Yacine Ait-Sahalia
Names
| first: |
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 (RePEc:adr:anecst:y:1994:i:34:p:181-217)
by Yacine Ait-Sahalia - Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (RePEc:aea:jeclit:v:50:y:2012:i:4:p:1007-50)
by Yacine Aït-Sahalia & Jean Jacod - Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities (RePEc:anr:refeco:v:1:y:2009:p:341-359)
by Yacine Aït-Sahalia - High frequency market microstructure noise estimates and liquidity measures (RePEc:arx:papers:0906.1444)
by Yacine Ait-Sahalia & Jialin Yu - Portfolio Choice in Markets with Contagion (RePEc:arx:papers:1210.1598)
by Yacine Ait-Sahalia & T. R. Hurd - A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data (RePEc:bes:jnlasa:v:100:y:2005:p:1394-1411)
by Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine - Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment (RePEc:bes:jnlbes:v:20:y:2002:i:3:p:317-21)
by Ait-Sahalia, Yacine - Comment (RePEc:bes:jnlbes:v:24:y:2006:p:162-167)
by Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan - Transition Densities for Interest Rate and Other Nonlinear Diffusions (RePEc:bla:jfinan:v:54:y:1999:i:4:p:1361-1395)
by Yacine Aït‐Sahalia - Variable Selection for Portfolio Choice (RePEc:bla:jfinan:v:56:y:2001:i:4:p:1297-1351)
by Yacine AÏT‐SAHALI & Michael W. Brandt - Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion (RePEc:bla:jfinan:v:57:y:2002:i:5:p:2075-2112)
by Yacine Aït‐Sahalia - The Term Structure of Variance Swaps and Risk Premia (RePEc:chf:rpseri:rp1837)
by Yacine Ait-Sahalia & Mustafa Karaman & Loriano Mancini - Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions (RePEc:ecl:ohidic:2008-19)
by Ait-Sahalia, Yacine & Kimmel, Robert L. - Nonparametric Pricing of Interest Rate Derivative Securities (RePEc:ecm:emetrp:v:64:y:1996:i:3:p:527-60)
by Ait-Sahalia, Yacine - Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (RePEc:ecm:emetrp:v:70:y:2002:i:1:p:223-262)
by Yacine Ait-Sahalia - The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions (RePEc:ecm:emetrp:v:71:y:2003:i:2:p:483-549)
by Yacine Ait--Sahalia & Per A. Mykland - Fisher's Information for Discretely Sampled Lévy Processes (RePEc:ecm:emetrp:v:76:y:2008:i:4:p:727-761)
by Yacine Aït-Sahalia & Jean Jacod - Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) (RePEc:ecm:nawm04:575)
by Yacine Ait-Sahalia - Do option markets correctly price the probabilities of movement of the underlying asset? (RePEc:eee:econom:v:102:y:2001:i:1:p:67-110)
by Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis - Goodness-of-fit tests for kernel regression with an application to option implied volatilities (RePEc:eee:econom:v:105:y:2001:i:2:p:363-412)
by Ait-Sahalia, Yacine & Bickel, Peter J. & Stoker, Thomas M. - Nonparametric option pricing under shape restrictions (RePEc:eee:econom:v:116:y:2003:i:1-2:p:9-47)
by Ait-Sahalia, Yacine & Duarte, Jefferson - An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions (RePEc:eee:econom:v:144:y:2008:i:1:p:1-26)
by Aït-Sahalia, Yacine & Mykland, Per A. - Out of sample forecasts of quadratic variation (RePEc:eee:econom:v:147:y:2008:i:1:p:17-33)
by Aït-Sahalia, Yacine & Mancini, Loriano - Ultra high frequency volatility estimation with dependent microstructure noise (RePEc:eee:econom:v:160:y:2011:i:1:p:160-175)
by Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan - Edgeworth expansions for realized volatility and related estimators (RePEc:eee:econom:v:160:y:2011:i:1:p:190-203)
