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 10 17 52 1,074
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 1 97 5 10 25 359
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 0 183 7 8 20 490
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 81 2 2 8 271
Disentangling Volatility from Jumps 0 0 0 238 2 3 11 323
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 354 0 1 5 1,486
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 2 3 15 351
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 0 112 2 2 11 369
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 380 2 2 11 1,053
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 78 1 2 8 229
Goodness-of-fit tests for regression using kernel methods 0 0 0 154 0 3 4 415
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 0 0 1 249 3 4 15 842
High Frequency Traders: Taking Advantage of Speed 0 0 0 142 4 8 15 369
High frequency market microstructure noise estimates and liquidity measures 1 1 3 146 3 7 23 450
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 248 2 8 17 877
How and When are High-Frequency Stock Returns Predictable? 0 10 62 332 8 37 184 722
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 21 3 6 20 65
Le redressement des Tables de Contingence: Deux nouvelles approches 0 0 0 0 4 4 8 46
Luxury Goods and the Equity Premium 0 0 1 15 4 5 18 333
Luxury Goods and the Equity Premium 0 0 0 513 4 7 18 2,192
Market Response to Policy Initiatives during the Global Financial Crisis 0 0 0 213 1 1 13 661
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 0 426 4 6 19 1,569
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 693 2 7 22 1,699
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 0 2 150 4 11 32 531
Mutual excitation in eurozone sovereign CDS 0 0 0 58 2 2 12 199
Non-Standard Errors 0 0 0 44 5 10 38 476
Non-Standard Errors 0 0 0 19 4 15 34 58
Non-Standard Errors 0 0 0 27 2 5 23 168
Non-Standard Errors 0 0 0 8 3 4 16 49
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 4 5 8 490
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 576 5 9 23 2,042
Nonparametric Option Pricing under Shape Restrictions 0 1 1 216 4 6 29 699
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 0 341 1 2 21 1,080
Nonparametric Risk Management and Implied Risk Aversion 0 0 1 499 2 8 28 1,331
Nonstandard errors 0 0 1 12 3 10 35 79
Portfolio Choice in Markets with Contagion 0 0 0 21 3 6 17 125
Principal Component Analysis of High Frequency Data 0 0 1 122 3 11 27 203
So Many Jumps, So Few News 0 0 1 19 2 7 25 50
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 170 2 2 8 959
Testing Continuous-Time Models of the Spot Interest Rate 0 0 0 346 8 11 22 1,148
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 83 1 4 9 824
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 2 55 4 7 18 181
The Term Structure of Variance Swaps and Risk Premia 0 0 0 105 3 6 27 263
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 0 200 3 8 25 593
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 0 263 3 8 24 896
Variable Selection for Portfolio Choice 0 0 0 1 1 1 15 538
Variable Selection for Portfolio Choice 1 1 1 455 2 4 17 1,189
Variable Selection for Portfolio Choice 0 0 0 136 2 2 12 494
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 37 0 2 11 78
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 27 2 4 8 61
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 0 75 4 4 8 274
Total Working Papers 2 13 80 9,114 157 327 1,114 31,323
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 0 3 19 4 9 35 96
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data 0 1 3 125 15 24 48 656
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 1 1 22 0 1 10 140
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 0 36 2 4 26 288
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models 0 0 0 11 2 5 15 89
Closed-form implied volatility surfaces for stochastic volatility models with jumps 1 1 5 61 4 10 30 160
Comment 0 0 0 10 1 2 5 83
Disentangling diffusion from jumps 0 1 2 97 2 3 14 341
Do option markets correctly price the probabilities of movement of the underlying asset? 1 2 3 493 2 7 16 1,065
Dynamic equilibrium and volatility in financial asset markets 0 0 0 27 1 1 5 267
Edgeworth expansions for realized volatility and related estimators 0 0 0 24 0 2 10 150
Entry-Exit Decisions of Foreign Firms and Import Prices 0 1 1 6 1 3 5 22
Estimating affine multifactor term structure models using closed-form likelihood expansions 1 1 1 83 5 5 12 297
Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities 0 0 2 97 2 3 7 224
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 3 4 13 49
Fisher's Information for Discretely Sampled Lévy Processes 0 0 2 32 2 2 11 150
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 0 0 119 1 1 10 411
High frequency market making: The role of speed 1 4 11 26 7 26 55 83
High frequency traders and the price process 1 1 4 58 1 2 20 167
High-frequency factor models and regressions 1 1 5 37 2 3 30 186
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 1 3 132 4 9 37 650
Implied Stochastic Volatility Models 1 2 5 35 5 7 22 73
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 0 21 2 3 16 128
Market response to policy initiatives during the global financial crisis 0 1 1 117 1 3 24 546
Market-based estimation of stochastic volatility models 0 0 0 26 1 5 12 132
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 0 137 2 4 13 536
Maximum likelihood estimation of latent Markov models using closed-form approximations 0 0 1 5 3 9 24 37
Modeling financial contagion using mutually exciting jump processes 1 2 12 168 2 13 50 591
Mutual excitation in Eurozone sovereign CDS 0 0 1 48 3 4 15 160
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 2 551 2 2 13 1,654
Nonparametric option pricing under shape restrictions 1 1 3 110 6 10 32 554
Nonparametric risk management and implied risk aversion 0 0 3 524 5 10 34 1,324
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 2 7 240
Out of sample forecasts of quadratic variation 0 0 1 83 2 4 18 344
Portfolio Choice in Markets with Contagion 0 0 0 14 1 3 9 53
Principal Component Analysis of High-Frequency Data 0 0 0 14 2 5 18 67
Robust consumption and portfolio policies when asset prices can jump 0 0 0 20 3 5 14 89
Semimartingale: Itô or not ? 0 0 0 9 1 3 3 56
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 9 1 2 11 61
Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion 0 0 0 29 4 8 11 243
Testing Continuous-Time Models of the Spot Interest Rate 0 0 1 689 6 6 34 2,150
Testing for jumps in noisy high frequency data 0 1 1 47 2 11 18 268
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 0 40 0 1 12 404
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 2 37 4 6 25 333
The term structure of equity and variance risk premia 0 0 1 21 0 12 25 94
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 0 1 141 2 3 9 397
Ultra high frequency volatility estimation with dependent microstructure noise 0 2 2 109 5 14 36 522
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 0 7 75 3 4 30 262
Variable Selection for Portfolio Choice 0 0 1 116 4 4 13 592
Total Journal Articles 9 24 91 4,719 133 289 962 17,484

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 2 3 18 298
Total Books 0 0 0 0 2 3 18 298

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Preface 0 1 2 17 3 4 13 72
TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS 0 0 0 7 2 7 9 40
Total Chapters 0 1 2 24 5 11 22 112
1 registered items for which data could not be found
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