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 2 11 47 221 9 34 120 481
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 3 14 129 0 11 42 287
Consumption and Portfolio Choice with Option-Implied State Prices 0 6 22 30 0 22 63 92
Disentangling Volatility from Jumps 1 4 11 202 3 7 23 180
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 1 11 327 3 11 56 1,264
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 1 8 30 206
Edgeworth Expansions for Realized Volatility and Related Estimators 2 3 17 76 3 6 42 186
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 3 11 30 229 9 31 85 560
Goodness-of-fit tests for regression using kernel methods 5 10 29 67 8 21 66 157
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 8 14 58 151 19 37 159 323
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 5 13 25 187 12 29 89 526
Luxury Goods and the Equity Premium 5 8 38 437 17 30 149 1,753
Luxury Goods and the Equity Premium 1 5 25 58 8 24 102 218
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 4 13 40 327 8 26 95 1,231
Maximum Likelihood Estimation of Stochastic Volatility Models 6 14 61 468 14 46 167 957
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 2 7 25 280
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 3 5 32 459 7 18 92 1,608
Nonparametric Option Pricing under Shape Restrictions 1 2 15 171 3 6 50 445
Nonparametric Pricing of Interest Rate Derivative Securities 3 8 26 264 6 22 69 781
Nonparametric Risk Management and Implied Risk Aversion 5 20 62 375 9 33 107 923
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 2 4 20 112 9 16 93 650
Testing Continuous-Time Models of the Spot Interest Rate 3 5 35 260 7 19 92 761
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 2 9 51 8 18 70 541
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 3 6 20 133 9 17 55 314
Ultra high frequency volatility estimation with dependent microstructure noise 5 11 44 117 12 37 129 336
Variable Selection for Portfolio Choice 0 0 0 1 2 10 31 308
Variable Selection for Portfolio Choice 0 2 17 366 1 13 55 713
Variable Selection for Portfolio Choice 0 4 22 81 4 11 47 215
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 1 13 47 1 9 41 164
Total Working Papers 67 186 743 5,348 194 579 2,244 16,460

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 3 5 27 44 7 15 62 130
Comment 0 0 2 8 0 1 11 51
Disentangling diffusion from jumps 2 3 13 34 4 14 31 104
Do option markets correctly price the probabilities of movement of the underlying asset? 5 16 60 266 7 20 104 466
Dynamic equilibrium and volatility in financial asset markets 0 0 6 11 0 4 25 67
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 2 15 60 2 5 31 161
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 2 6 15 69 2 12 50 242
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 1 1 14 83 5 6 31 307
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 1 3 24 63 2 8 53 159
Nonparametric Pricing of Interest Rate Derivative Securities 3 13 53 378 4 23 97 1,161
Nonparametric option pricing under shape restrictions 0 0 6 34 0 6 25 116
Nonparametric risk management and implied risk aversion 1 7 31 139 3 12 61 298
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 4 23 162
Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion 0 1 7 14 1 11 37 78
Testing Continuous-Time Models of the Spot Interest Rate 4 19 76 559 8 34 128 1,687
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 1 1 3 27 2 3 16 267
Transition Densities for Interest Rate and Other Nonlinear Diffusions 4 11 26 73 5 14 50 157
Variable Selection for Portfolio Choice 0 1 14 44 1 6 30 121
Total Journal Articles 27 89 392 1,906 53 198 865 5,734

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Swedish Business School at Örebro University.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2009-07-03