Jean Jacod | Academic Influence

Jean Jacod's AcademicInfluence.com Rankings

Jean Jacod

Mathematics

#3065

World Rank

#4601

Historical Rank

Measure Theory

#1099

World Rank

#1412

Historical Rank

mathematics Degrees

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Mathematics

Why Is Jean Jacod Influential?

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According to Wikipedia, Jean Jacod is a French mathematician specializing in stochastic processes and probability theory. He has been a professor at the Université Pierre et Marie Curie. He has made fundamental contributions to a wide range of topics in probability theory including stochastic calculus, limit theorems, martingale problems, Malliavin calculus and statistics of stochastic processes.

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Jean Jacod's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Limit Theorems for Stochastic Processes (1987) (5907)
Microstructure Noise in the Continuous Case: The Pre-Averaging Approach ∗ (2009) (629)
Testing for Jumps in a Discretely Observed Process (2009) (562)
Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales (1975) (559)
Asymptotic error distributions for the Euler method for stochastic differential equations (1998) (401)
Discretization of Processes (2011) (381)
On the estimation of the diffusion coefficient for multi-dimensional diffusion processes (1993) (294)
Asymptotic properties of realized power variations and related functionals of semimartingales (2006) (286)
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (2004) (284)
Estimating the degree of activity of jumps in high frequency data (2009) (257)
High-Frequency Financial Econometrics (2014) (194)
Shiryaev : Limit theorems for stochastic processes (1987) (193)
Local martingales and the fundamental asset pricing theorems in the discrete-time case (1998) (187)
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2009) (180)
On the range of options prices (1997) (168)
On continuous conditional Gaussian martingales and stable convergence in law (1997) (165)
Testing for Common Arrivals of Jumps for Discretely Observed Multidimensional Processes (2009) (163)
The Monte-Carlo method for filtering with discrete-time observations (2001) (162)
Diffusions with measurement errors. I. Local Asymptotic Normality (2001) (151)
Malliavin calculus for processes with jumps (1987) (149)
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS (2005) (145)
Lévy term structure models: No-arbitrage and completeness (2005) (135)
A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors (1997) (122)
Volatility estimators for discretely sampled Lévy processes (2007) (120)
Is Brownian motion necessary to model high-frequency data? (2010) (114)
Do price and volatility jump together (2010) (112)
Limit Theorems for Moving Averages of Discretized Processes Plus Noise (2008) (110)
Quarticity and other functionals of volatility: Efficient estimation (2012) (109)
Testing for jumps in noisy high frequency data (2012) (106)
Diffusions with measurement errors. II. Optimal estimators (2001) (104)
Testing whether jumps have finite or infinite activity (2011) (102)
Weak and strong solutions of stochastic differential equations: Existence and stability (1981) (98)
The approximate Euler method for Lévy driven stochastic differential equations (2005) (94)
Non‐parametric Kernel Estimation of the Coefficient of a Diffusion (2000) (94)
Fisher's Information for Discretely Sampled Lévy Processes (2004) (91)
The Euler Scheme for L?evy Driven Stochastic Difierential Equations: Limit Theorems (2004) (89)
Representation of Semimartingale Markov Processes in Terms of Wiener Processes and Poisson Random Measures (1981) (83)
Asymptotic properties of power variations of Lévy processes (2005) (81)
Risk-neutral compatibility with option prices (2010) (80)
Mod-Gaussian convergence: new limit theorems in probability and number theory (2008) (72)
Time Reversal on Levy Processes (1988) (71)
Efficient estimation of integrated volatility in presence of infinite variation jumps (2014) (66)
Estimation of the diffusion coefficient for diffusion processes: random sampling (1994) (65)
Irregular sampling and central limit theorems for power variations: The continuous case (2011) (63)
Statistical Properties of Microstructure Noise (2013) (62)
Rates of convergence to the local time of a diffusion (1998) (55)
Explicit form and robustness of martingale representations (2000) (54)
ESTIMATING THE DEGREE OF ACTIVITY OF JUMPS IN HIGH FREQUENCY FINANCIAL DATA (2008) (54)
Interacting Particle Filtering With Discrete Observations (2001) (53)
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps (2012) (45)
Local asymptotic normality and mixed normality for Markov statistical models (1990) (44)
Lévy Matters I (2010) (42)
On tightness and stopping times (1983) (42)
Backward stochastic differential equation driven by a marked point process: An elementary approach with an application to optimal control (2014) (42)
