← All authors Philippe Soulier Université Paris Nanterre (from arXiv:2202.00793, 2022) · OpenAlex
45 papers in scope · 45 published · 1 on the econ.EM arXiv · 1,017 citations · h-index 19 (over the papers listed here)
Papers (1 of 45)
published 2025 · Econometrics and Statistics · first circulated 2022
Branching random walk with infinite progeny mean: A tale of two tails
published 2023 · Stochastic Processes and their Applications · 5 citations
with Souvik Ray, Rajat Subhra Hazra, Parthanil Roy
The tail process and tail measure of continuous time regularly varying stochastic processes
published 2021 · Extremes · 15 citations · first circulated 2020
Statistical inference for heavy tailed series with extremal independence
published 2019 · Extremes · 2 citations
with Clémonell Bilayi-Biakana, Rafał Kulik
Modeling leverage and long memory in volatility in a pure‐jump process
published 2019 · High Frequency · 2 citations
Tail measure and spectral tail process of regularly varying time series
published 2018 · The Annals of Applied Probability · 35 citations
with Clément Dombry, Enkelejd Hashorva
The tail process revisited
published 2018 · Extremes · 35 citations · first circulated 2017
with Hrvoje Planinić
An invariance principle for sums and record times of regularly varying stationary sequences
published 2018 · Probability Theory and Related Fields · 37 citations · first circulated 2016
with Bojan Basrak, Hrvoje Planinić
Drift in Transaction‐Level Asset Price Models
published 2017 · Journal of Time Series Analysis · 6 citations · first circulated 2012
Parameter Estimation of a Two-Colored Urn Model Class
published 2017 · The International Journal of Biostatistics · 3 citations
with Line Chloé Le Goff
Convergence to Stable Laws in the Space D
published 2015 · Journal of Applied Probability · 9 citations · first circulated 2012
with François Roueff
Heavy tailed time series with extremal independence
published 2015 · Extremes · 3 citations
with Rafał Kulik
LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS
published 2013 · Econometric Theory
Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances
published 2012 · Advances in Applied Probability · 10 citations
with Rafał Kulik
Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process
published 2012 · Extremes · 13 citations · first circulated 2011
with Rafał Kulik
Function-indexed empirical processes based on an infinite source Poisson transmission stream
published 2012 · Bernoulli · 3 citations
with François Roueff, Gennady Samorodnitsky
Optimal rates of convergence in the Weibull model based on kernel-type estimators
published 2011 · Statistics & Probability Letters · 8 citations
with Cécile Mercadier
Monotone spectral density estimation
published 2011 · The Annals of Statistics · 30 citations
with Dragi Anevski
Estimation of conditional laws given an extreme component
published 2010 · Extremes · 17 citations
with Anne-Laure Fougères
The tail empirical process for long memory stochastic volatility sequences
published 2010 · Stochastic Processes and their Applications · 41 citations
with Rafał Kulik
Limit Conditional Distributions for Bivariate Vectors with Polar Representation
published 2010 · Stochastic Models · 19 citations
with Anne-Laure Fougères
On the properties of the periodogram of a stationary long-memory process over different epochs with applications
published 2009 · Journal of Time Series Analysis · 6 citations
with Valdério Anselmo Reisen, Éric Moulines, Glaura C. Franco
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
published 2009 · Econometric Theory · 5 citations · first circulated 2006
Estimation of bivariate excess probabilities for elliptical models
published 2008 · Bernoulli · 22 citations
with Belkacem Abdous, Anne-Laure Fougères, Kilani Ghoudi
Estimating Long Memory in Volatility
published 2008 · Econometrica · 4 citations
Computable convergence rates for sub-geometric ergodic Markov chains
published 2007 · Bernoulli · 35 citations
with Randal Douc, Éric Moulines
On the existence of some ARCH ( ∞ ) processes
published 2007 · Stochastic Processes and their Applications · 39 citations
with Randal Douc, François Roueff
Estimation of the memory parameter of the infinite-source Poisson process
published 2007 · Bernoulli · 24 citations
with Gilles Faÿ, François Roueff
Asymptotics for duration-driven long range dependent processes
published 2007 · Journal of Econometrics · 9 citations
Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
published 2005 · Journal of the American Statistical Association · 24 citations · first circulated 2002
Estimating Long Memory in Volatility
published 2005 · Econometrica · 130 citations · first circulated 2004
Estimation of the location and exponent of the spectral singularity of a long memory process
published 2004 · Journal of Time Series Analysis · 4 citations
TESTING FOR LONG MEMORY IN VOLATILITY
published 2002 · Econometric Theory · 1 citations
Nonlinear functionals of the periodogram
published 2002 · Journal of Time Series Analysis
with Gilles Faÿ, Éric Moulines
The FEXP estimator for potentially non-stationary linear time series
published 2002 · Stochastic Processes and their Applications · 38 citations
Adaptive Estimation of the Fractional Differencing Coefficient
published 2001 · Bernoulli · 25 citations
with Anatoli Iouditsky, Éric Moulines
Moment bounds and central limit theorem for functions of Gaussian vectors
published 2001 · Statistics & Probability Letters · 36 citations
The periodogram of an i.i.d. sequence
published 2001 · Stochastic Processes and their Applications · 40 citations
with Gilles Faÿ
Estimation adaptative de la densité spectrale d'un processus gaussien faiblement ou fortement dépendant
published 2000 · Comptes Rendus de l Académie des Sciences - Series I - Mathematics · 3 citations
Data Driven Order Selection for Projection Estimator of the Spectral Density of Time Series with Long Range Dependence
published 2000 · Journal of Time Series Analysis · 20 citations
with Éric Moulines
Wavelet Estimator of Long-Range Dependent Processes
published 2000 · Statistical Inference for Stochastic Processes · 73 citations
with Jean-Marc Bardet, Gabriel Lang, Éric Moulines
Convergence de mesures spectrales aléatoires et applications à des principes d'invariance
published 2000 · Statistical Inference for Stochastic Processes · 15 citations
with Gabriel Lang
Marcinkiewicz–Zygmund Strong Laws for Infinite Variance Time Series
published 2000 · Statistical Inference for Stochastic Processes · 11 citations
with Sana Louhichi
Broadband log-periodogram regression of time series with long-range dependence
published 1999 · The Annals of Statistics · 155 citations
with Éric Moulines
Recent advances on the semi-parametric estimation of the long-range dependence coefficient
published 1998 · ESAIM Proceedings · 5 citations
with Jean-Marc Bardet, Éric Moulines
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).