Aït-Sahalia, Yacine; Jacod, Jean From tick data to semimartingales. (English) Zbl 1476.62218 Ann. Appl. Probab. 30, No. 6, 2740-2768 (2020). MSC: 62P05 62F12 62M05 60G48 60H10 60J60 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Ann. Appl. Probab. 30, No. 6, 2740--2768 (2020; Zbl 1476.62218) Full Text: DOI Link
Aït-Sahalia, Yacine; Xiu, Dacheng Principal component analysis of high-frequency data. (English) Zbl 1478.62150 J. Am. Stat. Assoc. 114, No. 525, 287-303 (2019). MSC: 62H25 60H30 62P05 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{D. Xiu}, J. Am. Stat. Assoc. 114, No. 525, 287--303 (2019; Zbl 1478.62150) Full Text: DOI
Aït-Sahalia, Yacine; Jacod, Jean Semimartingale: Itô or not ? (English) Zbl 06814949 Stochastic Processes Appl. 128, No. 1, 233-254 (2018). MSC: 62F12 62M05 60H10 60J60 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Stochastic Processes Appl. 128, No. 1, 233--254 (2018; Zbl 06814949) Full Text: DOI
Aït-Sahalia, Yacine; Xiu, Dacheng Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (English) Zbl 1377.62148 J. Econom. 201, No. 2, 384-399 (2017). MSC: 62H25 62P05 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{D. Xiu}, J. Econom. 201, No. 2, 384--399 (2017; Zbl 1377.62148) Full Text: DOI
Aït-Sahalia, Yacine; Jacod, Jean Identifying the successive Blumenthal-Getoor indices of a discretely observed process. (English) Zbl 1297.62051 Ann. Stat. 40, No. 3, 1430-1464 (2012). MSC: 62F12 62M05 60H10 60J60 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Ann. Stat. 40, No. 3, 1430--1464 (2012; Zbl 1297.62051) Full Text: DOI arXiv Euclid
Aït-Sahalia, Yacine; Jacod, Jean Is Brownian motion necessary to model high-frequency data? (English) Zbl 1327.62118 Ann. Stat. 38, No. 5, 3093-3128 (2010). MSC: 62F12 62M05 60H10 60J60 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Ann. Stat. 38, No. 5, 3093--3128 (2010; Zbl 1327.62118) Full Text: DOI arXiv
Aït-Sahalia, Yacine; Jacod, Jean Estimating the degree of activity of jumps in high frequency data. (English) Zbl 1173.62060 Ann. Stat. 37, No. 5A, 2202-2244 (2009). MSC: 62M05 62F12 62P05 65C05 60H10 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Ann. Stat. 37, No. 5A, 2202--2244 (2009; Zbl 1173.62060) Full Text: DOI arXiv
Aït-Sahalia, Yacine; Jacod, Jean Testing for jumps in a discretely observed process. (English) Zbl 1155.62057 Ann. Stat. 37, No. 1, 184-222 (2009). MSC: 62M02 62F12 60G48 62M05 60F05 60H10 60J60 62P05 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{J. Jacod}, Ann. Stat. 37, No. 1, 184--222 (2009; Zbl 1155.62057) Full Text: DOI arXiv Euclid
Aït-Sahalia, Yacine; Mancini, Loriano Out of sample forecasts of quadratic variation. (English) Zbl 1429.62648 J. Econom. 147, No. 1, 17-33 (2008). MSC: 62P20 62M10 62P05 91B84 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{L. Mancini}, J. Econom. 147, No. 1, 17--33 (2008; Zbl 1429.62648) Full Text: DOI