Inference for Stochastic Processes (2010) (38)
Estimating the Integrated Volatility with Tick Observations (2015) (36)
Microstructure noise in the continuous case (2008) (35)
Parametric inference for discretely observed non-ergodic diffusions (2006) (35)
Jumping filtrations and martingales with finite variation (1994) (34)
A Test for the Rank of the Volatility Process: The Random Perturbation Approach (2012) (34)
Convergence of filtered statistical models and Hellinger processes (1989) (33)
Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 (2007) (32)
Random measures and stochastic integration (1983) (29)
Limit of Random Measures Associated with the Increments of a Brownian Semimartingale (2018) (29)
Existence of weak solutions for stochastic differential equations with driving semimartingales (1981) (29)
Jumping Markov processes (1996) (26)
Some Remarks on the Joint Estimation of the Index and the Scale Parameter for Stable Processes (1994) (25)
Microstructure noise in the continuous case: Approximate efficiency of the adaptive pre-averaging method (2015) (23)
Filtered statistical models and Hellinger processes (1989) (23)
Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation (2018) (21)
Use of random-genetic models in the study of sedimentary processes (1971) (19)
A review of asymptotic theory of estimating functions (2017) (18)
Laws of Large Numbers (2019) (17)
Interacting Particle Filtering with Discrete-Time Observations: Asymptotic Behaviour in the Gaussian Case (2001) (16)
Estimation of Volatility Functionals: The Case of a \(\sqrt{n}\) Window (2015) (16)
IDENTIFYING THE SUCCESSIVE BLUMENTHAL-GETOOR INDICES OF A DISCRETELY OBSERVED PROCESS (2012) (15)
Random sampling in estimation problems for continuous Gaussian processes with independent increments (1993) (15)
Regularity, partial regularity, partial information process, for a filtered statistical model (1990) (13)
Partial likelihood process and asymptotic normality (1987) (12)
Two dependent Poisson processes whose sum is still a Poisson process (1975) (12)
Central Limit Theorems for approximate quadratic variations of pure jump Itô semimartingales (2013) (11)
Estimation of the Brownian dimension of a continuous It\^{o} process (2008) (11)
On asymptotic errors in discretization of processes (2003) (10)
Limit Theorems, Density Processes and Contiguity (2003) (10)
Functional Relationships Between Price and Volatility Jumps and Their Consequences for Discretely Observed Data (2012) (10)
Testing for non-correlation between price and volatility jumps (2017) (8)
Estimation of volatility functionals: the case of a square root n window (2012) (8)
Skorokhod Topology and Convergence of Processes (2003) (8)
Conditional Simulation of Sedimentary Cycles in Three Dimensions (1972) (8)
Existence and uniqueness for stochastic differential equations (1979) (7)
Projection prévisible et décomposition multiplicative d'une semi-martingale positive (1978) (7)
The General Theory of Stochastic Processes, Semimartingales and Stochastic Integrals (1987) (6)
On processes with conditional independent increments and stable convergence in law (2003) (6)
Inference on Risk Premia in Continuous-Time Asset Pricing Models (2020) (6)
Testing for uncorrelation or for a functional relationship between price and volatility jumps (2010) (5)
Estimation of volatility in a high-frequency setting: a short review (2019) (5)
A central limit theorem for normalized functions of the increments of a diusion process, in the presence of round-o errors (1997) (4)
Options Prices in Incomplete Markets (2017) (4)
Semimartingale: Itô or not ? (2018) (3)
From Tick Data to Semimartingales (2017) (2)
A remark on the weak convergence of processes in the Skorohod topology (1993) (2)
Local characteristics and absolute continuity conditions for d-dimensional semi-martingales (1979) (2)
Book review: Limit theorems for stochastic processes (1990) (2)
Quelques Notations Et Definitions (1979) (2)
METHOD FOR STOCHASTIC DIFFERENTIAL EQUATIONS (2016) (2)
Semimartingales defined on markov processes (1981) (2)
Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution (2008) (2)
Martingale Convergence Theorems (2000) (1)
On the minimal number of driving Lévy motions in a multivariate price model (2018) (1)
Recent progress in theory and applications : foundations, trees and numerical issues in finance (2010) (1)
VOLATILITY ESTIMATORS FOR DISCRETELY SAMPLED (2007) (1)
VOLATILITY ESTIMATORS FOR DISCRETELY SAMPLED (2007) (1)
First Extension: Random Weights (2012) (1)
Gaussian Random Variables (The Normal and the Multivariate Normal Distributions) (2000) (1)
Volatility coupling (2021) (1)
Hellinger Processes, Absolute Continuity and Singularity of Measures (1987) (1)
Chapter 10. Testing for Jumps (2014) (0)
Appendix B. Miscellaneous Proofs (2014) (0)
