591 citations · 1.4k across the 10 of their papers we have counts for
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math.ST2012★ 89 cited
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…
q-fin.PM2012★ 3 cited
Portfolio Choice in Markets with Contagion
Yacine Aït-Sahalia, T. R. Hurd
We consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump proce…
math.ST2012★ 19 cited
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…