Access Statistics for Yacine Ait-Sahalia

Author contact details at EconPapers.

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 1 372 0 4 16 1,028
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 1 3 97 1 4 8 338
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 0 183 0 0 4 471
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 81 2 3 6 266
Disentangling Volatility from Jumps 0 0 0 238 0 0 2 312
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 1 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 0 380 0 0 2 1,042
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 78 0 0 4 221
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 1 4 828
High Frequency Traders: Taking Advantage of Speed 0 0 0 142 0 0 7 356
High frequency market microstructure noise estimates and liquidity measures 0 1 3 145 1 2 12 431
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? 6 19 64 296 15 51 154 603
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 21 0 0 5 48
Le redressement des Tables de Contingence: Deux nouvelles approches 0 0 0 0 0 0 2 38
Luxury Goods and the Equity Premium 0 1 1 15 1 2 12 318
Luxury Goods and the Equity Premium 0 0 1 513 1 2 10 2,176
Market Response to Policy Initiatives during the Global Financial Crisis 0 0 0 213 0 1 7 650
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 1 426 0 0 2 1,550
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 2 693 0 0 8 1,677
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 0 0 148 2 2 9 502
Mutual excitation in eurozone sovereign CDS 0 0 0 58 1 1 4 189
Non-Standard Errors 0 0 0 8 0 1 2 34
Non-Standard Errors 0 0 1 27 1 5 29 152
Non-Standard Errors 0 0 3 44 4 6 36 444
Non-Standard Errors 0 0 1 19 0 1 3 26
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 0 0 3 483
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 576 1 1 5 2,020
Nonparametric Option Pricing under Shape Restrictions 0 0 1 215 4 4 9 674
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 1 1 4 1,304
Nonstandard errors 0 0 3 11 1 7 31 52
Portfolio Choice in Markets with Contagion 0 0 0 21 0 0 1 108
Principal Component Analysis of High Frequency Data 0 1 1 122 0 1 9 177
So Many Jumps, So Few News 0 1 12 19 0 3 22 31
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 0 0 6 1,126
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 1 1 10 238
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 0 200 1 1 2 569
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 0 263 1 2 6 874
Variable Selection for Portfolio Choice 0 0 0 454 0 0 3 1,172
Variable Selection for Portfolio Choice 0 0 0 136 0 0 6 483
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 1 1 2 267
Total Working Papers 6 26 105 9,070 41 112 515 30,365
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 2 18 2 4 8 65
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data 0 2 3 124 0 4 13 612
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 0 21 0 1 7 132
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 0 36 2 4 7 266
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models 0 0 0 11 1 2 5 76
Closed-form implied volatility surfaces for stochastic volatility models with jumps 0 1 6 58 1 3 18 135
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 1 1 7 1,051
Dynamic equilibrium and volatility in financial asset markets 0 0 0 27 1 2 4 264
Edgeworth expansions for realized volatility and related estimators 0 0 0 24 1 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 1 2 2 97 1 2 3 219
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 0 2 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 5 401
High frequency market making: The role of speed 3 4 14 19 5 10 31 39
High frequency traders and the price process 1 1 5 55 1 4 16 151
High-frequency factor models and regressions 0 1 3 33 4 8 17 164
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 2 129 3 4 9 617
Implied Stochastic Volatility Models 0 1 6 31 2 4 11 55
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 1 21 0 1 8 114
Market response to policy initiatives during the global financial crisis 0 0 0 116 0 1 9 524
Market-based estimation of stochastic volatility models 0 0 0 26 0 2 5 122
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 2 15 15
Modeling financial contagion using mutually exciting jump processes 1 4 8 161 2 8 28 552
Mutual excitation in Eurozone sovereign CDS 0 0 0 47 0 0 4 146
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 0 549 0 2 6 1,643
Nonparametric option pricing under shape restrictions 0 0 1 108 0 2 16 527
Nonparametric risk management and implied risk aversion 0 0 3 522 1 2 15 1,294
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 0 0 1 82 1 2 9 329
Portfolio Choice in Markets with Contagion 0 0 0 14 1 1 3 45
Principal Component Analysis of High-Frequency Data 0 0 1 14 1 2 11 53
Robust consumption and portfolio policies when asset prices can jump 0 0 1 20 0 2 8 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 1 1 3 233
Testing Continuous-Time Models of the Spot Interest Rate 1 1 2 689 1 2 8 2,118
Testing for jumps in noisy high frequency data 0 0 0 46 0 1 10 252
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 1 35 2 4 13 313
The term structure of equity and variance risk premia 0 1 1 21 2 5 11 74
Transition Densities for Interest Rate and Other Nonlinear Diffusions 1 1 2 141 1 1 7 389
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 0 107 0 1 8 487
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 3 7 71 2 7 24 239
Variable Selection for Portfolio Choice 0 1 2 116 1 2 9 582
Total Journal Articles 9 26 81 4,659 42 112 439 16,661

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 3 15 285
Total Books 0 0 0 0 0 3 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 0 0 3 59
TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS 0 0 0 7 0 0 2 31
Total Chapters 0 0 0 22 0 0 5 90
1 registered items for which data could not be found
logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-09-05