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 6 11 35 185 10 35 129 396
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 1 30 116 3 13 69 258
Consumption and Portfolio Choice with Option-Implied State Prices 0 3 11 11 3 8 37 37
Disentangling Volatility from Jumps 1 4 10 195 1 9 26 166
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 1 11 317 5 19 51 1,227
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 2 7 27 183
Edgeworth Expansions for Realized Volatility and Related Estimators 0 7 23 66 0 16 58 160
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 1 4 21 203 6 13 70 488
Goodness-of-fit tests for regression using kernel methods 0 9 29 47 4 20 67 111
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 3 18 111 111 8 42 206 206
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 2 3 20 165 5 20 78 457
Luxury Goods and the Equity Premium 5 10 41 409 19 39 200 1,643
Luxury Goods and the Equity Premium 1 3 33 36 6 22 129 138
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 1 10 49 297 3 27 121 1,163
Maximum Likelihood Estimation of Stochastic Volatility Models 5 19 63 426 16 58 153 848
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 2 7 51 262
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 3 9 27 436 7 23 87 1,539
Nonparametric Option Pricing under Shape Restrictions 1 3 12 159 3 13 45 408
Nonparametric Pricing of Interest Rate Derivative Securities 3 4 22 242 9 16 63 728
Nonparametric Risk Management and Implied Risk Aversion 7 17 69 330 10 29 122 845
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 3 7 20 99 9 27 88 584
Testing Continuous-Time Models of the Spot Interest Rate 2 6 29 231 3 20 81 689
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 1 4 16 46 8 25 83 496
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 1 6 28 119 3 15 72 274
Ultra high frequency volatility estimation with dependent microstructure noise 3 13 52 86 5 33 144 240
Variable Selection for Portfolio Choice 0 0 0 1 1 6 23 283
Variable Selection for Portfolio Choice 1 3 16 352 4 14 51 672
Variable Selection for Portfolio Choice 2 5 22 64 5 15 47 183
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 1 5 13 39 4 14 34 137
Total Working Papers 53 185 813 4,790 164 605 2,412 14,821

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 4 11 21 5 13 66 81
Comment 0 2 5 8 1 9 24 49
Disentangling diffusion from jumps 1 2 13 23 2 4 24 77
Do option markets correctly price the probabilities of movement of the underlying asset? 5 15 70 221 11 36 145 398
Dynamic equilibrium and volatility in financial asset markets 0 1 4 6 0 7 16 49
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 1 3 11 48 3 11 40 141
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 1 3 18 57 3 17 71 209
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 6 17 75 2 11 42 287
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 4 7 27 46 4 17 63 123
Nonparametric Pricing of Interest Rate Derivative Securities 3 10 40 335 5 15 73 1,079
Nonparametric option pricing under shape restrictions 0 1 10 29 3 7 30 98
Nonparametric risk management and implied risk aversion 1 6 28 114 4 15 63 252
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 2 11 37 150
Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion 2 2 3 9 2 9 21 50
Testing Continuous-Time Models of the Spot Interest Rate 7 14 58 497 12 26 116 1,585
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 1 1 5 25 3 6 30 257
Transition Densities for Interest Rate and Other Nonlinear Diffusions 1 5 23 52 3 13 48 120
Variable Selection for Portfolio Choice 3 6 20 36 3 13 38 104
Total Journal Articles 33 88 363 1,602 68 240 947 5,109

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Statistics updated 2008-10-02