Jean Jacod

Microstructure noise in the continuous case: The pre-averaging approach

Jean Jacod, Yingying Li, Per A. Mykland et al. · Stochastic Processes and their Applications · 2008 · 722 citations

Natural Sciences, Mathematics, Physics +16

Testing for jumps in a discretely observed process

Yacine Aı̈t-Sahalia, Jean Jacod · The Annals of Statistics · 2009 · 588 citations · Full text

Social Sciences, Economics, Finance +14

Asymptotic error distributions for the Euler method for stochastic differential equations

Jean Jacod, Philip Protter · The Annals of Probability · 1998 · 422 citations · Full text

Engineering, Mathematics, Probability Theory +16

Asymptotic properties of realized power variations and related functionals of semimartingales

Jean Jacod · Stochastic Processes and their Applications · 2007 · 317 citations

Engineering, Economics, Mathematics +15

Estimating the degree of activity of jumps in high frequency data

Yacine Aı̈t-Sahalia, Jean Jacod · The Annals of Statistics · 2009 · 298 citations · Full text

Business, Economics, Finance +17