Details about Yacine Ait-Sahalia

E-mail:
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 2023-07-07. Update your information in the RePEc Author Service.

Short-id: pai23

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Working Papers

2022

1. How and When are High-Frequency Stock Returns Predictable?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2021

2. Non-Standard Errors
   Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz View citations (1)
   Also in Post-Print, HAL (2021)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (1)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
3. 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.) View citations (3)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (3)

2020

4. Inference on Risk Premia in Continuous-Time Asset Pricing Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2018

5. The Term Structure of Variance Swaps and Risk Premia
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (13)

2015

6. Principal Component Analysis of High Frequency Data
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   See also Journal Article in Journal of the American Statistical Association (2019)

2014

7. Mutual excitation in eurozone sovereign CDS
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (58)
   See also Journal Article in Journal of Econometrics (2014)

2013

8. High Frequency Traders: Taking Advantage of Speed
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)

2012

9. Portfolio Choice in Markets with Contagion
   Papers, arXiv.org View citations (2)
   See also Journal Article in The Journal of Financial Econometrics (2016)

2011

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

2010

11. 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 (5)
    See also Journal Article in Journal of Economic Literature (2012)
12. Market Response to Policy Initiatives during the Global Financial Crisis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (42)
    See also Journal Article in Journal of International Economics (2012)
13. Modeling Financial Contagion Using Mutually Exciting Jump Processes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (59)
    See also Journal Article in Journal of Financial Economics (2015)

2009

14. High frequency market microstructure noise estimates and liquidity measures
    Papers, arXiv.org View citations (45)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (5)

2008

15. Consumption and Portfolio Choice with Option-Implied State Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
16. 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 (2)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2002) View citations (13)
    See also Journal Article in Journal of Financial Economics (2010)

2005

17. Edgeworth Expansions for Realized Volatility and Related Estimators
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (11)
    See also Journal Article in Journal of Econometrics (2011)
18. Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2005) View citations (38)
    See also Journal Article in Journal of Econometrics (2011)

2004

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

2003

21. 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)
22. Disentangling Volatility from Jumps
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
23. 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 (19)
    See also Journal Article in Review of Financial Studies (2005)

2002

24. Closed-Form Likelihood Expansions for Multivariate Diffusions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
25. Luxury Goods and the Equity Premium
    Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (37)
26. Nonparametric Option Pricing under Shape Restrictions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article in Journal of Econometrics (2003)
27. The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article in Econometrica (2003)

2001

28. Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    See also Journal Article in Journal of Finance (2002)
29. Variable Selection for Portfolio Choice
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (150)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (178)
    Working Papers, Manitoba - Department of Economics (2001) View citations (178)
    See also Journal Article in Journal of Finance (2001)

2000

30. Nonparametric Risk Management and Implied Risk Aversion
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (339)
    See also Journal Article in Journal of Econometrics (2000)

1998

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

1996

32. 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

33. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (56)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
34. Nonparametric Pricing of Interest Rate Derivative Securities
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article in Econometrica (1996)
35. Testing Continuous-Time Models of the Spot Interest Rate
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
    See also Journal Article in Review of Financial Studies (1996)

1994

36. Goodness-of-fit tests for regression using kernel methods
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (25)

1988

37. Le redressement des Tables de Contingence: Deux nouvelles approches
    Post-Print, HAL

Journal Articles

2021

1. Closed-form implied volatility surfaces for stochastic volatility models with jumps
   Journal of Econometrics, 2021, 222, (1), 364-392 View citations (8)
2. Implied Stochastic Volatility Models
   (Testing continuous-time models of the spot interest rate)
   Review of Financial Studies, 2021, 34, (1), 394-450 View citations (6)

2020

3. High frequency traders and the price process
   Journal of Econometrics, 2020, 217, (1), 20-45 View citations (1)
4. High-frequency factor models and regressions
   Journal of Econometrics, 2020, 216, (1), 86-105 View citations (11)
5. The term structure of equity and variance risk premia
   Journal of Econometrics, 2020, 219, (2), 204-230 View citations (12)

2019

6. A Hausman test for the presence of market microstructure noise in high frequency data
   Journal of Econometrics, 2019, 211, (1), 176-205 View citations (20)
7. Principal Component Analysis of High-Frequency Data
   Journal of the American Statistical Association, 2019, 114, (525), 287-303 View citations (21)
   See also Working Paper (2015)
8. Robust consumption and portfolio policies when asset prices can jump
   Journal of Economic Theory, 2019, 179, (C), 1-56 View citations (17)

2018

9. Semimartingale: Itô or not ?
   Stochastic Processes and their Applications, 2018, 128, (1), 233-254

2017

10. Estimation of the Continuous and Discontinuous Leverage Effects
    Journal of the American Statistical Association, 2017, 112, (520), 1744-1758 View citations (29)
11. Using principal component analysis to estimate a high dimensional factor model with high-frequency data
    Journal of Econometrics, 2017, 201, (2), 384-399 View citations (72)

2016

12. Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
    Journal of Econometrics, 2016, 192, (1), 119-138 View citations (14)
13. Increased correlation among asset classes: Are volatility or jumps to blame, or both?
    Journal of Econometrics, 2016, 194, (2), 205-219 View citations (39)
14. Portfolio Choice in Markets with Contagion
    The Journal of Financial Econometrics, 2016, 14, (1), 1-28 View citations (19)
    See also Working Paper (2012)

