C
Christian Y. Robert
Researcher at ENSAE ParisTech
Publications - 90
Citations - 908
Christian Y. Robert is an academic researcher from ENSAE ParisTech. The author has contributed to research in topics: Estimator & Computer science. The author has an hindex of 15, co-authored 81 publications receiving 785 citations. Previous affiliations of Christian Y. Robert include Conservatoire national des arts et métiers & Claude Bernard University Lyon 1.
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A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones
TL;DR: In this paper, a stochastic mechanism for deriving the transaction prices from the latent efficient price is proposed, which accommodates the assumption of a continuous efficient price with the inherent properties of ultra-high-frequency transaction data (price discreteness, irregular temporal spacing, diurnal patterns).
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Volatility and covariation estimation when microstructure noise and trading times are endogenous
TL;DR: In this article, the authors consider practically appealing procedures for estimating intraday volatility measures of financial assets and develop a new approach that enables to approximate the values of the efficient prices at some random times.
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Tails of random sums of a heavy-tailed number of light-tailed terms
Christian Y. Robert,Johan Segers +1 more
TL;DR: In the collective risk model, the tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves as mentioned in this paper.
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A sliding blocks estimator for the extremal index
TL;DR: In this article, the authors focus on the estimation of the extremal index which measures the degree of clustering of extremes and compare the asymptotic properties of disjoint and sliding blocks estimators.
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Inference for the limiting cluster size distribution of extreme values
TL;DR: In this paper, the authors introduced estimators of the limiting cluster size probabilities, which are constructed through a recursive algorithm, and studied the asymptotic properties of the estimators and investigated their finite sample behavior on simulated data.