Assistant Professor in the Faculty of Business and Commerce, Keio University (Tokyo)
Yoann Potiron receive his PhD from the Department of Statistics at The University of Chicago in March of 2016. His primary interest is financial econometrics, statistics of random processes and local parametric methods. He is currently a tenure-track Assistant Professor in the Faculty of Business and Commerce in Keio University (Tokyo). You can find his CV.
His first project was on the estimation of the high-frequency covariance when there is possible endogeneity in sampling times. He introduced a new nonparametric estimator of the covariance, which is a biased-corrected Hayashi-Yoshida estimator. A current version of the paper can be found here. On the basis of this work, Yoann Potiron won the Stevanovich Student Fellowship.
In his second project, he introduced a new time-varying parameter model where the multidimensional parameter follows a continuous local martingale in high-frequency data, the locally parametric model. The quantity of interest is defined as the integrated value over time of the parameter process. He provided an estimator of the integrated parameter based on the parametric estimator of the original (non time-varying) parametric model and conditions under which we can show consistency and the corresponding central limit theorem.
Before coming to Chicago, Yoann studied in France and graduated with a Bachelor of Applied Mathematics at Université Lyon 1. Then, he graduated with a Diplome d’Ingénieur from Ecole Polytechnique in Paris.