by Zhang, Lan & Mykland, Per A. & Aït-Sahalia, Yacine - Testing for jumps in noisy high frequency data (RePEc:eee:econom:v:168:y:2012:i:2:p:207-222)
by Aït-Sahalia, Yacine & Jacod, Jean & Li, Jia - Stationarity-based specification tests for diffusions when the process is nonstationary (RePEc:eee:econom:v:169:y:2012:i:2:p:279-292)
by Aït-Sahalia, Yacine & Park, Joon Y. - Mutual excitation in Eurozone sovereign CDS (RePEc:eee:econom:v:183:y:2014:i:2:p:151-167)
by Aït-Sahalia, Yacine & Laeven, Roger J.A. & Pelizzon, Loriana - Market-based estimation of stochastic volatility models (RePEc:eee:econom:v:187:y:2015:i:2:p:418-435)
by Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena - Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models (RePEc:eee:econom:v:192:y:2016:i:1:p:119-138)
by Aït-Sahalia, Yacine & Park, Joon Y. - Increased correlation among asset classes: Are volatility or jumps to blame, or both? (RePEc:eee:econom:v:194:y:2016:i:2:p:205-219)
by Aït-Sahalia, Yacine & Xiu, Dacheng - Using principal component analysis to estimate a high dimensional factor model with high-frequency data (RePEc:eee:econom:v:201:y:2017:i:2:p:384-399)
by Aït-Sahalia, Yacine & Xiu, Dacheng - A Hausman test for the presence of market microstructure noise in high frequency data (RePEc:eee:econom:v:211:y:2019:i:1:p:176-205)
by Aït-Sahalia, Yacine & Xiu, Dacheng - High-frequency factor models and regressions (RePEc:eee:econom:v:216:y:2020:i:1:p:86-105)
by Aït-Sahalia, Yacine & Kalnina, Ilze & Xiu, Dacheng - High frequency traders and the price process (RePEc:eee:econom:v:217:y:2020:i:1:p:20-45)
by Aït-Sahalia, Yacine & Brunetti, Celso - The term structure of equity and variance risk premia (RePEc:eee:econom:v:219:y:2020:i:2:p:204-230)
by Aït-Sahalia, Yacine & Karaman, Mustafa & Mancini, Loriano - Closed-form implied volatility surfaces for stochastic volatility models with jumps (RePEc:eee:econom:v:222:y:2021:i:1:p:364-392)
by Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu - Dynamic equilibrium and volatility in financial asset markets (RePEc:eee:econom:v:84:y:1998:i:1:p:93-127)
by Ait-Sahalia, Yacine - Nonparametric risk management and implied risk aversion (RePEc:eee:econom:v:94:y:2000:i:1-2:p:9-51)
by Ait-Sahalia, Yacine & Lo, Andrew W. - Market response to policy initiatives during the global financial crisis (RePEc:eee:inecon:v:87:y:2012:i:1:p:162-177)
by Aït-Sahalia, Yacine & Andritzky, Jochen & Jobst, Andreas & Nowak, Sylwia & Tamirisa, Natalia - Robust consumption and portfolio policies when asset prices can jump (RePEc:eee:jetheo:v:179:y:2019:i:c:p:1-56)
by Aït-Sahalia, Yacine & Matthys, Felix - The leverage effect puzzle: Disentangling sources of bias at high frequency (RePEc:eee:jfinec:v:109:y:2013:i:1:p:224-249)
by Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying - Modeling financial contagion using mutually exciting jump processes (RePEc:eee:jfinec:v:117:y:2015:i:3:p:585-606)
by Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A. - Disentangling diffusion from jumps (RePEc:eee:jfinec:v:74:y:2004:i:3:p:487-528)
by Ait-Sahalia, Yacine - Estimating affine multifactor term structure models using closed-form likelihood expansions (RePEc:eee:jfinec:v:98:y:2010:i:1:p:113-144)
by Aït-Sahalia, Yacine & Kimmel, Robert L. - Semimartingale: Itô or not ? (RePEc:eee:spapps:v:128:y:2018:i:1:p:233-254)
