Yacine Ait-Sahalia
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Yacine |
| last: |
Ait-Sahalia |
Identifer
Contact
Affiliations
-
Princeton University
/ Department of Economics
/ Bendheim Center for Finance
Research profile
author of:
- Entry-Exit Decisions of Foreign Firms and Import Prices
Annals of Economics and Statistics, GENES (1994)
by Yacine Ait-Sahalia
(ReDIF-article, adr:anecst:y:1994:i:34:p:181-217) - Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Journal of Economic Literature, American Economic Association (2012)
by Yacine Aït-Sahalia & Jean Jacod
(ReDIF-article, aea:jeclit:v:50:y:2012:i:4:p:1007-50) - Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities
Annual Review of Financial Economics, Annual Reviews (2009)
by Yacine Aït-Sahalia
(ReDIF-article, anr:refeco:v:1:y:2009:p:341-359) - High frequency market microstructure noise estimates and liquidity measures
Papers, arXiv.org (2009)
by Yacine Ait-Sahalia & Jialin Yu
(ReDIF-paper, arx:papers:0906.1444) - Portfolio Choice in Markets with Contagion
Papers, arXiv.org (2012)
by Yacine Ait-Sahalia & T. R. Hurd
(ReDIF-paper, arx:papers:1210.1598) - A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data
Journal of the American Statistical Association, American Statistical Association (2005)
by Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine
(ReDIF-article, bes:jnlasa:v:100:y:2005:p:1394-1411) - Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
Journal of Business & Economic Statistics, American Statistical Association (2002)
by Ait-Sahalia, Yacine
(ReDIF-article, bes:jnlbes:v:20:y:2002:i:3:p:317-21) - Comment
Journal of Business & Economic Statistics, American Statistical Association (2006)
by Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan
(ReDIF-article, bes:jnlbes:v:24:y:2006:p:162-167) - Transition Densities for Interest Rate and Other Nonlinear Diffusions
Journal of Finance, American Finance Association (1999)
by Yacine Aït‐Sahalia
(ReDIF-article, bla:jfinan:v:54:y:1999:i:4:p:1361-1395) - Variable Selection for Portfolio Choice
Journal of Finance, American Finance Association (2001)
by Yacine AÏT‐SAHALI & Michael W. Brandt
(ReDIF-article, bla:jfinan:v:56:y:2001:i:4:p:1297-1351) - Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion
Journal of Finance, American Finance Association (2002)
by Yacine Aït‐Sahalia
(ReDIF-article, bla:jfinan:v:57:y:2002:i:5:p:2075-2112) - The Term Structure of Variance Swaps and Risk Premia
Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2018)
by Yacine Ait-Sahalia & Mustafa Karaman & Loriano Mancini
(ReDIF-paper, chf:rpseri:rp1837) - Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions
Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics (2008)
by Ait-Sahalia, Yacine & Kimmel, Robert L.
(ReDIF-paper, ecl:ohidic:2008-19) - Nonparametric Pricing of Interest Rate Derivative Securities
Econometrica, Econometric Society (1996)
by Ait-Sahalia, Yacine
(ReDIF-article, ecm:emetrp:v:64:y:1996:i:3:p:527-60) - Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
Econometrica, Econometric Society (2002)
by Yacine Ait-Sahalia
(ReDIF-article, ecm:emetrp:v:70:y:2002:i:1:p:223-262) - The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions
Econometrica, Econometric Society (2003)
by Yacine Ait--Sahalia & Per A. Mykland
(ReDIF-article, ecm:emetrp:v:71:y:2003:i:2:p:483-549) - Fisher's Information for Discretely Sampled Lévy Processes
Econometrica, Econometric Society (2008)
by Yacine Aït-Sahalia & Jean Jacod
(ReDIF-article, ecm:emetrp:v:76:y:2008:i:4:p:727-761) - Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)
Econometric Society 2004 North American Winter Meetings, Econometric Society (2004)
by Yacine Ait-Sahalia
(ReDIF-paper, ecm:nawm04:575) - Do option markets correctly price the probabilities of movement of the underlying asset?
