What is he best known for?
The fields of study he is best known for:
- Statistics
- Mathematical analysis
- Normal distribution
His scientific interests lie mostly in Semimartingale, Volatility, Econometrics, Brownian motion and Martingale.
His Semimartingale research is multidisciplinary, relying on both Poisson random measure and Quadratic variation.
Jean Jacod focuses mostly in the field of Volatility, narrowing it down to matters related to Estimator and, in some cases, Optimal estimation.
His work in the fields of Econometrics, such as Stochastic volatility, overlaps with other areas such as Financial econometrics.
His Local martingale study, which is part of a larger body of work in Martingale, is frequently linked to Convex function, bridging the gap between disciplines.
His Applied mathematics research incorporates themes from Asset return, Sampling and Test statistic.
His most cited work include:
- Limit Theorems for Stochastic Processes (4344 citations)
- Calcul stochastique et problèmes de martingales (935 citations)
- Microstructure Noise in the Continuous Case: The Pre-Averaging Approach ∗ (433 citations)
What are the main themes of his work throughout his whole career to date?
Jean Jacod mainly investigates Applied mathematics, Semimartingale, Volatility, Central limit theorem and Econometrics.
Jean Jacod does research in Applied mathematics, focusing on Martingale specifically.
In his study, which falls under the umbrella issue of Semimartingale, Stable process is strongly linked to Lévy process.
Jean Jacod studied Volatility and Estimator that intersect with Nonparametric statistics and Parametric statistics.
His Central limit theorem research includes elements of Normalization, Combinatorics, Limit, Law of large numbers and Discretization.
He has researched Mathematical analysis in several fields, including Point process and Pure mathematics.
He most often published in these fields:
- Applied mathematics (27.04%)
- Semimartingale (27.04%)
- Volatility (22.96%)
What were the highlights of his more recent work (between 2011-2020)?
- Volatility (22.96%)
- Semimartingale (27.04%)
- Central limit theorem (20.92%)
In recent papers he was focusing on the following fields of study:
Jean Jacod mainly focuses on Volatility, Semimartingale, Central limit theorem, Econometrics and Applied mathematics.
His Volatility study which covers Estimator that intersects with Nonparametric statistics, Parametric statistics and Rate of convergence.
His research in Semimartingale intersects with topics in Lebesgue measure, Test statistic, Integral element and Combinatorics.
His Central limit theorem research is multidisciplinary, incorporating elements of Mathematical analysis, Pure mathematics, Stable process, Law of large numbers and Quadratic variation.
The Mathematical analysis study combines topics in areas such as Martingale and Discrete mathematics.
His Applied mathematics research is multidisciplinary, incorporating perspectives in Mathematical optimization, Optimal control, Point process, Uniqueness and Differential equation.
Between 2011 and 2020, his most popular works were:
- High-Frequency Financial Econometrics (166 citations)
- Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (118 citations)
- Testing for jumps in noisy high frequency data (79 citations)
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