Y. A¨?ta¨?t-sahalia, Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion, The Journal of Finance, vol.49, issue.5, pp.2075-2112, 2002.
DOI : 10.1111/1540-6261.00489

Y. A¨?ta¨?t-sahalia, J. Fan, and H. Peng, Nonparametric Transition-Based Tests for Jump Diffusions, Journal of the American Statistical Association, vol.104, issue.487, pp.1102-1116, 2009.
DOI : 10.1198/jasa.2009.tm08198

Y. A¨?ta¨?t-sahalia and J. Jacod, Estimating the degree of activity of jumps in high frequency data, The Annals of Statistics, vol.37, issue.5A, pp.2202-2244, 2009.
DOI : 10.1214/08-AOS640

Y. A¨?ta¨?t-sahalia and J. Jacod, Testing for jumps in a discretely observed process

R. Azencott, Densit?? des diffusions en temps petit: d??veloppements asymptotiques, Seminar on probability, XVIII, pp.402-498
DOI : 10.1070/RM1970v025n01ABEH001254

E. Ole, N. Barndorff-nielsen, and . Shephard, Econometrics of testing for jumps in financial economics using bipower variation, J. Financial Econometrics, vol.4, pp.1-30, 2006.

E. Ole, N. Barndorff-nielsen, M. Shephard, and . Winkel, Limit theorems for multipower variation in the presence of jumps, Stochastic Process. Appl, vol.116, issue.5, pp.796-806, 2006.

R. Cont and M. Cecilia, Nonparametric tests for pathwise properties of semimartingales, Bernoulli, vol.17, issue.2, pp.781-813, 2011.
DOI : 10.3150/10-BEJ293

URL : https://hal.archives-ouvertes.fr/hal-00606022

A. Gloter and E. Gobet, LAMN property for hidden processes: The case of integrated diffusions, Annales de l'Institut Henri Poincare (B) Probability and Statistics, vol.44, issue.1, pp.104-128, 2008.
DOI : 10.1214/07-AIHP111

URL : https://hal.archives-ouvertes.fr/hal-00159317

E. Gobet, Local Asymptotic Mixed Normality Property for Elliptic Diffusion: A Malliavin Calculus Approach, Bernoulli, vol.7, issue.6, pp.899-912, 2001.
DOI : 10.2307/3318625

X. Huang and G. Tauchen, The relative contribution of jumps of total price variance

I. A. Ibragimov and R. Z. , Has ? minski? ?. Statistical estimation Asymptotic theory, Applications of Mathematics, vol.16, 1981.

J. Jacod, Asymptotic properties of realized power variations and related functionals of semimartingales. Stochastic Process, Appl, vol.118, issue.4, pp.517-559, 2008.
URL : https://hal.archives-ouvertes.fr/hal-00023146

J. Jacod and P. Protter, Asymptotic error distributions for the Euler method for stochastic differential equations, The Annals of Probability, vol.26, issue.1, pp.267-307, 1998.
DOI : 10.1214/aop/1022855419

J. Jacod and V. Todorov, Do price and volatility jump together?, The Annals of Applied Probability, vol.20, issue.4, pp.1425-1469, 2010.
DOI : 10.1214/09-AAP654

URL : http://arxiv.org/abs/1010.4990

P. Jeganathan, On a decomposition of the limit distribution of a sequence of estimators. Sankhy¯ a Ser, A, vol.43, issue.1, pp.26-36, 1981.

P. Jeganathan, On the asymptotic theory of estimation when the limit of the log-likelihood ratios is mixed normal. Sankhy¯ a Ser, pp.173-212, 1982.

C. Mancini, Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps. Scand, J. Stat, vol.36, issue.2, pp.270-296, 2009.

D. Nualart, The Malliavin calculus and related topics, Applications of Mathematics, 1995.
DOI : 10.1007/978-1-4757-2437-0

J. H. Woerner, Power and Multipower Variation: inference for high frequency data, Stochastic finance, pp.343-364, 2006.
DOI : 10.1007/0-387-28359-5_12