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Marc Hoffmann

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Personal Details

First Name:Marc
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Last Name:Hoffmann
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RePEc Short-ID:pho481
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Homepage:http://www.crest.fr/pagesperso.php?user=3131
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Location: Paris, France
Homepage: http://www.ceremade.dauphine.fr/
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Postal: Place du Maréchal de Lattre de Tassigny, 75775 Paris cédex 16
Handle: RePEc:edi:cerp9fr (more details at EDIRC)
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  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. Gobet, Emmanuel & Hoffmann, Marc & Reiß, Markus, 2002. "Nonparametric estimation of scalar diffusions based on low frequency data is ill-posed," SFB 373 Discussion Papers 2002,57, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  4. Cohen, Albert & Hoffmann, Marc & Reiß, Markus, 2002. "Adaptive wavelet Galerkin methods for linear inverse problems," SFB 373 Discussion Papers 2002,50, 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 1998,34, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  1. 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, vol. 123(7), pages 2475-2499.
  2. E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013. "Modelling microstructure noise with mutually exciting point processes," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 65-77, January.
  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, 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, 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, vol. 97(1), pages 147-170, January.
  6. Hoffmann, Marc, 1999. "Adaptive estimation in diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 79(1), pages 135-163, January.
  7. Hoffmann, Marc, 1999. "On nonparametric estimation in nonlinear AR(1)-models," Statistics & Probability Letters, Elsevier, vol. 44(1), pages 29-45, August.
  8. Hoffmann, Marc, 1997. "Minimax estimation of the diffusion coefficient through irregular samplings," Statistics & Probability Letters, Elsevier, vol. 32(1), pages 11-24, February.
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

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