591 citations · 1.9k across the 23 of their papers we have counts for
Showing 2010Show all
3 papers · 1 filter
math.ST2010★ 87 cited
Is Brownian motion necessary to model high-frequency data?
Yacine Aït-Sahalia, Jean Jacod
This paper considers the problem of testing for the presence of a continuous part in a semimartingale sampled at high frequency. We provide two tests, one where the null hypothesis…
q-fin.ST2010★ 144 cited
Do price and volatility jump together?
Jean Jacod, Viktor Todorov
We consider a process , which is observed on a finite time interval , at discrete times This process is an Itô semimartingale with stochastic volat…
math.ST2010★ 67 cited
Limit theorems for moving averages of discretized processes plus noise
Jean Jacod, Mark Podolskij, Mathias Vetter
This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise which are observed at high frequency. Our method generalizes the pr…