Search filters

List of works by Yacine Aït-Sahalia

A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

scientific article published in March 2010

Closed-Form Likelihood Expansions for Multivariate Diffusions

scientific article published in May 2002

Consumption and Portfolio Choice with Option-Implied State Prices

scientific article published in March 2008

Disentangling Volatility from Jumps

scientific article published in August 2003

Dynamic Equilibrium and Volatility in Financial Asset Markets

scientific article published in March 1996

Edgeworth Expansions for Realized Volatility and Related Estimators

scientific article published in October 2005

Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions

scientific article published in December 2002

High Frequency Market Microstructure Noise Estimates and Liquidity Measures

scientific article published in February 2008

High Frequency Traders: Taking Advantage of Speed

scientific article published in October 2013

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

scientific article published in April 2003

Inference on Risk Premia in Continuous-Time Asset Pricing Models

scientific article published in November 2020

Luxury Goods and the Equity Premium

scientific article published in August 2001

Market Response to Policy Initiatives during the Global Financial Crisis

scientific article published in March 2010

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach

scientific article published in February 1998

Maximum Likelihood Estimation of Stochastic Volatility Models

scientific article published in June 2004

Modeling Financial Contagion Using Mutually Exciting Jump Processes

scientific article published in March 2010

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

scientific article published in November 1995

Nonparametric Option Pricing under Shape Restrictions

scientific article published in May 2002

Nonparametric Pricing of Interest Rate Derivative Securities

scientific article published in November 1995

Nonparametric Risk Management and Implied Risk Aversion

scientific article published in March 2000

Principal Component Analysis of High Frequency Data

scientific article published in September 2015

Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion

Testing Continuous-Time Models of the Spot Interest Rate

scientific article published in November 1995

The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions

scientific article published in April 2002

The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency

scientific article published in November 2011

Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise

scientific article published in May 2005

Variable Selection for Portfolio Choice

scientific article published in February 2001