591 citations · 1.9k across the 23 of their papers we have counts for
5 papers · 2 filters
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…
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…
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps
Jean Jacod, Markus Reiss
The optimal rate of convergence of estimators of the integrated volatility, for a discontinuous Itô semimartingale sampled at regularly spaced times and over a fixed time interval,…
Quarticity and other functionals of volatility: Efficient estimation
Jean Jacod, Mathieu Rosenbaum
We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency , with going to zero. The goal of this paper is to provide an estimator…