Yoann Potiron
Personal Details
First Name: | Yoann |
Middle Name: | |
Last Name: | Potiron |
Suffix: | |
RePEc Short-ID: | ppo615 |
[This author has chosen not to make the email address public] | |
http://www.fbc.keio.ac.jp/~potiron/ | |
Affiliation
Faculty of Business and Commerce
Keio University
Tokyo, Japanhttp://www.fbc.keio.ac.jp/
RePEc:edi:fbkeijp (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Simon Clinet & Yoann Potiron, 2019. "Cointegration in high frequency data," Papers 1905.07081, arXiv.org, revised Mar 2021.
- Antonin Bergeaud & Yoann Potiron & Juste Raimbault, 2018.
"Classifying Patents Based on their Semantic Content,"
Working papers
685, Banque de France.
- Antonin Bergeaud & Yoann Potiron & Juste Raimbault, 2017. "Classifying patents based on their semantic content," PLOS ONE, Public Library of Science, vol. 12(4), pages 1-22, April.
- Simon Clinet & Yoann Potiron, 2017.
"Efficient asymptotic variance reduction when estimating volatility in high frequency data,"
Papers
1701.01185, arXiv.org, revised Jun 2018.
- Clinet, Simon & Potiron, Yoann, 2018. "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Journal of Econometrics, Elsevier, vol. 206(1), pages 103-142.
- Simon Clinet & Yoann Potiron, 2017.
"Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book,"
Papers
1709.02502, arXiv.org, revised Feb 2019.
- Clinet, Simon & Potiron, Yoann, 2019. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
- Simon Clinet & Yoann Potiron, 2017.
"Estimation for high-frequency data under parametric market microstructure noise,"
Papers
1712.01479, arXiv.org, revised Sep 2020.
- Simon Clinet & Yoann Potiron, 2021. "Estimation for high-frequency data under parametric market microstructure noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.
- Juste Raimbault & Antonin Bergeaud & Yoann Potiron, 2016. "Investigating Patterns of Technological Innovation," Post-Print halshs-01370528, HAL.
- Yoann Potiron & Per Mykland, 2016.
"Local Parametric Estimation in High Frequency Data,"
Papers
1603.05700, arXiv.org, revised Aug 2018.
- Yoann Potiron & Per Mykland, 2020. "Local Parametric Estimation in High Frequency Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 679-692, July.
- Simon Clinet & Yoann Potiron, 2016. "Statistical inference for the doubly stochastic self-exciting process," Papers 1607.05831, arXiv.org, revised Jun 2017.
- Yoann Potiron & Per Mykland, 2015.
"Estimation of integrated quadratic covariation with endogenous sampling times,"
Papers
1507.01033, arXiv.org, revised Nov 2016.
- Potiron, Yoann & Mykland, Per A., 2017. "Estimation of integrated quadratic covariation with endogenous sampling times," Journal of Econometrics, Elsevier, vol. 197(1), pages 20-41.
Articles
- Simon Clinet & Yoann Potiron, 2021. "Disentangling Sources of High Frequency Market Microstructure Noise," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 18-39, January.
- Simon Clinet & Yoann Potiron, 2021.
"Estimation for high-frequency data under parametric market microstructure noise,"
Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.
- Simon Clinet & Yoann Potiron, 2017. "Estimation for high-frequency data under parametric market microstructure noise," Papers 1712.01479, arXiv.org, revised Sep 2020.
- Yoann Potiron & Per Mykland, 2020.
"Local Parametric Estimation in High Frequency Data,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 679-692, July.
- Yoann Potiron & Per Mykland, 2016. "Local Parametric Estimation in High Frequency Data," Papers 1603.05700, arXiv.org, revised Aug 2018.
- Clinet, Simon & Potiron, Yoann, 2019.
"Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book,"
Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
- Simon Clinet & Yoann Potiron, 2017. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Papers 1709.02502, arXiv.org, revised Feb 2019.
- Clinet, Simon & Potiron, Yoann, 2018.
"Efficient asymptotic variance reduction when estimating volatility in high frequency data,"
Journal of Econometrics, Elsevier, vol. 206(1), pages 103-142.
- Simon Clinet & Yoann Potiron, 2017. "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Papers 1701.01185, arXiv.org, revised Jun 2018.
- Potiron, Yoann & Mykland, Per A., 2017.
