E. Moulines

Ecole Nationale Superieure des Telecommunications

Département TSI / CNRS

46, rue Barrault

F-75634 Paris Cedex 13

France

http://www.tsi.enst.fr/~moulines/index_eng.html

SCHOLARLY PAPERS

6

DOWNLOADS

573

SSRN CITATIONS
Rank 24,472

SSRN RANKINGS

Top 24,472

in Total Papers Citations

15

CROSSREF CITATIONS

13

Scholarly Papers (6)

1.

Price Jump Prediction in Limit Order Book

Number of pages: 21 Posted: 21 Mar 2012
Ban Zheng, E. Moulines and Frederic Abergel
Ecole Polytechnique, Ecole Nationale Superieure des Telecommunications and BNP Paribas AM
Downloads 482 (58,003)
Citation 6

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limit order book, high frequency trading, price jump, trade-through, logistic regression, lasso

2.

Estimating Long Memory in Volatility

NYU Working Paper No. SOR-2002-2
Number of pages: 26 Posted: 03 Nov 2008
Stern School of Business, New York University, Ecole Nationale Superieure des Telecommunications and Université d'Évry
Downloads 51 (384,780)
Citation 15

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3.

On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter

Journal of Time Series Analysis, Vol. 28, No. 2, pp. 155-187, March 2007
Number of pages: 33 Posted: 17 Feb 2007
E. Moulines, François Roueff and M.S. Taqqu
Ecole Nationale Superieure des Telecommunications, Ecole Nationale Superieure des Telecommunications and Boston University - Department of Mathematics and Statistics
Downloads 24 (498,713)
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4.

Nonlinear Functionals of the Periodogram

Journal of Time Series Analysis, Vol. 23, pp. 523-553, 2002
Number of pages: 31 Posted: 22 May 2003
Gilles Fay, E. Moulines and Philippe Soulier
Université de Lille I - Université des Sciences et Technologies de Lille, Ecole Nationale Superieure des Telecommunications and Université d'Évry
Downloads 13 (563,308)
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5.

Robust Estimation of the Scale and of the Autocovariance Function of Gaussian Short- and Long-Range Dependent Processes

Journal of Time Series Analysis, Vol. 32, Issue 2, pp. 135-156, 2010
Number of pages: 22 Posted: 14 Feb 2011
Telecom ParisTech, affiliation not provided to SSRN, Ecole Nationale Superieure des Telecommunications, Boston University - Department of Mathematics and Statistics and Universidade Federal do Espirito Santo
Downloads 2 (639,563)
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Autocovariance function, long-memory, robustness, influence function, scale estimator, Hadamard differentiability, functional Delta method

6.

Frequency Estimation Based on the Cumulated Lombscargle Periodogram

Journal of Time Series Analysis, Vol. 29, Issue 6, pp. 1104-1131, November 2008
Number of pages: 28 Posted: 27 Oct 2008
Telecom ParisTech, Ecole Nationale Superieure des Telecommunications and Ecole Nationale Superieure des Telecommunications
Downloads 1 (652,000)
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