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Mathematics

D-Index
51
Citations
20768
World Ranking
991
National Ranking
50

Overview

Jean Jacod is affiliated with Sorbonne University in France and has contributed extensively to the field of Economics, Econometrics, and Finance. Their research primarily focuses on areas such as stochastic processes and financial applications, complex systems and time series analysis, financial markets and investment strategies, and financial risk and volatility modeling.

The scientist has published a total of 13 works in these fields, with subfields including finance, economics and econometrics, global and planetary change, strategy and management, and general economics, econometrics, and finance.

Jean Jacod's recent papers include the following:

  • Volatility coupling, 2021, The Annals of Statistics
  • Systematic jump risk, 2024, The Annals of Applied Probability
  • From tick data to semimartingales, 2020, The Annals of Applied Probability
  • Inference on Risk Premia in Continuous-Time Asset Pricing Models, 2020, SSRN Electronic Journal
  • Inference on Risk Premia in Continuous-Time Asset Pricing Models, 2020, SSRN Electronic Journal

The work has appeared in several notable publication venues. Their frequent publication platforms include:

  • SSRN Electronic Journal
  • The Annals of Applied Probability
  • The Annals of Statistics
  • Review of Financial Studies

Jean Jacod collaborates regularly with a number of researchers. The frequent co-authors documented are:

  • Yacine Aït-Sahalia
  • Dacheng Xiu
  • Jia Li
  • Zhipeng Liao
  • Huidi Lin

The main topics covered in Jean Jacod's body of work include:

  • Stochastic processes and financial applications
  • Complex Systems and Time Series Analysis
  • Financial Markets and Investment Strategies
  • Financial Risk and Volatility Modeling
  • Hydrology and Drought Analysis
  • Financial Reporting and Valuation Research
  • Market Dynamics and Volatility

Best Publications

  • Limit Theorems for Stochastic Processes

    Jean Jacod;Albert N Shiryaev

  • Calcul stochastique et problèmes de martingales

    Jean Jacod

  • Microstructure Noise in the Continuous Case: The Pre-Averaging Approach ∗

    Jean Jacod;Yingying Li;Per A. Mykland;Mark Podolskij

  • Testing for jumps in a discretely observed process

    Yacine Aït-Sahalia;Jean Jacod

  • Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales

    Unknown

  • High-Frequency Financial Econometrics

    Yacine Aït-Sahalia;Jean Jacod

  • Asymptotic error distributions for the Euler method for stochastic differential equations

    Jean Jacod;Philip Protter

  • Discretization of Processes

    Jean Jacod;Philip E. Protter

  • Asymptotic properties of realized power variations and related functionals of semimartingales

    Jean Jacod

  • Malliavin calculus for processes with jumps

    Klaus Bichteler;Jean-Bernard Gravereaux;Jean Jacod

  • Estimating the degree of activity of jumps in high frequency data

    Yacine Aït-Sahalia;Jean Jacod

  • On the estimation of the diffusion coefficient for multi-dimensional diffusion processes

    Valentine Genon-Catalot;Jean Jacod

  • On the range of options prices

    Ernst Eberlein;Jean Jacod

  • Semimartingales and Markov processes

    E. Çinlar;J. Jacod;P. Protter;M. J. Sharpe

  • A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales

    Ole E. Barndorff-Nielsen;Svend Erik Graversen;Jean Jacod;Mark Podolskij

  • Local martingales and the fundamental asset pricing theorems in the discrete-time case

    Jean Jacod;Albert N. Shiryaev

  • Testing for Common Arrivals of Jumps for Discretely Observed Multidimensional Processes

    Jean Jacod;Viktor Todorov

  • LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS

    Ole E. Barndorff-Nielsen;Svend Erik Graversen;Jean Jacod;Neil Shephard

  • The Monte-Carlo method for filtering with discrete-time observations

    Pierre Del Moral;Jean Jacod;Philip Protter

  • On continuous conditional Gaussian martingales and stable convergence in law

    Jean Jacod

  • A central limit theorem for realised power and bipower variations of continuous semimartingales

    Ole E. Barndorff–Nielsen;Svend Erik Graversen;Jean Jacod;Mark Podolskij

Frequent Co-Authors

Philip Protter
Philip Protter Columbia University
Yacine Aït-Sahalia
Yacine Aït-Sahalia Princeton University
Mark Podolskij
Mark Podolskij University of Luxembourg
Albert N. Shiryaev
Albert N. Shiryaev Steklov Mathematical Institute
Ole E. Barndorff-Nielsen
Ole E. Barndorff-Nielsen Aarhus University
Per A. Mykland
Per A. Mykland University of Chicago
Claudia Klüppelberg
Claudia Klüppelberg Technical University of Munich
Neil Shephard
Neil Shephard Harvard University
Nakahiro Yoshida
Nakahiro Yoshida University of Tokyo

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