591 citations · 1.3k across the 9 of their papers we have counts for
6 papers · 1 filter
Testing whether jumps have finite or infinite activity
Yacine Aït-Sahalia, Jean Jacod
We propose statistical tests to discriminate between the finite and infinite activity of jumps in a semimartingale discretely observed at high frequency. The two statistics allow f…
Identifying the successive Blumenthal-Getoor indices of a discretely observed process
Yacine Aït-Sahalia, Jean Jacod
This paper studies the identification of the Lévy jump measure of a discretely-sampled semimartingale. We define successive Blumenthal-Getoor indices of jump activity, and show tha…
Estimating the degree of activity of jumps in high frequency data
Yacine Aït-Sahalia, Jean Jacod
We define a generalized index of jump activity, propose estimators of that index for a discretely sampled process and derive the estimators' properties. These estimators are applic…
Testing for jumps in a discretely observed process
Yacine Aït-Sahalia, Jean Jacod
We propose a new test to determine whether jumps are present in asset returns or other discretely sampled processes. As the sampling interval tends to 0, our test statistic converg…
Closed-form likelihood expansions for multivariate diffusions
Yacine Aït-Sahalia
This paper provides closed-form expansions for the log-likelihood function of multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion are calc…
Estimators of diffusions with randomly spaced discrete observations: A general theory
Yacine Ait-Sahalia, Per A. Mykland
We provide a general method to analyze the asymptotic properties of a variety of estimators of continuous time diffusion processes when the data are not only discretely sampled in…