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 1 2 14 910
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 1 2 3 76 3 5 10 207
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 1 7 176 0 1 12 435
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 78 0 2 6 234
Disentangling Volatility from Jumps 0 0 0 235 0 0 3 290
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 3 14 24 293
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 352 2 6 16 1,445
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 1 110 0 3 13 329
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 2 68 0 0 5 176
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 2 366 0 1 7 969
Goodness-of-fit tests for regression using kernel methods 0 0 0 148 0 0 4 377
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 0 0 3 241 2 9 39 737
High Frequency Traders: Taking Advantage of Speed 0 0 6 77 0 4 23 118
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 243 1 1 10 799
Luxury Goods and the Equity Premium 0 0 0 505 0 1 12 2,100
Market Response to Policy Initiatives during the Global Financial Crisis 2 3 4 186 5 7 18 485
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 4 415 0 0 7 1,493
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 678 0 3 14 1,597
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 0 6 107 0 1 24 351
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 1 2 11 423
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 569 3 5 11 1,929
Nonparametric Option Pricing under Shape Restrictions 0 0 1 207 0 1 8 589
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 1 331 0 0 7 990
Nonparametric Risk Management and Implied Risk Aversion 0 1 3 469 1 3 11 1,190
Principal Component Analysis of High Frequency Data 0 5 13 80 1 10 31 51
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 166 3 3 10 925
Testing Continuous-Time Models of the Spot Interest Rate 0 1 1 336 1 3 13 1,054
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 80 1 3 10 772
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 1 1 1 47 1 1 7 105
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 0 190 0 0 6 512
Ultra high frequency volatility estimation with dependent microstructure noise 0 1 10 251 0 3 26 790
Variable Selection for Portfolio Choice 0 1 3 444 0 2 16 1,015
Variable Selection for Portfolio Choice 0 0 0 1 0 2 8 432
Variable Selection for Portfolio Choice 0 0 1 127 0 1 11 358
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 1 1 72 0 1 5 244
Total Working Papers 4 17 75 7,785 29 100 452 24,724


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 0 5 101 6 9 38 457
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 0 16 1 1 13 101
Comment 0 0 0 10 0 0 4 64
Disentangling diffusion from jumps 0 0 0 84 3 5 18 275
Do option markets correctly price the probabilities of movement of the underlying asset? 0 0 3 443 2 8 24 869
Dynamic equilibrium and volatility in financial asset markets 0 0 2 25 1 7 16 228
Edgeworth expansions for realized volatility and related estimators 1 1 1 20 1 2 7 108
Estimating affine multifactor term structure models using closed-form likelihood expansions 0 0 4 59 1 1 17 203
Fisher's Information for Discretely Sampled Lévy Processes 0 0 0 30 1 1 3 115
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 2 2 3 110 3 3 8 342
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 1 120 2 4 12 521
Market response to policy initiatives during the global financial crisis 0 1 8 66 6 10 42 272
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 2 128 1 2 14 445
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 4 169 2 4 16 489
Nonparametric Pricing of Interest Rate Derivative Securities 0 1 3 497 1 3 23 1,474
Nonparametric option pricing under shape restrictions 0 0 1 61 1 2 17 339
Nonparametric risk management and implied risk aversion 1 6 18 387 4 13 50 875
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 0 4 211
Out of sample forecasts of quadratic variation 0 0 1 63 1 1 21 240
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 7 0 0 5 31
Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion 0 0 1 28 0 0 6 204
Testing Continuous-Time Models of the Spot Interest Rate 0 0 2 662 1 4 23 2,011
Testing for jumps in noisy high frequency data 0 1 2 26 1 3 12 137
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 1 1 40 0 1 9 356
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 0 23 1 3 15 190
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 3 3 127 0 6 11 313
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 2 51 1 2 16 244
Variable Selection for Portfolio Choice 0 0 0 99 1 2 17 437
Total Journal Articles 4 16 67 3,452 42 97 461 11,551


Statistics updated 2017-06-02