Jean Jacod

Université Paris VI Pierre et Marie Curie

4, Place Jussieu, B.P. 169

Laboratoire de Probabilites

F-75252-Paris Cedex 05

France

SCHOLARLY PAPERS

9

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74

CROSSREF CITATIONS

43

Scholarly Papers (9)

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 and Xinghua Zheng
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 613 (43,722)
Citation 6

Abstract:

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

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 261 (118,996)
Citation 3

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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 134 (219,676)
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 and Xinghua Zheng
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 289 (107,414)
Citation 6

Abstract:

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

4.

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 183 (168,417)
Citation 27

Abstract:

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jumps, test, discrete, sampling, high frequency

5.

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
Université Paris VI Pierre et Marie Curie, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance, University of Chicago - Department of Statistics, Aarhus University - School of Economics and Management and Ruhr Universität Bochum
Downloads 171 (178,829)
Citation 57

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

6.

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 Economics and Management and Ruhr Universität Bochum
Downloads 46 (410,926)
Citation 22

Abstract:

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

7.

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
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

Abstract:

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Central limit theorem, quadratic variation, bipower variation

8.

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

Finance And Stochastics, Vol. 2, Issue 3, 1998
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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9.

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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