Chapter 5. High-Frequency Observations: Identifiability and Asymptotic Efficiency (2014) (0)
Appendix A. Asymptotic Results for Power Variations (2014) (0)
Properties of Characteristic Functions (2004) (0)
Chapter 4. With Jumps: An Introduction to Power Variations (2014) (0)
Higher Order Limit Theorems (2012) (0)
Conditional Probability and Independence (2000) (0)
Chapter 12. Finite or Infinite Activity for Jumps (2014) (0)
Probability Distributions on Rn (2000) (0)
From Diffusions to Semimartingales (2014) (0)
Convergence to a Process with Independent Increments (1987) (0)
Jumping Branching Measure-Valued Processes (1994) (0)
The Central Limit Theorem for Truncated Functionals (2012) (0)
Testing finite activity against infinite activity for jumps, for high frequency observation: an overview (The 8th workshop on stochastic numerics) (2009) (0)
Axioms of Probability (2000) (0)
Chapter 13. Is Brownian Motion Really Necessary (2014) (0)
Central Limit Theorems: The Basic Results (2012) (0)
Irregular Discretization Schemes (2012) (0)
Second Extension: Functions of Several Increments (2012) (0)
Integrated Discretization Error (2012) (0)
Central Limit Theorem for Approximate Quadratic Variations of Pure Jump Itô Semimartingales ∗ Forthcoming in Stochastic Processes and their Applications (2012) (0)
Convergence to a Semimartingale (1987) (0)
Supermartingales and Submartingales (2000) (0)
On the construction of a Markov process up to a change of time (1980) (0)
Independent Random Variables (2000) (0)
Book review (1987) (0)
Chapter 9. Volatility and Irregularly Spaced Observations (2014) (0)
The Central Limit Theorem for Functions of an Increasing Number of Increments (2012) (0)
Probabilities on a Finite or Countable Space (2004) (0)
II . OPTIMAL ESTIMATORS (0)
Contiguity, Entire Separation, Convergence in Variation (1987) (0)
Lévy Matters I - ReadingSample (2017) (0)
Estimation of volatility in a high-frequency setting: a short review (2019) (0)
Semimartingales Contaminated by Noise (2012) (0)
Random Variables on a Countable Space (2000) (0)
Complements Sur Les Semimartingales (1979) (0)
The Central Limit Theorem for Functions of a Finite Number of Increments (2012) (0)
L 2 and Hilbert Spaces (2000) (0)
The Central Limit Theorem for Random Weights (2012) (0)
Mini-Workshop: Lévy Processes and Related Topics in Modelling (2007) (0)
Convergence of Processes with Independent Increments (1987) (0)
Chapter 6. Estimating Integrated Volatility: The Base Case with No Noise and Equidistant Observations (2014) (0)
Martingale Problems and Changes of Measures (1987) (0)
Statistics and control of stochastic processes. Proceedings of the Steklov Seminar 1984 - N. V. Krylov, R. S. Liptser and A A. Novikov. (1987) (0)
Un Second Probleme De Martingales (1979) (0)
Convergence of Random Variables (2004) (0)
Construction of a Probability Measure on R (2000) (0)
L2 and Hilbert Spaces (2004) (0)
The Radon-Nikodym Theorem (2004) (0)
Chapter 1. From Diffusions to Semimartingales (2014) (0)
Preface [High-Frequency Financial Econometrics] (2014) (0)
Systematic Jump Risk ∗ (2022) (0)
Chapter 8. Estimating Spot Volatility (2014) (0)
On martingales which are finite sums of independent random variables with time dependent coefficients (1997) (0)
Laws of Large Numbers: The Basic Results (2012) (0)
Weak Convergence and Characteristic Functions (2000) (0)
Integration with Respect to a Probability Measure (2000) (0)
Chapter 11. Finer Analysis of Jumps: The Degree of Jump Activity (2014) (0)
Probabilities on a Countable Space (2000) (0)
Volatility Estmators for Discretely Sampled L\'{e}vy Processses (2005) (0)
Formules Exponentielles Et Decompositions Multiplicatives (1979) (0)
Probability Distributions on R (2000) (0)
Representation Integrale Des Solutions De Problemes De Martingales (1979) (0)
High frequency statistics with irregularly spaced observations (The 8th Workshop on Stochastic Numerics) (2009) (0)
Sums of Independent Random Variables (2004) (0)
Characteristics of Semimartingales and Processes with Independent Increments (1987) (0)
The Central Limit Theorem (2000) (0)
Construction of a Probability Measure (2000) (0)
Chapter 3. Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process (2014) (0)
Central Limit Theorems: Technical Tools (2012) (0)
A review of asymptotic theory of estimating functions (2018) (0)
SEMIMARTINGALE: ITÔ OR NOT ? By Yacine Äıt-Sahalia and Jean Jacod (2017) (0)
Chapter 14. Co-jumps (2014) (0)
Chapter 7. Volatility and Microstructure Noise (2014) (0)
Chapter 2. Data Considerations (2014) (0)
Third Extension: Truncated Functionals (2012) (0)
One application of the representation the orem for martingales: Isomorphism for flows of processes with independent increments (1978) (0)

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What Schools Are Affiliated With Jean Jacod?

Jean Jacod is affiliated with the following schools:

Sorbonne University

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