Journal of Econometrics, Elsevier (2001)
by Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis
(ReDIF-article, eee:econom:v:102:y:2001:i:1:p:67-110) - Goodness-of-fit tests for kernel regression with an application to option implied volatilities
Journal of Econometrics, Elsevier (2001)
by Ait-Sahalia, Yacine & Bickel, Peter J. & Stoker, Thomas M.
(ReDIF-article, eee:econom:v:105:y:2001:i:2:p:363-412) - Nonparametric option pricing under shape restrictions
Journal of Econometrics, Elsevier (2003)
by Ait-Sahalia, Yacine & Duarte, Jefferson
(ReDIF-article, eee:econom:v:116:y:2003:i:1-2:p:9-47) - An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
Journal of Econometrics, Elsevier (2008)
by Aït-Sahalia, Yacine & Mykland, Per A.
(ReDIF-article, eee:econom:v:144:y:2008:i:1:p:1-26) - Out of sample forecasts of quadratic variation
Journal of Econometrics, Elsevier (2008)
by Aït-Sahalia, Yacine & Mancini, Loriano
(ReDIF-article, eee:econom:v:147:y:2008:i:1:p:17-33) - Ultra high frequency volatility estimation with dependent microstructure noise
Journal of Econometrics, Elsevier (2011)
by Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan
(ReDIF-article, eee:econom:v:160:y:2011:i:1:p:160-175) - Edgeworth expansions for realized volatility and related estimators
Journal of Econometrics, Elsevier (2011)
by Zhang, Lan & Mykland, Per A. & Aït-Sahalia, Yacine
(ReDIF-article, eee:econom:v:160:y:2011:i:1:p:190-203) - Testing for jumps in noisy high frequency data
Journal of Econometrics, Elsevier (2012)
by Aït-Sahalia, Yacine & Jacod, Jean & Li, Jia
(ReDIF-article, eee:econom:v:168:y:2012:i:2:p:207-222) - Stationarity-based specification tests for diffusions when the process is nonstationary
Journal of Econometrics, Elsevier (2012)
by Aït-Sahalia, Yacine & Park, Joon Y.
(ReDIF-article, eee:econom:v:169:y:2012:i:2:p:279-292) - Mutual excitation in Eurozone sovereign CDS
Journal of Econometrics, Elsevier (2014)
by Aït-Sahalia, Yacine & Laeven, Roger J.A. & Pelizzon, Loriana
(ReDIF-article, eee:econom:v:183:y:2014:i:2:p:151-167) - Market-based estimation of stochastic volatility models
Journal of Econometrics, Elsevier (2015)
by Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena
(ReDIF-article, eee:econom:v:187:y:2015:i:2:p:418-435) - Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
Journal of Econometrics, Elsevier (2016)
by Aït-Sahalia, Yacine & Park, Joon Y.
(ReDIF-article, eee:econom:v:192:y:2016:i:1:p:119-138) - Increased correlation among asset classes: Are volatility or jumps to blame, or both?