"Estimation of integrated quadratic covariation with endogenous sampling times,"
Journal of Econometrics, Elsevier, vol. 197(1), pages 20-41.
- Yoann Potiron & Per Mykland, 2015. "Estimation of integrated quadratic covariation with endogenous sampling times," Papers 1507.01033, arXiv.org, revised Nov 2016.
- Antonin Bergeaud & Yoann Potiron & Juste Raimbault, 2017.
"Classifying patents based on their semantic content,"
PLOS ONE, Public Library of Science, vol. 12(4), pages 1-22, April.
- Antonin Bergeaud & Yoann Potiron & Juste Raimbault, 2018. "Classifying Patents Based on their Semantic Content," Working papers 685, Banque de France.
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
- Antonin Bergeaud & Yoann Potiron & Juste Raimbault, 2018.
"Classifying Patents Based on their Semantic Content,"
Working papers
685, Banque de France.
- Antonin Bergeaud & Yoann Potiron & Juste Raimbault, 2017. "Classifying patents based on their semantic content," PLOS ONE, Public Library of Science, vol. 12(4), pages 1-22, April.
Cited by:
- Gątkowski, Mateusz & Dietl, Marek & Skrok, Lukasz & Whalen, Ryan & Rockett, Katharine, 2018. "Patent Thickets Identification," Economics Discussion Papers 22928, University of Essex, Department of Economics.
- Antoine Peris & Evert Meijers & Maarten Ham, 2018. "The Evolution of the Systems of Cities Literature Since 1995: Schools of Thought and their Interaction," Networks and Spatial Economics, Springer, vol. 18(3), pages 533-554, September.
- Jonathan H. Ashtor, 2019. "Investigating Cohort Similarity as an Ex Ante Alternative to Patent Forward Citations," Journal of Empirical Legal Studies, John Wiley & Sons, vol. 16(4), pages 848-880, December.
- Ananthan Nambiar & Tobias Rubel & James McCaull & Jon deVries & Mark Bedau, 2021. "Dropping diversity of products of large US firms: Models and measures," Papers 2110.08367, arXiv.org.
- Juste Raimbault, 2019. "Exploration of an interdisciplinary scientific landscape," Scientometrics, Springer;Akadémiai Kiadó, vol. 119(2), pages 617-641, May.
- Aghion, Philippe & Bergeaud, Antonin & Van Reenen, John, 2021.
"The Impact of Regulation on Innovation,"
IZA Discussion Papers
14082, Institute of Labor Economics (IZA).
- Aghion, Philippe & Bergeaud, Antonin & Van Reenen, John, 2021. "The impact of regulation on innovation," LSE Research Online Documents on Economics 114352, London School of Economics and Political Science, LSE Library.
- Philippe Aghion & Antonin Bergeaud & John Van Reenen, 2021. "The Impact of Regulation on Innovation," Working papers 804, Banque de France.
- Aghion, Philippe & Bergeaud, Antonin Jean Jacob & Van Reenen, John, 2021. "The impact of regulation on innovation," LSE Research Online Documents on Economics 121872, London School of Economics and Political Science, LSE Library.
- Philippe Aghion & Antonin Bergeaud & John Van Reenen, 2023. "The Impact of Regulation on Innovation," American Economic Review, American Economic Association, vol. 113(11), pages 2894-2936, November.
- Philippe Aghion & Antonin Bergeaud & John Van Reenen, 2021. "The impact of regulation on innovation," CEP Discussion Papers dp1744, Centre for Economic Performance, LSE.
- Aghion, Philippe & Bergeaud, Antonin & Van Reenen, John, 2023. "The impact of regulation on innovation," LSE Research Online Documents on Economics 120206, London School of Economics and Political Science, LSE Library.
- Aghion, Philippe & Bergeaud, Antonin & Van Reenen, John, 2021. "The Impact of Regulation on Innovation," CEPR Discussion Papers 15743, C.E.P.R. Discussion Papers.
- Philippe Aghion & Antonin Bergeaud & John van Reenen, 2023. "The Impact of Regulation on Innovation," Post-Print halshs-04330712, HAL.
- Philippe Aghion & Antonin Bergeaud & John van Reenen, 2023. "The Impact of Regulation on Innovation," PSE-Ecole d'économie de Paris (Postprint) halshs-04330712, HAL.
- Philippe Aghion & Antonin Bergeaud & John Van Reenen, 2021. "The Impact of Regulation on Innovation," NBER Working Papers 28381, National Bureau of Economic Research, Inc.
