5
H index
3
i10 index
61
Citations
Simon Clinet : Citation Profile
Keio University | RESEARCH PRODUCTION: 7 Articles 8 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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5 years (2017 - 2022). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Simon Clinet. | Is cited by:
| Cites to:
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Main data
Where Simon Clinet has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 2 |
| Statistical Inference for Stochastic Processes | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 7 |
Recent works citing Simon Clinet (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Asymptotic Expansions for High-Frequency Option Data. (2025). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450. Full description at Econpapers || Download paper |
| 2024 | Volatility of Volatility and Leverage Effect from Options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137. Full description at Econpapers || Download paper |
| 2025 | Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Papers. RePEc:arx:papers:2403.00819. Full description at Econpapers || Download paper |
| 2026 | Model Predictive Control For Trade Execution. (2026). Ushenin, Andrey ; Li, Yuchao ; Liew, Samuel ; McAuliffe, Thomas P ; Tsagaris, Theodoros ; Bertsekas, Dimitri P ; Tasoulis, Dimitris ; Pearce, Jack ; Tasos, Alexandros ; Wang, Chihang. In: Papers. RePEc:arx:papers:2603.28898. Full description at Econpapers || Download paper |
| 2024 | Market price determination: Interpreting quote order imbalance under zero-profit equilibrium. (2024). Long, Yunshen ; Wu, Liang ; Yan, Jingzhou. In: Economic Modelling. RePEc:eee:ecmode:v:134:y:2024:i:c:s0264999324000646. Full description at Econpapers || Download paper |
| 2024 | Volatility of volatility and leverage effect from options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000150. Full description at Econpapers || Download paper |
| 2024 | Nonparametric estimation for high-frequency data incorporating trading information. (2024). Cui, Wenhao ; Hu, Jie ; Wang, Jiandong. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000368. Full description at Econpapers || Download paper |
| 2026 | Jump detection in high-frequency order prices. (2026). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Journal of Econometrics. RePEc:eee:econom:v:253:y:2026:i:c:s0304407625001861. Full description at Econpapers || Download paper |
| 2026 | Reprint of: Nonparametric estimation for high-frequency data incorporating trading information. (2026). Cui, Wenhao ; Hu, Jie ; Wang, Jiandong. In: Journal of Econometrics. RePEc:eee:econom:v:254:y:2026:i:pa:s0304407626000230. Full description at Econpapers || Download paper |
| 2025 | Quasi-likelihood analysis for nonlinear stochastic processes. (2025). Yoshida, Nakahiro. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:246-257. Full description at Econpapers || Download paper |
| 2025 | Market efficiency across intra-daily sampling frequencies for Brent crude oil futures. (2025). Ewald, Christian-Oliver ; Haugom, Erik ; Smith-Meyer, Erik. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925005113. Full description at Econpapers || Download paper |
| 2024 | A Hawkes model with CARMA(p,q) intensity. (2024). Mercuri, Lorenzo ; Rroji, Edit ; Perchiazzo, Andrea. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:1-26. Full description at Econpapers || Download paper |
| 2026 | A multiscale estimator for pricing error decomposition in high-frequency financial markets. (2026). Piccotti, Louis R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:66:y:2026:i:2:d:10.1007_s11156-025-01417-1. Full description at Econpapers || Download paper |
| 2025 | Simplified quasi-likelihood analysis for a locally asymptotically quadratic random field. (2025). Yoshida, Nakahiro. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:77:y:2025:i:1:d:10.1007_s10463-024-00907-8. Full description at Econpapers || Download paper |
| 2025 | Testing procedures based on maximum likelihood estimation for marked Hawkes processes. (2025). Perrin, Maya Sadeler ; Dion-Blanc, Charlotte ; Bonnet, Anna. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:9:d:10.1007_s00180-025-01664-9. Full description at Econpapers || Download paper |
Works by Simon Clinet:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2017 | Statistical inference for the doubly stochastic self-exciting process In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2018 | Efficient asymptotic variance reduction when estimating volatility in high frequency data In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 2018 | Efficient asymptotic variance reduction when estimating volatility in high frequency data.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2019 | Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book In: Papers. [Full Text][Citation analysis] | paper | 11 |
| 2019 | Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2020 | Estimation for high-frequency data under parametric market microstructure noise In: Papers. [Full Text][Citation analysis] | paper | 10 |
| 2021 | Estimation for high-frequency data under parametric market microstructure noise.(2021) In: Annals of the Institute of Statistical Mathematics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2021 | Cointegration in high frequency data In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2022 | Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes.(2022) In: Statistical Inference for Stochastic Processes. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2021 | Optimal trading: a model predictive control approach In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Statistical inference for ergodic point processes and application to Limit Order Book In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 19 |
| 2021 | Asymptotic distribution of the score test for detecting marks in hawkes processes In: Statistical Inference for Stochastic Processes. [Full Text][Citation analysis] | article | 2 |
| 2019 | Asymptotic Distribution of the Score Test for Detecting Marks in Hawkes Processes.(2019) In: Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2021 | Disentangling Sources of High Frequency Market Microstructure Noise In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 7 |
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