Publications - Preprints
- E. Bayraktar and E. Clément. Volatility and jump activity estimation in a stable
Cox-Ingersoll-Ross model.
to appear in Bernoulli (hal-04662856v2), 2025.
- E. Bayraktar and E. Clément. Estimation of a pure-jump stable
Cox-Ingersoll-Ross process.
Bernoulli 31(1), p484-508, 2025.
- E. Clément. Hellinger and total variation distance in
approximating Lévy driven
SDEs.
Annals of Applied Probability, vol.33, No. 3, p2176-2209, 2023.
- E. Clément and A. Gloter. Joint estimation for SDE driven by
locally stable Lévy
processes.
Electronic Journal of Statistics, vol. 14, No.
2, p2922-2956, 2020.
- E. Clément and A. Gloter. Estimating functions for SDE driven by
stable Lévy
processes.
Annales de l'Institut Henri
Poincaré, vol.55, No. 3, p1316-1348, 2019.
- E. Clément, A. Gloter and H. Nguyen. LAMN property for the drift
and
volatility parameters
of a SDE driven by a stable Lévy
process.
ESAIM:P&S, vol.23, p136-175,
2019.
- E. Clément, A. Gloter and H. Nguyen. Asymptotics in small time
for
the
density of a stochastic differential equation driven by a stable Lévy
process.
ESAIM:P&S, vol.22, p58-95,
2018.
- A. Al Gerbi, B. Jourdain and E. Clément. Asymptotics
for the normalized
error of the Ninomiya-Victoir scheme.
Stochastic
Processes
and their
Applications, vol.128, Issue 6, p1889-1928, 2018.
- A. Al Gerbi, B. Jourdain and E. Clément. Ninomiya-Victoir scheme
:
Multilevel Monte Carlo estimators and discretization of the involved
Ordinary Differential Equations.
ESAIM Proceedings And Surveys, vol.59, p1-14,
2017.
- E. Clément and A. Gloter.
An application of the KMT construction to
the pathwise
weak error in the Euler approximation of one-dimensional diffusion
process with linear diffusion coefficient.
Annals of Applied
Probability, vol.27, No. 4, p2419-2454, 2017.
- A. Al Gerbi, B.
Jourdain and E. Clément. Ninomiya-Victoir scheme : strong convergence,
antithetic version and application to multilevel estimators.
Monte Carlo Methods and
Applications,
vol.22, issue 3, p197-228, 2016.
- E. Clément and A. Gloter. Local Asymptotic Mixed Normality
property
for
discretely observed stochastic differential equations driven by stable
Lévy processes.
Stochastic Processes
and their
Applications, 125,
p2316-2352, 2015.
- E. Clément, S. Delattre and A. Gloter. Asymptotic lower bounds in
estimating jumps.
Bernoulli
20(3),
p1059-1096, 2014.
- E. Clément, S. Delattre and A. Gloter. An infinite dimensional
convolution theorem with applications to the
efficient estimation of the integrated volatility.
Stochastic Processes and their
Applications, 123, p2500-2521, 2013.
- V. Bally and E. Clément.
Integration by part formula and applications to stochastic equations
with jumps.
Probability
Theory and Related
Fields, vol.151, 3-4, p613-657, december 2011.
- E. Clément and A. Gloter.
Weak limit theorem in the Fourier transform method for the estimation
of multivariate volatility.
Stochastic
Processes and their
Applications, 121, p1097-1124, 2011.
- V. Bally and E. Clément.
Integration by parts formula with respect to jump times for stochastic
differential equations.
Stochastic
Analysis, Springer
Verlag, 2010.
- E. Clément, A. Kohatsu-Higa and
D. Lamberton. A duality approach for the weak
approximation of SDE's.
Annals of
Applied Probability,
16,n.3, p1124-1154, 2006.
- E. Clément, D. Lamberton and P.
Protter. An Analysis of a Least Square Regression Method for
American Option Pricing.
Finance and Stochastics,6, n.4,
p449-471, 2002.
- E. Clément. Pseudo-moderate
Deviations in the Euler Method for Real Diffusion Processes.
Stochastics and Stochastics
Reports,vol.72, p109-127, 2002.
- E. Clément, C. Gouriéroux and A.
Monfort. Econometric specification of the risk neutral valuation
model.
Journal of Econometrics,
vol.94,1-2, p117-143, 2000.
- E. Clément. Inequalities
of moderate deviation type in the Euler method for S.D.E. :the example
of the geometric Brownian motion.
Stochastics and Stochastics
Reports, vol.67, p287-307, 1999.
- E. Clément. Estimation of
diffusion processes by simulated moment methods.
Scandinavian Journal of
Statistics, vol.24, 3, p353-370, 1997.
- E. Clément. Bias correction for
the estimation of discretized diffusion processes from an approximated
likelihood function.
Theory of Probability and its
Applications, vol.42, 2, p364-370, 1997.
- E. Clément. Correction du
biais pour l'estimation d'une diffusion fondée sur une approximation de
la vraisemblance.
C.R.A.S, t.322, Série I,
p281-284, 1996.
- E. Clément, C. Gouriéroux and A.
Monfort. Linear factor models and the term structure of interest rates.
Annales d'Economie et de
Statistiques, vol.40, p37-65, 1995.
- E. Clément and J.M.
Germain. VAR et prévisions conjoncturelles.
Annales d'Economie et de
Statistiques,vol.32, p113-135, 1993.
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