- Philippe Aghion & Antonin Bergeaud & John Van Reenen, 2021. "The impact of regulation on innovation," POID Working Papers 001, Centre for Economic Performance, LSE.
- David Lenz & Peter Winker, 2020.
"Measuring the diffusion of innovations with paragraph vector topic models,"
PLOS ONE, Public Library of Science, vol. 15(1), pages 1-18, January.
- David Lenz & Peter Winker, 2018. "Measuring the Diffusion of Innovations with Paragraph Vector Topic Models," MAGKS Papers on Economics 201815, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Gątkowski, Mateusz & Dietl, Marek & Skrok, Łukasz & Whalen, Ryan & Rockett, Katharine, 2020. "Semantically-based patent thicket identification," Research Policy, Elsevier, vol. 49(2).
- Sijie Feng, 2020. "The proximity of ideas: An analysis of patent text using machine learning," PLOS ONE, Public Library of Science, vol. 15(7), pages 1-19, July.
- Jeffrey Clemens & Parker Rogers, 2020.
"Demand Shocks, Procurement Policies, and the Nature of Medical Innovation: Evidence from Wartime Prosthetic Device Patents,"
NBER Working Papers
26679, National Bureau of Economic Research, Inc.
- Jeffrey P. Clemens & Parker Rogers, 2020. "Demand Shocks, Procurement Policies, and the Nature of Medical Innovation: Evidence from Wartime Prosthetic Device Patents," CESifo Working Paper Series 8781, CESifo.
- A. Fronzetti Colladon & B. Guardabascio & F. Venturini, 2023. "A new mapping of technological interdependence," Papers 2308.00014, arXiv.org, revised Sep 2024.
- Arts, Sam & Hou, Jianan & Gomez, Juan Carlos, 2021. "Natural language processing to identify the creation and impact of new technologies in patent text: Code, data, and new measures," Research Policy, Elsevier, vol. 50(2).
- Sarah Oh, 2020. "Radio “Fences” and Inventor Attention to Property Rights: Evidence from Wireless Patents," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 56(1), pages 37-72, February.
- Simon Clinet & Yoann Potiron, 2017.
"Efficient asymptotic variance reduction when estimating volatility in high frequency data,"
Papers
1701.01185, arXiv.org, revised Jun 2018.
- Clinet, Simon & Potiron, Yoann, 2018. "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Journal of Econometrics, Elsevier, vol. 206(1), pages 103-142.
Cited by:
- Kim Christensen & Ulrich Hounyo & Mark Podolskij, 2017. "Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment," CREATES Research Papers 2017-30, Department of Economics and Business Economics, Aarhus University.
- Clinet, Simon & Potiron, Yoann, 2019.
"Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book,"
Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
- Simon Clinet & Yoann Potiron, 2017. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Papers 1709.02502, arXiv.org, revised Feb 2019.
- Li, Z. M. & Laeven, R. J. A. & Vellekoop, M. H., 2019.
"Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data,"
Cambridge Working Papers in Economics
1952, Faculty of Economics, University of Cambridge.
- Li, Z. Merrick & Laeven, Roger J.A. & Vellekoop, Michel H., 2020. "Dependent microstructure noise and integrated volatility estimation from high-frequency data," Journal of Econometrics, Elsevier, vol. 215(2), pages 536-558.
- Richard Y. Chen, 2018. "Inference for Volatility Functionals of Multivariate It\^o Semimartingales Observed with Jump and Noise," Papers 1810.04725, arXiv.org, revised Nov 2019.
- Simon Clinet & Yoann Potiron, 2021.
"Estimation for high-frequency data under parametric market microstructure noise,"
Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.
- Simon Clinet & Yoann Potiron, 2017. "Estimation for high-frequency data under parametric market microstructure noise," Papers 1712.01479, arXiv.org, revised Sep 2020.
- Simon Clinet & Yoann Potiron, 2017.
"Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book,"
Papers
1709.02502, arXiv.org, revised Feb 2019.
- Clinet, Simon & Potiron, Yoann, 2019. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
Cited by:
- Li, Yifan & Nolte, Ingmar & Vasios, Michalis & Voev, Valeri & Xu, Qi, 2022. "Weighted Least Squares Realized Covariation Estimation," Journal of Banking & Finance, Elsevier, vol. 137(C).
