87 citations · 99 across the 3 of their papers we have counts for
3 papers
math.ST2010★ 12 cited
Nonparametric tests of the Markov hypothesis in continuous-time models
Yacine Aït-Sahalia, Jianqing Fan, Jiancheng Jiang
We propose several statistics to test the Markov hypothesis for -mixing stationary processes sampled at discrete time intervals. Our tests are based on the Chapman--Kolmogorov e…
math.ST2010★ 87 cited
Is Brownian motion necessary to model high-frequency data?
Yacine Aït-Sahalia, Jean Jacod
This paper considers the problem of testing for the presence of a continuous part in a semimartingale sampled at high frequency. We provide two tests, one where the null hypothesis…
math.ST2005
Volatility Estmators for Discretely Sampled Lévy Processses
Yacine Aït-Sahalia, Jean Jacod
This paper provides rate-efficient estimators of the volatility parameter in the presence of Lévy jumps