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Mouvements extrêmes des déries financières haute fréquence
Robert, Christian Yann - In: Finance : revue de l'Association Française de Finance 19 (1998) 2, pp. 221-247
Persistent link: https://www.econbiz.de/10001476813
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A new approach for the dynamics of ultra-high-frequency data : the model with uncertainty zones
Robert, Christian Yann; Rosenbaum, Mathieu - In: Journal of financial econometrics : official journal of … 9 (2011) 2, pp. 344-366
Persistent link: https://www.econbiz.de/10009125119
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Volatility and covariation estimation when microstructure noise and trading times are endogenous
Robert, Christian Yann; Rosenbaum, Mathieu - In: Mathematical finance : an international journal of … 22 (2012) 1, pp. 133-164
Persistent link: https://www.econbiz.de/10009554688
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Inference on the tail process with application to financial time series modeling
Davis, Richard A.; Drees, Holger; Segers, Johan; … - In: Journal of econometrics 205 (2018) 2, pp. 508-525
Persistent link: https://www.econbiz.de/10012110330