Publication Type
Journal Article
Version
acceptedVersion
Publication Date
9-2018
Abstract
We thank the Editors’ invitation for the opportunity of contributing to this special issue as a celebration of Professor Jean Jacod’s seminal work originally written in 1994 (Jacod, 1994). This paper established general limit theorems for integrated volatility functionals, and provided theoretical tools that eventually changed the landscape of theoretical research concerning high-frequency data. This impact is also largely due to Professor Jacod’s continuous contribution to a broad variety of challenging issues in the area of high-frequency financial econometrics, including volatility estimation, jumps, and microstructure noise, as well as a large body of mathematical results collected in Jacod and Shiryaev (2003), Jacod and Protter (2012), and Aït-Sahalia and Jacod (2014).
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of Financial Econometrics
Volume
16
Issue
4
First Page
570
Last Page
582
ISSN
1479-8409
Identifier
10.1093/jjfinec/nbx034
Publisher
Oxford University Press (OUP): Policy F - Oxford Open Option D
Citation
LI, Jia and XIU, Dacheng.
Comment on: Limit of random measures associated with the increments of a Brownian Semimartingale. (2018). Journal of Financial Econometrics. 16, (4), 570-582.
Available at: https://ink.library.smu.edu.sg/soe_research/2556
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1093/jjfinec/nbx034