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Results: 1-10 |
Results: 10
Testing for jumps in a discretely observed process
Authors: Aït-Sahalia, Yacine Jacod, Jean
Citation: Aït-sahalia, Yacine et Jacod, Jean, Testing for jumps in a discretely observed process, Annals of statistics , 37(1), 2009, pp. 184-222
Volatility Estimators for Discretely Sampled Lévy Processes
Authors: Aït-Sahalia, Yacine Jacod, Jean
Citation: Aït-sahalia, Yacine et Jacod, Jean, Volatility Estimators for Discretely Sampled Lévy Processes, Annals of statistics , 35(1), 2007, pp. 355-392
Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation
Authors: Jacod, Jean Todorov,Viktor
Citation: Jacod, Jean et Todorov,viktor, Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation, Annals of applied probability , 28(1), 2018, pp. 511-576
Do price and volatility jump together?
Authors: Jacod, Jean Todorov,Viktor
Citation: Jacod, Jean et Todorov,viktor, Do price and volatility jump together?, Annals of applied probability , 20(4), 2010, pp. 1425-1469
Limit theorems for moving averages of discretized processes plus noise
Authors: Jacod, Jean Podolskij, Mark Vetter, Mathias
Citation: Jacod, Jean et al., Limit theorems for moving averages of discretized processes plus noise, Annals of statistics , 38(3), 2010, pp. 1478-1545
Testing whether jumps have finite or infinite activity
Authors: Aït-Sahalia, Yacine Jacod, Jean
Citation: Aït-sahalia, Yacine et Jacod, Jean, Testing whether jumps have finite or infinite activity, Annals of statistics , 39(3), 2011, pp. 1689-1719
Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
Authors: Confortola, Fulvia Fuhrman, Marco Jacod, Jean
Citation: Confortola, Fulvia et al., Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control, Annals of applied probability , 26(3), 2016, pp. 1743-1773
Testing for common arrivals of jumps for discretely observed multidimensional processes
Authors: Jacod, Jean Todorov, Viktor
Citation: Jacod, Jean et Todorov, Viktor, Testing for common arrivals of jumps for discretely observed multidimensional processes, Annals of statistics , 37(4), 2009, pp. 1792-1838
Estimating the degree of activity of jumps in high frequency data
Authors: Aït-Sahalia, Yacine Jacod, Jean
Citation: Aït-sahalia, Yacine et Jacod, Jean, Estimating the degree of activity of jumps in high frequency data, Annals of statistics , 37(5A), 2009, pp. 2202-2244
Is Brownian motion necessary to model high-frequency data?
Authors: Aït-Sahalia, Yacine Jacod, Jean
Citation: Aït-sahalia, Yacine et Jacod, Jean, Is Brownian motion necessary to model high-frequency data?, Annals of statistics , 38(5), 2010, pp. 3093-3128
Risultati: 1-10 |