Edit Profile (opens in new tab) Jacod, Jean Co-Author Distance Author ID: jacod.jean Published as: Jacod, Jean; Jacod, J. Homepage: https://www.lpsm.paris//pageperso/jacod/ External Links: MGP · Wikidata · dblp · GND · IdRef · theses.fr Videos: carmin.tv Documents Indexed: 158 Publications since 1970, including 11 Books 2 Contributions as Editor · 1 Further Contribution Co-Authors: 65 Co-Authors with 105 Joint Publications 1,924 Co-Co-Authors all top 5 Co-Authors 55 single-authored 15 Protter, Philip Elliott 11 Aït-Sahalia, Yacine 10 Mémin, Jean 7 Todorov, Viktor 5 Gravereaux, Jean-Bernard 5 Podolskij, Mark 5 Shiryaev, Al’bert Nikolaevich 4 Barndorff-Nielsen, Ole Eiler 4 Benveniste, Albert 4 Del Moral, Pierre 4 Klüppelberg, Claudia 3 Bichteler, Klaus 3 Cinlar, Erhan 3 Li, Yingying 3 Skorokhod, Anatoliĭ Volodymyrovych 2 Bertoin, Jean 2 Eberlein, Ernst W. 2 Genon-Catalot, Valentine 2 Gloter, Arnaud 2 Graversen, Svend Erik 2 Li, Jia 2 Méléard, Sylvie 2 Müller, Gernot J. 2 Mykland, Per Aslak 2 Rosenbaum, Mathieu 2 Shephard, Neil 2 Vetter, Mathias 2 Yor, Marc 2 Zheng, Xinghua 1 Brémaud, Pierre 1 Bretagnolle, Jean L. 1 Confortola, Fulvia 1 Coquet, François 1 Delattre, Sylvain 1 Diop, Assane 1 Doney, Ronald Arthur 1 Fuhrman, Marco 1 Hayashi, Takaki 1 Höpfner, Reinhard 1 Ibragimov, Il’dar Abdullovich 1 Jakubowski, Adam 1 Klopotowski, Andrzej 1 Kowalski, Emmanuel 1 Kubilius, Kȩstutis 1 Kurtz, Thomas Gordon 1 Ladelli, Lucia 1 Leipus, Remigijus 1 Lejay, Antoine 1 Liao, Zhipeng 1 Lin, Huidi 1 Mackevičius, Vigirdas 1 Maisonneuve, Bernard 1 Mano, Pascal 1 Metivier, Michel 1 Mikulevicius, Remigijus 1 Nikeghbali, Ashkan 1 Paulauskas, Vygantas Ionovič 1 Pérez-Abreu Carrión, Víctor M. 1 Raible, Sebastian 1 Reiß, Markus 1 Sadi, H. 1 Sharpe, Michael J. 1 Surgailis, Donatas 1 Talay, Denis 1 Yoshida, Nakahiro all top 5 Serials 13 The Annals of Statistics 10 Stochastic Processes and their Applications 9 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 6 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique 6 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 5 The Annals of Probability 5 The Annals of Applied Probability 5 Comptes Rendus Hebdomadaires des Séances de l’Académie des Sciences, Série A 4 Stochastics 4 Probability Theory and Related Fields 4 Finance and Stochastics 3 Journal of Applied Probability 3 Journal of Econometrics 3 Bernoulli 3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Scandinavian Journal of Statistics 2 Econometrica 2 Bulletin de la Société Mathématique de France. Supplément. Mémoires 2 Grundlehren der Mathematischen Wissenschaften 2 Lecture Notes in Mathematics 2 Universitext 1 Advances in Applied Probability 1 Lithuanian Mathematical Journal 1 Annales Scientifiques de l’Université de Clermont-Ferrand II. Mathématiques 1 Inventiones Mathematicae 1 Journal of Theoretical Probability 1 Forum Mathematicum 1 Litovskiĭ Matematicheskiĭ Sbornik 1 Comptes Rendus de l’Académie des Sciences. Série I 1 Statistical Inference for Stochastic Processes 1 Econometric Theory 1 Decisions in Economics and Finance 1 Oberwolfach Reports 1 Stochastics Monographs 1 Enseignement des Mathématiques (Cassini) 1 Stochastic Modelling and Applied Probability 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys all top 5 Fields 145 Probability theory and stochastic processes (60-XX) 52 Statistics (62-XX) 10 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 8 Numerical analysis (65-XX) 7 Systems theory; control (93-XX) 3 History and biography (01-XX) 2 General and overarching topics; collections (00-XX) 2 Measure and integration (28-XX) 1 Number theory (11-XX) 1 Ordinary differential equations (34-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 145 Publications have been cited 7,335 times in 4,596 Documents Cited by ▼ Year ▼ Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002 Jacod, Jean; Shiryaev, Albert N. 1,377 2003 Limit theorems for stochastic processes. Zbl 0635.60021 Jacod, Jean; Shiryaev, Albert N. 735 1987 Calcul stochastique et problèmes de martingales. Zbl 0414.60053 Jacod, J. 556 1979 Microstructure noise in the continuous case: the pre-averaging approach. Zbl 1166.62078 Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias 246 2009 Multivariate point processes: Predictable projection, Radon-Nikodym derivatives representation of martingales. Zbl 0302.60032 Jacod, Jean 236 1975 Discretization of processes. Zbl 1259.60004 Jacod, Jean; Protter, Philip 225 2012 Limit theorems for stochastic processes. Vol. 1-2. (Predel’nye teoremy dlya sluchajnykh protsessov. Tom 1-2.) Zbl 0830.60025 Jacod, J.; Shiryaev, A. N. 185 1994 Testing for jumps in a discretely observed process. Zbl 1155.62057 Aït-Sahalia, Yacine; Jacod, Jean 182 2009 Asymptotic error distributions for the Euler method for stochastic differential equations. Zbl 0937.60060 Jacod, Jean; Protter, Philip 162 1998 High-frequency financial econometrics. Zbl 1298.91018 Aït-Sahalia, Yacine; Jacod, Jean 157 2014 Asymptotic properties of realized power variations and related functionals of semimartingales. Zbl 1142.60022 Jacod, Jean 149 2008 Malliavin calculus for processes with jumps. Zbl 0706.60057 Bichteler, Klaus; Gravereaux, Jean-Bernard; Jacod, Jean 139 1987 On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Zbl 0770.62070 Genon-Catalot, Valentine; Jacod, Jean 128 1993 Estimating the degree of activity of jumps in high frequency data. Zbl 1173.62060 Aït-Sahalia, Yacine; Jacod, Jean 117 2009 A central limit theorem for realised power and bipower variation of continuous semimartingales. Zbl 1106.60037 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark; Shephard, Neil 103 2006 On continuous conditional Gaussian martingales and stable convergence in law. Zbl 0884.60038 Jacod, Jean 74 1997 Probability essentials. 2nd revised ed. Zbl 1014.60004 Jacod, Jean; Protter, Philip 71 2003 Grossissement initial, hypothèse (H’) et théorème de Girsanov. Zbl 0568.60049 Jacod, Jean 71 1985 Diffusions with measurement errors. I: Local asymptotic normality. Zbl 1008.60089 Gloter, Arnaud; Jacod, Jean 70 2001 Semimartingales and Markov processes. Zbl 0443.60074 Cinlar, E.; Jacod, J.; Protter, P.; Sharpe, M. J. 69 1980 Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036 Jacod, J.; Shiryaev, A. N. 66 1998 Quarticity and other functionals of volatility: efficient estimation. Zbl 1292.60033 Jacod, Jean; Rosenbaum, Mathieu 62 2013 Diffusions with measurement errors. II: Optimal estimators. Zbl 1009.60065 Gloter, Arnaud; Jacod, Jean 53 2001 The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046 Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip 53 2005 Systemes de Levy des processus de Markov. Zbl 0265.60074 Benveniste, Albert; Jacod, Jean 52 1973 The Euler scheme for Lévy driven stochastic differential equations: limit theorems. Zbl 1054.65008 Jacod, Jean 51 2004 Limit theorems for moving averages of discretized processes plus noise. Zbl 1196.60033 Jacod, Jean; Podolskij, Mark; Vetter, Mathias 51 2010 Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil 50 2006 Volatility estimators for discretely sampled Lévy processes. Zbl 1114.62109 Aït-Sahalia, Yacine; Jacod, Jean 50 2007 On the range of options prices. Zbl 0889.90020 Eberlein, Ernst; Jacod, Jean 49 1997 Is Brownian motion necessary to model high-frequency data? Zbl 1327.62118 Aït-Sahalia, Yacine; Jacod, Jean 45 2010 Testing for jumps in noisy high frequency data. Zbl 1443.62325 Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia 45 2012 Caractéristiques locales et conditions de continuite absolue pour les semi-martingales. Zbl 0315.60026 Jacod, J.; Memin, J. 45 1976 Do price and volatility jump together? Zbl 1203.62139 Jacod, Jean; Todorov, Viktor 45 2010 Statistics and high-frequency data. Zbl 1375.62025 Jacod, Jean 44 2012 Non-parametric kernel estimation of the coefficient of diffusion. Zbl 0938.62085 Jacod, Jean 42 2000 Sur un type de convergence intermediaire entre la convergence en loi et la convergence en probabilité. Zbl 0458.60016 Jacod, Jean; Memin, Jean 42 1981 Testing for common arrivals of jumps for discretely observed multidimensional processes. Zbl 1168.62075 Jacod, Jean; Todorov, Viktor 42 2009 The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072 Del Moral, Pierre; Jacod, Jean; Protter, Philip 41 2001 Asymptotic properties of power variations of Lévy processes. Zbl 1185.60031 Jacod, Jean 39 2007 Processus ponctuels et martingales: Résultats recents sur la modelisation et le filtrage. Zbl 0369.60059 Bremaud, P.; Jacod, J. 39 1977 Lévy term structure models: no-arbitrage and completeness. Zbl 1065.60086 Eberlein, Ernst; Jacod, Jean; Raible, Sebastian 38 2005 Risk-neutral compatibility with option prices. Zbl 1224.91156 Jacod, Jean; Protter, Philip 38 2010 A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors. Zbl 0882.60017 Delattre, Sylvain; Jacod, Jean 37 1997 Efficient estimation of integrated volatility in presence of infinite variation jumps. Zbl 1305.62146 Jacod, Jean; Todorov, Viktor 37 2014 Time reversal on Lévy processes. Zbl 0646.60052 Jacod, Jean; Protter, Philip 36 1988 Étude des solutions extremales et représentation intégrale des solutions pour certains problèmes de martingales. Zbl 0346.60032 Jacod, Jean; Yor, Marc 34 1977 Irregular sampling and central limit theorems for power variations: the continuous case. Zbl 1271.62198 Hayashi, Takaki; Jacod, Jean; Yoshida, Nakahiro 34 2011 Fisher’s information for discretely sampled Lévy processes. Zbl 1144.62070 Aït-Sahalia, Yacine; Jacod, Jean 33 2008 Representation of semimartingale Markov processes in terms of Wiener processes and Poisson random measures. Zbl 0531.60068 Çinlar, E.; Jacod, J. 32 1981 Calcul de Malliavin pour les diffusions avec sauts: Existence d’une densité dans le cas unidimensionnel. Zbl 0525.60067 Bichteler, Klaus; Jacod, Jean 32 1983 Testing whether jumps have finite or infinite activity. Zbl 1234.62117 Aït-Sahalia, Yacine; Jacod, Jean 31 2011 Weak and strong solutions of stochastic differential equations: Existence and stability. Zbl 0471.60066 Jacod, Jean; Memin, Jean 31 1981 Statistical properties of microstructure noise. Zbl 1410.62204 Jacod, Jean; Li, Yingying; Zheng, Xinghua 29 2017 A remark on the rates of convergence for integrated volatility estimation in the presence of jumps. Zbl 1305.62036 Jacod, Jean; Reiss, Markus 29 2014 Mod-Gaussian convergence: new limit theorems in probability and number theory. Zbl 1225.15035 Jacod, Jean; Kowalski, Emmanuel; Nikeghbali, Ashkan 28 2011 Probability essentials. Zbl 0968.60003 Jacod, Jean; Protter, Philip 28 2000 Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control. Zbl 1345.60048 Confortola, Fulvia; Fuhrman, Marco; Jacod, Jean 27 2016 Rates of convergence to the local time of a diffusion. Zbl 0911.60055 Jacod, Jean 24 1998 Weak and strong solutions of stochastic differential equations. Zbl 0434.60061 Jacod, Jean 24 1980 Théorème de renouvellement et classification pour les chaînes semi- markoviennes. Zbl 0217.50502 Jacod, J. 23 1971 Parametric inference for discretely observed non-ergodic diffusions. Zbl 1100.62081 Jacod, Jean 23 2006 Estimation of the diffusion coefficient for diffusion processes: Random sampling. Zbl 0804.62078 Genon-Catalot, V.; Jacod, J. 22 1994 Un théorème de représentation pour les martingales discontinues. Zbl 0307.60043 Jacod, Jean 21 1976 Explicit form and robustness of martingale representations. Zbl 1044.60042 Jacod, Jean; Méléard, Sylvie; Protter, Philip 21 2000 Théorèmes limite pour les processus. Zbl 0565.60030 Jacod, J. 21 1985 On tightness and stopping times. Zbl 0501.60029 Jacod, J.; Memin, J.; Metivier, M. 20 1983 Local asymptotic normality and mixed normality for Markov statistical models. Zbl 0685.60016 Höpfner, Reinhard; Jacod, Jean; Ladelli, Lucia 19 1990 A general theorem of representation for martingales. Zbl 0362.60068 Jacod, Jean 18 1977 A test for the rank of the volatility process: the random perturbation approach. Zbl 1292.62126 Jacod, Jean; Podolskij, Mark 18 2013 Jumping Markov processes. Zbl 0841.60066 Jacod, J.; Skorokhod, A. V. 17 1996 Existence of weak solutions for stochastic differential equations with driving semimartingales. Zbl 0454.60057 Jacod, Jean; Memin, Jean 17 1981 Jumping filtrations and martingales with finite variation. Zbl 0814.60039 Jacod, J.; Skorohod, A. V. 16 1994 Random measures and stochastic integration. Zbl 0514.60051 Bichteler, K.; Jacod, J. 16 1983 Identifying the successive Blumenthal-Getoor indices of a discretely observed process. Zbl 1297.62051 Aït-Sahalia, Yacine; Jacod, Jean 15 2012 Intégrales stochastiques par rapport à une semimartingale vectorielle et changements de filtration. Zbl 0429.60054 Jacod, Jean 15 1980 Estimating the integrated volatility with tick observations. Zbl 1452.62771 Jacod, Jean; Li, Yingying; Zheng, Xinghua 14 2019 Interacting particle filtering with discrete observations. Zbl 1056.93574 Del Moral, Pierre; Jacod, Jean 14 2001 Une condition d’existence et d’unicité pour les solutions fortes d’équations différentielles stochastiques. Zbl 0436.60044 Jacod, Jean 14 1980 A review of asymptotic theory of estimating functions. Zbl 1450.62101 Jacod, Jean; Sørensen, Michael 13 2018 Convergence en loi de semimartingales et variation quadratique. Zbl 0458.60037 Jacod, Jean 12 1981 Quelques remarques sur un nouveau type d’équations différentielles stochastiques. Zbl 0482.60056 Jacod, Jean; Protter, Philip 12 1982 Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095 Jacod, Jean; Mykland, Per A. 11 2015 Estimation of volatility functionals: the case of a \(\sqrt{n}\) window. Zbl 1401.60078 Jacod, Jean; Rosenbaum, Mathieu 11 2015 Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation. Zbl 1391.60044 Jacod, Jean; Todorov, Viktor 11 2018 Théorème de la limite centrale et convergence fonctionnelle vers un processus à accroissements independants: la méthode des martingales. Zbl 0493.60033 Jacod, J.; Klopotowski, A.; Memin, J. 10 1982 Convergence of filtered statistical models and Hellinger processes. Zbl 0684.60030 Jacod, Jean 9 1989 On asymptotic errors in discretization of processes. Zbl 1058.60020 Jacod, J.; Jakubowski, A.; Mémin, J. 8 2003 Grossissements de filtration et processus d’Ornstein-Uhlenbeck généralisé. Zbl 0575.60057 Jacod, Jean 8 1985 Estimation of the Brownian dimension of a continuous Itô process. Zbl 1155.62059 Jacod, Jean; Lejay, Antoine; Talay, Denis 8 2008 Quadratic variation of the Brownian motion in the presence of round-off errors. (La variation quadratique du brownien en présence d’erreurs d’arrondi.) Zbl 0861.60085 Jacod, J. 7 1996 The Monte-Carlo method for filtering with discrete-time observations: central limit theorems. Zbl 1111.60302 Del Moral, Pierre; Jacod, Jean 7 2002 Systemes regeneratifs et processus semi-Markoviens. Zbl 0282.60059 Jacod, Jean 7 1974 Equations différentielles stochastiques linéaires: La méthode de variation des constantes. Zbl 0479.60063 Jacod, Jean 7 1982 A remark on stochastic differential equations with Markov solutions. (Une remarque sur les équations différentielles stochastiques à solutions markoviennes.) Zbl 0741.60051 Jacod, J.; Protter, P. 6 1991 Partial likelihood process and asymptotic normality. Zbl 0632.62088 Jacod, Jean 6 1987 Efficient estimation of integrated volatility in presence of infinite variation jumps with multiple activity indices. Zbl 1354.60019 Jacod, Jean; Todorov, Viktor 6 2016 Semi-groupes et mesures invariantes pour les processus semi-markoviens à espace d’etat quelconque. Zbl 0254.60065 Jacod, Jean 6 1973 Projection des fonctionnelles additives et représentation des potentiels d’un processus de Markov. Zbl 0258.60054 Benveniste, Albert; Jacod, Jean 6 1973 Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales. Zbl 1274.60063 Diop, Assane; Jacod, Jean; Todorov, Viktor 6 2013 Systematic jump risk. Zbl 1548.60057 Jacod, Jean; Lin, Huidi; Todorov, Viktor 1 2024 Volatility coupling. Zbl 1478.60106 Jacod, Jean; Li, Jia; Liao, Zhipeng 1 2021 From tick data to semimartingales. Zbl 1476.62218 Aït-Sahalia, Yacine; Jacod, Jean 1 2020 Estimating the integrated volatility with tick observations. Zbl 1452.62771 Jacod, Jean; Li, Yingying; Zheng, Xinghua 14 2019 Estimation of volatility in a high-frequency setting: a short review. Zbl 1432.91111 Jacod, Jean 4 2019 A review of asymptotic theory of estimating functions. Zbl 1450.62101 Jacod, Jean; Sørensen, Michael 13 2018 Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation. Zbl 1391.60044 Jacod, Jean; Todorov, Viktor 11 2018 Semimartingale: Itô or not ? Zbl 06814949 Aït-Sahalia, Yacine; Jacod, Jean 4 2018 On the minimal number of driving Lévy motions in a multivariate price model. Zbl 1402.60068 Jacod, Jean; Podolskij, Mark 1 2018 Statistical properties of microstructure noise. Zbl 1410.62204 Jacod, Jean; Li, Yingying; Zheng, Xinghua 29 2017 Testing for non-correlation between price and volatility jumps. Zbl 1422.91781 Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot 6 2017 Options prices in incomplete markets. Zbl 1407.91251 Jacod, Jean; Protter, Philip 2 2017 Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control. Zbl 1345.60048 Confortola, Fulvia; Fuhrman, Marco; Jacod, Jean 27 2016 Efficient estimation of integrated volatility in presence of infinite variation jumps with multiple activity indices. Zbl 1354.60019 Jacod, Jean; Todorov, Viktor 6 2016 Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095 Jacod, Jean; Mykland, Per A. 11 2015 Estimation of volatility functionals: the case of a \(\sqrt{n}\) window. Zbl 1401.60078 Jacod, Jean; Rosenbaum, Mathieu 11 2015 High-frequency financial econometrics. Zbl 1298.91018 Aït-Sahalia, Yacine; Jacod, Jean 157 2014 Efficient estimation of integrated volatility in presence of infinite variation jumps. Zbl 1305.62146 Jacod, Jean; Todorov, Viktor 37 2014 A remark on the rates of convergence for integrated volatility estimation in the presence of jumps. Zbl 1305.62036 Jacod, Jean; Reiss, Markus 29 2014 Quarticity and other functionals of volatility: efficient estimation. Zbl 1292.60033 Jacod, Jean; Rosenbaum, Mathieu 62 2013 A test for the rank of the volatility process: the random perturbation approach. Zbl 1292.62126 Jacod, Jean; Podolskij, Mark 18 2013 Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales. Zbl 1274.60063 Diop, Assane; Jacod, Jean; Todorov, Viktor 6 2013 Discretization of processes. Zbl 1259.60004 Jacod, Jean; Protter, Philip 225 2012 Testing for jumps in noisy high frequency data. Zbl 1443.62325 Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia 45 2012 Statistics and high-frequency data. Zbl 1375.62025 Jacod, Jean 44 2012 Identifying the successive Blumenthal-Getoor indices of a discretely observed process. Zbl 1297.62051 Aït-Sahalia, Yacine; Jacod, Jean 15 2012 Functional relationships between price and volatility jumps and their consequences for discretely observed data. Zbl 1263.60038 Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot 4 2012 Lévy processes at Saint-Flour. Reprint of lectures originally published in the Lecture Notes in Mathematics volumes 307 (1973), 1117 (1985), 1717 (1999) and 1897 (2007). Zbl 1254.60004 Bertoin, Jean; Bretagnolle, Jean L.; Doney, Ronald A.; Ibragimov, Ildar A.; Jacod, Jean 2 2012 Irregular sampling and central limit theorems for power variations: the continuous case. Zbl 1271.62198 Hayashi, Takaki; Jacod, Jean; Yoshida, Nakahiro 34 2011 Testing whether jumps have finite or infinite activity. Zbl 1234.62117 Aït-Sahalia, Yacine; Jacod, Jean 31 2011 Mod-Gaussian convergence: new limit theorems in probability and number theory. Zbl 1225.15035 Jacod, Jean; Kowalski, Emmanuel; Nikeghbali, Ashkan 28 2011 Limit theorems for moving averages of discretized processes plus noise. Zbl 1196.60033 Jacod, Jean; Podolskij, Mark; Vetter, Mathias 51 2010 Is Brownian motion necessary to model high-frequency data? Zbl 1327.62118 Aït-Sahalia, Yacine; Jacod, Jean 45 2010 Do price and volatility jump together? Zbl 1203.62139 Jacod, Jean; Todorov, Viktor 45 2010 Risk-neutral compatibility with option prices. Zbl 1224.91156 Jacod, Jean; Protter, Philip 38 2010 Microstructure noise in the continuous case: the pre-averaging approach. Zbl 1166.62078 Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias 246 2009 Testing for jumps in a discretely observed process. Zbl 1155.62057 Aït-Sahalia, Yacine; Jacod, Jean 182 2009 Estimating the degree of activity of jumps in high frequency data. Zbl 1173.62060 Aït-Sahalia, Yacine; Jacod, Jean 117 2009 Testing for common arrivals of jumps for discretely observed multidimensional processes. Zbl 1168.62075 Jacod, Jean; Todorov, Viktor 42 2009 Asymptotic properties of realized power variations and related functionals of semimartingales. Zbl 1142.60022 Jacod, Jean 149 2008 Fisher’s information for discretely sampled Lévy processes. Zbl 1144.62070 Aït-Sahalia, Yacine; Jacod, Jean 33 2008 Estimation of the Brownian dimension of a continuous Itô process. Zbl 1155.62059 Jacod, Jean; Lejay, Antoine; Talay, Denis 8 2008 Volatility estimators for discretely sampled Lévy processes. Zbl 1114.62109 Aït-Sahalia, Yacine; Jacod, Jean 50 2007 Asymptotic properties of power variations of Lévy processes. Zbl 1185.60031 Jacod, Jean 39 2007 A central limit theorem for realised power and bipower variation of continuous semimartingales. Zbl 1106.60037 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark; Shephard, Neil 103 2006 Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114 Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil 50 2006 Parametric inference for discretely observed non-ergodic diffusions. Zbl 1100.62081 Jacod, Jean 23 2006 The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046 Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip 53 2005 Lévy term structure models: no-arbitrage and completeness. Zbl 1065.60086 Eberlein, Ernst; Jacod, Jean; Raible, Sebastian 38 2005 The Euler scheme for Lévy driven stochastic differential equations: limit theorems. Zbl 1054.65008 Jacod, Jean 51 2004 Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002 Jacod, Jean; Shiryaev, Albert N. 1,377 2003 Probability essentials. 2nd revised ed. Zbl 1014.60004 Jacod, Jean; Protter, Philip 71 2003 On asymptotic errors in discretization of processes. Zbl 1058.60020 Jacod, J.; Jakubowski, A.; Mémin, J. 8 2003 Probability essentials. Translated from the 2003 English original. (L’essentiel en théorie de probabilités. Traduit de 2003 l’anglais original.) Zbl 1105.60001 Jacod, Jean; Protter, Philip 2 2003 On processes with conditional independent increments and stable convergence in law. Zbl 1034.60035 Jacod, Jean 2 2003 The Monte-Carlo method for filtering with discrete-time observations: central limit theorems. Zbl 1111.60302 Del Moral, Pierre; Jacod, Jean 7 2002 Diffusions with measurement errors. I: Local asymptotic normality. Zbl 1008.60089 Gloter, Arnaud; Jacod, Jean 70 2001 Diffusions with measurement errors. II: Optimal estimators. Zbl 1009.60065 Gloter, Arnaud; Jacod, Jean 53 2001 The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072 Del Moral, Pierre; Jacod, Jean; Protter, Philip 41 2001 Interacting particle filtering with discrete observations. Zbl 1056.93574 Del Moral, Pierre; Jacod, Jean 14 2001 Non-parametric kernel estimation of the coefficient of diffusion. Zbl 0938.62085 Jacod, Jean 42 2000 Probability essentials. Zbl 0968.60003 Jacod, Jean; Protter, Philip 28 2000 Explicit form and robustness of martingale representations. Zbl 1044.60042 Jacod, Jean; Méléard, Sylvie; Protter, Philip 21 2000 Interacting particle filtering with discrete-time observations: Asymptotic behaviour in the Gaussian case. Zbl 0982.60026 Del Moral, Pierre; Jacod, Jean 2 2000 Asymptotic error distributions for the Euler method for stochastic differential equations. Zbl 0937.60060 Jacod, Jean; Protter, Philip 162 1998 Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036 Jacod, J.; Shiryaev, A. N. 66 1998 Rates of convergence to the local time of a diffusion. Zbl 0911.60055 Jacod, Jean 24 1998 On continuous conditional Gaussian martingales and stable convergence in law. Zbl 0884.60038 Jacod, Jean 74 1997 On the range of options prices. Zbl 0889.90020 Eberlein, Ernst; Jacod, Jean 49 1997 A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors. Zbl 0882.60017 Delattre, Sylvain; Jacod, Jean 37 1997 Jumping Markov processes. Zbl 0841.60066 Jacod, J.; Skorokhod, A. V. 17 1996 Quadratic variation of the Brownian motion in the presence of round-off errors. (La variation quadratique du brownien en présence d’erreurs d’arrondi.) Zbl 0861.60085 Jacod, J. 7 1996 Limit theorems for stochastic processes. Vol. 1-2. (Predel’nye teoremy dlya sluchajnykh protsessov. Tom 1-2.) Zbl 0830.60025 Jacod, J.; Shiryaev, A. N. 185 1994 Estimation of the diffusion coefficient for diffusion processes: Random sampling. Zbl 0804.62078 Genon-Catalot, V.; Jacod, J. 22 1994 Jumping filtrations and martingales with finite variation. Zbl 0814.60039 Jacod, J.; Skorohod, A. V. 16 1994 On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Zbl 0770.62070 Genon-Catalot, Valentine; Jacod, Jean 128 1993 Random sampling in estimation problems for continuous Gaussian processes with independent increments. Zbl 0806.62065 Jacod, J. 4 1993 A remark on the weak convergence of processes in the Skorohod topology. Zbl 0787.60007 Jacod, Jean; Protter, Philip 1 1993 A remark on stochastic differential equations with Markov solutions. (Une remarque sur les équations différentielles stochastiques à solutions markoviennes.) Zbl 0741.60051 Jacod, J.; Protter, P. 6 1991 Local asymptotic normality and mixed normality for Markov statistical models. Zbl 0685.60016 Höpfner, Reinhard; Jacod, Jean; Ladelli, Lucia 19 1990 Regularity, partial regularity, partial information process, for a filtered statistical model. Zbl 0677.62001 Jacod, Jean 5 1990 Sur le processus de vraisemblance partielle. (On the partial likelihood process). Zbl 0727.60037 Jacod, Jean 3 1990 Convergence des surmartingales - application aux vraisemblances partielles. (Convergence of supermartingales - application to partial likelihoods). Zbl 0703.60028 Coquet, François; Jacod, Jean 1 1990 Convergence of filtered statistical models and Hellinger processes. Zbl 0684.60030 Jacod, Jean 9 1989 Filtered statistical models and Hellinger processes. Zbl 0684.60031 Jacod, Jean 4 1989 An application of the Emery topology: The information process of a filtered statistical model. (Une application de la topologie d’Emery: Le processus information d’un modèle statistique filtré.) Zbl 0739.62073 Jacod, Jean 3 1989 Time reversal on Lévy processes. Zbl 0646.60052 Jacod, Jean; Protter, Philip 36 1988 Une évaluation de la distance entre les lois d’une semimartingale et d’un processus à accroissements indépendants. (An evaluation of the distance between the laws of a semi-martingale and of a process with independent increments). Zbl 0673.60003 Jacod, Jean; Mano, Pascal 2 1988 Martingale problems, absolute continuity and contiguity. Zbl 0900.60054 Jacod, Jean 1 1988 Limit theorems for stochastic processes. Zbl 0635.60021 Jacod, Jean; Shiryaev, Albert N. 735 1987 Malliavin calculus for processes with jumps. Zbl 0706.60057 Bichteler, Klaus; Gravereaux, Jean-Bernard; Jacod, Jean 139 1987 Partial likelihood process and asymptotic normality. Zbl 0632.62088 Jacod, Jean 6 1987 On the convergence of point processes. (Sur la convergence des processus ponctuels.) Zbl 0652.60054 Jacod, Jean 3 1987 Processus admettant un processus a accroissements independants tangent: cas general. (Processes admitting a tangent process with independent increments: general case). Zbl 0621.60042 Jacod, J.; Sadi, H. 2 1987 Grossissement initial, hypothèse (H’) et théorème de Girsanov. Zbl 0568.60049 Jacod, Jean 71 1985 Théorèmes limite pour les processus. Zbl 0565.60030 Jacod, J. 21 1985 Grossissements de filtration et processus d’Ornstein-Uhlenbeck généralisé. Zbl 0575.60057 Jacod, Jean 8 1985 Une généralisation des semimartingales: Les processus admettant un processus à accroissements indépendants tangent. Zbl 0539.60033 Jacod, Jean 4 1984 Calcul de Malliavin pour les diffusions avec sauts: Existence d’une densité dans le cas unidimensionnel. Zbl 0525.60067 Bichteler, Klaus; Jacod, Jean 32 1983 On tightness and stopping times. Zbl 0501.60029 Jacod, J.; Memin, J.; Metivier, M. 20 1983 ...and 45 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 4,226 Authors 70 Jacod, Jean 48 Todorov, Viktor 43 Podolskij, Mark 33 Pap, Gyula 31 Mykland, Per Aslak 30 Jeanblanc, Monique 30 Mikulevicius, Remigijus 28 Protter, Philip Elliott 27 Yoshida, Nakahiro 25 Barczy, Mátyás 25 Criens, David 24 Figueroa-López, José E. 24 Li, Jia 23 Gloter, Arnaud 23 Liu, Zhi 23 Rosenbaum, Mathieu 23 Russo, Francesco 22 Aït-Sahalia, Yacine 22 Uchida, Masayuki 21 Eberlein, Ernst W. 21 Fournier, Nicolas 21 Kohatsu-Higa, Arturo 21 Tauchen, George E. 21 Vetter, Mathias 20 Fukasawa, Masaaki 19 Choulli, Tahir 19 Platen, Eckhard 18 Reiß, Markus 18 Ruf, Johannes 18 Tappe, Stefan 17 Fontana, Claudio 17 Jarrow, Robert Alan 17 Kallsen, Jan 17 Kong, Xinbing 17 Shimizu, Yasutaka 16 Barndorff-Nielsen, Ole Eiler 16 Bibinger, Markus 16 Ceci, Claudia 16 Kim, Donggyu 16 Tankov, Peter 15 Andersen, Torben G. 15 Kebaier, Ahmed 15 Masuda, Hiroki 15 Ouknine, Youssef 15 Papapantoleon, Antonis 15 Pham, Huyên 15 Possamaï, Dylan 15 Schmidt, Thorsten 15 Zhang, Lan 14 Hoffmann, Marc 14 Kabanov, Yuriĭ Mikhaĭlovich 14 Kyprianou, Andreas E. 14 Mania, Michael 14 Méléard, Sylvie 14 Puhalskii, Anatolii A. 14 Tan, Xiaolu 14 Wang, Yazhen 13 Bandini, Elena 13 Bollerslev, Tim 13 Chen, Zhen-Qing 13 Dufour, François 13 Höpfner, Reinhard 13 Kardaras, Constantinos 13 Kohlmann, Michael 13 Li, Yingying 13 Löcherbach, Eva 13 Mémin, Jean 13 Rásonyi, Miklós 13 Schweizer, Martin 13 Shiryaev, Al’bert Nikolaevich 13 Siu, Tak Kuen 13 Słomiński, Leszek 13 Song, Yuping 13 Veraart, Almut E. D. 13 Xiong, Dewen 13 Yor, Marc 13 Zhang, Xicheng 12 Christensen, Kim 12 Filipović, Damir 12 Jing, Bingyi 12 Kubilius, Kȩstutis 12 Larsson, Martin 12 Limnios, Nikolaos 12 Liu, Guangying 12 Muhle-Karbe, Johannes 12 Nutz, Marcel 12 Pagès, Gilles 12 Privault, Nicolas 12 Schilling, René Leander 12 Xiu, Dacheng 11 Bally, Vlad 11 Bayraktar, Erhan 11 Biagini, Francesca 11 Bielecki, Tomasz R. 11 Clement, Emmanuelle 11 Corcuera, José Manuel 11 Elliott, Robert James 11 Engelbert, Hans-Jürgen 11 Gapeev, Pavel V. 11 Grigelionis, Bronius I. ...and 4,126 more Authors all top 5 Cited in 432 Serials 547 Stochastic Processes and their Applications 191 The Annals of Applied Probability 171 Journal of Econometrics 121 Finance and Stochastics 101 Bernoulli 99 Statistics & Probability Letters 97 The Annals of Probability 90 Probability Theory and Related Fields 87 Mathematical Finance 83 Journal of Theoretical Probability 73 Stochastic Analysis and Applications 70 Electronic Journal of Probability 68 The Annals of Statistics 67 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 67 Statistical Inference for Stochastic Processes 66 Quantitative Finance 63 Annales de l’Institut Henri Poincaré. 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