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Testing for Jumps in a Discretely Observed Process

Yacine Aı̈t-Sahalia, Jean Jacod

SSRN Electronic Journal · 2007 · 128 citations · 15 references

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References

15

Limit Theorems for Stochastic Processes.

Ditlev Monrad, Jean Jacod, Albert N. Shiryaev · Journal of the American Statistical Association · 1988 · 4.2K citations

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Power and Bipower Variation with Stochastic Volatility and Jumps

Ole E. Barndorff–Nielsen · Journal of Financial Econometrics · 2004 · 2.1K citations

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Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Ole E. Barndorff–Nielsen · Journal of Financial Econometrics · 2005 · 1.4K citations

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The Relative Contribution of Jumps to Total Price Variance

Xin Huang · Journal of Financial Econometrics · 2005 · 857 citations

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Maximum likelihood estimation of stochastic volatility models

Yacine Aı̈t-Sahalia, Robert L. Kimmel · Journal of Financial Economics · 2006 · 569 citations

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