers 1703.05049, arXiv.org.
    13. Chang, Patrick & Pienaar, Etienne & Gebbie, Tim, 2021. "The Epps effect under alternative sampling schemes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
    14. Chen, Zezhun & Dassios, Angelos & Kuan, Valerie & Lim, Jia Wei & Qu, Yan & Surya, Budhi & Zhao, Hongbiao, 2021. "A two-phase dynamic contagion model for COVID-19," LSE Research Online Documents on Economics 105064, London School of Economics and Political Science, LSE Library.
    15. Ulrich Horst & Wei Xu, 2019. "The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics," Papers 1911.12969, arXiv.org.
    16. Thibault Jaisson & Mathieu Rosenbaum, 2015. "Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes," Papers 1504.03100, arXiv.org.
    17. Ingemar Kaj & Mine Caglar, 2017. "A buffer Hawkes process for limit order books," Papers 1710.03506, arXiv.org.
    18. Paul Jusselin & Mathieu Rosenbaum, 2020. "No‐arbitrage implies power‐law market impact and rough volatility," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1309-1336, October.
    19. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Finance and Stochastics, Springer, vol. 20(1), pages 183-218, January.
    20. Raviar Karim & Roger J. A. Laeven & Michel Mandjes, 2021. "Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes," Papers 2106.03560, arXiv.org.
    21. Anatoliy Swishchuk, 2021. "Merton Investment Problems in Finance and Insurance for the Hawkes-Based Models," Risks, MDPI, vol. 9(6), pages 1-13, June.
    22. Aurélien Alfonsi & Pierre Blanc, 2016. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Post-Print hal-00971369, HAL.
    23. Hainaut, Donatien & Chen, Maggie & Scalas, Enrico, 2023. "The rough Hawkes process," LIDAM Discussion Papers ISBA 2023007, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    24. Aditi Dandapani & Paul Jusselin & Mathieu Rosenbaum, 2019. "From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect," Papers 1907.06151, arXiv.org, revised Jan 2021.
    25. Duval, Céline & Luçon, Eric & Pouzat, Christophe, 2022. "Interacting Hawkes processes with multiplicative inhibition," Stochastic Processes and their Applications, Elsevier, vol. 148(C), pages 180-226.
    26. Chen, Zezhun & Dassios, Angelos, 2022. "Cluster point processes and Poisson thinning INARMA," LSE Research Online Documents on Economics 113652, London School of Economics and Political Science, LSE Library.
    27. Roueff, Francois & von Sachs, Rainer & Sansonnet, Laure, 2015. "Time-frequency analysis of locally stationary Hawkes processes," LIDAM Discussion Papers ISBA 2015011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    28. Omar Euch & Masaaki Fukasawa & Mathieu Rosenbaum, 2018. "The microstructural foundations of leverage effect and rough volatility," Finance and Stochastics, Springer, vol. 22(2), pages 241-280, April.
    29. Qiyue He & Anatoliy Swishchuk, 2019. "Quantitative and Comparative Analyses of Limit Order Books with General Compound Hawkes Processes," Risks, MDPI, vol. 7(4), pages 1-21, November.
    30. Aur'elien Alfonsi & Pierre Blanc, 2014. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Papers 1404.0648, arXiv.org, revised Jun 2015.
    31. Ulrich Horst & Wei Xu & Rouyi Zhang, 2023. "Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility," Papers 2312.08784, arXiv.org, revised Nov 2024.
    32. Pietro Maria Sparago, 2025. "Note on the Weak Convergence of Hyperplane $$\alpha $$ α -Quantile Functionals and Their Continuity in the Skorokhod J1 Topology," Journal of Theoretical Probability, Springer, vol. 38(1), pages 1-12, March.
    33. Stindl, Tom & Chen, Feng, 2018. "Likelihood based inference for the multivariate renewal Hawkes process," Computational Statistics & Data Analysis, Elsevier, vol. 123(C), pages 131-145.
    34. Sparago, Pietro, 2025. "Note on the weak convergence of hyperplane α-quantile functionals and their continuity in the Skorokhod J1 topology," LSE Research Online Documents on Economics 126207, London School of Economics and Political Science, LSE Library.
    35. Thomas Deschatre & Pierre Gruet, 2021. "Electricity intraday price modeling with marked Hawkes processes," Papers 2103.07407, arXiv.org, revised Mar 2021.
    36. Thibault Jaisson, 2015. "Market impact as anticipation of the order flow imbalance," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1123-1135, July.
    37. Takaki Hayashi & Yuta Koike, 2016. "Wavelet-based methods for high-frequency lead-lag analysis," Papers 1612.01232, arXiv.org, revised Nov 2018.
    38. Anatoliy Swishchuk & Bruno Remillard & Robert Elliott & Jonathan Chavez-Casillas, 2017. "Compound Hawkes Processes in Limit Order Books," Papers 1712.03106, arXiv.org.
    39. El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu, 2016. "The microstructural foundations of leverage effect and rough volatility," Papers 1609.05177, arXiv.org.
    40. Horst, Ulrich & Xu, Wei, 2021. "Functional limit theorems for marked Hawkes point measures," Stochastic Processes and their Applications, Elsevier, vol. 134(C), pages 94-131.
    41. Maciak, Matúš & Okhrin, Ostap & Pešta, Michal, 2021. "Infinitely stochastic micro reserving," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 30-58.
    42. Li, Bo & Pang, Guodong, 2022. "Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime," Stochastic Processes and their Applications, Elsevier, vol. 143(C), pages 285-339.
    43. Cattiaux, Patrick & Colombani, Laetitia & Costa, Manon, 2022. "Limit theorems for Hawkes processes including inhibition," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 404-426.
    44. Hillairet, Caroline & Réveillac, Anthony & Rosenbaum, Mathieu, 2023. "An expansion formula for Hawkes processes and application to cyber-insurance derivatives," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 89-119.
    45. Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.
    46. Emmanuel Bacry & Iacopo Mastromatteo & Jean-Franc{c}ois Muzy, 2015. "Hawkes processes in finance," Papers 1502.04592, arXiv.org, revised May 2015.
    47. Liu, Chenguang, 2020. "Statistical inference for a partially observed interacting system of Hawkes processes," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5636-5694.
    48. Charlotte Dion & Sarah Lemler, 2020. "Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process," Statistical Inference for Stochastic Processes, Springer, vol. 23(3), pages 489-515, October.
    49. Heidar Eyjolfsson & Dag Tjøstheim, 2018. "Self-exciting jump processes with applications to energy markets," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(2), pages 373-393, April.
    50. Qi Guo & Bruno Remillard & Anatoliy Swishchuk, 2020. "Multivariate General Compound Point Processes in Limit Order Books," Papers 2008.00124, arXiv.org.