2015

15. Market-based estimation of stochastic volatility models
    Journal of Econometrics, 2015, 187, (2), 418-435 View citations (13)
16. Modeling financial contagion using mutually exciting jump processes
    Journal of Financial Economics, 2015, 117, (3), 585-606 View citations (210)
    See also Working Paper (2010)

2014

17. Mutual excitation in Eurozone sovereign CDS
    Journal of Econometrics, 2014, 183, (2), 151-167 View citations (58)
    See also Working Paper (2014)

2013

18. The leverage effect puzzle: Disentangling sources of bias at high frequency
    Journal of Financial Economics, 2013, 109, (1), 224-249 View citations (78)
    See also Working Paper (2011)

2012

19. Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
    Journal of Economic Literature, 2012, 50, (4), 1007-50 View citations (89)
    See also Working Paper (2010)
20. Market response to policy initiatives during the global financial crisis
    Journal of International Economics, 2012, 87, (1), 162-177 View citations (123)
    See also Working Paper (2010)
21. Stationarity-based specification tests for diffusions when the process is nonstationary
    Journal of Econometrics, 2012, 169, (2), 279-292 View citations (8)
22. Testing for jumps in noisy high frequency data
    Journal of Econometrics, 2012, 168, (2), 207-222 View citations (52)

2011

23. Edgeworth expansions for realized volatility and related estimators
    Journal of Econometrics, 2011, 160, (1), 190-203 View citations (23)
    See also Working Paper (2005)
24. Ultra high frequency volatility estimation with dependent microstructure noise
    Journal of Econometrics, 2011, 160, (1), 160-175 View citations (130)
    See also Working Paper (2005)

2010

25. Estimating affine multifactor term structure models using closed-form likelihood expansions
    Journal of Financial Economics, 2010, 98, (1), 113-144 View citations (42)
    See also Working Paper (2008)

2009

26. Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities
    Annual Review of Financial Economics, 2009, 1, (1), 341-359

2008

27. An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
    Journal of Econometrics, 2008, 144, (1), 1-26
28. Fisher's Information for Discretely Sampled Lévy Processes
    Econometrica, 2008, 76, (4), 727-761 View citations (14)
29. Out of sample forecasts of quadratic variation
    Journal of Econometrics, 2008, 147, (1), 17-33 View citations (58)

2006

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

2005

31. 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 (748)
    See also Working Paper (2003)
32. 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 (190)
    See also Working Paper (2003)

2004

33. Disentangling diffusion from jumps
    Journal of Financial Economics, 2004, 74, (3), 487-528 View citations (58)

2003

34. Nonparametric option pricing under shape restrictions
    Journal of Econometrics, 2003, 116, (1-2), 9-47 View citations (140)
    See also Working Paper (2002)
35. The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions
    Econometrica, 2003, 71, (2), 483-549 View citations (44)
    See also Working Paper (2002)

2002

36. Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
    Econometrica, 2002, 70, (1), 223-262 View citations (144)
37. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
    Journal of Business & Economic Statistics, 2002, 20, (3), 317-21 View citations (1)
38. Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion
    Journal of Finance, 2002, 57, (5), 2075-2112 View citations (23)
    See also Working Paper (2001)

2001

39. Do option markets correctly price the probabilities of movement of the underlying asset?
    Journal of Econometrics, 2001, 102, (1), 67-110 View citations (112)
40. Goodness-of-fit tests for kernel regression with an application to option implied volatilities
    Journal of Econometrics, 2001, 105, (2), 363-412 View citations (77)
41. Variable Selection for Portfolio Choice
    Journal of Finance, 2001, 56, (4), 1297-1351 View citations (91)
    See also Working Paper (2001)

2000

42. Nonparametric risk management and implied risk aversion
    Journal of Econometrics, 2000, 94, (1-2), 9-51 View citations (355)
    See also Working Paper (2000)

1999

43. Transition Densities for Interest Rate and Other Nonlinear Diffusions
    Journal of Finance, 1999, 54, (4), 1361-1395 View citations (72)
    See also Chapter (2001)

1998

44. Dynamic equilibrium and volatility in financial asset markets
    Journal of Econometrics, 1998, 84, (1), 93-127 View citations (4)
    See also Working Paper (1996)

1996

45. Nonparametric Pricing of Interest Rate Derivative Securities
    Econometrica, 1996, 64, (3), 527-60 View citations (186)
    See also Working Paper (1995)
46. Testing Continuous-Time Models of the Spot Interest Rate
    Review of Financial Studies, 1996, 9, (2), 385-426 View citations (327)
    See also Working Paper (1995)

1994

47. Entry-Exit Decisions of Foreign Firms and Import Prices
    Annals of Economics and Statistics, 1994, (34), 181-217

Books

2014

1. High-Frequency Financial Econometrics
   Economics Books, Princeton University Press View citations (160)

Chapters

2014

1. Preface
   A chapter in High-Frequency Financial Econometrics, 2014

2001

2. TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS
   Chapter 1 in Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), 2001, pp 1-34
   See also Journal Article in Journal of Finance (1999)