Details about Yacine Ait-Sahalia

Access statistics for papers by Yacine Ait-Sahalia.

Last updated 2011-04-12. Update your information in the RePEc Author Service.

Short-id: pai23

Working Papers

2011

1. The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency
   NBER Working Papers, National Bureau of Economic Research, Inc

2010

2. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
3. Market Response to Policy Initiatives during the Global Financial Crisis
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (33)
4. Modeling Financial Contagion Using Mutually Exciting Jump Processes
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)

2008

5. Consumption and Portfolio Choice with Option-Implied State Prices
   NBER Working Papers, National Bureau of Economic Research, Inc
6. 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 View citations (1)
   Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2002) View citations (9)
   See also Journal Article in Journal of Financial Economics (2010)
7. High Frequency Market Microstructure Noise Estimates and Liquidity Measures
   NBER Working Papers, National Bureau of Economic Research, Inc

2005

8. Edgeworth Expansions for Realized Volatility and Related Estimators
   NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (8)
   See also Journal Article in Journal of Econometrics (2011)
9. Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
   Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2005) View citations (25)
   See also Journal Article in Journal of Econometrics (2011)

2004

10. Maximum Likelihood Estimation of Stochastic Volatility Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
11. Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)
    Econometric Society 2004 North American Winter Meetings, Econometric Society

2003

12. A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
    See also Journal Article in Journal of the American Statistical Association (2005)
13. Disentangling Volatility from Jumps
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
14. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
    See also Journal Article in Review of Financial Studies (2005)

2002

15. Closed-Form Likelihood Expansions for Multivariate Diffusions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
16. Luxury Goods and the Equity Premium
    Working Papers, Princeton University, Woodrow Wilson School of Public and International Affairs, Discussion Papers in Economics.
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (28)
17. Nonparametric Option Pricing under Shape Restrictions
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in Journal of Econometrics (2003)
18. The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article in Econometrica (2003)

2001

19. Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    See also Journal Article in Journal of Finance (2002)
20. Variable Selection for Portfolio Choice
    Working Papers, Manitoba - Department of Economics View citations (68)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (67)
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2001) View citations (11)
    See also Journal Article in Journal of Finance (2001)

2000

21. Nonparametric Risk Management and Implied Risk Aversion
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (138)
    See also Journal Article in Journal of Econometrics (2000)

1998

22. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (14)

1996

23. Dynamic Equilibrium and Volatility in Financial Asset Markets
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
    See also Journal Article in Journal of Econometrics (1998)

1995

24. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (68)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
    See also Journal Article in Journal of Finance (1998)
25. Nonparametric Pricing of Interest Rate Derivative Securities
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    See also Journal Article in Econometrica (1996)
26. Testing Continuous-Time Models of the Spot Interest Rate
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (49)
    See also Journal Article in Review of Financial Studies (1996)

1994

27. Goodness-of-fit tests for regression using kernel methods
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (22)

Journal Articles

2011

1. Edgeworth expansions for realized volatility and related estimators
   Journal of Econometrics, 2011, 160, (1), 190-203 View citations (3)
   See also Working Paper (2005)
2. Ultra high frequency volatility estimation with dependent microstructure noise
   Journal of Econometrics, 2011, 160, (1), 160-175 View citations (17)
   See also Working Paper (2005)

2010

3. Estimating affine multifactor term structure models using closed-form likelihood expansions
   Journal of Financial Economics, 2010, 98, (1), 113-144 View citations (1)
   See also Working Paper (2008)

2008

4. An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
   Journal of Econometrics, 2008, 144, (1), 1-26
5. Fisher's Information for Discretely Sampled Lévy Processes
   Econometrica, 2008, 76, (4), 727-761 View citations (1)
6. Out of sample forecasts of quadratic variation
   Journal of Econometrics, 2008, 147, (1), 17-33 View citations (21)

2006

7. Comment
   Journal of Business & Economic Statistics, 2006, 24, 162-167

2005

8. A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data
   Journal of the American Statistical Association, 2005, 100, 1394-1411 View citations (206)
   See also Working Paper (2003)
9. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
   Review of Financial Studies, 2005, 18, (2), 351-416 View citations (59)
   See also Working Paper (2003)

2004

10. Disentangling diffusion from jumps
    Journal of Financial Economics, 2004, 74, (3), 487-528 View citations (23)

2003

11. Nonparametric option pricing under shape restrictions
    Journal of Econometrics, 2003, 116, (1-2), 9-47 View citations (48)
    See also Working Paper (2002)
12. The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions
    Econometrica, 2003, 71, (2), 483-549 View citations (16)
    See also Working Paper (2002)

2002

13. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
    Econometrica, 2002, 70, (1), 223-262 View citations (45)
14. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
    Journal of Business & Economic Statistics, 2002, 20, (3), 317-21
15. Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion
    Journal of Finance, 2002, 57, (5), 2075-2112 View citations (3)
    See also Working Paper (2001)

2001

16. Do option markets correctly price the probabilities of movement of the underlying asset?
    Journal of Econometrics, 2001, 102, (1), 67-110 View citations (60)
17. Goodness-of-fit tests for kernel regression with an application to option implied volatilities
    Journal of Econometrics, 2001, 105, (2), 363-412 View citations (39)
18. Variable Selection for Portfolio Choice
    Journal of Finance, 2001, 56, (4), 1297-1351 View citations (47)
    See also Working Paper (2001)

2000

19. Nonparametric risk management and implied risk aversion
    Journal of Econometrics, 2000, 94, (1-2), 9-51 View citations (167)
    See also Working Paper (2000)

1999

20. Transition Densities for Interest Rate and Other Nonlinear Diffusions
    Journal of Finance, 1999, 54, (4), 1361-1395 View citations (35)

1998

21. Dynamic equilibrium and volatility in financial asset markets
    Journal of Econometrics, 1998, 84, (1), 93-127 View citations (2)
    See also Working Paper (1996)
22. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
    Journal of Finance, 1998, 53, (2), 499-547 View citations (63)
    See also Working Paper (1995)

1996

23. Nonparametric Pricing of Interest Rate Derivative Securities
    Econometrica, 1996, 64, (3), 527-60 View citations (97)
    See also Working Paper (1995)
24. Testing Continuous-Time Models of the Spot Interest Rate
    Review of Financial Studies, 1996, 9, (2), 385-426 View citations (95)
    See also Working Paper (1995)