Journal of Econometrics, Elsevier (2016)
by Aït-Sahalia, Yacine & Xiu, Dacheng
(ReDIF-article, eee:econom:v:194:y:2016:i:2:p:205-219) - Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Journal of Econometrics, Elsevier (2017)
by Aït-Sahalia, Yacine & Xiu, Dacheng
(ReDIF-article, eee:econom:v:201:y:2017:i:2:p:384-399) - A Hausman test for the presence of market microstructure noise in high frequency data
Journal of Econometrics, Elsevier (2019)
by Aït-Sahalia, Yacine & Xiu, Dacheng
(ReDIF-article, eee:econom:v:211:y:2019:i:1:p:176-205) - High-frequency factor models and regressions
Journal of Econometrics, Elsevier (2020)
by Aït-Sahalia, Yacine & Kalnina, Ilze & Xiu, Dacheng
(ReDIF-article, eee:econom:v:216:y:2020:i:1:p:86-105) - High frequency traders and the price process
Journal of Econometrics, Elsevier (2020)
by Aït-Sahalia, Yacine & Brunetti, Celso
(ReDIF-article, eee:econom:v:217:y:2020:i:1:p:20-45) - The term structure of equity and variance risk premia
Journal of Econometrics, Elsevier (2020)
by Aït-Sahalia, Yacine & Karaman, Mustafa & Mancini, Loriano
(ReDIF-article, eee:econom:v:219:y:2020:i:2:p:204-230) - Closed-form implied volatility surfaces for stochastic volatility models with jumps
Journal of Econometrics, Elsevier (2021)
by Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu
(ReDIF-article, eee:econom:v:222:y:2021:i:1:p:364-392) - High frequency market making: The role of speed
Journal of Econometrics, Elsevier (2024)
by Aït-Sahalia, Yacine & Sağlam, Mehmet
(ReDIF-article, eee:econom:v:239:y:2024:i:2:s0304407623000581) - Maximum likelihood estimation of latent Markov models using closed-form approximations
Journal of Econometrics, Elsevier (2024)
by Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu
(ReDIF-article, eee:econom:v:240:y:2024:i:2:s0304407620303389) - Dynamic equilibrium and volatility in financial asset markets
Journal of Econometrics, Elsevier (1998)
by Ait-Sahalia, Yacine
(ReDIF-article, eee:econom:v:84:y:1998:i:1:p:93-127) - Nonparametric risk management and implied risk aversion
Journal of Econometrics, Elsevier (2000)
by Ait-Sahalia, Yacine & Lo, Andrew W.
(ReDIF-article, eee:econom:v:94:y:2000:i:1-2:p:9-51) - Market response to policy initiatives during the global financial crisis
Journal of International Economics, Elsevier (2012)
by Aït-Sahalia, Yacine & Andritzky, Jochen & Jobst, Andreas & Nowak, Sylwia & Tamirisa, Natalia
(ReDIF-article, eee:inecon:v:87:y:2012:i:1:p:162-177) - Robust consumption and portfolio policies when asset prices can jump
Journal of Economic Theory, Elsevier (2019)
by Aït-Sahalia, Yacine & Matthys, Felix
(ReDIF-article, eee:jetheo:v:179:y:2019:i:c:p:1-56) - The leverage effect puzzle: Disentangling sources of bias at high frequency
Journal of Financial Economics, Elsevier (2013)
by Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying
(ReDIF-article, eee:jfinec:v:109:y:2013:i:1:p:224-249) - Modeling financial contagion using mutually exciting jump processes
Journal of Financial Economics, Elsevier (2015)
by Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A.
(ReDIF-article, eee:jfinec:v:117:y:2015:i:3:p:585-606) - Disentangling diffusion from jumps
Journal of Financial Economics, Elsevier (2004)
by Ait-Sahalia, Yacine
(ReDIF-article, eee:jfinec:v:74:y:2004:i:3:p:487-528) - Estimating affine multifactor term structure models using closed-form likelihood expansions
Journal of Financial Economics, Elsevier (2010)
by Aït-Sahalia, Yacine & Kimmel, Robert L.
(ReDIF-article, eee:jfinec:v:98:y:2010:i:1:p:113-144) - Semimartingale: Itô or not ?
Stochastic Processes and their Applications, Elsevier (2018)
by Aït-Sahalia, Yacine & Jacod, Jean
(ReDIF-article, eee:spapps:v:128:y:2018:i:1:p:233-254) - Nonstandard errors
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024)
by Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac
(ReDIF-paper, ehl:lserod:123002) - Variable Selection for Portfolio Choice
FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2001)
by Yacine AÏT-SAHALIA, & Michael W. BRANDT
(ReDIF-paper, fam:rpseri:rp34) - When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2021)
by Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar
(ReDIF-paper, fip:fedgfe:2021-63) - Variable Selection for Portfolio Choice
Papers, Manitoba - Department of Economics (2001)
by Ait-Sahalia, Y. & Brandt, M.W.
