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

10

DOWNLOADS
Rank 32,616

SSRN RANKINGS

Top 32,616

in Total Papers Downloads

2,160

SSRN CITATIONS
Rank 6,666

SSRN RANKINGS

Top 6,666

in Total Papers Citations

159

CROSSREF CITATIONS

38

Scholarly Papers (10)

1.

Statistical Properties of Microstructure Noise

Econometrica, Forthcoming
Number of pages: 71 Posted: 07 Feb 2013 Last Revised: 21 Feb 2017
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 706 (51,902)
Citation 21

Abstract:

Loading...

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 275 (155,367)
Citation 7

Abstract:

Loading...

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 145 (278,846)
Citation 2

Abstract:

Loading...

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
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 416 (99,706)
Citation 14

Abstract:

Loading...

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 201 (210,945)
Citation 33

Abstract:

Loading...

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 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 192 (219,747)
Citation 89

Abstract:

Loading...

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

Inference on Risk Premia in Continuous-Time Asset Pricing Models

Chicago Booth Research Paper No. 20-30
Number of pages: 46 Posted: 17 Sep 2020
Princeton University - Department of Economics, Université Paris VI Pierre et Marie Curie and University of Chicago - Booth School of Business
Downloads 173 (240,611)

Abstract:

Loading...

Two-pass regression, cross-section of expected returns, arbitrage pricing theory, high frequency data, long horizon, semimartingales

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 52 (516,488)
Citation 29

Abstract:

Loading...

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
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:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...