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Details about Yacine Ait-Sahalia

Homepage:http://www.princeton.edu/~yacine
Workplace:Bendheim Center for Finance, Department of Economics, Princeton University, (more information at EDIRC)

Access statistics for papers by Yacine Ait-Sahalia.

Last updated 2013-07-14. Update your information in the RePEc Author Service.

Short-id: pai23


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Working Papers

2015

  1. Principal Component Analysis of High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

2013

  1. High Frequency Traders: Taking Advantage of Speed
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

2011

  1. The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Financial Economics (2013)

2010

  1. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
  2. Market Response to Policy Initiatives during the Global Financial Crisis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (26)
    See also Journal Article in Journal of International Economics (2012)
  3. Modeling Financial Contagion Using Mutually Exciting Jump Processes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (46)

2008

  1. Consumption and Portfolio Choice with Option-Implied State Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
  2. 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 Downloads View citations (2)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2002) Downloads View citations (9)

    See also Journal Article in Journal of Financial Economics (2010)
  3. High Frequency Market Microstructure Noise Estimates and Liquidity Measures
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2005

  1. Edgeworth Expansions for Realized Volatility and Related Estimators
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    See also Journal Article in Journal of Econometrics (2011)
  2. Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (21)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2005) Downloads View citations (24)

    See also Journal Article in Journal of Econometrics (2011)

2004

  1. Maximum Likelihood Estimation of Stochastic Volatility Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
  2. Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads

2003

  1. A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
    See also Journal Article in Journal of the American Statistical Association (2005)
  2. Disentangling Volatility from Jumps
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
  3. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    See also Journal Article in Review of Financial Studies (2005)

2002

  1. Closed-Form Likelihood Expansions for Multivariate Diffusions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
  2. Nonparametric Option Pricing under Shape Restrictions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Econometrics (2003)
  3. The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Econometrica (2003)

2001

  1. Luxury Goods and the Equity Premium
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (29)
  2. Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article in Journal of Finance (2002)
  3. Variable Selection for Portfolio Choice
    Working Papers, Manitoba - Department of Economics View citations (127)
    Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (2001) Downloads View citations (59)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (126)

    See also Journal Article in Journal of Finance (2001)

2000

  1. Nonparametric Risk Management and Implied Risk Aversion
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (213)
    See also Journal Article in Journal of Econometrics (2000)

1998

  1. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)

1996

  1. Dynamic Equilibrium and Volatility in Financial Asset Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    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

  1. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (41)
    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)
  2. Nonparametric Pricing of Interest Rate Derivative Securities
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Econometrica (1996)
  3. Testing Continuous-Time Models of the Spot Interest Rate
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (24)
    See also Journal Article in Review of Financial Studies (1996)

1994

  1. Goodness-of-fit tests for regression using kernel methods
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (23)

Journal Articles

2013

  1. The leverage effect puzzle: Disentangling sources of bias at high frequency
    Journal of Financial Economics, 2013, 109, (1), 224-249 Downloads View citations (17)
    See also Working Paper (2011)

2012

  1. Market response to policy initiatives during the global financial crisis
    Journal of International Economics, 2012, 87, (1), 162-177 Downloads View citations (54)
    See also Working Paper (2010)
  2. Stationarity-based specification tests for diffusions when the process is nonstationary
    Journal of Econometrics, 2012, 169, (2), 279-292 Downloads View citations (5)
  3. Testing for jumps in noisy high frequency data
    Journal of Econometrics, 2012, 168, (2), 207-222 Downloads View citations (16)

2011

  1. Edgeworth expansions for realized volatility and related estimators
    Journal of Econometrics, 2011, 160, (1), 190-203 Downloads View citations (10)
    See also Working Paper (2005)
  2. Ultra high frequency volatility estimation with dependent microstructure noise
    Journal of Econometrics, 2011, 160, (1), 160-175 Downloads View citations (73)
    See also Working Paper (2005)

2010

  1. Estimating affine multifactor term structure models using closed-form likelihood expansions
    Journal of Financial Economics, 2010, 98, (1), 113-144 Downloads View citations (24)
    See also Working Paper (2008)

2008

  1. An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
    Journal of Econometrics, 2008, 144, (1), 1-26 Downloads
  2. Fisher's Information for Discretely Sampled Lévy Processes
    Econometrica, 2008, 76, (4), 727-761 Downloads View citations (12)
  3. Out of sample forecasts of quadratic variation
    Journal of Econometrics, 2008, 147, (1), 17-33 Downloads View citations (42)

2006

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

2005

  1. A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data
    Journal of the American Statistical Association, 2005, 100, 1394-1411 Downloads View citations (473)
    See also Working Paper (2003)
  2. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
    Review of Financial Studies, 2005, 18, (2), 351-416 Downloads View citations (135)
    See also Working Paper (2003)

2004

  1. Disentangling diffusion from jumps
    Journal of Financial Economics, 2004, 74, (3), 487-528 Downloads View citations (46)

2003

  1. Nonparametric option pricing under shape restrictions
    Journal of Econometrics, 2003, 116, (1-2), 9-47 Downloads View citations (98)
    See also Working Paper (2002)
  2. The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions
    Econometrica, 2003, 71, (2), 483-549 Downloads View citations (25)
    See also Working Paper (2002)

2002

  1. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
    Econometrica, 2002, 70, (1), 223-262 Downloads View citations (104)
  2. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
    Journal of Business & Economic Statistics, 2002, 20, (3), 317-21
  3. Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion
    Journal of Finance, 2002, 57, (5), 2075-2112 Downloads View citations (14)
    See also Working Paper (2001)

2001

  1. Do option markets correctly price the probabilities of movement of the underlying asset?
    Journal of Econometrics, 2001, 102, (1), 67-110 Downloads View citations (82)
  2. Goodness-of-fit tests for kernel regression with an application to option implied volatilities
    Journal of Econometrics, 2001, 105, (2), 363-412 Downloads View citations (55)
  3. Variable Selection for Portfolio Choice
    Journal of Finance, 2001, 56, (4), 1297-1351 Downloads View citations (71)
    See also Working Paper (2001)

2000

  1. Nonparametric risk management and implied risk aversion
    Journal of Econometrics, 2000, 94, (1-2), 9-51 Downloads View citations (249)
    See also Working Paper (2000)

1999

  1. Transition Densities for Interest Rate and Other Nonlinear Diffusions
    Journal of Finance, 1999, 54, (4), 1361-1395 Downloads View citations (66)

1998

  1. Dynamic equilibrium and volatility in financial asset markets
    Journal of Econometrics, 1998, 84, (1), 93-127 Downloads View citations (3)
    See also Working Paper (1996)
  2. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
    Journal of Finance, 1998, 53, (2), 499-547 Downloads View citations (253)
    See also Working Paper (1995)

1996

  1. Nonparametric Pricing of Interest Rate Derivative Securities
    Econometrica, 1996, 64, (3), 527-60 Downloads View citations (167)
    See also Working Paper (1995)
  2. Testing Continuous-Time Models of the Spot Interest Rate
    Review of Financial Studies, 1996, 9, (2), 385-426 Downloads View citations (279)
    See also Working Paper (1995)
 
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