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- Jean Jacod
- 2006

We propose a new test to determine whether jumps are present in asset returns or other discretely sampled processes. As the sampling interval tends to 0, our test statistic converges to 1 if thereâ€¦ (More)

- Jean Jacod
- 2008

This paper is concerned with the asymptotic behavior of sums of the form U(f)t = âˆ‘[t/âˆ†n] i=1 f(Xiâˆ†n âˆ’ X(iâˆ’1)âˆ†n), where X is a 1-dimensional semimartingale and f a suitable test function, typicallyâ€¦ (More)

- Jean Jacod, Philip Protter
- 1998

We are interested in the rate of convergence of the Euler scheme approximation of the solution to a stochastic differential equation driven by a general (possibly discontinuous) semimartingale, andâ€¦ (More)

- Jean Jacod
- 1999

The problem which we address in this work is the following we have an IRd valued state process X Xt t which evolves according to a stochastic di erential equation of the form dXt a Xt dt b Xt dWt L Xâ€¦ (More)

- Ole E. Barndorff-Nielsen, Svend Erik Graversen, Jean Jacod, Mark Podolskij, Neil Shephard
- 2004

HAL is a multi-disciplinary open access archive for the deposit and dissemination of scientific research documents, whether they are published or not. The documents may come from teaching andâ€¦ (More)

- Ernst Eberlein, Jean Jacod, Sebastian Raible
- Finance and Stochastics
- 2005

SUMMARY: We study the term structure models which are driven by a LÃ©vy process, from the point of view of arbitrage and completeness. Exactly as for the Heathâ€“Jarrowâ€“Morton model, which fits into ourâ€¦ (More)

- By Yacine AÄ±Ìˆt-Sahalia, Jean Jacod
- 2009

We define a generalized index of jump activity, propose estimators of that index for a discretely sampled process and derive the estimatorsâ€™ properties. These estimators are applicable despite theâ€¦ (More)

- Jean Jacod, Viktor Todorov
- 2007

We consider a bivariate process Xt = (X t , X t ), which is observed on a finite time interval [0, T ], at discrete times 0, âˆ†n, 2âˆ†n, Â· Â· Â·. Assuming that its two components X and X have jumps on [0,â€¦ (More)

- Yacine AÄ±Ìˆt-Sahalia, Jean Jacod
- 2004

This paper studies the asymptotic behavior of the Fisher information for a LÃ©vy process discretely sampled at an increasing frequency. We show that it is possible to distinguish not only theâ€¦ (More)

- Ernst Eberlein, Jean Jacod
- Finance and Stochastics
- 1997

In this paper we consider the valuation of an option with time to expirationT and pay-off functiong which is a convex function (as is a European call option), and constant interest rate r , in theâ€¦ (More)