Jean Jacod

Université Paris VI Pierre et Marie Curie

4, Place Jussieu, B.P. 169

Laboratoire de Probabilites

F-75252-Paris Cedex 05

France

  • Université Paris VI Pierre et Marie Curie

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    • Tel: 01 44 27 53 21
SCHOLARLY PAPERS

10

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231

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38

Scholarly Papers (10)

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1.

Statistical Properties of Microstructure Noise

Econometrica, Forthcoming
Number of pages: 71 Posted: 07 Feb 2013 Last Revised: 21 Feb 2017
Jean Jacod, Yingying Li, Yingying Li and Xinghua Zheng
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 761 (58,030)
Citation 31

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market microstructure noise, high frequency data, joint moments, autocovariance, autocorrelation

2.

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

Downloads 447 (99,645)
Citation 19

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

AFA 2011 Denver Meetings Paper
Posted: 03 Mar 2010
Yacine Ait-Sahalia and Jean Jacod
Princeton University - Department of Economics and Université Paris VI Pierre et Marie Curie
Downloads 289 (181,398)
Citation 7

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Continuous-time models, semimartingales, jumps, volatility, spectrum, high frequency financial returns, market microstructure noise

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 40 Posted: 07 Oct 2009
Yacine Ait-Sahalia and Jean Jacod
Princeton University - Department of Economics and Université Paris VI Pierre et Marie Curie
Downloads 158 (320,252)
Citation 2

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continuous-time models, semimartingales, jumps, volatility, spectrum, high frequency financial returns

3.

Estimating the Integrated Volatility with Tick Observations

Number of pages: 55 Posted: 14 Sep 2015 Last Revised: 28 Aug 2017
Jean Jacod, Yingying Li, Yingying Li and Xinghua Zheng
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 473 (105,516)
Citation 21

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High frequency data, integrated volatility, market microstructure noise, dependent noise, endogenous time

4.

Continuous-Time Fama-MacBeth Regressions

Downloads 282 (172,388)

Continuous-Time Fama-MacBeth Regressions

Chicago Booth Research Paper No. 20-30
Number of pages: 57 Posted: 17 Sep 2020 Last Revised: 13 May 2023
Yacine Ait-Sahalia, Jean Jacod and Dacheng Xiu
Princeton University - Department of Economics, Université Paris VI Pierre et Marie Curie and University of Chicago - Booth School of Business
Downloads 282 (186,014)

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Fama-MacBeth, two-pass regression, cross-section of expected returns, arbitrage pricing theory, high frequency data, semimartingales

5.

Testing for Jumps in a Discretely Observed Process

Paris December 2007 Finance International Meeting AFFI
Number of pages: 36 Posted: 12 Dec 2007
Yacine Ait-Sahalia and Jean Jacod
Princeton University - Department of Economics and Université Paris VI Pierre et Marie Curie
Downloads 219 (239,721)
Citation 48

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jumps, test, discrete, sampling, high frequency

6.

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9

CREATES Research Paper 2007-43
Number of pages: 32 Posted: 24 Jun 2008 Last Revised: 20 May 2010
Jean Jacod, Yingying Li, Yingying Li, Per A. Mykland, Mark Podolskij and Mathias Vetter
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, University of Chicago - Department of Statistics, Aarhus University - School of Business and Social Sciences and Ruhr University of Bochum
Downloads 216 (242,824)
Citation 105

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consistency, continuity, discrete observation, Itý process, leverage effect, pre-averaging, quarticity, realized volatility, stable convergence

7.

Limit Theorems for Moving Averages of Discretized Processes Plus Noise

Number of pages: 61 Posted: 02 Dec 2008
Jean Jacod, Mark Podolskij and Mathias Vetter
Université Paris VI Pierre et Marie Curie, Aarhus University - School of Business and Social Sciences and Ruhr University of Bochum
Downloads 67 (574,548)
Citation 29

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central limit theorem, high frequency observations, microstructure noise, quadratic variation, semimartingale, stable convergence

8.

A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

Nuffield College Economics Working Paper No. 2004-W29
Posted: 06 Dec 2004
Ole E. Barndorff-Nielsen, Svend Erik Graversen, Jean Jacod, Mark Podolskij and Neil Shephard
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Aarhus - Department of Mathematical Sciences, Université Paris VI Pierre et Marie Curie, University of Heidelberg - Institute of Applied Mathematics and Harvard University

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Central limit theorem, quadratic variation, bipower variation

9.

Local Martingales and the Fundamental Asset Pricing Theorems in the Discrete-Time Case

Posted: 16 Jul 1998
Jean Jacod and A.N. Shiryaev
Université Paris VI Pierre et Marie Curie and Steklov Mathematical Institute

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10.

On the Range of Options Prices

FINANCE AND STOCHASTICS, Vol. I No. 2, 1997
Posted: 10 Apr 1997
Ernst Eberlein and Jean Jacod
University of Freiburg and Université Paris VI Pierre et Marie Curie

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