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 1 372 1 12 27 1,040
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 1 97 3 4 9 342
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 0 183 3 6 9 477
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 81 0 0 6 266
Disentangling Volatility from Jumps 0 0 0 238 1 3 5 315
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 1 354 0 0 3 1,482
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 3 3 6 340
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 0 112 1 3 8 363
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 78 0 2 6 223
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 380 1 3 5 1,045
Goodness-of-fit tests for regression using kernel methods 0 0 0 154 0 0 2 411
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 0 1 1 249 0 4 7 832
High Frequency Traders: Taking Advantage of Speed 0 0 0 142 1 2 6 358
High frequency market microstructure noise estimates and liquidity measures 0 0 2 145 4 6 13 437
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 248 3 5 7 865
How and When are High-Frequency Stock Returns Predictable? 3 12 63 308 12 38 157 641
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 21 1 4 9 52
Le redressement des Tables de Contingence: Deux nouvelles approches 0 0 0 0 0 1 3 39
Luxury Goods and the Equity Premium 0 0 1 15 3 6 15 324
Luxury Goods and the Equity Premium 0 0 0 513 4 4 10 2,180
Market Response to Policy Initiatives during the Global Financial Crisis 0 0 0 213 2 2 8 652
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 0 426 3 5 6 1,555
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 1 693 1 9 13 1,686
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 1 1 149 3 8 14 510
Mutual excitation in eurozone sovereign CDS 0 0 0 58 0 2 6 191
Non-Standard Errors 0 0 1 27 2 5 30 157
Non-Standard Errors 0 0 2 44 6 8 32 452
Non-Standard Errors 0 0 0 8 0 2 4 36
Non-Standard Errors 0 0 0 19 2 2 4 28
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 576 2 4 8 2,024
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 1 1 3 484
Nonparametric Option Pricing under Shape Restrictions 0 0 0 215 5 11 19 685
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 0 341 1 3 7 1,063
Nonparametric Risk Management and Implied Risk Aversion 0 1 1 499 4 6 9 1,310
Nonstandard errors 0 1 2 12 3 8 28 60
Portfolio Choice in Markets with Contagion 0 0 0 21 1 3 3 111
Principal Component Analysis of High Frequency Data 0 0 1 122 3 6 10 183
So Many Jumps, So Few News 0 0 2 19 1 4 18 35
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 170 2 2 6 954
Testing Continuous-Time Models of the Spot Interest Rate 0 0 1 346 1 4 8 1,130
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 83 1 2 5 817
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 2 55 4 5 10 170
The Term Structure of Variance Swaps and Risk Premia 0 0 0 105 10 10 20 248
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 0 200 2 5 7 574
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 0 263 3 4 9 878
Variable Selection for Portfolio Choice 0 0 0 454 2 4 6 1,176
Variable Selection for Portfolio Choice 0 0 0 136 0 2 6 485
Variable Selection for Portfolio Choice 0 0 0 1 3 7 12 531
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 27 1 2 7 55
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 37 2 2 6 70
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 0 75 0 0 2 267
Total Working Papers 3 16 85 9,086 112 244 639 30,609
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Hausman test for the presence of market microstructure noise in high frequency data 0 1 3 19 3 8 15 73
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data 0 0 3 124 5 13 24 625
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 0 21 0 3 8 135
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 0 36 12 14 20 280
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models 0 0 0 11 3 5 9 81
Closed-form implied volatility surfaces for stochastic volatility models with jumps 0 2 8 60 5 9 23 144
Comment 0 0 0 10 2 2 4 80
Disentangling diffusion from jumps 0 0 1 96 2 2 8 330
Do option markets correctly price the probabilities of movement of the underlying asset? 0 0 0 490 2 4 10 1,055
Dynamic equilibrium and volatility in financial asset markets 0 0 0 27 0 0 4 264
Edgeworth expansions for realized volatility and related estimators 0 0 0 24 1 2 5 143
Entry-Exit Decisions of Foreign Firms and Import Prices 0 0 0 5 0 1 4 18
Estimating affine multifactor term structure models using closed-form likelihood expansions 0 0 1 82 1 1 7 288
Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities 0 0 2 97 0 0 3 219
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 2 3 7 41
Fisher's Information for Discretely Sampled Lévy Processes 0 0 1 31 0 0 5 143
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 0 0 119 3 5 7 406
High frequency market making: The role of speed 0 0 9 19 1 4 24 43
High frequency traders and the price process 1 1 3 56 4 7 16 158
High-frequency factor models and regressions 0 2 4 35 3 9 21 173
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 1 1 1 130 6 11 18 628
Implied Stochastic Volatility Models 0 0 4 31 3 3 12 58
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 1 21 4 7 14 121
Market response to policy initiatives during the global financial crisis 0 0 0 116 2 6 13 530
Market-based estimation of stochastic volatility models 0 0 0 26 2 3 6 125
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 0 137 2 4 8 527
Maximum likelihood estimation of latent Markov models using closed-form approximations 1 1 4 5 4 5 15 20
Modeling financial contagion using mutually exciting jump processes 0 5 10 166 11 17 37 569
Mutual excitation in Eurozone sovereign CDS 0 0 0 47 1 3 6 149
Nonparametric Pricing of Interest Rate Derivative Securities 0 1 1 550 2 4 9 1,647
Nonparametric option pricing under shape restrictions 0 1 2 109 2 9 21 536
Nonparametric risk management and implied risk aversion 0 2 4 524 6 12 24 1,306
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 1 4 234
Out of sample forecasts of quadratic variation 0 1 1 83 1 5 12 334
Portfolio Choice in Markets with Contagion 0 0 0 14 1 1 4 46
Principal Component Analysis of High-Frequency Data 0 0 0 14 0 2 9 55
Robust consumption and portfolio policies when asset prices can jump 0 0 0 20 3 4 9 81
Semimartingale: Itô or not ? 0 0 0 9 0 0 2 53
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 9 2 4 7 55
Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion 0 0 0 29 1 1 4 234
Testing Continuous-Time Models of the Spot Interest Rate 0 0 1 689 13 19 25 2,137
Testing for jumps in noisy high frequency data 0 0 0 46 1 2 7 254
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 0 40 4 5 9 399
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 1 1 36 5 8 16 321
The term structure of equity and variance risk premia 0 0 1 21 2 3 13 77
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 0 2 141 2 3 8 392
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 0 107 3 9 15 496
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 1 3 9 74 4 8 24 247
Variable Selection for Portfolio Choice 0 0 2 116 1 1 8 583
Total Journal Articles 4 22 79 4,681 137 252 583 16,913

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
High-Frequency Financial Econometrics 0 0 0 0 5 5 17 290
Total Books 0 0 0 0 5 5 17 290

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Preface 0 0 0 15 0 1 4 60
TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS 0 0 0 7 0 1 3 32
Total Chapters 0 0 0 22 0 2 7 92
1 registered items for which data could not be found
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Statistics updated 2025-12-06