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Jean Jacod

Identifiers

  • name variant Jean Jacod 0.60 · backfill

Papers (18)

  1. A review of asymptotic theory of estimating functions math.ST · 2017 · author #1
  2. Backward stochastic differential equation driven by a marked point process: An elementary approach with an application to optimal control math.PR · 2014 · author #3
  3. Efficient estimation of integrated volatility in presence of infinite variation jumps math.ST · 2014 · author #1
  4. Statistical Properties of Microstructure Noise stat.ME · 2013 · author #1
  5. A test for the rank of the volatility process: the random perturbation approach math.ST · 2012 · author #1
  6. Testing whether jumps have finite or infinite activity math.ST · 2012 · author #2
  7. Identifying the successive Blumenthal-Getoor indices of a discretely observed process math.ST · 2012 · author #2
  8. A remark on the rates of convergence for integrated volatility estimation in the presence of jumps math.ST · 2012 · author #1
  9. Quarticity and other functionals of volatility: Efficient estimation math.ST · 2012 · author #1
  10. Is Brownian motion necessary to model high-frequency data? math.ST · 2010 · author #2
  11. Do price and volatility jump together? q-fin.ST · 2010 · author #1
  12. Limit theorems for moving averages of discretized processes plus noise math.ST · 2010 · author #1
  13. Estimating the degree of activity of jumps in high frequency data math.ST · 2009 · author #2
  14. Testing for common arrivals of jumps for discretely observed multidimensional processes math.ST · 2009 · author #1
  15. Testing for jumps in a discretely observed process math.ST · 2009 · author #2
  16. Mod-Gaussian convergence: new limit theorems in probability and number theory math.NT · 2008 · author #1
  17. Estimation of the Brownian dimension of a continuous It\^{o} process math.ST · 2008 · author #1
  18. The Euler scheme for Levy driven stochastic differential equations: limit theorems math.PR · 2004 · author #1

Mentions

  • 1407.0876 #3 · backfill · confidence 0.70 Jean Jacod
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Frequent Coauthors