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 1 2 352 2 5 15 908
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 1 74 1 2 8 202
Closed-Form Likelihood Expansions for Multivariate Diffusions 1 6 6 175 3 10 16 434
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 78 2 3 5 232
Disentangling Volatility from Jumps 0 0 0 235 2 2 6 290
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 352 4 8 13 1,439
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 3 7 13 279
Edgeworth Expansions for Realized Volatility and Related Estimators 0 1 1 110 1 4 14 326
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 2 2 366 1 3 12 968
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 1 2 68 0 1 8 176
Goodness-of-fit tests for regression using kernel methods 0 0 0 148 1 1 6 377
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 0 1 3 241 4 11 45 728
High Frequency Traders: Taking Advantage of Speed 1 1 8 77 2 3 26 114
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 243 2 3 12 798
Luxury Goods and the Equity Premium 0 0 1 505 4 4 14 2,099
Market Response to Policy Initiatives during the Global Financial Crisis 0 1 6 183 1 4 20 478
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 3 4 415 0 3 11 1,493
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 3 678 4 6 18 1,594
Modeling Financial Contagion Using Mutually Exciting Jump Processes 1 1 10 107 2 4 33 350
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 3 7 14 421
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 1 569 0 3 8 1,924
Nonparametric Option Pricing under Shape Restrictions 0 1 2 207 2 5 9 588
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 1 331 1 1 12 990
Nonparametric Risk Management and Implied Risk Aversion 0 0 2 468 1 1 10 1,187
Principal Component Analysis of High Frequency Data 0 2 9 75 2 9 24 41
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 166 2 3 11 922
Testing Continuous-Time Models of the Spot Interest Rate 0 0 0 335 3 5 14 1,051
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 80 2 3 8 769
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 0 46 2 2 8 104
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 1 190 2 3 8 512
Ultra high frequency volatility estimation with dependent microstructure noise 1 1 14 250 1 5 36 787
Variable Selection for Portfolio Choice 1 1 1 127 3 3 12 357
Variable Selection for Portfolio Choice 0 1 3 443 2 6 19 1,013
Variable Selection for Portfolio Choice 0 0 0 1 3 3 7 430
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 1 71 1 1 8 243
Total Working Papers 5 24 84 7,768 69 144 503 24,624


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 2 6 101 3 10 37 448
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 0 16 1 2 21 100
Comment 0 0 0 10 0 0 5 64
Disentangling diffusion from jumps 0 0 2 84 1 6 17 270
Do option markets correctly price the probabilities of movement of the underlying asset? 0 0 6 443 1 4 32 861
Dynamic equilibrium and volatility in financial asset markets 0 1 2 25 4 6 16 221
Edgeworth expansions for realized volatility and related estimators 0 0 0 19 2 2 13 106
Estimating affine multifactor term structure models using closed-form likelihood expansions 1 2 6 59 2 9 22 202
Fisher's Information for Discretely Sampled Lévy Processes 0 0 0 30 1 2 6 114
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 0 1 108 0 2 12 339
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 3 120 2 2 13 517
Market response to policy initiatives during the global financial crisis 2 3 10 65 5 9 41 262
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 3 128 0 1 16 443
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 4 169 1 3 16 485
Nonparametric Pricing of Interest Rate Derivative Securities 1 1 4 496 3 8 26 1,471
Nonparametric option pricing under shape restrictions 0 0 1 61 1 3 19 337
Nonparametric risk management and implied risk aversion 0 4 12 381 3 12 43 862
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 1 1 7 211
Out of sample forecasts of quadratic variation 0 0 3 63 1 3 30 239
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 7 1 1 8 31
Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion 0 0 1 28 1 2 9 204
Testing Continuous-Time Models of the Spot Interest Rate 0 1 2 662 5 10 25 2,007
Testing for jumps in noisy high frequency data 0 0 2 25 1 1 16 134
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 0 39 2 3 12 355
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 2 23 4 4 19 187
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 0 0 124 2 4 12 307
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 2 51 2 5 18 242
Variable Selection for Portfolio Choice 0 0 0 99 3 4 21 435
Total Journal Articles 5 14 72 3,436 53 119 532 11,454


Statistics updated 2017-03-07