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Fingerprint Dive into the research topics where Yoann Potiron is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

  • 2 Similar Profiles
High-frequency Data Mathematics
Volatility Mathematics
Maximum Likelihood Estimator Mathematics
Market Microstructure Mathematics
Quasi-maximum Likelihood Mathematics
Parametric Estimation Mathematics
Variance Reduction Mathematics
Estimator Mathematics

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Research Output 2017 2019

  • 18 Citations
  • 3 h-Index
  • 7 Article

Disentangling Sources of High Frequency Market Microstructure Noise

Clinet, S. & Potiron, Y., 2019 Jan 1, In : Journal of Business and Economic Statistics.

Research output: Contribution to journalArticle

Market Microstructure
Bounce
market
linear model
Maximum Likelihood Estimation
1 Citation (Scopus)

Local Parametric Estimation in High Frequency Data

Potiron, Y. & Mykland, P., 2019 Jan 1, In : Journal of Business and Economic Statistics.

Research output: Contribution to journalArticle

Parametric Estimation
High-frequency Data
Volatility
Estimator
Time-varying Parameters
1 Citation (Scopus)
Market microstructure noise
Informational content
Limit order book
Testing
Quasi-maximum likelihood estimation
3 Citations (Scopus)

Efficient asymptotic variance reduction when estimating volatility in high frequency data

Clinet, S. & Potiron, Y., 2018 Jan 1, (Accepted/In press) In : Journal of Econometrics.

Research output: Contribution to journalArticle

Quasi-maximum Likelihood
High-frequency Data
Variance Reduction
Asymptotic Variance
Volatility
5 Citations (Scopus)

Statistical inference for the doubly stochastic self-exciting process

Clinet, S. & Potiron, Y., 2018 Nov 1, In : Bernoulli. 24, 4B, p. 3469-3493 25 p.

Research output: Contribution to journalArticle

Statistical Inference
Maximum Likelihood Estimator
Local Likelihood
Bias Reduction
Asymptotic Bias