{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2010:T7C2JKABZWDAURNZ6LSC6QB6AY","short_pith_number":"pith:T7C2JKAB","schema_version":"1.0","canonical_sha256":"9fc5a4a801cd860a45b9f2e42f403e063f71888193da95599af0a5193b7e570a","source":{"kind":"arxiv","id":"1010.4990","version":1},"attestation_state":"computed","paper":{"title":"Do price and volatility jump together?","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR"],"primary_cat":"q-fin.ST","authors_text":"Jean Jacod, Viktor Todorov","submitted_at":"2010-10-21T12:36:51Z","abstract_excerpt":"We consider a process $X_t$, which is observed on a finite time interval $[0,T]$, at discrete times $0,\\Delta_n,2\\Delta_n,\\ldots.$ This process is an It\\^{o} semimartingale with stochastic volatility $\\sigma_t^2$. Assuming that $X$ has jumps on $[0,T]$, we derive tests to decide whether the volatility process has jumps occurring simultaneously with the jumps of $X_t$. There are two different families of tests for the two possible null hypotheses (common jumps or disjoint jumps). They have a prescribed asymptotic level as the mesh $\\Delta_n$ goes to $0$. We show on some simulations that these t"},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"1010.4990","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.ST","submitted_at":"2010-10-21T12:36:51Z","cross_cats_sorted":["math.PR"],"title_canon_sha256":"f4dc432a45bb21647ee853fdea7e81a20a8d11d4fc22a6271cc3c13cc017fd57","abstract_canon_sha256":"cb9c65172fb5da27e5cd4547d844e2f0f9ffa397420f4fb91ae9a43d5fa2ad30"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T04:38:49.634741Z","signature_b64":"te/xktERke+3TmBYfqLSn+73Hysu4mfRGxJYA4J0LRE6Avhs7Nm6kBR6DXS+jKsY/KhvSQyBWChrE3P/8O0MAg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"9fc5a4a801cd860a45b9f2e42f403e063f71888193da95599af0a5193b7e570a","last_reissued_at":"2026-05-18T04:38:49.634265Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T04:38:49.634265Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Do price and volatility jump together?","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR"],"primary_cat":"q-fin.ST","authors_text":"Jean Jacod, Viktor Todorov","submitted_at":"2010-10-21T12:36:51Z","abstract_excerpt":"We consider a process $X_t$, which is observed on a finite time interval $[0,T]$, at discrete times $0,\\Delta_n,2\\Delta_n,\\ldots.$ This process is an It\\^{o} semimartingale with stochastic volatility $\\sigma_t^2$. Assuming that $X$ has jumps on $[0,T]$, we derive tests to decide whether the volatility process has jumps occurring simultaneously with the jumps of $X_t$. There are two different families of tests for the two possible null hypotheses (common jumps or disjoint jumps). They have a prescribed asymptotic level as the mesh $\\Delta_n$ goes to $0$. We show on some simulations that these t"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1010.4990","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"aliases":[{"alias_kind":"arxiv","alias_value":"1010.4990","created_at":"2026-05-18T04:38:49.634343+00:00"},{"alias_kind":"arxiv_version","alias_value":"1010.4990v1","created_at":"2026-05-18T04:38:49.634343+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1010.4990","created_at":"2026-05-18T04:38:49.634343+00:00"},{"alias_kind":"pith_short_12","alias_value":"T7C2JKABZWDA","created_at":"2026-05-18T12:26:13.927090+00:00"},{"alias_kind":"pith_short_16","alias_value":"T7C2JKABZWDAURNZ","created_at":"2026-05-18T12:26:13.927090+00:00"},{"alias_kind":"pith_short_8","alias_value":"T7C2JKAB","created_at":"2026-05-18T12:26:13.927090+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/T7C2JKABZWDAURNZ6LSC6QB6AY","json":"https://pith.science/pith/T7C2JKABZWDAURNZ6LSC6QB6AY.json","graph_json":"https://pith.science/api/pith-number/T7C2JKABZWDAURNZ6LSC6QB6AY/graph.json","events_json":"https://pith.science/api/pith-number/T7C2JKABZWDAURNZ6LSC6QB6AY/events.json","paper":"https://pith.science/paper/T7C2JKAB"},"agent_actions":{"view_html":"https://pith.science/pith/T7C2JKABZWDAURNZ6LSC6QB6AY","download_json":"https://pith.science/pith/T7C2JKABZWDAURNZ6LSC6QB6AY.json","view_paper":"https://pith.science/paper/T7C2JKAB","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1010.4990&json=true","fetch_graph":"https://pith.science/api/pith-number/T7C2JKABZWDAURNZ6LSC6QB6AY/graph.json","fetch_events":"https://pith.science/api/pith-number/T7C2JKABZWDAURNZ6LSC6QB6AY/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/T7C2JKABZWDAURNZ6LSC6QB6AY/action/timestamp_anchor","attest_storage":"https://pith.science/pith/T7C2JKABZWDAURNZ6LSC6QB6AY/action/storage_attestation","attest_author":"https://pith.science/pith/T7C2JKABZWDAURNZ6LSC6QB6AY/action/author_attestation","sign_citation":"https://pith.science/pith/T7C2JKABZWDAURNZ6LSC6QB6AY/action/citation_signature","submit_replication":"https://pith.science/pith/T7C2JKABZWDAURNZ6LSC6QB6AY/action/replication_record"}},"created_at":"2026-05-18T04:38:49.634343+00:00","updated_at":"2026-05-18T04:38:49.634343+00:00"}