Access Statistics for Yacine Ait-Sahalia

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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 2 352 0 3 14 909
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 1 1 2 75 2 3 8 204
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 2 7 176 0 4 13 435
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 78 1 4 6 234
Disentangling Volatility from Jumps 0 0 0 235 0 2 3 290
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 352 2 8 16 1,443
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 6 14 23 290
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 1 110 2 4 13 329
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 2 366 1 2 10 969
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 2 68 0 0 5 176
Goodness-of-fit tests for regression using kernel methods 0 0 0 148 0 1 4 377
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 0 0 3 241 4 11 40 735
High Frequency Traders: Taking Advantage of Speed 0 1 6 77 2 6 26 118
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 243 0 2 9 798
Luxury Goods and the Equity Premium 0 0 0 505 0 5 12 2,100
Market Response to Policy Initiatives during the Global Financial Crisis 1 1 3 184 2 3 14 480
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 4 415 0 0 8 1,493
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 678 0 7 15 1,597
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 1 7 107 1 3 26 351
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 0 4 11 422
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 1 569 0 2 10 1,926
Nonparametric Option Pricing under Shape Restrictions 0 0 1 207 0 3 8 589
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 1 331 0 1 9 990
Nonparametric Risk Management and Implied Risk Aversion 0 1 3 469 0 3 10 1,189
Principal Component Analysis of High Frequency Data 3 5 13 80 5 11 31 50
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 166 0 2 8 922
Testing Continuous-Time Models of the Spot Interest Rate 0 1 1 336 0 5 13 1,053
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 80 0 4 9 771
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 0 46 0 2 6 104
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 1 190 0 2 7 512
Ultra high frequency volatility estimation with dependent microstructure noise 0 2 12 251 1 4 29 790
Variable Selection for Portfolio Choice 0 1 3 444 1 4 16 1,015
Variable Selection for Portfolio Choice 0 0 0 1 2 5 8 432
Variable Selection for Portfolio Choice 0 1 1 127 1 4 11 358
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 1 2 72 0 2 7 244
Total Working Papers 5 18 78 7,781 33 140 458 24,695


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 0 1 5 101 0 6 35 451
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 0 16 0 1 14 100
Comment 0 0 0 10 0 0 4 64
Disentangling diffusion from jumps 0 0 0 84 0 3 16 272
Do option markets correctly price the probabilities of movement of the underlying asset? 0 0 3 443 1 7 27 867
Dynamic equilibrium and volatility in financial asset markets 0 0 2 25 2 10 17 227
Edgeworth expansions for realized volatility and related estimators 0 0 0 19 0 3 6 107
Estimating affine multifactor term structure models using closed-form likelihood expansions 0 1 4 59 0 2 17 202
Fisher's Information for Discretely Sampled Lévy Processes 0 0 0 30 0 1 2 114
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 0 1 108 0 0 5 339
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 2 120 1 4 12 519
Market response to policy initiatives during the global financial crisis 0 3 9 66 0 9 39 266
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 2 128 0 1 13 444
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 4 169 0 3 16 487
Nonparametric Pricing of Interest Rate Derivative Securities 0 2 4 497 0 5 24 1,473
Nonparametric option pricing under shape restrictions 0 0 1 61 0 2 16 338
Nonparametric risk management and implied risk aversion 2 5 17 386 2 12 48 871
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 1 4 211
Out of sample forecasts of quadratic variation 0 0 2 63 0 1 23 239
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 7 0 1 5 31
Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion 0 0 1 28 0 1 8 204
Testing Continuous-Time Models of the Spot Interest Rate 0 0 2 662 0 8 25 2,010
Testing for jumps in noisy high frequency data 1 1 2 26 1 3 11 136
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 1 1 40 0 3 9 356
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 1 23 2 6 17 189
Transition Densities for Interest Rate and Other Nonlinear Diffusions 2 3 3 127 5 8 12 313
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 2 51 1 3 15 243
Variable Selection for Portfolio Choice 0 0 0 99 0 4 18 436
Total Journal Articles 5 17 68 3,448 15 108 458 11,509


Statistics updated 2017-05-02