Details about Simon Clinet
Access statistics for papers by Simon Clinet.
Last updated 2026-09-03. Update your information in the RePEc Author Service.
Short-id: pcl144
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Working Papers
2021
- Cointegration in high frequency data
Papers, arXiv.org 
- Optimal trading: a model predictive control approach
Papers, arXiv.org View citations (1)
- Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes
Papers, arXiv.org View citations (1)
See also Journal Article Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes, Statistical Inference for Stochastic Processes, Springer (2022) (2022)
2020
- Estimation for high-frequency data under parametric market microstructure noise
Papers, arXiv.org View citations (5)
See also Journal Article Estimation for high-frequency data under parametric market microstructure noise, Annals of the Institute of Statistical Mathematics, Springer (2021) View citations (5) (2021)
2019
- Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes
Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
See also Journal Article Asymptotic distribution of the score test for detecting marks in hawkes processes, Statistical Inference for Stochastic Processes, Springer (2021) View citations (1) (2021)
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Papers, arXiv.org View citations (11)
See also Journal Article 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 (2019) View citations (8) (2019)
2018
- Efficient asymptotic variance reduction when estimating volatility in high frequency data
Papers, arXiv.org View citations (6)
See also Journal Article Efficient asymptotic variance reduction when estimating volatility in high frequency data, Journal of Econometrics, Elsevier (2018) View citations (7) (2018)
2017
- Statistical inference for the doubly stochastic self-exciting process
Papers, arXiv.org View citations (7)
Journal Articles
2022
- Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes
Statistical Inference for Stochastic Processes, 2022, 25, (2), 189-225
See also Working Paper Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes, Papers (2021) View citations (1) (2021)
2021
- Asymptotic distribution of the score test for detecting marks in hawkes processes
Statistical Inference for Stochastic Processes, 2021, 24, (3), 635-668 View citations (1)
See also Working Paper Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes, Research Paper Series (2019) View citations (1) (2019)
- Disentangling Sources of High Frequency Market Microstructure Noise
Journal of Business & Economic Statistics, 2021, 39, (1), 18-39 View citations (6)
- Estimation for high-frequency data under parametric market microstructure noise
Annals of the Institute of Statistical Mathematics, 2021, 73, (4), 649-669 View citations (5)
See also Working Paper Estimation for high-frequency data under parametric market microstructure noise, Papers (2020) View citations (5) (2020)
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, 2019, 209, (2), 289-337 View citations (8)
See also Working Paper Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book, Papers (2019) View citations (11) (2019)
2018
- Efficient asymptotic variance reduction when estimating volatility in high frequency data
Journal of Econometrics, 2018, 206, (1), 103-142 View citations (7)
See also Working Paper Efficient asymptotic variance reduction when estimating volatility in high frequency data, Papers (2018) View citations (6) (2018)
2017
- Statistical inference for ergodic point processes and application to Limit Order Book
Stochastic Processes and their Applications, 2017, 127, (6), 1800-1839 View citations (20)
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