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Jean Jacod

University of Paris
Pierre-and-Marie-Curie University
University of Rennes

222

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14712

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Inference on Risk Premia in Continuous-Time Asset Pricing Models

2020
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Inference on Risk Premia in Continuous-Time Asset Pricing Models

2020 National Bureau of Economic Research
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Estimating the Integrated Volatility with Tick Observations

2019 Journal of Econometrics
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Estimation of volatility in a high-frequency setting: a short review

2019
- Jean Jacod
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Estimating the integrated volatility with tick observations

2019 Journal of Econometrics
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On the minimal number of driving Lévy motions in a multivariate price model

2018 Journal of Applied Probability
- Jean Jacod
- Mark Podolskij
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Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation

2018 Annals of Applied Probability
- Jean Jacod
- Viktor Todorov
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Limit of Random Measures Associated with the Increments of a Brownian Semimartingale

2018 Journal of Financial Econometrics
- Jean Jacod
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Testing for non-correlation between price and volatility jumps

2017 Journal of Econometrics
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From Tick Data to Semimartingales

2017 Social Science Research Network
- Yacine Aït-Sahalia
- Jean Jacod
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