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 0 371 2 6 12 1,024
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 2 96 0 1 4 334
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 0 183 1 2 4 471
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 81 0 2 3 263
Disentangling Volatility from Jumps 0 0 0 238 0 1 2 312
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 0 2 3 336
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 1 354 0 1 2 1,481
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 0 112 2 3 5 360
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 78 0 2 4 221
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 380 0 1 2 1,042
Goodness-of-fit tests for regression using kernel methods 0 0 0 154 0 1 2 411
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 0 0 1 248 0 2 5 827
High Frequency Traders: Taking Advantage of Speed 0 0 0 142 2 3 8 356
High frequency market microstructure noise estimates and liquidity measures 1 1 2 144 2 2 11 429
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 248 0 0 4 860
How and When are High-Frequency Stock Returns Predictable? 7 20 71 277 14 42 162 552
Inference on Risk Premia in Continuous-Time Asset Pricing Models 1 1 2 21 3 4 6 48
Le redressement des Tables de Contingence: Deux nouvelles approches 0 0 0 0 0 1 2 38
Luxury Goods and the Equity Premium 0 0 0 14 1 4 12 316
Luxury Goods and the Equity Premium 0 0 1 513 0 3 11 2,174
Market Response to Policy Initiatives during the Global Financial Crisis 0 0 0 213 1 2 6 649
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 1 426 0 1 2 1,550
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 3 693 0 2 15 1,677
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 0 0 148 1 2 9 500
Mutual excitation in eurozone sovereign CDS 0 0 0 58 1 2 3 188
Non-Standard Errors 0 0 3 27 2 4 30 147
Non-Standard Errors 0 2 3 44 0 6 46 438
Non-Standard Errors 0 0 1 19 1 1 3 25
Non-Standard Errors 0 0 1 8 0 1 2 33
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 576 0 2 4 2,019
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 1 2 3 483
Nonparametric Option Pricing under Shape Restrictions 0 0 1 215 0 1 5 670
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 0 341 0 2 4 1,059
Nonparametric Risk Management and Implied Risk Aversion 0 0 0 498 0 1 3 1,303
Nonstandard errors 0 0 8 11 1 2 40 45
Portfolio Choice in Markets with Contagion 0 0 0 21 0 0 1 108
Principal Component Analysis of High Frequency Data 0 0 0 121 0 2 9 176
So Many Jumps, So Few News 0 0 18 18 3 3 28 28
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 170 1 2 4 952
Testing Continuous-Time Models of the Spot Interest Rate 0 0 1 346 0 1 7 1,126
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 83 0 1 3 815
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 1 1 1 54 1 2 5 164
The Term Structure of Variance Swaps and Risk Premia 0 0 0 105 1 2 10 237
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 1 200 0 1 3 568
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 1 263 0 1 6 872
Variable Selection for Portfolio Choice 0 0 0 454 0 2 3 1,172
Variable Selection for Portfolio Choice 0 0 0 1 1 3 5 524
Variable Selection for Portfolio Choice 0 0 0 136 1 3 7 483
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 27 0 3 6 53
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 1 37 1 2 5 68
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 0 75 0 1 1 266
Total Working Papers 10 25 124 9,044 44 143 542 30,253
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 0 16 0 1 5 61
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data 0 0 1 122 0 1 11 608
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 0 21 1 3 7 131
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 0 36 0 2 3 262
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models 0 0 0 11 0 1 3 74
Closed-form implied volatility surfaces for stochastic volatility models with jumps 1 2 12 57 2 5 27 132
Comment 0 0 0 10 0 1 2 78
Disentangling diffusion from jumps 1 1 1 96 1 3 7 328
Do option markets correctly price the probabilities of movement of the underlying asset? 0 0 1 490 1 3 10 1,050
Dynamic equilibrium and volatility in financial asset markets 0 0 0 27 0 2 2 262
Edgeworth expansions for realized volatility and related estimators 0 0 0 24 0 1 2 140
Entry-Exit Decisions of Foreign Firms and Import Prices 0 0 0 5 0 2 3 17
Estimating affine multifactor term structure models using closed-form likelihood expansions 0 0 1 82 0 1 5 285
Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities 0 0 0 95 0 1 3 217
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 1 9 0 1 4 36
Fisher's Information for Discretely Sampled Lévy Processes 0 0 0 30 1 2 2 140
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 0 0 119 0 1 7 401
High frequency market making: The role of speed 0 1 12 15 1 3 24 29
High frequency traders and the price process 0 0 5 54 0 2 13 147
High-frequency factor models and regressions 0 1 2 32 0 4 12 156
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 4 129 0 2 9 613
Implied Stochastic Volatility Models 0 1 6 30 0 1 9 51
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 2 21 1 3 8 113
Market response to policy initiatives during the global financial crisis 0 0 2 116 1 4 12 523
Market-based estimation of stochastic volatility models 0 0 0 26 0 0 3 120
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 0 137 0 1 6 523
Maximum likelihood estimation of latent Markov models using closed-form approximations 0 1 4 4 0 3 13 13
Modeling financial contagion using mutually exciting jump processes 1 1 11 157 3 7 32 544
Mutual excitation in Eurozone sovereign CDS 0 0 0 47 1 3 5 146
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 0 549 0 1 4 1,641
Nonparametric option pricing under shape restrictions 1 1 2 108 3 5 24 525
Nonparametric risk management and implied risk aversion 1 1 4 522 2 5 17 1,292
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 1 3 233
Out of sample forecasts of quadratic variation 0 0 1 82 1 2 8 327
Portfolio Choice in Markets with Contagion 0 0 0 14 0 1 2 44
Principal Component Analysis of High-Frequency Data 0 0 3 14 2 3 14 51
Robust consumption and portfolio policies when asset prices can jump 0 0 1 20 0 1 8 75
Semimartingale: Itô or not ? 0 0 0 9 0 1 2 53
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 9 1 2 4 51
Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion 0 0 0 29 0 1 2 232
Testing Continuous-Time Models of the Spot Interest Rate 0 0 2 688 0 1 9 2,116
Testing for jumps in noisy high frequency data 0 0 0 46 1 2 10 251
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 0 40 2 3 4 394
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 2 35 1 2 12 309
The term structure of equity and variance risk premia 0 0 2 20 0 5 8 69
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 1 1 140 0 2 7 388
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 1 107 0 1 10 486
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 2 4 68 0 4 21 232
Variable Selection for Portfolio Choice 0 0 2 115 1 3 10 580
Total Journal Articles 5 13 90 4,633 27 110 428 16,549

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 6 16 282
Total Books 0 0 0 0 2 6 16 282

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 3 59
TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS 0 0 0 7 0 1 2 31
Total Chapters 0 0 0 22 0 2 5 90
1 registered items for which data could not be found
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Statistics updated 2025-06-06