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 1 1 373 1 5 55 1,083
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 1 1 98 0 3 28 366
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 0 183 0 0 19 490
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 81 0 2 7 273
Disentangling Volatility from Jumps 0 0 0 238 0 0 11 323
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 1 3 17 354
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 1 1 355 1 4 9 1,491
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 0 112 0 0 10 370
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 380 0 1 12 1,054
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 78 0 0 8 229
Goodness-of-fit tests for regression using kernel methods 0 0 0 154 1 1 5 416
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 0 0 1 249 2 3 18 846
High Frequency Traders: Taking Advantage of Speed 0 0 0 142 1 4 17 373
High frequency market microstructure noise estimates and liquidity measures 0 0 1 146 2 4 24 455
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 1 1 249 0 2 20 880
How and When are High-Frequency Stock Returns Predictable? 1 5 42 338 9 26 153 756
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 0 21 0 3 21 69
Le redressement des Tables de Contingence: Deux nouvelles approches 0 0 0 0 0 0 8 46
Luxury Goods and the Equity Premium 0 0 0 513 1 2 20 2,196
Luxury Goods and the Equity Premium 0 0 0 15 1 1 16 334
Market Response to Policy Initiatives during the Global Financial Crisis 0 0 0 213 0 2 14 664
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 0 426 1 4 24 1,574
Maximum Likelihood Estimation of Stochastic Volatility Models 1 1 1 694 2 2 24 1,701
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 1 3 151 3 10 40 542
Mutual excitation in eurozone sovereign CDS 0 0 0 58 2 2 13 202
Non-Standard Errors 0 0 0 8 0 2 18 52
Non-Standard Errors 0 0 0 19 2 4 37 63
Non-Standard Errors 1 1 1 28 2 5 21 173
Non-Standard Errors 1 1 1 45 1 4 41 485
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 1 1 1 577 4 6 30 2,050
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 1 2 10 493
Nonparametric Option Pricing under Shape Restrictions 0 1 2 217 0 1 26 700
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 0 341 1 1 21 1,081
Nonparametric Risk Management and Implied Risk Aversion 0 0 1 499 1 1 29 1,333
Nonstandard errors 1 1 2 13 2 5 32 84
Portfolio Choice in Markets with Contagion 0 0 0 21 1 2 19 127
Principal Component Analysis of High Frequency Data 0 0 0 122 1 1 27 204
So Many Jumps, So Few News 0 0 0 19 0 1 21 52
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 170 1 2 9 961
Testing Continuous-Time Models of the Spot Interest Rate 0 0 0 346 0 0 22 1,148
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 83 0 0 11 826
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 0 55 0 0 17 182
The Term Structure of Variance Swaps and Risk Premia 0 0 0 105 3 4 29 267
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 0 200 2 9 34 603
Ultra high frequency volatility estimation with dependent microstructure noise 0 1 1 264 1 4 26 900
Variable Selection for Portfolio Choice 0 0 0 1 0 1 16 540
Variable Selection for Portfolio Choice 0 0 1 455 3 5 22 1,194
Variable Selection for Portfolio Choice 0 0 0 136 3 5 17 500
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 37 1 2 14 82
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 27 0 0 8 61
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 0 75 0 0 8 275
Total Working Papers 6 17 62 9,132 58 151 1,158 31,523
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 1 19 1 6 38 103
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data 1 3 6 130 2 7 55 667
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 1 22 0 0 8 140
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 0 36 0 1 23 289
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models 0 0 0 11 0 0 14 90
Closed-form implied volatility surfaces for stochastic volatility models with jumps 2 3 8 66 3 5 33 168
Comment 0 0 0 10 0 0 5 83
Disentangling diffusion from jumps 0 1 2 98 0 2 15 343
Do option markets correctly price the probabilities of movement of the underlying asset? 1 2 5 495 2 3 18 1,069
Dynamic equilibrium and volatility in financial asset markets 0 0 0 27 0 1 8 272
Edgeworth expansions for realized volatility and related estimators 0 0 0 24 0 0 9 150
Entry-Exit Decisions of Foreign Firms and Import Prices 0 0 1 6 2 4 9 26
Estimating affine multifactor term structure models using closed-form likelihood expansions 0 0 1 83 0 2 13 300
Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities 0 0 0 97 1 3 8 227
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 0 4 15 53
Fisher's Information for Discretely Sampled Lévy Processes 0 0 1 32 0 0 7 150
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 0 1 120 1 3 16 417
High frequency market making: The role of speed 0 0 7 26 1 7 57 96
High frequency traders and the price process 0 1 5 60 1 5 22 173
High-frequency factor models and regressions 0 1 6 39 3 7 36 200
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 2 5 134 4 12 45 662
Implied Stochastic Volatility Models 0 0 4 35 1 1 21 76
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 0 21 0 0 15 129
Market response to policy initiatives during the global financial crisis 0 0 1 117 0 2 24 548
Market-based estimation of stochastic volatility models 0 0 0 26 0 0 10 132
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 0 137 2 4 18 541
Maximum likelihood estimation of latent Markov models using closed-form approximations 0 0 1 5 0 0 23 38
Modeling financial contagion using mutually exciting jump processes 0 2 9 170 4 13 55 607
Mutual excitation in Eurozone sovereign CDS 0 0 1 48 1 1 15 161
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 2 551 0 0 11 1,654
Nonparametric option pricing under shape restrictions 0 1 3 111 1 2 31 558
Nonparametric risk management and implied risk aversion 0 1 4 526 1 2 34 1,328
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 0 7 240
Out of sample forecasts of quadratic variation 0 1 2 84 0 2 18 347
Portfolio Choice in Markets with Contagion 0 0 0 14 0 1 10 55
Principal Component Analysis of High-Frequency Data 0 0 0 14 3 8 23 76
Robust consumption and portfolio policies when asset prices can jump 0 0 0 20 0 2 14 91
Semimartingale: Itô or not ? 0 0 0 9 1 1 4 57
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 9 0 0 10 61
Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion 0 0 0 29 0 0 10 243
Testing Continuous-Time Models of the Spot Interest Rate 0 0 0 689 0 3 35 2,153
Testing for jumps in noisy high frequency data 0 0 1 47 1 4 22 274
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 0 40 3 3 13 407
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 2 37 0 2 23 336
The term structure of equity and variance risk premia 0 2 2 23 2 9 30 104
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 0 0 141 0 1 11 400
Ultra high frequency volatility estimation with dependent microstructure noise 0 1 3 110 1 6 41 528
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 0 4 75 3 5 31 270
Variable Selection for Portfolio Choice 0 0 0 116 0 2 12 594
Total Journal Articles 4 21 89 4,748 45 146 1,025 17,686

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 1 2 17 302
Total Books 0 0 0 0 1 2 17 302

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Preface 1 1 3 18 4 6 19 78
TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS 0 0 0 7 0 0 9 40
Total Chapters 1 1 3 25 4 6 28 118
1 registered items for which data could not be found
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