J. JACOD, P. PROTTER: Asymptotic error distributions for the Euler method for stochastic differential equations. Ann. Probab., 26, 267-307 (1998).
J. JACOD: Non-parametric kernel estimation of the diffusion for a diffusion process. Scand. J. Statist. 27, 83-96 (2000).
E. EBERLEIN, J. JACOD, S. RAIBLE: Levy term structure models: no–arbitrage and completeness. Finance and Stochastics, 9, 67–88 (2005)
J. JACOD: Asymptotic properties of power variations of L'evy processes. ESAIM-PS, 11, 173-196 (2007).
J. JACOD: Asymptotic properties of realized power variations and associated functionals 129-A of semimartingales. Stoch. Proc. Appl., 118, 517-559 (2008).
Y. AIT–SAHALIA, J. JACOD: Testing for jumps in a discretely observed process. Annals of Statistics, 37, 1, 184-222 (2009).
J. JACOD, Y. LI, P. MYKLAND, M. PODOLSKIJ, M. VETTER: Microstructure noise in the continuous case: the pre-averaging approach. Stoch. Proc. Appl., 119, 7, 2249-2276
(2009).
J. JACOD, Z. KOWALSKI, A. NIKEGHBALI: Mod-Gaussian convergence: new limit theorems in probability and number theory. Forum Math. 23, 835-873 (2011).
A. DIOP, J. JACOD, V. TODOROV: Central Limit Theorem for Approximate Quadratic Variations of Pure Jump Ito Semimartingales. Stoch. Proc. Appl. 123, 839-886 (2013).