- Long, Yunshen & Yan, Jingzhou & Wu, Liang & Long, Xingchen, 2024. "Market price determination: Interpreting quote order imbalance under zero-profit equilibrium," Economic Modelling, Elsevier, vol. 134(C).
- Li, Z. M. & Laeven, R. J. A. & Vellekoop, M. H., 2019.
"Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data,"
Cambridge Working Papers in Economics
1952, Faculty of Economics, University of Cambridge.
- Li, Z. Merrick & Laeven, Roger J.A. & Vellekoop, Michel H., 2020. "Dependent microstructure noise and integrated volatility estimation from high-frequency data," Journal of Econometrics, Elsevier, vol. 215(2), pages 536-558.
- Yinfen Tang & Tao Su & Zhiyuan Zhang, 2022. "Distribution-free specification test for volatility function based on high-frequency data with microstructure noise," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(8), pages 977-1022, November.
- Simon Clinet & Yoann Potiron, 2021.
"Estimation for high-frequency data under parametric market microstructure noise,"
Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.
- Simon Clinet & Yoann Potiron, 2017. "Estimation for high-frequency data under parametric market microstructure noise," Papers 1712.01479, arXiv.org, revised Sep 2020.
- Cui, Wenhao & Hu, Jie & Wang, Jiandong, 2024. "Nonparametric estimation for high-frequency data incorporating trading information," Journal of Econometrics, Elsevier, vol. 240(1).
- Markus Bibinger & Nikolaus Hautsch & Alexander Ristig, 2024. "Jump detection in high-frequency order prices," Papers 2403.00819, arXiv.org.
- Simon Clinet & Yoann Potiron, 2017.
"Estimation for high-frequency data under parametric market microstructure noise,"
Papers
1712.01479, arXiv.org, revised Sep 2020.
- Simon Clinet & Yoann Potiron, 2021. "Estimation for high-frequency data under parametric market microstructure noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.
Cited by:
- Carsten H. Chong & Viktor Todorov, 2023. "Asymptotic Expansions for High-Frequency Option Data," Papers 2304.12450, arXiv.org.
- Clinet, Simon & Potiron, Yoann, 2019.
"Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book,"
Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
- Simon Clinet & Yoann Potiron, 2017. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Papers 1709.02502, arXiv.org, revised Feb 2019.
- Li, Yingying & Liu, Guangying & Zhang, Zhiyuan, 2022. "Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps," Journal of Econometrics, Elsevier, vol. 229(2), pages 422-451.
- Yang, Xiye, 2020. "Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests," Journal of Econometrics, Elsevier, vol. 215(2), pages 486-516.
- Li, Z. M. & Laeven, R. J. A. & Vellekoop, M. H., 2019.
"Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data,"
Cambridge Working Papers in Economics
1952, Faculty of Economics, University of Cambridge.
- Li, Z. Merrick & Laeven, Roger J.A. & Vellekoop, Michel H., 2020. "Dependent microstructure noise and integrated volatility estimation from high-frequency data," Journal of Econometrics, Elsevier, vol. 215(2), pages 536-558.
- Carsten H. Chong & Viktor Todorov, 2023. "Volatility of Volatility and Leverage Effect from Options," Papers 2305.04137, arXiv.org, revised Jan 2024.
- Simon Clinet & Yoann Potiron, 2017.
"Efficient asymptotic variance reduction when estimating volatility in high frequency data,"
Papers
1701.01185, arXiv.org, revised Jun 2018.
- Clinet, Simon & Potiron, Yoann, 2018. "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Journal of Econometrics, Elsevier, vol. 206(1), pages 103-142.
- Cui, Wenhao & Hu, Jie & Wang, Jiandong, 2024. "Nonparametric estimation for high-frequency data incorporating trading information," Journal of Econometrics, Elsevier, vol. 240(1).
- Chong, Carsten H. & Todorov, Viktor, 2024. "Volatility of volatility and leverage effect from options," Journal of Econometrics, Elsevier, vol. 240(1).
- Yoann Potiron & Per Mykland, 2016.
"Local Parametric Estimation in High Frequency Data,"
Papers
1603.05700, arXiv.org, revised Aug 2018.
- Yoann Potiron & Per Mykland, 2020. "Local Parametric Estimation in High Frequency Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 679-692, July.
Cited by:
- Yoann Potiron & Per Mykland, 2015.
"Estimation of integrated quadratic covariation with endogenous sampling times,"
Papers
1507.01033, arXiv.org, revised Nov 2016.
- Potiron, Yoann & Mykland, Per A., 2017. "Estimation of integrated quadratic covariation with endogenous sampling times," Journal of Econometrics, Elsevier, vol. 197(1), pages 20-41.
- Clinet, Simon & Potiron, Yoann, 2019.
"Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book,"
Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
- Simon Clinet & Yoann Potiron, 2017. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Papers 1709.02502, arXiv.org, revised Feb 2019.
- Simon Clinet & Yoann Potiron, 2016. "Statistical inference for the doubly stochastic self-exciting process," Papers 1607.05831, arXiv.org, revised Jun 2017.
- Simon Clinet & Yoann Potiron, 2021.
"Estimation for high-frequency data under parametric market microstructure noise,"
Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.
- Simon Clinet & Yoann Potiron, 2017. "Estimation for high-frequency data under parametric market microstructure noise," Papers 1712.01479, arXiv.org, revised Sep 2020.
- Simon Clinet & Yoann Potiron, 2017.
"Efficient asymptotic variance reduction when estimating volatility in high frequency data,"
Papers
1701.01185, arXiv.org, revised Jun 2018.
- Clinet, Simon & Potiron, Yoann, 2018. "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Journal of Econometrics, Elsevier, vol. 206(1), pages 103-142.
- Simon Clinet & Yoann Potiron, 2016.
"Statistical inference for the doubly stochastic self-exciting process,"
Papers
1607.05831, arXiv.org, revised Jun 2017.
Cited by:
- Simon Clinet & William T. M. Dunsmuir & Gareth W. Peters & Kylie-Anne Richards, 2019. "Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes," Research Paper Series 404, Quantitative Finance Research Centre, University of Technology, Sydney.
- Clinet, Simon & Potiron, Yoann, 2019.
"Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book,"
Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
- Simon Clinet & Yoann Potiron, 2017. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Papers 1709.02502, arXiv.org, revised Feb 2019.
- Simon Clinet, 2020. "Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes," Papers 2001.11624, arXiv.org, revised Aug 2021.
- Simon Clinet & Yoann Potiron, 2017.
"Efficient asymptotic variance reduction when estimating volatility in high frequency data,"
Papers
1701.01185, arXiv.org, revised Jun 2018.
- Clinet, Simon & Potiron, Yoann, 2018. "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Journal of Econometrics, Elsevier, vol. 206(1), pages 103-142.
- Simon Clinet & William T. M. Dunsmuir & Gareth W. Peters & Kylie-Anne Richards, 2021. "Asymptotic distribution of the score test for detecting marks in hawkes processes," Statistical Inference for Stochastic Processes, Springer, vol. 24(3), pages 635-668, October.
- Yoann Potiron & Per Mykland, 2015.
"Estimation of integrated quadratic covariation with endogenous sampling times,"
Papers
1507.01033, arXiv.org, revised Nov 2016.
- Potiron, Yoann & Mykland, Per A., 2017. "Estimation of integrated quadratic covariation with endogenous sampling times," Journal of Econometrics, Elsevier, vol. 197(1), pages 20-41.
Cited by:
- Boudt, Kris & Dragun, Kirill & Sauri, Orimar & Vanduffel, Steven, 2023. "ETF Basket-Adjusted Covariance estimation," Journal of Econometrics, Elsevier, vol. 235(2), pages 1144-1171.
- Aleksey Kolokolov & Giulia Livieri & Davide Pirino, 2022. "Testing for Endogeneity of Irregular Sampling Schemes," CEIS Research Paper 547, Tor Vergata University, CEIS, revised 19 Dec 2022.
- Hall, George & Rust, John, 2021. "Estimation of endogenously sampled time series: The case of commodity price speculation in the steel market," Journal of Econometrics, Elsevier, vol. 222(1), pages 219-243.
- Zhao, X. & Hong, S. Y. & Linton, O. B., 2024. "Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach," Janeway Institute Working Papers 2423, Faculty of Economics, University of Cambridge.
- Simon Clinet & Yoann Potiron, 2021.
"Estimation for high-frequency data under parametric market microstructure noise,"
Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.
- Simon Clinet & Yoann Potiron, 2017. "Estimation for high-frequency data under parametric market microstructure noise," Papers 1712.01479, arXiv.org, revised Sep 2020.
- Simon Clinet & Yoann Potiron, 2017.
