E-LIB Suche - Ergebnisse für: Jacod, Jean

1

Spatio-temporal processes of stochastic integral type:

Delerue, Thomas , 2021

Link: http://nbn-resolving.de/..

2

FROM TICK DATA TO SEMIMARTINGALES:

Aït-Sahalia, Yacine ; Jacod, Jean
The Annals of Applied Probability. 30 (2020) 6 - p. 2740-2768 , 2020

Link: https://www.jstor.org/st..

3

Inference on Risk Premia in Continuous-Time Asset Pricing M..

NBER working paper series, no. w28140

Aït-Sahalia, Yacine ; Jacod, Jean ; Xiu, Dacheng , 2020

Link: https://www.nber.org/pap..

4

Estimating the integrated volatility with tick observations:

Jacod, Jean ; Li, Yingying ; Zheng, Xinghua
Journal of Econometrics. 208 (2019) 1 - p. 80-100 , 2019

Link: https://doi.org/10.1016/..

5

Estimation of volatility in a high-frequency setting: a sho..:

Jacod, Jean
Decisions in Economics and Finance. 42 (2019) 2 - p. 351-385 , 2019

Link: https://doi.org/10.1007/..

6

On the minimal number of driving Lévy motions in a multivar..:

Jacod, Jean ; Podolskij, Mark
Journal of Applied Probability. 55 (2018) 3 - p. 823-833 , 2018

Link: https://doi.org/10.1017/..

7

ON THE MINIMAL NUMBER OF DRIVING LÉVY MOTIONS IN A MULTIVAR..:

JACOD, JEAN ; PODOLSKIJ, MARK
Journal of Applied Probability. 55 (2018) 3 - p. 823-833 , 2018

Link: https://www.jstor.org/st..

8

A review of asymptotic theory of estimating functions:

Jacod, Jean ; Sørensen, Michael
Statistical Inference for Stochastic Processes. 21 (2018) 2 - p. 415-434 , 2018

Link: https://doi.org/10.1007/..

9

Semimartingale: Itô or not ?:

Aït-Sahalia, Yacine ; Jacod, Jean
Stochastic Processes and their Applications. 128 (2018) 1 - p. 233-254 , 2018

Link: https://doi.org/10.1016/..

10

LIMIT THEOREMS FOR INTEGRATED LOCAL EMPIRICAL CHARACTERISTI..:

Jacod, Jean ; Todorov, Viktor
The Annals of Applied Probability. 28 (2018) 1 - p. 511-576 , 2018

Link: https://www.jstor.org/st..

11

STATISTICAL PROPERTIES OF MICROSTRUCTURE NOISE:

Jacod, Jean ; Li, Yingying ; Zheng, Xinghua
Econometrica. 85 (2017) 4 - p. 1133-1174 , 2017

Link: https://www.jstor.org/st..

12

Statistical Properties of Microstructure Noise:

Jacod, Jean ; Li, Yingying ; Zheng, Xinghua
Econometrica. 85 (2017) 4 - p. 1133-1174 , 2017

Link: https://doi.org/10.3982/..

13

Testing for non-correlation between price and volatility ju..:

Jacod, Jean ; Klüppelberg, Claudia ; Müller, Gernot
Journal of Econometrics. 197 (2017) 2 - p. 284-297 , 2017

Link: https://doi.org/10.1016/..

14

Limit of Random Measures Associated with the Increments of ..:

Jacod, Jean
Journal of Financial Econometrics. 16 (2017) 4 - p. 526-569 , 2017

Link: https://doi.org/10.1093/..

15

BACKWARD STOCHASTIC DIFFERENTIAL EQUATION DRIVEN BY A MARKE..:

Confortola, Fulvia ; Fuhrman, Marco ; Jacod, Jean
The Annals of Applied Probability. 26 (2016) 3 - p. 1743-1773 , 2016

Link: http://www.jstor.org/sta..