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Marc Hoffmann · Study
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Author
Marc Hoffmann
7 works
· latest 2021
· 2 institutions
cluster: provisional
ORCID 0000-0002-6558-353X
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Citations
849
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21
Most cited in this library
Modelling microstructure noise with mutually exciting point processes
2012 · 304 citations
Some limit theorems for Hawkes processes and application to financial statistics
2013 · 248 citations
Nonparametric estimation of scalar diffusions based on low frequency data
2004 · 102 citations
Estimation of the lead-lag parameter from non-synchronous data
2013 · 58 citations
Scaling limits for Hawkes processes and application to financial statistics
2012 · 52 citations
Works
7 shown
Nonparametric estimation for interacting particle systems: McKean–Vlasov models
Probability Theory and Related Fields
·
2021
·
2 authors
·
Open access
38
citations
Some limit theorems for Hawkes processes and application to financial statistics
Stochastic Processes and their Applications
·
2013
·
4 authors
·
Open access
248
citations
Estimation of the lead-lag parameter from non-synchronous data
Bernoulli
·
2013
·
2 authors
·
Open access
58
citations
Scaling limits for Hawkes processes and application to financial statistics
arXiv (Cornell University)
·
2012
·
4 authors
·
preprint
·
Open access
52
citations
Modelling microstructure noise with mutually exciting point processes
Quantitative Finance
·
2012
·
4 authors
·
Open access
304
citations
Estimation of the Hurst parameter from discrete noisy data
The Annals of Statistics
·
2007
·
2 authors
·
Open access
47
citations
Nonparametric estimation of scalar diffusions based on low frequency data
The Annals of Statistics
·
2004
·
2 authors
·
Open access
102
citations