(ReDIF-paper, fth:manito:34) - Non-Standard Errors
Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-DÃaz & Menachem Abudy & To
(ReDIF-paper, grz:wpsses:2021-08) - Non-Standard Errors
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
by Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí
(ReDIF-paper, hal:cesptp:halshs-03500882) - Le redressement des Tables de Contingence : Deux nouvelles approches
Post-Print, HAL (1988)
by Gabrielle Demange & Balinski M.L & It-Sahalia Y.A
(ReDIF-paper, hal:journl:halshs-00576799) - Non-Standard Errors
Post-Print, HAL (2021)
by Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí
(ReDIF-paper, hal:journl:halshs-03500882) - Non-Standard Errors
Working Papers, Lund University, Department of Economics (2021)
by Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena
(ReDIF-paper, hhs:lunewp:2021_017) - Non-Standard Errors
Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi
(ReDIF-paper, inn:wpaper:2021-31) - Goodness-of-fit tests for regression using kernel methods
Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (1994)
by Aït-Sahalia, Yacine. & Bickel, Peter J. & Stoker, Thomas M.
(ReDIF-paper, mit:sloanp:2670) - Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach
NBER Technical Working Papers, National Bureau of Economic Research, Inc (1998)
by Yacine Ait-Sahalia
(ReDIF-paper, nbr:nberte:0222) - The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
NBER Technical Working Papers, National Bureau of Economic Research, Inc (2002)
by Yacine Ait-Sahalia & Per A. Mykland
(ReDIF-paper, nbr:nberte:0276) - Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions
NBER Technical Working Papers, National Bureau of Economic Research, Inc (2002)
by Yacine Aït-Sahalia & Robert Kimmel
(ReDIF-paper, nbr:nberte:0286) - Edgeworth Expansions for Realized Volatility and Related Estimators
NBER Technical Working Papers, National Bureau of Economic Research, Inc (2005)
by Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia
(ReDIF-paper, nbr:nberte:0319) - A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
NBER Working Papers, National Bureau of Economic Research, Inc (2003)
by Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia
(ReDIF-paper, nbr:nberwo:10111) - Maximum Likelihood Estimation of Stochastic Volatility Models
NBER Working Papers, National Bureau of Economic Research, Inc (2004)
by Yacine Ait-Sahalia & Robert Kimmel
(ReDIF-paper, nbr:nberwo:10579) - Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
NBER Working Papers, National Bureau of Economic Research, Inc (2005)
by Yacine Ait-Sahalia & Per A. Mykland & Lan Zhang
(ReDIF-paper, nbr:nberwo:11380) - High Frequency Market Microstructure Noise Estimates and Liquidity Measures
NBER Working Papers, National Bureau of Economic Research, Inc (2008)
by Yacine Ait-Sahalia & Jialin Yu
(ReDIF-paper, nbr:nberwo:13825) - Consumption and Portfolio Choice with Option-Implied State Prices
NBER Working Papers, National Bureau of Economic Research, Inc (2008)
by Yacine Aït-Sahalia & Michael W. Brandt
(ReDIF-paper, nbr:nberwo:13854) - Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
NBER Working Papers, National Bureau of Economic Research, Inc (2010)
by Yacine Aït-Sahalia & Jean Jacod
(ReDIF-paper, nbr:nberwo:15808) - Market Response to Policy Initiatives during the Global Financial Crisis
NBER Working Papers, National Bureau of Economic Research, Inc (2010)
by Yacine Aït-Sahalia & Jochen Andritzky & Andreas Jobst & Sylwia Nowak & Natalia Tamirisa
