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Yacine Ait-Sahalia
Yacine Ait-Sahalia
Otto A. Hack 1903 Professor, Princeton University
Verified email at princeton.edu - Homepage
Title
Cited by
Cited by
Year
A tale of two time scales: Determining integrated volatility with noisy high-frequency data
L Zhang, PA Mykland, Y Aït-Sahalia
Journal of the American Statistical Association 100 (472), 1394-1411, 2005
23142005
Nonparametric estimation of state‐price densities implicit in financial asset prices
Y Aït‐Sahalia, AW Lo
The journal of finance 53 (2), 499-547, 1998
15171998
Testing continuous-time models of the spot interest rate
Y Ait-Sahalia
The review of financial studies 9 (2), 385-426, 1996
14031996
Maximum likelihood estimation of discretely sampled diffusions: a closed‐form approximation approach
Y Aït‐Sahalia
Econometrica 70 (1), 223-262, 2002
12382002
How often to sample a continuous-time process in the presence of market microstructure noise
Y Ait-Sahalia, PA Mykland, L Zhang
The review of financial studies 18 (2), 351-416, 2005
11742005
Nonparametric risk management and implied risk aversion
Y Ait-Sahalia, AW Lo
Journal of econometrics 94 (1-2), 9-51, 2000
10002000
Nonparametric pricing of interest rate derivative securities
Y Ait-Sahalia
Econometrica 64 (3), 527-560, 1996
8431996
Modeling financial contagion using mutually exciting jump processes
Y Aït-Sahalia, J Cacho-Diaz, RJA Laeven
Journal of Financial Economics 117 (3), 585-606, 2015
7742015
Testing for jumps in a discretely observed process
Y Aït-Sahalia, J Jacod
7282009
Maximum likelihood estimation of stochastic volatility models
Y Aït-Sahalia, R Kimmel
Journal of financial economics 83 (2), 413-452, 2007
6472007
Variable selection for portfolio choice
Y Ait-Sahalia, MW Brandt
The Journal of Finance 56 (4), 1297-1351, 2001
5752001
Closed-form likelihood expansions for multivariate diffusions
Y Aït-Sahalia
National Bureau of Economic Research, 2002
5642002
Transition densities for interest rate and other nonlinear diffusions
Y Ait-Sahalia
The Journal of Finance 54, 1361-1395, 1999
5501999
Ultra high frequency volatility estimation with dependent microstructure noise
Y Aït-Sahalia, PA Mykland, L Zhang
Journal of Econometrics 160 (1), 160-175, 2011
549*2011
High-frequency financial econometrics
Y Aït-Sahalia, J Jacod
High-Frequency Financial Econometrics, 2014
5182014
Disentangling diffusion from jumps
Y Ait-Sahalia
Journal of financial economics 74 (3), 487-528, 2004
4872004
Luxury goods and the equity premium
Y Ait‐Sahalia, JA Parker, M Yogo
The Journal of Finance 59 (6), 2959-3004, 2004
4872004
Nonparametric option pricing under shape restrictions
Y Ait-Sahalia, J Duarte
Journal of Econometrics 116 (1-2), 9-47, 2003
4352003
Market response to policy initiatives during the global financial crisis
Y Aït-Sahalia, J Andritzky, A Jobst, S Nowak, N Tamirisa
Journal of International Economics 87 (1), 162-177, 2012
3802012
Estimating the degree of activity of jumps in high frequency data
Y Aït-Sahalia, J Jacod
3422009
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