  3. Gloter, A. & Hoffmann, M., 2004. "Stochastic volatility and fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 113(1), pages 143-172, September.

    Cited by:

    1. Rosenbaum, Mathieu, 2008. "Estimation of the volatility persistence in a discretely observed diffusion model," Stochastic Processes and their Applications, Elsevier, vol. 118(8), pages 1434-1462, August.
    2. Peng, Qidi, 2011. "Uniform Hölder exponent of a stationary increments Gaussian process: Estimation starting from average values," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1326-1335, August.
    3. Mathieu Rosenbaum, 2006. "Estimation of the Volatility Persistence in a Discretly Observed Diffusion Model," Working Papers 2006-02, Center for Research in Economics and Statistics.
    4. León, José & Ludeña, Carenne, 2007. "Limits for weighted p-variations and likewise functionals of fractional diffusions with drift," Stochastic Processes and their Applications, Elsevier, vol. 117(3), pages 271-296, March.
    5. José León & Carenne Ludeña, 2015. "Difference based estimators and infill statistics," Statistical Inference for Stochastic Processes, Springer, vol. 18(1), pages 1-31, April.
    6. Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford.
    7. R. Vilela Mendes, 2022. "The fractional volatility model and rough volatility," Papers 2206.02205, arXiv.org.

  4. Hoffmann, Marc, 2002. "Rate of convergence for parametric estimation in a stochastic volatility model," Stochastic Processes and their Applications, Elsevier, vol. 97(1), pages 147-170, January.

    Cited by:

    1. Cecilia Mancini & Vanessa Mattiussi & Roberto Reno', 2012. "Spot Volatility Estimation Using Delta Sequences," Working Papers - Mathematical Economics 2012-10, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    2. Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
    3. Reiß, Markus & Winkelmann, Lars, 2021. "Inference on the maximal rank of time-varying covariance matrices using high-frequency data," Discussion Papers 2021/14, Free University Berlin, School of Business & Economics.
    4. Robert Azencott & Peng Ren & Ilya Timofeyev, 2020. "Realised volatility and parametric estimation of Heston SDEs," Finance and Stochastics, Springer, vol. 24(3), pages 723-755, July.
    5. Gloter, A. & Hoffmann, M., 2004. "Stochastic volatility and fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 113(1), pages 143-172, September.

  5. Hoffmann, Marc, 1999. "Adaptive estimation in diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 79(1), pages 135-163, January.

    Cited by:

    1. Leonid I. Galtchouk & Serge M. Pergamenshchikov, 2022. "Adaptive efficient analysis for big data ergodic diffusion models," Statistical Inference for Stochastic Processes, Springer, vol. 25(1), pages 127-158, April.
    2. Olivier Féron & Pierre Gruet & Marc Hoffmann, 2020. "Efficient volatility estimation in a two‐factor model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 862-898, September.
    3. Christophe Denis & Charlotte Dion‐Blanc & Eddy Ella‐Mintsa & Viet Chi Tran, 2024. "Nonparametric plug‐in classifier for multiclass classification of S.D.E. paths," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 51(3), pages 1103-1160, September.
    4. F. Comte & V. Genon-Catalot & Y. Rozenholc, 2010. "Nonparametric estimation for a stochastic volatility model," Finance and Stochastics, Springer, vol. 14(1), pages 49-80, January.
    5. Fabian Dunker & Thorsten Hohage, 2014. "On parameter identification in stochastic differential equations by penalized maximum likelihood," Papers 1404.0651, arXiv.org.
    6. Aït-Sahalia, Yacine & Park, Joon Y., 2016. "Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models," Journal of Econometrics, Elsevier, vol. 192(1), pages 119-138.
    7. Hoffmann, Marc & Marguet, Aline, 2019. "Statistical estimation in a randomly structured branching population," Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 5236-5277.
    8. Eddy Ella-Mintsa, 2024. "Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths," Statistical Inference for Stochastic Processes, Springer, vol. 27(3), pages 585-640, October.
    9. Nicolas Marie, 2023. "Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models," Finance and Stochastics, Springer, vol. 27(1), pages 97-126, January.
    10. Comte, Fabienne & Genon-Catalot, Valentine, 2021. "Drift estimation on non compact support for diffusion models," Stochastic Processes and their Applications, Elsevier, vol. 134(C), pages 174-207.
    11. Wooyong Lee & Priscilla E. Greenwood & Nancy Heckman & Wolfgang Wefelmeyer, 2017. "Pre-averaged kernel estimators for the drift function of a diffusion process in the presence of microstructure noise," Statistical Inference for Stochastic Processes, Springer, vol. 20(2), pages 237-252, July.
    12. Ignatieva, Katja & Platen, Eckhard, 2012. "Estimating the diffusion coefficient function for a diversified world stock index," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1333-1349.
    13. Hoffmann, Marc, 1999. "On nonparametric estimation in nonlinear AR(1)-models," Statistics & Probability Letters, Elsevier, vol. 44(1), pages 29-45, August.
    14. Comte, F. & Genon-Catalot, V. & Rozenholc, Y., 2009. "Nonparametric adaptive estimation for integrated diffusions," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 811-834, March.
    15. Christophe Denis & Charlotte Dion & Miguel Martinez, 2020. "Consistent procedures for multiclass classification of discrete diffusion paths," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(2), pages 516-554, June.
    16. Charlotte Dion, 2016. "Nonparametric estimation in a mixed-effect Ornstein–Uhlenbeck model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 79(8), pages 919-951, November.
    17. Park, Joon Y. & Wang, Bin, 2021. "Nonparametric estimation of jump diffusion models," Journal of Econometrics, Elsevier, vol. 222(1), pages 688-715.
    18. Hildebrandt, Florian & Trabs, Mathias, 2023. "Nonparametric calibration for stochastic reaction–diffusion equations based on discrete observations," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 171-217.
    19. Schmisser Emeline, 2011. "Non-parametric drift estimation for diffusions from noisy data," Statistics & Risk Modeling, De Gruyter, vol. 28(2), pages 119-150, May.
    20. J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 109-141, June.
    21. Christian Gourieroux & Hung T. Nguyen & Songsak Sriboonchitta, 2017. "Nonparametric estimation of a scalar diffusion model from discrete time data: a survey," Annals of Operations Research, Springer, vol. 256(2), pages 203-219, September.
    22. Helle Sørensen, 2002. "Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey," Discussion Papers 02-08, University of Copenhagen. Department of Economics.
    23. Bu, Ruijun & Kim, Jihyun & Wang, Bin, 2023. "Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications," Journal of Econometrics, Elsevier, vol. 235(2), pages 1934-1954.
    24. Schmisser, Émeline, 2014. "Non-parametric adaptive estimation of the drift for a jump diffusion process," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 883-914.
    25. Charlotte Dion & Sarah Lemler, 2020. "Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process," Statistical Inference for Stochastic Processes, Springer, vol. 23(3), pages 489-515, October.
    26. Thomas Deschatre, 2023. "Adaptive estimation of intensity in a doubly stochastic Poisson process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 50(4), pages 1756-1794, December.

  6. Hoffmann, Marc, 1999. "On nonparametric estimation in nonlinear AR(1)-models," Statistics & Probability Letters, Elsevier, vol. 44(1), pages 29-45, August.

    Cited by:

    1. Comte, F. & Rozenholc, Y., 2002. "Adaptive estimation of mean and volatility functions in (auto-)regressive models," Stochastic Processes and their Applications, Elsevier, vol. 97(1), pages 111-145, January.
    2. S. Valère Bitseki Penda & Adélaïde Olivier, 2017. "Autoregressive functions estimation in nonlinear bifurcating autoregressive models," Statistical Inference for Stochastic Processes, Springer, vol. 20(2), pages 179-210, July.
    3. Gérard Kerkyacharian & Dominique Picard & Lucien Birgé & Peter Hall & Oleg Lepski & Enno Mammen & Alexandre Tsybakov & G. Kerkyacharian & D. Picard, 2000. "Thresholding algorithms, maxisets and well-concentrated bases," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 9(2), pages 283-344, December.

  7. Hoffmann, Marc, 1997. "Minimax estimation of the diffusion coefficient through irregular samplings," Statistics & Probability Letters, Elsevier, vol. 32(1), pages 11-24, February.

    Cited by:

    1. Olivier Féron & Pierre Gruet & Marc Hoffmann, 2020. "Efficient volatility estimation in a two‐factor model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 862-898, September.

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