(ReDIF-paper, nbr:nberwo:15809) - Modeling Financial Contagion Using Mutually Exciting Jump Processes
NBER Working Papers, National Bureau of Economic Research, Inc (2010)
by Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven
(ReDIF-paper, nbr:nberwo:15850) - The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency
NBER Working Papers, National Bureau of Economic Research, Inc (2011)
by Yacine Ait-Sahalia & Jianqing Fan & Yingying Li
(ReDIF-paper, nbr:nberwo:17592) - High Frequency Traders: Taking Advantage of Speed
NBER Working Papers, National Bureau of Economic Research, Inc (2013)
by Yacine Aït-Sahalia & Mehmet Saglam
(ReDIF-paper, nbr:nberwo:19531) - Principal Component Analysis of High Frequency Data
NBER Working Papers, National Bureau of Economic Research, Inc (2015)
by Yacine Aït-Sahalia & Dacheng Xiu
(ReDIF-paper, nbr:nberwo:21584) - Inference on Risk Premia in Continuous-Time Asset Pricing Models
NBER Working Papers, National Bureau of Economic Research, Inc (2020)
by Yacine Aït-Sahalia & Jean Jacod & Dacheng Xiu
(ReDIF-paper, nbr:nberwo:28140) - When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance
NBER Working Papers, National Bureau of Economic Research, Inc (2021)
by Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar
(ReDIF-paper, nbr:nberwo:29195) - How and When are High-Frequency Stock Returns Predictable?
NBER Working Papers, National Bureau of Economic Research, Inc (2022)
by Yacine Aït-Sahalia & Jianqing Fan & Lirong Xue & Yifeng Zhou
(ReDIF-paper, nbr:nberwo:30366) - So Many Jumps, So Few News
NBER Working Papers, National Bureau of Economic Research, Inc (2024)
by Yacine Aït-Sahalia & Chen Xu Li & Chenxu Li
(ReDIF-paper, nbr:nberwo:32746) - Nonparametric Pricing of Interest Rate Derivative Securities
NBER Working Papers, National Bureau of Economic Research, Inc (1995)
by Yacine Ait-Sahalia
(ReDIF-paper, nbr:nberwo:5345) - Testing Continuous-Time Models of the Spot Interest Rate
NBER Working Papers, National Bureau of Economic Research, Inc (1995)
by Yacine Ait-Sahalia
(ReDIF-paper, nbr:nberwo:5346) - Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
NBER Working Papers, National Bureau of Economic Research, Inc (1995)
by Yacine Ait-Sahalia & Andrew W. Lo
(ReDIF-paper, nbr:nberwo:5351) - Dynamic Equilibrium and Volatility in Financial Asset Markets
NBER Working Papers, National Bureau of Economic Research, Inc (1996)
by Yacine Ait-Sahalia
(ReDIF-paper, nbr:nberwo:5479) - Nonparametric Risk Management and Implied Risk Aversion
NBER Working Papers, National Bureau of Economic Research, Inc (2000)
by Yacine Ait-Sahalia & Andrew W. Lo
(ReDIF-paper, nbr:nberwo:6130) - Variable Selection for Portfolio Choice
NBER Working Papers, National Bureau of Economic Research, Inc (2001)
by Yacine Ait-Sahalia & Michael W. Brandt
(ReDIF-paper, nbr:nberwo:8127) - Luxury Goods and the Equity Premium
NBER Working Papers, National Bureau of Economic Research, Inc (2001)
by Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo
(ReDIF-paper, nbr:nberwo:8417) - Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion
NBER Working Papers, National Bureau of Economic Research, Inc (2001)
by Yacine Ait-Sahalia
(ReDIF-paper, nbr:nberwo:8504) - Nonparametric Option Pricing under Shape Restrictions
NBER Working Papers, National Bureau of Economic Research, Inc (2002)
by Yacine Ait-Sahalia & Jefferson Duarte
(ReDIF-paper, nbr:nberwo:8944) - Closed-Form Likelihood Expansions for Multivariate Diffusions
NBER Working Papers, National Bureau of Economic Research, Inc (2002)
