Details about Marc Hoffmann

Access statistics for papers by Marc Hoffmann.

Last updated 2013-08-26. Update your information in the RePEc Author Service.

Short-id: pho481

Working Papers

2011

1. Modeling microstructure noise with mutually exciting point processes
   Papers, arXiv.org View citations (20)
   See also Journal Article Modelling microstructure noise with mutually exciting point processes, Quantitative Finance, Taylor & Francis Journals (2013) View citations (127) (2013)

2010

2. Nonparametric estimation of the volatility under microstructure noise: wavelet adaptation
   MPRA Paper, University Library of Munich, Germany View citations (3)

2002

3. Adaptive wavelet Galerkin methods for linear inverse problems
   SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (9)
4. Nonparametric estimation of scalar diffusions based on low frequency data is ill-posed
   SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (11)

1998

5. Flexible stochastic volatility structures for high frequency financial data
   SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Journal Articles

2013

1. Modelling microstructure noise with mutually exciting point processes
   Quantitative Finance, 2013, 13, (1), 65-77 View citations (127)
   See also Working Paper Modeling microstructure noise with mutually exciting point processes, Papers (2011) View citations (20) (2011)
2. Some limit theorems for Hawkes processes and application to financial statistics
   Stochastic Processes and their Applications, 2013, 123, (7), 2475-2499 View citations (55)

2012

3. Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group
   Quantitative Finance, 2012, 12, (5), 685-689

2004

4. Stochastic volatility and fractional Brownian motion
   Stochastic Processes and their Applications, 2004, 113, (1), 143-172 View citations (8)

2002

5. Rate of convergence for parametric estimation in a stochastic volatility model
   Stochastic Processes and their Applications, 2002, 97, (1), 147-170 View citations (7)

1999

6. Adaptive estimation in diffusion processes
   Stochastic Processes and their Applications, 1999, 79, (1), 135-163 View citations (26)
7. On nonparametric estimation in nonlinear AR(1)-models
   Statistics & Probability Letters, 1999, 44, (1), 29-45 View citations (3)

1997

8. Minimax estimation of the diffusion coefficient through irregular samplings
   Statistics & Probability Letters, 1997, 32, (1), 11-24 View citations (1)