by Aït-Sahalia, Yacine & Jacod, Jean - Variable Selection for Portfolio Choice (RePEc:fam:rpseri:rp34)
by Yacine AÏT-SAHALIA, & Michael W. BRANDT - When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance (RePEc:fip:fedgfe:2021-63)
by Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar - Variable Selection for Portfolio Choice (RePEc:fth:manito:34)
by Ait-Sahalia, Y. & Brandt, M.W. - Non-Standard Errors (RePEc:grz:wpsses:2021-08)
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 - Non-Standard Errors (RePEc:hal:cesptp:halshs-03500882)
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 - Le redressement des Tables de Contingence : Deux nouvelles approches (RePEc:hal:journl:halshs-00576799)
by Gabrielle Demange & Balinski M.L & It-Sahalia Y.A - Non-Standard Errors (RePEc:hal:journl:halshs-03500882)
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 - Non-Standard Errors (RePEc:inn:wpaper:2021-31)
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 - Goodness-of-fit tests for regression using kernel methods (RePEc:mit:sloanp:2670)
by Aït-Sahalia, Yacine. & Bickel, Peter J. & Stoker, Thomas M. - Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach (RePEc:nbr:nberte:0222)
by Yacine Ait-Sahalia - The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions (RePEc:nbr:nberte:0276)
by Yacine Ait-Sahalia & Per A. Mykland - Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions (RePEc:nbr:nberte:0286)
by Yacine Aït-Sahalia & Robert Kimmel - Edgeworth Expansions for Realized Volatility and Related Estimators (RePEc:nbr:nberte:0319)
by Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia - A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (RePEc:nbr:nberwo:10111)
by Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia - Maximum Likelihood Estimation of Stochastic Volatility Models (RePEc:nbr:nberwo:10579)
by Yacine Ait-Sahalia & Robert Kimmel - Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise (RePEc:nbr:nberwo:11380)
by Yacine Ait-Sahalia & Per A. Mykland & Lan Zhang - High Frequency Market Microstructure Noise Estimates and Liquidity Measures (RePEc:nbr:nberwo:13825)
by Yacine Ait-Sahalia & Jialin Yu - Consumption and Portfolio Choice with Option-Implied State Prices (RePEc:nbr:nberwo:13854)
by Yacine Aït-Sahalia & Michael W. Brandt - Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (RePEc:nbr:nberwo:15808)
by Yacine Aït-Sahalia & Jean Jacod - Market Response to Policy Initiatives during the Global Financial Crisis (RePEc:nbr:nberwo:15809)
by Yacine Aït-Sahalia & Jochen Andritzky & Andreas Jobst & Sylwia Nowak & Natalia Tamirisa - Modeling Financial Contagion Using Mutually Exciting Jump Processes (RePEc:nbr:nberwo:15850)
by Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven - The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency (RePEc:nbr:nberwo:17592)
by Yacine Ait-Sahalia & Jianqing Fan & Yingying Li - High Frequency Traders: Taking Advantage of Speed (RePEc:nbr:nberwo:19531)
by Yacine Aït-Sahalia & Mehmet Saglam - Principal Component Analysis of High Frequency Data (RePEc:nbr:nberwo:21584)
by Yacine Aït-Sahalia & Dacheng Xiu - Inference on Risk Premia in Continuous-Time Asset Pricing Models (RePEc:nbr:nberwo:28140)
by Yacine Aït-Sahalia & Jean Jacod & Dacheng Xiu - When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance (RePEc:nbr:nberwo:29195)
by Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar - How and When are High-Frequency Stock Returns Predictable? (RePEc:nbr:nberwo:30366)
by Yacine Aït-Sahalia & Jianqing Fan & Lirong Xue & Yifeng Zhou - Nonparametric Pricing of Interest Rate Derivative Securities (RePEc:nbr:nberwo:5345)
by Yacine Ait-Sahalia - Testing Continuous-Time Models of the Spot Interest Rate (RePEc:nbr:nberwo:5346)
by Yacine Ait-Sahalia - Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices (RePEc:nbr:nberwo:5351)
by Yacine Ait-Sahalia & Andrew W. Lo - Dynamic Equilibrium and Volatility in Financial Asset Markets (RePEc:nbr:nberwo:5479)
by Yacine Ait-Sahalia - Nonparametric Risk Management and Implied Risk Aversion (RePEc:nbr:nberwo:6130)
by Yacine Ait-Sahalia & Andrew W. Lo - Variable Selection for Portfolio Choice (RePEc:nbr:nberwo:8127)
by Yacine Ait-Sahalia & Michael W. Brandt - Luxury Goods and the Equity Premium (RePEc:nbr:nberwo:8417)
by Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo - Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion (RePEc:nbr:nberwo:8504)
by Yacine Ait-Sahalia - Nonparametric Option Pricing under Shape Restrictions (RePEc:nbr:nberwo:8944)
by Yacine Ait-Sahalia & Jefferson Duarte - Closed-Form Likelihood Expansions for Multivariate Diffusions (RePEc:nbr:nberwo:8956)
by Yacine Ait-Sahalia - How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (RePEc:nbr:nberwo:9611)
by Yacine Ait-Sahalia & Per A. Mykland - Disentangling Volatility from Jumps (RePEc:nbr:nberwo:9915)
by Yacine Ait-Sahalia - Portfolio Choice in Markets with Contagion (RePEc:oup:jfinec:v:14:y:2016:i:1:p:1-28.)
by Yacine Aït-Sahalia & Thomas Robert Hurd - How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (RePEc:oup:rfinst:v:18:y:2005:i:2:p:351-416)
by Yacine Aït-Sahalia - Implied Stochastic Volatility Models
[Testing continuous-time models of the spot interest rate] (RePEc:oup:rfinst:v:34:y:2021:i:1:p:394-450.)
by Yacine Aït-Sahalia & Chenxu Li & Chen Xu Li - Testing Continuous-Time Models of the Spot Interest Rate (RePEc:oup:rfinst:v:9:y:1996:i:2:p:385-426)
by Ait-Sahalia, Yacine - Luxury Goods and the Equity Premium (RePEc:pri:wwseco:dp222.pdf)
by Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo - Preface (RePEc:pup:chapts:10261-0)
by Yacine Aït-Sahalia & Jean Jacod - High-Frequency Financial Econometrics (RePEc:pup:pbooks:10261)
by Yacine Aït-Sahalia & Jean Jacod - Estimation of the Continuous and Discontinuous Leverage Effects (RePEc:taf:jnlasa:v:112:y:2017:i:520:p:1744-1758)
by Yacine Aït-Sahalia & Jianqing Fan & Roger J. A. Laeven & Christina Dan Wang & Xiye Yang - Principal Component Analysis of High-Frequency Data (RePEc:taf:jnlasa:v:114:y:2019:i:525:p:287-303)
by Yacine Aït-Sahalia & Dacheng Xiu - Dynamic Equilibrium and Volatility in Financial Asset Markets (RePEc:wop:chispw:331)
by Yacine Aït-Sahalia - Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices (RePEc:wop:chispw:332)
by Yacine Aït-Sahalia & Andrew W. Lo - Transition Densities For Interest Rate And Other Nonlinear Diffusions (RePEc:wsi:wschap:9789812810663_0001)
by Yacine Aït-Sahalia - Ultra high frequency volatility estimation with dependent microstructure noise (RePEc:zbw:bubdp1:4224)
by Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan - Mutual excitation in eurozone sovereign CDS (RePEc:zbw:safewp:51)
by Aït-Sahalia, Yacine & Laeven, Roger J. A. & Pelizzon, Loriana