591 citations · 1.9k across the 23 of their papers we have counts for
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math.ST2009★ 298 cited
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…
math.ST2009★ 206 cited
Testing for common arrivals of jumps for discretely observed multidimensional processes
Jean Jacod, Viktor Todorov
We consider a bivariate process , which is observed on a finite time interval at discrete times Assuming that its two components …
math.ST2009★ 591 cited
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…