Advanced Search
MyIDEAS: Login to follow this author

Marc Hoffmann

Contents:

This is information that was supplied by Marc Hoffmann in registering through RePEc. If you are Marc Hoffmann , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Marc
Middle Name:
Last Name: Hoffmann
Suffix:

RePEc Short-ID: pho481

Email:
Homepage: http://www.crest.fr/pagesperso.php?user=3131
Postal Address:
Phone:

Affiliation

Centre de Recherches en Mathématiques de la Décision (CEREMADE)
Université Paris-Dauphine (Paris IX)
Location: Paris, France
Homepage: http://www.ceremade.dauphine.fr/
Email:
Phone:
Fax:
Postal: Place du Maréchal de Lattre de Tassigny, 75775 Paris cédex 16
Handle: RePEc:edi:cerp9fr (more details at EDIRC)

Works

as in new window

Working papers

  1. E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2011. "Modeling microstructure noise with mutually exciting point processes," Papers 1101.3422, arXiv.org.
  2. Hoffmann, Marc & Munk, Axel & Schmidt-Hieber, Johannes, 2010. "Nonparametric estimation of the volatility under microstructure noise: wavelet adaptation," MPRA Paper 24562, University Library of Munich, Germany.
  3. Cohen, Albert & Hoffmann, Marc & Reiß, Markus, 2002. "Adaptive wavelet Galerkin methods for linear inverse problems," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,50, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  4. Gobet, Emmanuel & Hoffmann, Marc & Reiß, Markus, 2002. "Nonparametric estimation of scalar diffusions based on low frequency data is ill-posed," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,57, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  5. Feldmann, David & Härdle, Wolfgang K. & Hafner, Christian M. & Hoffmann, Marc & Lepskii, Oleg V. & Tsybakov, Alexandre B., 1998. "Flexible stochastic volatility structures for high frequency financial data," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1998,34, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

Articles

  1. E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013. "Modelling microstructure noise with mutually exciting point processes," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(1), pages 65-77, January.
  2. Bacry, E. & Delattre, S. & Hoffmann, M. & Muzy, J.F., 2013. "Some limit theorems for Hawkes processes and application to financial statistics," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 123(7), pages 2475-2499.
  3. Emmanuel Bacry & Marc Hoffmann & Mathieu Rosenbaum, 2012. "Statistical finance at the �cole Polytechnique, Paris: the informal FIESTA research group," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(5), pages 685-689, April.
  4. Gloter, A. & Hoffmann, M., 2004. "Stochastic volatility and fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 113(1), pages 143-172, September.
  5. Hoffmann, Marc, 2002. "Rate of convergence for parametric estimation in a stochastic volatility model," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 97(1), pages 147-170, January.
  6. Hoffmann, Marc, 1999. "On nonparametric estimation in nonlinear AR(1)-models," Statistics & Probability Letters, Elsevier, Elsevier, vol. 44(1), pages 29-45, August.
  7. Hoffmann, Marc, 1999. "Adaptive estimation in diffusion processes," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 79(1), pages 135-163, January.
  8. Hoffmann, Marc, 1997. "Minimax estimation of the diffusion coefficient through irregular samplings," Statistics & Probability Letters, Elsevier, Elsevier, vol. 32(1), pages 11-24, February.

NEP Fields

2 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (1) 2010-08-28. Author is listed
  2. NEP-ETS: Econometric Time Series (1) 2010-08-28. Author is listed
  3. NEP-MST: Market Microstructure (1) 2010-08-28. Author is listed

Statistics

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Marc Hoffmann should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.