591 citations · 1.9k across the 23 of their papers we have counts for
23 papers
A review of asymptotic theory of estimating functions
Jean Jacod, Michael Sørensen
Asymptotic statistical theory for estimating functions is reviewed in a generality suitable for stochastic processes. Conditions concerning existence of a consistent estimator, uni…
Backward stochastic differential equation driven by a marked point process: An elementary approach with an application to optimal control
Fulvia Confortola, Marco Fuhrman, Jean Jacod
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump…
Efficient estimation of integrated volatility in presence of infinite variation jumps
Jean Jacod, Viktor Todorov
We propose new nonparametric estimators of the integrated volatility of an Itô semimartingale observed at discrete times on a fixed time interval with mesh of the observation grid…
Statistical Properties of Microstructure Noise
Jean Jacod, Yingying Li, Xinghua Zheng
We study the estimation of moments and joint moments of microstructure noise. Estimators of arbitrary order of (joint) moments are provided, for which we establish consistency as w…
A test for the rank of the volatility process: the random perturbation approach
Jean Jacod, Mark Podolskij
In this paper we present a test for the maximal rank of the matrix-valued volatility process in the continuous Ito semimartingale framework. Our idea is based upon a random perturb…
Estimation of volatility functionals: the case of a square root n window
Jean Jacod, Mathieu Rosenbaum
We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency 1/Δ_n, with Δ_n going to zero. The goal of this paper is to provide an estimator for…