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 1 352 0 4 12 914
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 3 5 79 0 4 11 211
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 7 176 1 3 14 438
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 78 0 1 8 236
Disentangling Volatility from Jumps 0 0 1 236 0 1 4 292
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 352 1 9 26 1,457
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 1 9 34 306
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 2 111 0 2 13 333
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 1 5 369 1 4 12 975
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 1 68 0 1 3 177
Goodness-of-fit tests for regression using kernel methods 0 2 2 150 0 3 7 380
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 1 1 3 242 6 13 45 755
High Frequency Traders: Taking Advantage of Speed 0 0 3 77 1 2 15 121
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 243 0 2 8 802
Luxury Goods and the Equity Premium 0 0 0 505 1 3 10 2,103
Market Response to Policy Initiatives during the Global Financial Crisis 0 1 5 187 0 6 19 492
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 3 415 0 2 6 1,495
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 678 0 5 20 1,606
Modeling Financial Contagion Using Mutually Exciting Jump Processes 1 5 10 112 1 11 27 362
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 1 2 12 425
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 569 2 2 11 1,931
Nonparametric Option Pricing under Shape Restrictions 0 1 3 209 0 1 8 591
Nonparametric Pricing of Interest Rate Derivative Securities 0 1 2 332 0 2 4 992
Nonparametric Risk Management and Implied Risk Aversion 0 0 3 470 1 2 10 1,193
Principal Component Analysis of High Frequency Data 0 1 14 82 1 7 36 61
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 2 2 168 0 3 10 928
Testing Continuous-Time Models of the Spot Interest Rate 0 0 1 336 2 5 16 1,059
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 80 0 2 11 775
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 2 48 0 3 9 109
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 0 190 0 2 6 514
Ultra high frequency volatility estimation with dependent microstructure noise 0 1 4 252 0 4 20 795
Variable Selection for Portfolio Choice 0 0 0 1 0 0 6 432
Variable Selection for Portfolio Choice 0 2 3 129 1 4 10 362
Variable Selection for Portfolio Choice 0 1 3 445 4 8 16 1,023
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 1 72 0 1 3 245
Total Working Papers 2 22 86 7,815 25 133 482 24,890


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 6 103 2 6 31 464
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 0 16 0 0 4 101
Comment 0 0 0 10 0 1 2 65
Disentangling diffusion from jumps 0 0 0 84 1 1 13 276
Do option markets correctly price the probabilities of movement of the underlying asset? 2 5 5 448 3 10 25 879
Dynamic equilibrium and volatility in financial asset markets 0 0 1 25 1 2 19 232
Edgeworth expansions for realized volatility and related estimators 1 1 2 21 1 3 7 111
Estimating affine multifactor term structure models using closed-form likelihood expansions 0 0 2 59 1 2 14 206
Fisher's Information for Discretely Sampled Lévy Processes 0 0 0 30 0 1 4 116
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 0 2 110 1 2 7 344
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 120 0 3 11 524
Market response to policy initiatives during the global financial crisis 1 3 11 71 3 10 41 286
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 0 128 0 2 9 448
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 1 2 170 1 6 17 496
Nonparametric Pricing of Interest Rate Derivative Securities 1 1 3 498 2 4 23 1,478
Nonparametric option pricing under shape restrictions 1 1 3 63 1 3 11 343
Nonparametric risk management and implied risk aversion 0 2 16 389 3 9 45 888
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 0 1 211
Out of sample forecasts of quadratic variation 0 0 2 64 1 3 14 245
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 7 0 1 2 32
Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion 0 1 1 29 0 3 6 207
Testing Continuous-Time Models of the Spot Interest Rate 0 0 3 663 2 3 20 2,015
Testing for jumps in noisy high frequency data 0 0 1 26 0 4 13 142
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 1 40 0 1 9 359
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 0 23 0 3 11 193
Transition Densities for Interest Rate and Other Nonlinear Diffusions 1 1 4 128 2 3 14 317
Ultra high frequency volatility estimation with dependent microstructure noise 0 2 3 54 0 3 13 248
Variable Selection for Portfolio Choice 0 0 0 99 1 3 11 441
Total Journal Articles 8 20 68 3,478 26 92 397 11,667


Statistics updated 2017-10-05