Jacod, Jean; Li, Jia; Liao, Zhipeng Volatility coupling. (English) Zbl 1478.60106 Ann. Stat. 49, No. 4, 1982-1998 (2021). MSC: 60F15 60G44 62G20 PDFBibTeX XMLCite \textit{J. Jacod} et al., Ann. Stat. 49, No. 4, 1982--1998 (2021; Zbl 1478.60106) Full Text: DOI Link
Jacod, Jean; Reiss, Markus A remark on the rates of convergence for integrated volatility estimation in the presence of jumps. (English) Zbl 1305.62036 Ann. Stat. 42, No. 3, 1131-1144 (2014). MSC: 62C20 60H99 62G20 62M09 60G48 60J75 PDFBibTeX XMLCite \textit{J. Jacod} and \textit{M. Reiss}, Ann. Stat. 42, No. 3, 1131--1144 (2014; Zbl 1305.62036) Full Text: DOI arXiv Euclid
Jacod, Jean; Todorov, Viktor Efficient estimation of integrated volatility in presence of infinite variation jumps. (English) Zbl 1305.62146 Ann. Stat. 42, No. 3, 1029-1069 (2014). MSC: 62G05 60F05 60F17 60G51 60J60 PDFBibTeX XMLCite \textit{J. Jacod} and \textit{V. Todorov}, Ann. Stat. 42, No. 3, 1029--1069 (2014; Zbl 1305.62146) Full Text: DOI arXiv Euclid
Jacod, Jean; Podolskij, Mark A test for the rank of the volatility process: the random perturbation approach. (English) Zbl 1292.62126 Ann. Stat. 41, No. 5, 2391-2427 (2013). MSC: 62M07 60F05 60G44 62E20 60F17 PDFBibTeX XMLCite \textit{J. Jacod} and \textit{M. Podolskij}, Ann. Stat. 41, No. 5, 2391--2427 (2013; Zbl 1292.62126) Full Text: DOI arXiv Euclid
Jacod, Jean; Rosenbaum, Mathieu Quarticity and other functionals of volatility: efficient estimation. (English) Zbl 1292.60033 Ann. Stat. 41, No. 3, 1462-1484 (2013). MSC: 60F05 60H05 60G44 62F12 62P05 PDFBibTeX XMLCite \textit{J. Jacod} and \textit{M. Rosenbaum}, Ann. Stat. 41, No. 3, 1462--1484 (2013; Zbl 1292.60033) Full Text: DOI arXiv Euclid
Aït-Sahalia, Yacine; Jacod, Jean Identifying the successive Blumenthal-Getoor indices of a discretely observed process. (English) Zbl 1297.62051 Ann. Stat. 40, No. 3, 1430-1464 (2012). MSC: 62F12 62M05 60H10 60J60 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Ann. Stat. 40, No. 3, 1430--1464 (2012; Zbl 1297.62051) Full Text: DOI arXiv Euclid
Aït-Sahalia, Yacine; Jacod, Jean Testing whether jumps have finite or infinite activity. (English) Zbl 1234.62117 Ann. Stat. 39, No. 3, 1689-1719 (2011). MSC: 62M07 62M02 60G48 62F05 65C60 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Ann. Stat. 39, No. 3, 1689--1719 (2011; Zbl 1234.62117) Full Text: DOI arXiv
Aït-Sahalia, Yacine; Jacod, Jean Is Brownian motion necessary to model high-frequency data? (English) Zbl 1327.62118 Ann. Stat. 38, No. 5, 3093-3128 (2010). MSC: 62F12 62M05 60H10 60J60 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Ann. Stat. 38, No. 5, 3093--3128 (2010; Zbl 1327.62118) Full Text: DOI arXiv
Jacod, Jean; Podolskij, Mark; Vetter, Mathias Limit theorems for moving averages of discretized processes plus noise. (English) Zbl 1196.60033 Ann. Stat. 38, No. 3, 1478-1545 (2010). Reviewer: Tomáš Cipra (Praha) MSC: 60F05 60G44 62M09 60G42 62G20 PDFBibTeX XMLCite \textit{J. Jacod} et al., Ann. Stat. 38, No. 3, 1478--1545 (2010; Zbl 1196.60033) Full Text: DOI arXiv
Aït-Sahalia, Yacine; Jacod, Jean Estimating the degree of activity of jumps in high frequency data. (English) Zbl 1173.62060 Ann. Stat. 37, No. 5A, 2202-2244 (2009). MSC: 62M05 62F12 62P05 65C05 60H10 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Ann. Stat. 37, No. 5A, 2202--2244 (2009; Zbl 1173.62060) Full Text: DOI arXiv
Jacod, Jean; Todorov, Viktor Testing for common arrivals of jumps for discretely observed multidimensional processes. (English) Zbl 1168.62075 Ann. Stat. 37, No. 4, 1792-1838 (2009). MSC: 62M07 60F05 62F05 62M05 60H10 60H15 PDFBibTeX XMLCite \textit{J. Jacod} and \textit{V. Todorov}, Ann. Stat. 37, No. 4, 1792--1838 (2009; Zbl 1168.62075) Full Text: DOI arXiv
Aït-Sahalia, Yacine; Jacod, Jean Testing for jumps in a discretely observed process. (English) Zbl 1155.62057 Ann. Stat. 37, No. 1, 184-222 (2009). MSC: 62M02 62F12 60G48 62M05 60F05 60H10 60J60 62P05 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Ann. Stat. 37, No. 1, 184--222 (2009; Zbl 1155.62057) Full Text: DOI arXiv Euclid
Aït-Sahalia, Yacine; Jacod, Jean Volatility estimators for discretely sampled Lévy processes. (English) Zbl 1114.62109 Ann. Stat. 35, No. 1, 355-392 (2007). MSC: 62P05 62F12 62M05 60H30 62E20 60J70 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Ann. Stat. 35, No. 1, 355--392 (2007; Zbl 1114.62109) Full Text: DOI arXiv