Access Statistics for Yacine Ait-Sahalia

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 0 0 1 352 2 3 11 912
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 1 2 4 77 2 5 11 209
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 7 176 1 1 13 436
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 78 1 2 8 236
Disentangling Volatility from Jumps 0 1 1 236 0 1 3 291
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 352 5 10 22 1,453
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 5 12 30 302
Edgeworth Expansions for Realized Volatility and Related Estimators 0 1 2 111 2 4 15 333
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 1 68 1 1 4 177
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 2 4 368 1 3 9 972
Goodness-of-fit tests for regression using kernel methods 1 1 1 149 2 2 6 379
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 0 0 3 241 4 11 43 746
High Frequency Traders: Taking Advantage of Speed 0 0 5 77 1 2 20 120
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 243 0 2 10 800
Luxury Goods and the Equity Premium 0 0 0 505 1 1 10 2,101
Market Response to Policy Initiatives during the Global Financial Crisis 0 2 4 186 4 10 20 490
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 3 415 2 2 7 1,495
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 678 2 6 20 1,603
Modeling Financial Contagion Using Mutually Exciting Jump Processes 1 1 7 108 6 6 29 357
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 1 2 11 424
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 569 0 3 11 1,929
Nonparametric Option Pricing under Shape Restrictions 1 2 3 209 1 2 8 591
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 1 331 0 0 4 990
Nonparametric Risk Management and Implied Risk Aversion 0 1 3 470 1 3 9 1,192
Principal Component Analysis of High Frequency Data 1 2 15 82 2 6 34 56
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 166 1 4 9 926
Testing Continuous-Time Models of the Spot Interest Rate 0 0 1 336 1 2 13 1,055
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 80 2 4 12 775
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 2 2 48 2 4 8 108
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 0 190 1 1 6 513
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 6 251 3 4 24 794
Variable Selection for Portfolio Choice 0 0 0 1 0 0 7 432
Variable Selection for Portfolio Choice 1 1 2 128 1 1 7 359
Variable Selection for Portfolio Choice 1 1 3 445 1 1 11 1,016
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 1 72 1 1 3 245
Total Working Papers 7 19 80 7,800 60 122 468 24,817


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data 1 1 6 102 4 11 36 462
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 0 16 0 1 9 101
Comment 0 0 0 10 1 1 5 65
Disentangling diffusion from jumps 0 0 0 84 0 3 15 275
Do option markets correctly price the probabilities of movement of the underlying asset? 0 0 1 443 2 4 22 871
Dynamic equilibrium and volatility in financial asset markets 0 0 2 25 1 4 19 231
Edgeworth expansions for realized volatility and related estimators 0 1 1 20 0 1 6 108
Estimating affine multifactor term structure models using closed-form likelihood expansions 0 0 3 59 1 3 16 205
Fisher's Information for Discretely Sampled Lévy Processes 0 0 0 30 1 2 4 116
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 2 2 110 1 4 7 343
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 1 120 2 4 14 523
Market response to policy initiatives during the global financial crisis 1 3 10 69 5 15 45 281
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 0 128 1 3 13 447
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 2 169 2 5 15 492
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 2 497 2 3 24 1,476
Nonparametric option pricing under shape restrictions 0 1 2 62 2 4 14 342
Nonparametric risk management and implied risk aversion 0 1 17 387 3 11 49 882
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 0 2 211
Out of sample forecasts of quadratic variation 0 1 2 64 1 4 22 243
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 7 1 1 5 32
Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion 1 1 1 29 3 3 7 207
Testing Continuous-Time Models of the Spot Interest Rate 0 1 3 663 0 2 21 2,012
Testing for jumps in noisy high frequency data 0 0 2 26 3 5 16 141
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 1 40 1 3 11 359
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 0 23 2 3 13 192
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 0 3 127 1 2 12 315
Ultra high frequency volatility estimation with dependent microstructure noise 1 2 4 53 2 4 15 247
Variable Selection for Portfolio Choice 0 0 0 99 1 3 16 439
Total Journal Articles 4 14 65 3,462 43 109 453 11,618


Statistics updated 2017-08-03