Details about Yoann Potiron

Access statistics for papers by Yoann Potiron.

Last updated 2025-02-06. Update your information in the RePEc Author Service.

Short-id: ppo615

Working Papers

2025

1. High-Frequency Estimation of ITÔ Semimartingale Baseline for Hawkes Processes
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2021

2. Cointegration in high frequency data
   Papers, arXiv.org

2020

3. 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 (4) (2021)

2019

4. 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 (8)
   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 (5) (2019)

2018

5. Classifying Patents Based on their Semantic Content
   Working papers, Banque de France View citations (7)
   See also Journal Article Classifying patents based on their semantic content, PLOS ONE, Public Library of Science (2017) View citations (19) (2017)
6. 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)
7. Local Parametric Estimation in High Frequency Data
   Papers, arXiv.org View citations (6)
   See also Journal Article Local Parametric Estimation in High Frequency Data, Journal of Business & Economic Statistics, Taylor & Francis Journals (2020) View citations (6) (2020)

2017

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

2016

9. Estimation of integrated quadratic covariation with endogenous sampling times
   Papers, arXiv.org View citations (1)
   See also Journal Article Estimation of integrated quadratic covariation with endogenous sampling times, Journal of Econometrics, Elsevier (2017) View citations (9) (2017)
10. Investigating Patterns of Technological Innovation
    Post-Print, HAL

Journal Articles

2021

1. Disentangling Sources of High Frequency Market Microstructure Noise
   Journal of Business & Economic Statistics, 2021, 39, (1), 18-39 View citations (3)
2. Estimation for high-frequency data under parametric market microstructure noise
   Annals of the Institute of Statistical Mathematics, 2021, 73, (4), 649-669 View citations (4)
   See also Working Paper Estimation for high-frequency data under parametric market microstructure noise, Papers (2020) View citations (5) (2020)

2020

3. Local Parametric Estimation in High Frequency Data
   Journal of Business & Economic Statistics, 2020, 38, (3), 679-692 View citations (6)
   See also Working Paper Local Parametric Estimation in High Frequency Data, Papers (2018) View citations (6) (2018)

2019

4. 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 (5)
   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 (8) (2019)

2018

5. 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

6. Classifying patents based on their semantic content
   PLOS ONE, 2017, 12, (4), 1-22 View citations (19)
   See also Working Paper Classifying Patents Based on their Semantic Content, Working papers (2018) View citations (7) (2018)
7. Estimation of integrated quadratic covariation with endogenous sampling times
   Journal of Econometrics, 2017, 197, (1), 20-41 View citations (9)
   See also Working Paper Estimation of integrated quadratic covariation with endogenous sampling times, Papers (2016) View citations (1) (2016)