by Yacine Ait-Sahalia
(ReDIF-paper, nbr:nberwo:8956) - How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
NBER Working Papers, National Bureau of Economic Research, Inc (2003)
by Yacine Ait-Sahalia & Per A. Mykland
(ReDIF-paper, nbr:nberwo:9611) - Disentangling Volatility from Jumps
NBER Working Papers, National Bureau of Economic Research, Inc (2003)
by Yacine Ait-Sahalia
(ReDIF-paper, nbr:nberwo:9915) - Portfolio Choice in Markets with Contagion
Journal of Financial Econometrics, Oxford University Press (2016)
by Yacine Aït-Sahalia & Thomas Robert Hurd
(ReDIF-article, oup:jfinec:v:14:y:2016:i:1:p:1-28.) - How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
The Review of Financial Studies, Society for Financial Studies (2005)
by Yacine Aït-Sahalia
(ReDIF-article, oup:rfinst:v:18:y:2005:i:2:p:351-416) - Implied Stochastic Volatility Models
[Testing continuous-time models of the spot interest rate]
The Review of Financial Studies, Society for Financial Studies (2021)
by Yacine Aït-Sahalia & Chenxu Li & Chen Xu Li
(ReDIF-article, oup:rfinst:v:34:y:2021:i:1:p:394-450.) - Testing Continuous-Time Models of the Spot Interest Rate
The Review of Financial Studies, Society for Financial Studies (1996)
by Ait-Sahalia, Yacine
(ReDIF-article, oup:rfinst:v:9:y:1996:i:2:p:385-426) - Luxury Goods and the Equity Premium
Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics (2002)
by Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo
(ReDIF-paper, pri:wwseco:dp222.pdf) - Preface
[High-Frequency Financial Econometrics]
Introductory Chapters, Princeton University Press (2014)
by Yacine Aït-Sahalia & Jean Jacod
(ReDIF-chapter, pup:chapts:10261-0) - From Diffusions to Semimartingales
[High-Frequency Financial Econometrics]
Introductory Chapters, Princeton University Press (2014)
by Yacine Aït-Sahalia & Jean Jacod
(ReDIF-chapter, pup:chapts:10261-1) - High-Frequency Financial Econometrics
Economics Books, Princeton University Press (2014)
by Yacine Aït-Sahalia & Jean Jacod
(ReDIF-book, pup:pbooks:10261) - Estimation of the Continuous and Discontinuous Leverage Effects
Journal of the American Statistical Association, Taylor & Francis Journals (2017)
by Yacine Aït-Sahalia & Jianqing Fan & Roger J. A. Laeven & Christina Dan Wang & Xiye Yang
(ReDIF-article, taf:jnlasa:v:112:y:2017:i:520:p:1744-1758) - Principal Component Analysis of High-Frequency Data
Journal of the American Statistical Association, Taylor & Francis Journals (2019)
by Yacine Aït-Sahalia & Dacheng Xiu
(ReDIF-article, taf:jnlasa:v:114:y:2019:i:525:p:287-303) - Dynamic Equilibrium and Volatility in Financial Asset Markets
CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago ()
by Yacine Aït-Sahalia
(ReDIF-paper, wop:chispw:331) - Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago ()
by Yacine Aït-Sahalia & Andrew W. Lo
(ReDIF-paper, wop:chispw:332) - Transition Densities For Interest Rate And Other Nonlinear Diffusions
World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2001)
by Yacine Aït-Sahalia
(ReDIF-chapter, wsi:wschap:9789812810663_0001) - Ultra high frequency volatility estimation with dependent microstructure noise
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2005)
by Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan
(ReDIF-paper, zbw:bubdp1:4224) - Mutual excitation in eurozone sovereign CDS
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2014)
by Aït-Sahalia, Yacine & Laeven, Roger J. A. & Pelizzon, Loriana
(ReDIF-paper, zbw:safewp:51)