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 0 1 16 1,028
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 3 97 0 3 8 338
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 0 183 1 1 5 472
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 81 0 2 6 266
Disentangling Volatility from Jumps 0 0 0 238 1 1 3 313
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 0 1 3 337
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 1 354 0 1 3 1,482
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 0 112 0 0 5 360
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 78 1 1 5 222
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 380 0 0 2 1,042
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 0 1 248 0 0 4 828
High Frequency Traders: Taking Advantage of Speed 0 0 0 142 1 1 6 357
High frequency market microstructure noise estimates and liquidity measures 0 0 2 145 0 1 10 431
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 248 0 0 2 860
How and When are High-Frequency Stock Returns Predictable? 7 22 67 303 13 54 158 616
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 21 1 1 6 49
Le redressement des Tables de Contingence: Deux nouvelles approches 0 0 0 0 0 0 2 38
Luxury Goods and the Equity Premium 0 0 1 513 0 1 10 2,176
Luxury Goods and the Equity Premium 0 1 1 15 1 3 13 319
Market Response to Policy Initiatives during the Global Financial Crisis 0 0 0 213 0 0 7 650
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 0 426 1 1 2 1,551
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 2 693 5 5 12 1,682
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 0 0 148 1 3 9 503
Mutual excitation in eurozone sovereign CDS 0 0 0 58 0 1 4 189
Non-Standard Errors 0 0 1 19 0 0 3 26
Non-Standard Errors 0 0 1 27 2 4 30 154
Non-Standard Errors 0 0 2 44 2 6 34 446
Non-Standard Errors 0 0 0 8 0 0 2 34
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 0 0 2 483
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 576 1 2 6 2,021
Nonparametric Option Pricing under Shape Restrictions 0 0 1 215 1 5 10 675
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 0 341 0 1 5 1,060
Nonparametric Risk Management and Implied Risk Aversion 0 0 0 498 0 1 3 1,304
Nonstandard errors 1 1 2 12 4 9 28 56
Portfolio Choice in Markets with Contagion 0 0 0 21 1 1 2 109
Principal Component Analysis of High Frequency Data 0 0 1 122 0 0 8 177
So Many Jumps, So Few News 0 0 2 19 1 3 18 32
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 170 0 0 4 952
Testing Continuous-Time Models of the Spot Interest Rate 0 0 1 346 1 1 7 1,127
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 83 0 0 3 815
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 1 2 55 0 1 6 165
The Term Structure of Variance Swaps and Risk Premia 0 0 0 105 0 1 10 238
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 0 200 0 1 2 569
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 0 263 0 1 6 874
Variable Selection for Portfolio Choice 0 0 0 454 1 1 4 1,173
Variable Selection for Portfolio Choice 0 0 0 136 0 0 5 483
Variable Selection for Portfolio Choice 0 0 0 1 0 0 5 524
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 1 37 0 0 5 68
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 27 0 0 5 53
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 0 75 0 1 2 267
Total Working Papers 8 25 94 9,078 40 121 518 30,405
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 1 2 3 19 2 4 10 67
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data 0 1 3 124 0 2 13 612
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 0 21 1 2 8 133
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 0 36 0 3 6 266
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models 0 0 0 11 0 2 5 76
Closed-form implied volatility surfaces for stochastic volatility models with jumps 0 1 6 58 2 4 20 137
Comment 0 0 0 10 0 0 2 78
Disentangling diffusion from jumps 0 0 1 96 0 0 7 328
Do option markets correctly price the probabilities of movement of the underlying asset? 0 0 0 490 0 1 7 1,051
Dynamic equilibrium and volatility in financial asset markets 0 0 0 27 0 2 4 264
Edgeworth expansions for realized volatility and related estimators 0 0 0 24 0 1 3 141
Entry-Exit Decisions of Foreign Firms and Import Prices 0 0 0 5 0 0 3 17
Estimating affine multifactor term structure models using closed-form likelihood expansions 0 0 1 82 0 2 6 287
Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities 0 1 2 97 0 1 3 219
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 0 1 5 38
Fisher's Information for Discretely Sampled Lévy Processes 0 1 1 31 0 3 5 143
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 0 0 119 0 0 4 401
High frequency market making: The role of speed 0 3 12 19 3 9 29 42
High frequency traders and the price process 0 1 3 55 2 5 15 153
High-frequency factor models and regressions 0 0 3 33 0 7 16 164
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 129 1 4 8 618
Implied Stochastic Volatility Models 0 1 5 31 0 4 10 55
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 1 21 1 2 9 115
Market response to policy initiatives during the global financial crisis 0 0 0 116 0 1 8 524
Market-based estimation of stochastic volatility models 0 0 0 26 0 2 4 122
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 0 137 0 0 4 523
Maximum likelihood estimation of latent Markov models using closed-form approximations 0 0 4 4 1 3 15 16
Modeling financial contagion using mutually exciting jump processes 2 3 9 163 2 5 26 554
Mutual excitation in Eurozone sovereign CDS 0 0 0 47 0 0 3 146
Nonparametric Pricing of Interest Rate Derivative Securities 1 1 1 550 1 3 7 1,644
Nonparametric option pricing under shape restrictions 1 1 2 109 3 5 18 530
Nonparametric risk management and implied risk aversion 1 1 4 523 1 3 16 1,295
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 0 3 233
Out of sample forecasts of quadratic variation 1 1 2 83 1 3 10 330
Portfolio Choice in Markets with Contagion 0 0 0 14 0 1 3 45
Principal Component Analysis of High-Frequency Data 0 0 1 14 0 1 10 53
Robust consumption and portfolio policies when asset prices can jump 0 0 0 20 0 2 6 77
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 0 0 4 51
Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion 0 0 0 29 0 1 3 233
Testing Continuous-Time Models of the Spot Interest Rate 0 1 2 689 0 1 8 2,118
Testing for jumps in noisy high frequency data 0 0 0 46 0 1 9 252
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 0 40 0 0 4 394
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 0 35 0 3 9 313
The term structure of equity and variance risk premia 0 1 1 21 0 5 11 74
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 1 2 141 1 2 8 390
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 0 107 0 1 6 487
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 1 2 8 72 2 6 23 241
Variable Selection for Portfolio Choice 0 0 2 116 0 1 7 582
Total Journal Articles 8 23 79 4,667 24 109 425 16,685

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 0 2 15 285
Total Books 0 0 0 0 0 2 15 285

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Preface 0 0 0 15 1 1 4 60
TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS 0 0 0 7 0 0 2 31
Total Chapters 0 0 0 22 1 1 6 91
1 registered items for which data could not be found
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Statistics updated 2025-10-06