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Details about Simon Clinet

E-mail: This e-mail address is bad, please ask Simon Clinet to update the entry in the RePEc Author Service or the correct address.
Homepage:http://user.keio.ac.jp/~clinet/
Workplace:Faculty of Economics, Keio University, (more information at EDIRC)

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Short-id: pcl144

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Working Papers

2020

  1. Estimation for high-frequency data under parametric market microstructure noise
    Papers, arXiv.org Downloads View citations (5)

2019

  1. Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
    Papers, arXiv.org Downloads View citations (8)

2018

  1. Efficient asymptotic variance reduction when estimating volatility in high frequency data
    Papers, arXiv.org Downloads View citations (6)

2017

  1. Statistical inference for the doubly stochastic self-exciting process
    Papers, arXiv.org Downloads View citations (7)

Journal Articles

2017

  1. Statistical inference for ergodic point processes and application to Limit Order Book
    Stochastic Processes and their Applications, 2017, 127, (6), 1800-1839 Downloads View citations (18)
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