"Efficient asymptotic variance reduction when estimating volatility in high frequency data,"
Papers
1701.01185, arXiv.org, revised Jun 2018.
- Clinet, Simon & Potiron, Yoann, 2018. "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Journal of Econometrics, Elsevier, vol. 206(1), pages 103-142.
- Cui, Wenhao & Hu, Jie & Wang, Jiandong, 2024. "Nonparametric estimation for high-frequency data incorporating trading information," Journal of Econometrics, Elsevier, vol. 240(1).
- Zhao, X. & Hong, S. Y. & Linton, O. B., 2024. "Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach," Cambridge Working Papers in Economics 2449, Faculty of Economics, University of Cambridge.
Articles
- Simon Clinet & Yoann Potiron, 2021.
"Disentangling Sources of High Frequency Market Microstructure Noise,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 18-39, January.
Cited by:
- Long, Yunshen & Yan, Jingzhou & Wu, Liang & Long, Xingchen, 2024. "Market price determination: Interpreting quote order imbalance under zero-profit equilibrium," Economic Modelling, Elsevier, vol. 134(C).
- Yinfen Tang & Tao Su & Zhiyuan Zhang, 2022. "Distribution-free specification test for volatility function based on high-frequency data with microstructure noise," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 85(8), pages 977-1022, November.
- Cui, Wenhao & Hu, Jie & Wang, Jiandong, 2024. "Nonparametric estimation for high-frequency data incorporating trading information," Journal of Econometrics, Elsevier, vol. 240(1).
- Simon Clinet & Yoann Potiron, 2021.
"Estimation for high-frequency data under parametric market microstructure noise,"
Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.
See citations under working paper version above.
- Simon Clinet & Yoann Potiron, 2017. "Estimation for high-frequency data under parametric market microstructure noise," Papers 1712.01479, arXiv.org, revised Sep 2020.
- Yoann Potiron & Per Mykland, 2020.
"Local Parametric Estimation in High Frequency Data,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 679-692, July.
See citations under working paper version above.
- Yoann Potiron & Per Mykland, 2016. "Local Parametric Estimation in High Frequency Data," Papers 1603.05700, arXiv.org, revised Aug 2018.
- Clinet, Simon & Potiron, Yoann, 2019.
"Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book,"
Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
See citations under working paper version above.
- Simon Clinet & Yoann Potiron, 2017. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Papers 1709.02502, arXiv.org, revised Feb 2019.
- Clinet, Simon & Potiron, Yoann, 2018.
"Efficient asymptotic variance reduction when estimating volatility in high frequency data,"
Journal of Econometrics, Elsevier, vol. 206(1), pages 103-142.
See citations under working paper version above.
- Simon Clinet & Yoann Potiron, 2017. "Efficient asymptotic variance reduction when estimating volatility in high frequency data," Papers 1701.01185, arXiv.org, revised Jun 2018.
- Potiron, Yoann & Mykland, Per A., 2017.
"Estimation of integrated quadratic covariation with endogenous sampling times,"
Journal of Econometrics, Elsevier, vol. 197(1), pages 20-41.
See citations under working paper version above.
- Yoann Potiron & Per Mykland, 2015. "Estimation of integrated quadratic covariation with endogenous sampling times," Papers 1507.01033, arXiv.org, revised Nov 2016.
- Antonin Bergeaud & Yoann Potiron & Juste Raimbault, 2017.
"Classifying patents based on their semantic content,"
PLOS ONE, Public Library of Science, vol. 12(4), pages 1-22, April.
See citations under working paper version above.
- Antonin Bergeaud & Yoann Potiron & Juste Raimbault, 2018. "Classifying Patents Based on their Semantic Content," Working papers 685, Banque de France.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (7) 2015-07-11 2016-04-04 2016-07-23 2017-01-08 2017-09-17 2017-12-11 2019-05-27. Author is listed
- NEP-MST: Market Microstructure (5) 2016-04-04 2017-01-08 2017-09-17 2017-12-11 2019-05-27. Author is listed
- NEP-ETS: Econometric Time Series (4) 2015-07-11 2016-07-23 2017-01-08 2019-05-27. Author is listed
- NEP-BIG: Big Data (1) 2018-08-13
- NEP-FMK: Financial Markets (1) 2017-12-11
- NEP-INO: Innovation (1) 2018-08-13
- NEP-IPR: Intellectual Property Rights (1) 2018-08-13
Corrections
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