Philippe Soulier

Université d'Évry

F-91025 Evry Cedex

France

SCHOLARLY PAPERS

10

DOWNLOADS

233

CITATIONS
Rank 7,584

SSRN RANKINGS

Top 7,584

in Total Papers Citations

62

Scholarly Papers (10)

1.

Estimating Long Memory in Volatility

NYU Working Paper No. SOR-2002-2
Number of pages: 26 Posted: 03 Nov 2008
Clifford M. Hurvich, E. Moulines and Philippe Soulier
Stern School of Business, New York University, Ecole Nationale Superieure des Telecommunications and Université d'Évry
Downloads 44 (317,745)
Citation 23

Abstract:

2.

Drift in Transcation-Level Asset Price Models

NYU Working Paper No. 2451/31652
Number of pages: 16 Posted: 22 Nov 2012
Wen Cao, Clifford M. Hurvich and Philippe Soulier
affiliation not provided to SSRN, Stern School of Business, New York University and Université d'Évry
Downloads 30 (332,545)

Abstract:

Limit Laws in Trasnaction-Level Asset Price Models

NYU Working Paper No. 2451/31584
Number of pages: 49 Posted: 10 Sep 2013
University of California, Davis, University of Utah - Department of Mathematics, Stern School of Business, New York University and Université d'Évry
Downloads 17 (456,343)

Abstract:

Limit Laws in Transaction-Level Asset Price Models

NYU Working Paper No. SOR-2012-02
Number of pages: 49 Posted: 21 Jul 2012
University of California, Davis, University of Utah - Department of Mathematics, Stern School of Business, New York University and Université d'Évry
Downloads 12 (484,769)

Abstract:

4.

Conditions for the Propagation of Memory Parameter from Durations to Counts and Realized Volatility

NYU Working Paper No. SOR-2007-3
Number of pages: 40 Posted: 03 Nov 2008
Rohit Deo, Clifford M. Hurvich, Philippe Soulier and Yi Wang
Stern School of Business, New York University, Stern School of Business, New York University, Université d'Évry and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 25 (381,876)
Citation 5

Abstract:

Long Memory Stochastic Duration, Autoregressive Conditional Duration, Rosenthal type Inequality

5.

Testing for Long Memory in Volatility

NYU Working Paper No. SOR-2000-13
Number of pages: 18 Posted: 31 Oct 2008
Clifford M. Hurvich and Philippe Soulier
Stern School of Business, New York University and Université d'Évry
Downloads 19 (424,790)
Citation 22

Abstract:

6.

Propagation of Memory Parameter from Durations to Counts

NYU Working Paper No. SOR-2005-5
Number of pages: 28 Posted: 03 Nov 2008
Rohit Deo, Clifford M. Hurvich, Philippe Soulier and Yi Wang
Stern School of Business, New York University, Stern School of Business, New York University, Université d'Évry and New York University (NYU) - Department of Information, Operations, and Management Sciences
Downloads 15 (429,895)
Citation 5

Abstract:

Long Memory Stochastic Duration, Autoregressive Conditional Duration, Rosenthal type Inequality

7.

Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend

NYU Working Paper No. SOR-2002-6
Number of pages: 28 Posted: 03 Nov 2008
Clifford M. Hurvich, Gabriel Lang and Philippe Soulier
Stern School of Business, New York University, INRA-AgroParisTech - Department Mathematical Modeling and Université d'Évry
Downloads 13 (440,025)
Citation 3

Abstract:

Nonparametric regression, long-range dependence, tapering, periodogram

8.

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 (460,424)
Citation 1

Abstract:

9.

Estimation of the Location and Exponent of the Spectral Singularity of a Long Memory Process

Journal of Time Series Analysis, Vol. 25, No. 1, pp. 55-81, January 2004
Number of pages: 27 Posted: 24 Apr 2004
Javier Hidalgo and Philippe Soulier
London School of Economics & Political Science (LSE) - Department of Economics and Université d'Évry
Downloads 12 (465,389)
Citation 3

Abstract:

10.

On the Properties of the Periodogram of a Stationary Long-Memory Process Over Different Epochs with Applications

Journal of Time Series Analysis, Vol. 31, Issue 1, pp. 20-36, January 2010
Number of pages: 17 Posted: 21 Dec 2009
Valdério A. Reisen, Philippe Soulier and Glaura C. Franco
Universidade Federal do Espirito Santo, Université d'Évry and Federal University of Minas Gerais (UFMG)
Downloads 3 (508,133)

Abstract: