Edit Profile (opens in new tab) Jacod, Jean Co-Author Distance Author ID: jacod.jean Published as: Jacod, Jean; Jacod, J. Homepage: https://www.lpsm.paris//pageperso/jacod/ External Links: MGP · Wikidata · dblp · GND · IdRef · theses.fr Documents Indexed: 158 Publications since 1970, including 11 Books 2 Contributions as Editor Co-Authors: 64 Co-Authors with 104 Joint Publications 1,889 Co-Co-Authors all top 5 Co-Authors 55 single-authored 15 Protter, Philip Elliott 11 Aït-Sahalia, Yacine 10 Mémin, Jean 6 Todorov, Viktor 5 Gravereaux, Jean-Bernard 5 Podolskij, Mark 5 Shiryaev, Al’bert Nikolaevich 4 Barndorff-Nielsen, Ole Eiler 4 Benveniste, Albert 4 Del Moral, Pierre 4 Klüppelberg, Claudia 3 Bichteler, Klaus 3 Cinlar, Erhan 3 Li, Yingying 3 Skorokhod, Anatoliĭ Volodymyrovych 2 Bertoin, Jean 2 Eberlein, Ernst W. 2 Genon-Catalot, Valentine 2 Gloter, Arnaud 2 Graversen, Svend Erik 2 Li, Jia 2 Méléard, Sylvie 2 Müller, Gernot J. 2 Mykland, Per Aslak 2 Rosenbaum, Mathieu 2 Shephard, Neil 2 Vetter, Mathias 2 Yor, Marc 2 Zheng, Xinghua 1 Brémaud, Pierre 1 Bretagnolle, Jean L. 1 Confortola, Fulvia 1 Coquet, François 1 Delattre, Sylvain 1 Diop, Assane 1 Doney, Ronald Arthur 1 Fuhrman, Marco 1 Hayashi, Takaki 1 Höpfner, Reinhard 1 Ibragimov, Il’dar Abdullovich 1 Jakubowski, Adam 1 Klopotowski, Andrzej 1 Kowalski, Emmanuel 1 Kubilius, Kȩstutis 1 Kurtz, Thomas Gordon 1 Ladelli, Lucia 1 Leipus, Remigijus 1 Lejay, Antoine 1 Liao, Zhipeng 1 Mackevičius, Vigirdas 1 Maisonneuve, Bernard 1 Mano, Pascal 1 Metivier, Michel 1 Mikulevicius, Remigijus 1 Nikeghbali, Ashkan 1 Paulauskas, Vygantas Ionovič 1 Pérez-Abreu Carrión, Víctor M. 1 Raible, Sebastian 1 Reiß, Markus 1 Sadi, H. 1 Sharpe, Michael J. 1 Surgailis, Donatas 1 Talay, Denis 1 Yoshida, Nakahiro all top 5 Serials 13 The Annals of Statistics 10 Stochastic Processes and their Applications 9 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 6 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique 6 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 5 The Annals of Probability 5 Comptes Rendus Hebdomadaires des Séances de l’Académie des Sciences, Série A 4 Stochastics 4 Probability Theory and Related Fields 4 The Annals of Applied Probability 4 Finance and Stochastics 3 Journal of Applied Probability 3 Journal of Econometrics 3 Bernoulli 3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Scandinavian Journal of Statistics 2 Econometrica 2 Bulletin de la Société Mathématique de France. Supplément. Mémoires 2 Grundlehren der Mathematischen Wissenschaften 2 Lecture Notes in Mathematics 2 Universitext 1 Advances in Applied Probability 1 Lithuanian Mathematical Journal 1 Annales Scientifiques de l’Université de Clermont-Ferrand II. Mathématiques 1 Inventiones Mathematicae 1 Journal of Theoretical Probability 1 Forum Mathematicum 1 Litovskiĭ Matematicheskiĭ Sbornik 1 Comptes Rendus de l’Académie des Sciences. Série I 1 Statistical Inference for Stochastic Processes 1 Econometric Theory 1 Decisions in Economics and Finance 1 Oberwolfach Reports 1 Stochastics Monographs 1 Enseignement des Mathématiques (Cassini) 1 Stochastic Modelling and Applied Probability 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys all top 5 Fields 144 Probability theory and stochastic processes (60-XX) 51 Statistics (62-XX) 10 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 8 Numerical analysis (65-XX) 7 Systems theory; control (93-XX) 3 History and biography (01-XX) 2 General and overarching topics; collections (00-XX) 2 Measure and integration (28-XX) 1 Number theory (11-XX) 1 Ordinary differential equations (34-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 141 Publications have been cited 6,558 times in 4,152 Documents Cited by ▼ Year ▼ Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002 Jacod, Jean; Shiryaev, Albert N. 1,195 2003 Limit theorems for stochastic processes. Zbl 0635.60021 Jacod, Jean; Shiryaev, Albert N. 656 1987 Calcul stochastique et problèmes de martingales. Zbl 0414.60053 Jacod, J. 531 1979 Multivariate point processes: Predictable projection, Radon-Nikodym derivatives representation of martingales. Zbl 0302.60032 Jacod, Jean 234 1975 Microstructure noise in the continuous case: the pre-averaging approach. Zbl 1166.62078 Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias 210 2009 Discretization of processes. Zbl 1259.60004 Jacod, Jean; Protter, Philip 190 2012 Limit theorems for stochastic processes. Vol. 1-2. (Predel’nye teoremy dlya sluchajnykh protsessov. Tom 1-2.) Zbl 0830.60025 Jacod, J.; Shiryaev, A. N. 182 1994 Testing for jumps in a discretely observed process. Zbl 1155.62057 Aït-Sahalia, Yacine; Jacod, Jean 158 2009 Asymptotic error distributions for the Euler method for stochastic differential equations. Zbl 0937.60060 Jacod, Jean; Protter, Philip 154 1998 Asymptotic properties of realized power variations and related functionals of semimartingales. Zbl 1142.60022 Jacod, Jean 136 2008 Malliavin calculus for processes with jumps. Zbl 0706.60057 Bichteler, Klaus; Gravereaux, Jean-Bernard; Jacod, Jean 123 1987 High-frequency financial econometrics. Zbl 1298.91018 Aït-Sahalia, Yacine; Jacod, Jean 118 2014 On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Zbl 0770.62070 Genon-Catalot, Valentine; Jacod, Jean 114 1993 Estimating the degree of activity of jumps in high frequency data. Zbl 1173.62060 Aït-Sahalia, Yacine; Jacod, Jean 112 2009 A central limit theorem for realised power and bipower variation of continuous semimartingales. Zbl 1106.60037 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark; Shephard, Neil 96 2006 Diffusions with measurement errors. I: Local asymptotic normality. Zbl 1008.60089 Gloter, Arnaud; Jacod, Jean 65 2001 Semimartingales and Markov processes. Zbl 0443.60074 Cinlar, E.; Jacod, J.; Protter, P.; Sharpe, M. J. 65 1980 Probability essentials. 2nd revised ed. Zbl 1014.60004 Jacod, Jean; Protter, Philip 63 2003 On continuous conditional Gaussian martingales and stable convergence in law. Zbl 0884.60038 Jacod, Jean 62 1997 Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036 Jacod, J.; Shiryaev, A. N. 61 1998 Grossissement initial, hypothèse (H’) et théorème de Girsanov. Zbl 0568.60049 Jacod, Jean 51 1985 The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046 Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip 51 2005 Quarticity and other functionals of volatility: efficient estimation. Zbl 1292.60033 Jacod, Jean; Rosenbaum, Mathieu 51 2013 Systemes de Levy des processus de Markov. Zbl 0265.60074 Benveniste, Albert; Jacod, Jean 50 1973 Diffusions with measurement errors. II: Optimal estimators. Zbl 1009.60065 Gloter, Arnaud; Jacod, Jean 49 2001 The Euler scheme for Lévy driven stochastic differential equations: limit theorems. Zbl 1054.65008 Jacod, Jean 49 2004 On the range of options prices. Zbl 0889.90020 Eberlein, Ernst; Jacod, Jean 49 1997 Volatility estimators for discretely sampled Lévy processes. Zbl 1114.62109 Aït-Sahalia, Yacine; Jacod, Jean 47 2007 Limit theorems for moving averages of discretized processes plus noise. Zbl 1196.60033 Jacod, Jean; Podolskij, Mark; Vetter, Mathias 46 2010 Caractéristiques locales et conditions de continuite absolue pour les semi-martingales. Zbl 0315.60026 Jacod, J.; Memin, J. 44 1976 Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil 43 2006 Is Brownian motion necessary to model high-frequency data? Zbl 1327.62118 Aït-Sahalia, Yacine; Jacod, Jean 42 2010 Non-parametric kernel estimation of the coefficient of diffusion. Zbl 0938.62085 Jacod, Jean 41 2000 The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072 Del Moral, Pierre; Jacod, Jean; Protter, Philip 39 2001 Sur un type de convergence intermediaire entre la convergence en loi et la convergence en probabilité. Zbl 0458.60016 Jacod, Jean; Memin, Jean 39 1981 Testing for jumps in noisy high frequency data. Zbl 1443.62325 Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia 39 2012 Processus ponctuels et martingales: Résultats recents sur la modelisation et le filtrage. Zbl 0369.60059 Bremaud, P.; Jacod, J. 38 1977 Asymptotic properties of power variations of Lévy processes. Zbl 1185.60031 Jacod, Jean 38 2007 Do price and volatility jump together? Zbl 1203.62139 Jacod, Jean; Todorov, Viktor 38 2010 Lévy term structure models: no-arbitrage and completeness. Zbl 1065.60086 Eberlein, Ernst; Jacod, Jean; Raible, Sebastian 37 2005 Statistics and high-frequency data. Zbl 1375.62025 Jacod, Jean 37 2012 Risk-neutral compatibility with option prices. Zbl 1224.91156 Jacod, Jean; Protter, Philip 36 2010 Time reversal on Lévy processes. Zbl 0646.60052 Jacod, Jean; Protter, Philip 35 1988 Testing for common arrivals of jumps for discretely observed multidimensional processes. Zbl 1168.62075 Jacod, Jean; Todorov, Viktor 34 2009 Étude des solutions extremales et représentation intégrale des solutions pour certains problèmes de martingales. Zbl 0346.60032 Jacod, Jean; Yor, Marc 33 1977 Efficient estimation of integrated volatility in presence of infinite variation jumps. Zbl 1305.62146 Jacod, Jean; Todorov, Viktor 32 2014 Fisher’s information for discretely sampled Lévy processes. Zbl 1144.62070 Aït-Sahalia, Yacine; Jacod, Jean 32 2008 Irregular sampling and central limit theorems for power variations: the continuous case. Zbl 1271.62198 Hayashi, Takaki; Jacod, Jean; Yoshida, Nakahiro 32 2011 A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors. Zbl 0882.60017 Delattre, Sylvain; Jacod, Jean 31 1997 Representation of semimartingale Markov processes in terms of Wiener processes and Poisson random measures. Zbl 0531.60068 Çinlar, E.; Jacod, J. 29 1981 Testing whether jumps have finite or infinite activity. Zbl 1234.62117 Aït-Sahalia, Yacine; Jacod, Jean 28 2011 Calcul de Malliavin pour les diffusions avec sauts: Existence d’une densité dans le cas unidimensionnel. Zbl 0525.60067 Bichteler, Klaus; Jacod, Jean 28 1983 A remark on the rates of convergence for integrated volatility estimation in the presence of jumps. Zbl 1305.62036 Jacod, Jean; Reiss, Markus 27 2014 Mod-Gaussian convergence: new limit theorems in probability and number theory. Zbl 1225.15035 Jacod, Jean; Kowalski, Emmanuel; Nikeghbali, Ashkan 26 2011 Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control. Zbl 1345.60048 Confortola, Fulvia; Fuhrman, Marco; Jacod, Jean 24 2016 Théorème de renouvellement et classification pour les chaînes semi- markoviennes. Zbl 0217.50502 Jacod, J. 23 1971 Parametric inference for discretely observed non-ergodic diffusions. Zbl 1100.62081 Jacod, Jean 22 2006 Rates of convergence to the local time of a diffusion. Zbl 0911.60055 Jacod, Jean 21 1998 Weak and strong solutions of stochastic differential equations. Zbl 0434.60061 Jacod, Jean 21 1980 On tightness and stopping times. Zbl 0501.60029 Jacod, J.; Memin, J.; Metivier, M. 20 1983 Probability essentials. Zbl 0968.60003 Jacod, Jean; Protter, Philip 20 2000 Statistical properties of microstructure noise. Zbl 1410.62204 Jacod, Jean; Li, Yingying; Zheng, Xinghua 20 2017 Local asymptotic normality and mixed normality for Markov statistical models. Zbl 0685.60016 Höpfner, Reinhard; Jacod, Jean; Ladelli, Lucia 19 1990 Weak and strong solutions of stochastic differential equations: Existence and stability. Zbl 0471.60066 Jacod, Jean; Memin, Jean 19 1981 Un théorème de représentation pour les martingales discontinues. Zbl 0307.60043 Jacod, Jean 19 1976 Estimation of the diffusion coefficient for diffusion processes: Random sampling. Zbl 0804.62078 Genon-Catalot, V.; Jacod, J. 19 1994 Explicit form and robustness of martingale representations. Zbl 1044.60042 Jacod, Jean; Méléard, Sylvie; Protter, Philip 19 2000 Jumping Markov processes. Zbl 0841.60066 Jacod, J.; Skorokhod, A. V. 17 1996 Théorèmes limite pour les processus. Zbl 0565.60030 Jacod, J. 17 1985 Existence of weak solutions for stochastic differential equations with driving semimartingales. Zbl 0454.60057 Jacod, Jean; Memin, Jean 16 1981 Jumping filtrations and martingales with finite variation. Zbl 0814.60039 Jacod, J.; Skorohod, A. V. 15 1994 Identifying the successive Blumenthal-Getoor indices of a discretely observed process. Zbl 1297.62051 Aït-Sahalia, Yacine; Jacod, Jean 15 2012 Interacting particle filtering with discrete observations. Zbl 1056.93574 Del Moral, Pierre; Jacod, Jean 14 2001 A general theorem of representation for martingales. Zbl 0362.60068 Jacod, Jean 14 1977 Une condition d’existence et d’unicité pour les solutions fortes d’équations différentielles stochastiques. Zbl 0436.60044 Jacod, Jean 14 1980 A test for the rank of the volatility process: the random perturbation approach. Zbl 1292.62126 Jacod, Jean; Podolskij, Mark 14 2013 Random measures and stochastic integration. Zbl 0514.60051 Bichteler, K.; Jacod, J. 13 1983 Intégrales stochastiques par rapport à une semimartingale vectorielle et changements de filtration. Zbl 0429.60054 Jacod, Jean 12 1980 Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation. Zbl 1391.60044 Jacod, Jean; Todorov, Viktor 11 2018 Convergence en loi de semimartingales et variation quadratique. Zbl 0458.60037 Jacod, Jean 11 1981 Estimating the integrated volatility with tick observations. Zbl 1452.62771 Jacod, Jean; Li, Yingying; Zheng, Xinghua 11 2019 A review of asymptotic theory of estimating functions. Zbl 1450.62101 Jacod, Jean; Sørensen, Michael 11 2018 Quelques remarques sur un nouveau type d’équations différentielles stochastiques. Zbl 0482.60056 Jacod, Jean; Protter, Philip 10 1982 Théorème de la limite centrale et convergence fonctionnelle vers un processus à accroissements independants: la méthode des martingales. Zbl 0493.60033 Jacod, J.; Klopotowski, A.; Memin, J. 10 1982 Convergence of filtered statistical models and Hellinger processes. Zbl 0684.60030 Jacod, Jean 9 1989 On asymptotic errors in discretization of processes. Zbl 1058.60020 Jacod, J.; Jakubowski, A.; Mémin, J. 8 2003 Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095 Jacod, Jean; Mykland, Per A. 8 2015 Estimation of volatility functionals: the case of a \(\sqrt{n}\) window. Zbl 1401.60078 Jacod, Jean; Rosenbaum, Mathieu 8 2015 Systemes regeneratifs et processus semi-Markoviens. Zbl 0282.60059 Jacod, Jean 7 1974 Estimation of the Brownian dimension of a continuous Itô process. Zbl 1155.62059 Jacod, Jean; Lejay, Antoine; Talay, Denis 7 2008 Partial likelihood process and asymptotic normality. Zbl 0632.62088 Jacod, Jean 6 1987 Processus à accroissements independants: Une condition necessaire et suffisante de convergence en loi. Zbl 0526.60065 Jacod, Jean 6 1983 Semi-groupes et mesures invariantes pour les processus semi-markoviens à espace d’etat quelconque. Zbl 0254.60065 Jacod, Jean 6 1973 Projection des fonctionnelles additives et représentation des potentiels d’un processus de Markov. Zbl 0258.60054 Benveniste, Albert; Jacod, Jean 6 1973 A remark on stochastic differential equations with Markov solutions. (Une remarque sur les équations différentielles stochastiques à solutions markoviennes.) Zbl 0741.60051 Jacod, J.; Protter, P. 6 1991 Existence and uniqueness for stochastic differential equations. Zbl 0409.60066 Jacod, Jean 6 1979 Quadratic variation of the Brownian motion in the presence of round-off errors. (La variation quadratique du brownien en présence d’erreurs d’arrondi.) Zbl 0861.60085 Jacod, J. 6 1996 The Monte-Carlo method for filtering with discrete-time observations: central limit theorems. Zbl 1111.60302 Del Moral, Pierre; Jacod, Jean 6 2002 Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales. Zbl 1274.60063 Diop, Assane; Jacod, Jean; Todorov, Viktor 6 2013 Regularity, partial regularity, partial information process, for a filtered statistical model. Zbl 0677.62001 Jacod, Jean 5 1990 Volatility coupling. Zbl 1478.60106 Jacod, Jean; Li, Jia; Liao, Zhipeng 1 2021 Estimating the integrated volatility with tick observations. Zbl 1452.62771 Jacod, Jean; Li, Yingying; Zheng, Xinghua 11 2019 Estimation of volatility in a high-frequency setting: a short review. Zbl 1432.91111 Jacod, Jean 4 2019 Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation. Zbl 1391.60044 Jacod, Jean; Todorov, Viktor 11 2018 A review of asymptotic theory of estimating functions. Zbl 1450.62101 Jacod, Jean; Sørensen, Michael 11 2018 Semimartingale: Itô or not ? Zbl 06814949 Aït-Sahalia, Yacine; Jacod, Jean 4 2018 On the minimal number of driving Lévy motions in a multivariate price model. Zbl 1402.60068 Jacod, Jean; Podolskij, Mark 1 2018 Statistical properties of microstructure noise. Zbl 1410.62204 Jacod, Jean; Li, Yingying; Zheng, Xinghua 20 2017 Testing for non-correlation between price and volatility jumps. Zbl 1422.91781 Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot 5 2017 Options prices in incomplete markets. Zbl 1407.91251 Jacod, Jean; Protter, Philip 2 2017 Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control. Zbl 1345.60048 Confortola, Fulvia; Fuhrman, Marco; Jacod, Jean 24 2016 Efficient estimation of integrated volatility in presence of infinite variation jumps with multiple activity indices. Zbl 1354.60019 Jacod, Jean; Todorov, Viktor 4 2016 Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095 Jacod, Jean; Mykland, Per A. 8 2015 Estimation of volatility functionals: the case of a \(\sqrt{n}\) window. Zbl 1401.60078 Jacod, Jean; Rosenbaum, Mathieu 8 2015 High-frequency financial econometrics. Zbl 1298.91018 Aït-Sahalia, Yacine; Jacod, Jean 118 2014 Efficient estimation of integrated volatility in presence of infinite variation jumps. Zbl 1305.62146 Jacod, Jean; Todorov, Viktor 32 2014 A remark on the rates of convergence for integrated volatility estimation in the presence of jumps. Zbl 1305.62036 Jacod, Jean; Reiss, Markus 27 2014 Quarticity and other functionals of volatility: efficient estimation. Zbl 1292.60033 Jacod, Jean; Rosenbaum, Mathieu 51 2013 A test for the rank of the volatility process: the random perturbation approach. Zbl 1292.62126 Jacod, Jean; Podolskij, Mark 14 2013 Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales. Zbl 1274.60063 Diop, Assane; Jacod, Jean; Todorov, Viktor 6 2013 Discretization of processes. Zbl 1259.60004 Jacod, Jean; Protter, Philip 190 2012 Testing for jumps in noisy high frequency data. Zbl 1443.62325 Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia 39 2012 Statistics and high-frequency data. Zbl 1375.62025 Jacod, Jean 37 2012 Identifying the successive Blumenthal-Getoor indices of a discretely observed process. Zbl 1297.62051 Aït-Sahalia, Yacine; Jacod, Jean 15 2012 Functional relationships between price and volatility jumps and their consequences for discretely observed data. Zbl 1263.60038 Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot 4 2012 Lévy processes at Saint-Flour. Reprint of lectures originally published in the Lecture Notes in Mathematics volumes 307 (1973), 1117 (1985), 1717 (1999) and 1897 (2007). Zbl 1254.60004 Bertoin, Jean; Bretagnolle, Jean L.; Doney, Ronald A.; Ibragimov, Ildar A.; Jacod, Jean 2 2012 Irregular sampling and central limit theorems for power variations: the continuous case. Zbl 1271.62198 Hayashi, Takaki; Jacod, Jean; Yoshida, Nakahiro 32 2011 Testing whether jumps have finite or infinite activity. Zbl 1234.62117 Aït-Sahalia, Yacine; Jacod, Jean 28 2011 Mod-Gaussian convergence: new limit theorems in probability and number theory. Zbl 1225.15035 Jacod, Jean; Kowalski, Emmanuel; Nikeghbali, Ashkan 26 2011 Limit theorems for moving averages of discretized processes plus noise. Zbl 1196.60033 Jacod, Jean; Podolskij, Mark; Vetter, Mathias 46 2010 Is Brownian motion necessary to model high-frequency data? Zbl 1327.62118 Aït-Sahalia, Yacine; Jacod, Jean 42 2010 Do price and volatility jump together? Zbl 1203.62139 Jacod, Jean; Todorov, Viktor 38 2010 Risk-neutral compatibility with option prices. Zbl 1224.91156 Jacod, Jean; Protter, Philip 36 2010 Microstructure noise in the continuous case: the pre-averaging approach. Zbl 1166.62078 Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias 210 2009 Testing for jumps in a discretely observed process. Zbl 1155.62057 Aït-Sahalia, Yacine; Jacod, Jean 158 2009 Estimating the degree of activity of jumps in high frequency data. Zbl 1173.62060 Aït-Sahalia, Yacine; Jacod, Jean 112 2009 Testing for common arrivals of jumps for discretely observed multidimensional processes. Zbl 1168.62075 Jacod, Jean; Todorov, Viktor 34 2009 Asymptotic properties of realized power variations and related functionals of semimartingales. Zbl 1142.60022 Jacod, Jean 136 2008 Fisher’s information for discretely sampled Lévy processes. Zbl 1144.62070 Aït-Sahalia, Yacine; Jacod, Jean 32 2008 Estimation of the Brownian dimension of a continuous Itô process. Zbl 1155.62059 Jacod, Jean; Lejay, Antoine; Talay, Denis 7 2008 Volatility estimators for discretely sampled Lévy processes. Zbl 1114.62109 Aït-Sahalia, Yacine; Jacod, Jean 47 2007 Asymptotic properties of power variations of Lévy processes. Zbl 1185.60031 Jacod, Jean 38 2007 A central limit theorem for realised power and bipower variation of continuous semimartingales. Zbl 1106.60037 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark; Shephard, Neil 96 2006 Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil 43 2006 Parametric inference for discretely observed non-ergodic diffusions. Zbl 1100.62081 Jacod, Jean 22 2006 The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046 Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip 51 2005 Lévy term structure models: no-arbitrage and completeness. Zbl 1065.60086 Eberlein, Ernst; Jacod, Jean; Raible, Sebastian 37 2005 The Euler scheme for Lévy driven stochastic differential equations: limit theorems. Zbl 1054.65008 Jacod, Jean 49 2004 Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002 Jacod, Jean; Shiryaev, Albert N. 1,195 2003 Probability essentials. 2nd revised ed. Zbl 1014.60004 Jacod, Jean; Protter, Philip 63 2003 On asymptotic errors in discretization of processes. Zbl 1058.60020 Jacod, J.; Jakubowski, A.; Mémin, J. 8 2003 On processes with conditional independent increments and stable convergence in law. Zbl 1034.60035 Jacod, Jean 2 2003 The Monte-Carlo method for filtering with discrete-time observations: central limit theorems. Zbl 1111.60302 Del Moral, Pierre; Jacod, Jean 6 2002 Diffusions with measurement errors. I: Local asymptotic normality. Zbl 1008.60089 Gloter, Arnaud; Jacod, Jean 65 2001 Diffusions with measurement errors. II: Optimal estimators. Zbl 1009.60065 Gloter, Arnaud; Jacod, Jean 49 2001 The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072 Del Moral, Pierre; Jacod, Jean; Protter, Philip 39 2001 Interacting particle filtering with discrete observations. Zbl 1056.93574 Del Moral, Pierre; Jacod, Jean 14 2001 Non-parametric kernel estimation of the coefficient of diffusion. Zbl 0938.62085 Jacod, Jean 41 2000 Probability essentials. Zbl 0968.60003 Jacod, Jean; Protter, Philip 20 2000 Explicit form and robustness of martingale representations. Zbl 1044.60042 Jacod, Jean; Méléard, Sylvie; Protter, Philip 19 2000 Interacting particle filtering with discrete-time observations: Asymptotic behaviour in the Gaussian case. Zbl 0982.60026 Del Moral, Pierre; Jacod, Jean 2 2000 Asymptotic error distributions for the Euler method for stochastic differential equations. Zbl 0937.60060 Jacod, Jean; Protter, Philip 154 1998 Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036 Jacod, J.; Shiryaev, A. N. 61 1998 Rates of convergence to the local time of a diffusion. Zbl 0911.60055 Jacod, Jean 21 1998 On continuous conditional Gaussian martingales and stable convergence in law. Zbl 0884.60038 Jacod, Jean 62 1997 On the range of options prices. Zbl 0889.90020 Eberlein, Ernst; Jacod, Jean 49 1997 A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors. Zbl 0882.60017 Delattre, Sylvain; Jacod, Jean 31 1997 Jumping Markov processes. Zbl 0841.60066 Jacod, J.; Skorokhod, A. V. 17 1996 Quadratic variation of the Brownian motion in the presence of round-off errors. (La variation quadratique du brownien en présence d’erreurs d’arrondi.) Zbl 0861.60085 Jacod, J. 6 1996 Limit theorems for stochastic processes. Vol. 1-2. (Predel’nye teoremy dlya sluchajnykh protsessov. Tom 1-2.) Zbl 0830.60025 Jacod, J.; Shiryaev, A. N. 182 1994 Estimation of the diffusion coefficient for diffusion processes: Random sampling. Zbl 0804.62078 Genon-Catalot, V.; Jacod, J. 19 1994 Jumping filtrations and martingales with finite variation. Zbl 0814.60039 Jacod, J.; Skorohod, A. V. 15 1994 On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Zbl 0770.62070 Genon-Catalot, Valentine; Jacod, Jean 114 1993 Random sampling in estimation problems for continuous Gaussian processes with independent increments. Zbl 0806.62065 Jacod, J. 3 1993 A remark on the weak convergence of processes in the Skorohod topology. Zbl 0787.60007 Jacod, Jean; Protter, Philip 1 1993 A remark on stochastic differential equations with Markov solutions. (Une remarque sur les équations différentielles stochastiques à solutions markoviennes.) Zbl 0741.60051 Jacod, J.; Protter, P. 6 1991 Local asymptotic normality and mixed normality for Markov statistical models. Zbl 0685.60016 Höpfner, Reinhard; Jacod, Jean; Ladelli, Lucia 19 1990 Regularity, partial regularity, partial information process, for a filtered statistical model. Zbl 0677.62001 Jacod, Jean 5 1990 Sur le processus de vraisemblance partielle. (On the partial likelihood process). Zbl 0727.60037 Jacod, Jean 3 1990 Convergence of filtered statistical models and Hellinger processes. Zbl 0684.60030 Jacod, Jean 9 1989 Filtered statistical models and Hellinger processes. Zbl 0684.60031 Jacod, Jean 3 1989 An application of the Emery topology: The information process of a filtered statistical model. (Une application de la topologie d’Emery: Le processus information d’un modèle statistique filtré.) Zbl 0739.62073 Jacod, Jean 3 1989 Time reversal on Lévy processes. Zbl 0646.60052 Jacod, Jean; Protter, Philip 35 1988 Une évaluation de la distance entre les lois d’une semimartingale et d’un processus à accroissements indépendants. (An evaluation of the distance between the laws of a semi-martingale and of a process with independent increments). Zbl 0673.60003 Jacod, Jean; Mano, Pascal 2 1988 Martingale problems, absolute continuity and contiguity. Zbl 0900.60054 Jacod, Jean 1 1988 Limit theorems for stochastic processes. Zbl 0635.60021 Jacod, Jean; Shiryaev, Albert N. 656 1987 Malliavin calculus for processes with jumps. Zbl 0706.60057 Bichteler, Klaus; Gravereaux, Jean-Bernard; Jacod, Jean 123 1987 Partial likelihood process and asymptotic normality. Zbl 0632.62088 Jacod, Jean 6 1987 On the convergence of point processes. (Sur la convergence des processus ponctuels.) Zbl 0652.60054 Jacod, Jean 3 1987 Processus admettant un processus a accroissements independants tangent: cas general. (Processes admitting a tangent process with independent increments: general case). Zbl 0621.60042 Jacod, J.; Sadi, H. 2 1987 Grossissement initial, hypothèse (H’) et théorème de Girsanov. Zbl 0568.60049 Jacod, Jean 51 1985 Théorèmes limite pour les processus. Zbl 0565.60030 Jacod, J. 17 1985 Grossissements de filtration et processus d’Ornstein-Uhlenbeck généralisé. Zbl 0575.60057 Jacod, Jean 3 1985 Une généralisation des semimartingales: Les processus admettant un processus à accroissements indépendants tangent. Zbl 0539.60033 Jacod, Jean 4 1984 Calcul de Malliavin pour les diffusions avec sauts: Existence d’une densité dans le cas unidimensionnel. Zbl 0525.60067 Bichteler, Klaus; Jacod, Jean 28 1983 On tightness and stopping times. Zbl 0501.60029 Jacod, J.; Memin, J.; Metivier, M. 20 1983 Random measures and stochastic integration. Zbl 0514.60051 Bichteler, K.; Jacod, J. 13 1983 Processus à accroissements independants: Une condition necessaire et suffisante de convergence en loi. Zbl 0526.60065 Jacod, Jean 6 1983 Rectification à ”Sur un type de convergence intermediaire entre la convergence en loi et la convergence en probabilité”. Zbl 0505.60011 Jacod, J.; Memin, J. 4 1983 Quelques remarques sur un nouveau type d’équations différentielles stochastiques. Zbl 0482.60056 Jacod, Jean; Protter, Philip 10 1982 ...and 41 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,834 Authors 68 Jacod, Jean 40 Podolskij, Mark 38 Todorov, Viktor 32 Pap, Gyula 29 Mikulevicius, Remigijus 29 Mykland, Per Aslak 27 Jeanblanc, Monique 26 Protter, Philip Elliott 25 Yoshida, Nakahiro 23 Barczy, Mátyás 23 Russo, Francesco 21 Aït-Sahalia, Yacine 21 Criens, David 21 Figueroa-López, José E. 21 Gloter, Arnaud 20 Eberlein, Ernst W. 20 Rosenbaum, Mathieu 19 Choulli, Tahir 19 Fournier, Nicolas 19 Platen, Eckhard 19 Uchida, Masayuki 19 Vetter, Mathias 18 Fukasawa, Masaaki 18 Kohatsu-Higa, Arturo 18 Liu, Zhi 18 Tauchen, George E. 17 Kallsen, Jan 17 Kong, Xinbing 17 Reiß, Markus 17 Ruf, Johannes 17 Tappe, Stefan 16 Fontana, Claudio 16 Jarrow, Robert Alan 16 Kim, Donggyu 16 Li, Jia 16 Tankov, Peter 15 Barndorff-Nielsen, Ole Eiler 15 Ceci, Claudia 15 Masuda, Hiroki 15 Schmidt, Thorsten 14 Kabanov, Yuriĭ Mikhaĭlovich 14 Kebaier, Ahmed 14 Kyprianou, Andreas E. 14 Mania, Michael 14 Méléard, Sylvie 14 Ouknine, Youssef 14 Spreij, Peter 14 Zhang, Lan 13 Bandini, Elena 13 Bibinger, Markus 13 Chen, Zhen-Qing 13 Höpfner, Reinhard 13 Kardaras, Constantinos 13 Kohlmann, Michael 13 Mémin, Jean 13 Papapantoleon, Antonis 13 Pham, Huyên 13 Possamaï, Dylan 13 Rásonyi, Miklós 13 Shimizu, Yasutaka 13 Shiryaev, Al’bert Nikolaevich 13 Siu, Tak Kuen 13 Tan, Xiaolu 13 Wang, Yazhen 13 Xiong, Dewen 13 Zhang, Xicheng 12 Dufour, François 12 Kubilius, Kȩstutis 12 Li, Yingying 12 Muhle-Karbe, Johannes 12 Nutz, Marcel 12 Pagès, Gilles 12 Puhalskii, Anatolii A. 12 Schweizer, Martin 12 Veraart, Almut E. D. 12 Yor, Marc 11 Andersen, Torben G. 11 Bielecki, Tomasz R. 11 Christensen, Kim 11 Engelbert, Hans-Jürgen 11 Grigelionis, Bronius I. 11 Hoffmann, Marc 11 Löcherbach, Eva 11 Mancini, Cecilia 11 Privault, Nicolas 11 Słomiński, Leszek 11 Song, Yuping 11 Wefelmeyer, Wolfgang 10 Biagini, Francesca 10 Bollerslev, Tim 10 Clement, Emmanuelle 10 Cont, Rama 10 Corcuera, José Manuel 10 Cuchiero, Christa 10 Elliott, Robert James 10 Fuhrman, Marco 10 Gapeev, Pavel V. 10 Jing, Bingyi 10 Klüppelberg, Claudia 10 Koike, Yuta ...and 3,734 more Authors all top 5 Cited in 398 Serials 499 Stochastic Processes and their Applications 179 The Annals of Applied Probability 165 Journal of Econometrics 117 Finance and Stochastics 97 Bernoulli 94 The Annals of Probability 91 Statistics & Probability Letters 86 Probability Theory and Related Fields 71 Stochastic Analysis and Applications 70 Journal of Theoretical Probability 68 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 66 The Annals of Statistics 62 Statistical Inference for Stochastic Processes 61 Journal of Applied Probability 61 Mathematical Finance 58 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 58 Electronic Journal of Probability 58 Quantitative Finance 50 Stochastics 49 Advances in Applied Probability 48 International Journal of Theoretical and Applied Finance 45 Journal of Statistical Planning and Inference 44 Electronic Journal of Statistics 40 Lithuanian Mathematical Journal 39 Insurance Mathematics & Economics 38 Applied Mathematics and Optimization 38 SIAM Journal on Financial Mathematics 34 Journal of Mathematical Analysis and Applications 34 Journal of Functional Analysis 32 Applied Mathematical Finance 30 SIAM Journal on Control and Optimization 30 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 30 Econometric Theory 28 Journal of Multivariate Analysis 27 Theory of Probability and its Applications 27 Mathematics and Financial Economics 25 Annals of the Institute of Statistical Mathematics 24 Journal of Statistical Physics 24 Stochastics 22 Communications in Statistics. Theory and Methods 22 Cybernetics and Systems Analysis 22 Stochastics and Dynamics 21 Potential Analysis 20 Scandinavian Journal of Statistics 19 Queueing Systems 19 ALEA. Latin American Journal of Probability and Mathematical Statistics 18 Transactions of the American Mathematical Society 18 Journal of Nonparametric Statistics 17 Decisions in Economics and Finance 16 Journal of Time Series Analysis 16 Statistics 16 Journal of Economic Dynamics & Control 15 European Journal of Operational Research 15 Electronic Communications in Probability 15 Stochastic Models 15 Annals of Finance 14 Communications in Mathematical Physics 14 Journal of Computational and Applied Mathematics 14 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique 13 Journal of Mathematical Economics 13 Acta Applicandae Mathematicae 13 Computational Statistics and Data Analysis 13 Asia-Pacific Financial Markets 12 Journal of Mathematical Sciences (New York) 12 Methodology and Computing in Applied Probability 12 Scandinavian Actuarial Journal 12 Modern Stochastics. Theory and Applications 11 Physica A 11 Econometric Reviews 11 Theory of Probability and Mathematical Statistics 10 Journal of Mathematical Biology 10 Mathematics of Operations Research 10 Communications in Statistics. Simulation and Computation 10 Probability in the Engineering and Informational Sciences 10 Probability, Uncertainty and Quantitative Risk 9 Journal of the American Statistical Association 9 Stochastics and Stochastics Reports 9 Monte Carlo Methods and Applications 9 Review of Derivatives Research 9 Science China. Mathematics 9 Stochastic and Partial Differential Equations. Analysis and Computations 9 Japanese Journal of Statistics and Data Science 8 Metrika 8 Ukrainian Mathematical Journal 8 Journal of Differential Equations 8 Proceedings of the American Mathematical Society 8 Acta Mathematicae Applicatae Sinica. English Series 8 Studies in Nonlinear Dynamics and Econometrics 8 Acta Mathematica Sinica. English Series 8 International Journal of Stochastic Analysis 8 Frontiers of Mathematical Finance 7 Chaos, Solitons and Fractals 7 Journal of Optimization Theory and Applications 7 Mathematische Nachrichten 7 Systems & Control Letters 7 Random Operators and Stochastic Equations 7 Bulletin des Sciences Mathématiques 7 Mathematical Methods of Operations Research 7 Statistics and Computing 6 Mathematical Notes ...and 298 more Serials all top 5 Cited in 50 Fields 3,248 Probability theory and stochastic processes (60-XX) 1,212 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,195 Statistics (62-XX) 325 Systems theory; control (93-XX) 258 Numerical analysis (65-XX) 224 Partial differential equations (35-XX) 145 Operations research, mathematical programming (90-XX) 113 Calculus of variations and optimal control; optimization (49-XX) 103 Statistical mechanics, structure of matter (82-XX) 99 Biology and other natural sciences (92-XX) 66 Ordinary differential equations (34-XX) 53 Operator theory (47-XX) 46 Dynamical systems and ergodic theory (37-XX) 41 Combinatorics (05-XX) 41 Measure and integration (28-XX) 35 Functional analysis (46-XX) 31 Computer science (68-XX) 29 Harmonic analysis on Euclidean spaces (42-XX) 26 Potential theory (31-XX) 24 Integral equations (45-XX) 21 Global analysis, analysis on manifolds (58-XX) 21 Fluid mechanics (76-XX) 20 Real functions (26-XX) 20 Quantum theory (81-XX) 17 Information and communication theory, circuits (94-XX) 15 Number theory (11-XX) 10 History and biography (01-XX) 10 Linear and multilinear algebra; matrix theory (15-XX) 10 Difference and functional equations (39-XX) 10 Integral transforms, operational calculus (44-XX) 8 Approximations and expansions (41-XX) 8 Convex and discrete geometry (52-XX) 6 General and overarching topics; collections (00-XX) 6 Mechanics of particles and systems (70-XX) 5 Mathematical logic and foundations (03-XX) 5 Topological groups, Lie groups (22-XX) 5 Functions of a complex variable (30-XX) 5 Special functions (33-XX) 5 Abstract harmonic analysis (43-XX) 5 Geophysics (86-XX) 4 Differential geometry (53-XX) 3 Group theory and generalizations (20-XX) 3 General topology (54-XX) 2 Several complex variables and analytic spaces (32-XX) 2 Mechanics of deformable solids (74-XX) 2 Mathematics education (97-XX) 1 Algebraic geometry (14-XX) 1 Algebraic topology (55-XX) 1 Optics, electromagnetic theory (78-XX) 1 Classical thermodynamics, heat transfer (80-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.