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 1 352 1 3 14 917
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 1 2 7 81 1 3 14 214
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 7 176 0 1 14 438
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 78 0 0 7 236
Disentangling Volatility from Jumps 0 0 1 236 0 0 4 292
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 352 0 3 28 1,459
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 0 2 35 307
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 2 111 0 1 12 334
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 1 1 2 69 1 1 3 178
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 1 6 370 1 8 17 982
Goodness-of-fit tests for regression using kernel methods 0 1 3 151 0 1 5 381
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 1 3 4 244 3 14 46 763
High Frequency Traders: Taking Advantage of Speed 3 3 4 80 4 5 14 125
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 243 0 0 7 802
Luxury Goods and the Equity Premium 0 0 0 505 2 4 11 2,106
Market Response to Policy Initiatives during the Global Financial Crisis 0 1 6 188 1 5 23 497
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 3 415 0 0 5 1,495
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 678 2 2 20 1,608
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 2 7 113 1 4 19 365
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 569 0 4 12 1,933
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 0 3 13 427
Nonparametric Option Pricing under Shape Restrictions 0 0 3 209 1 1 9 592
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 1 332 0 0 3 992
Nonparametric Risk Management and Implied Risk Aversion 0 2 4 472 2 6 12 1,198
Principal Component Analysis of High Frequency Data 0 2 11 84 2 6 34 66
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 2 168 0 0 9 928
Testing Continuous-Time Models of the Spot Interest Rate 0 0 1 336 0 2 13 1,059
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 80 2 2 11 777
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 2 48 1 1 8 110
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 0 190 0 0 5 514
Ultra high frequency volatility estimation with dependent microstructure noise 0 1 4 253 1 2 15 797
Variable Selection for Portfolio Choice 0 0 0 1 0 0 5 432
Variable Selection for Portfolio Choice 0 0 3 445 0 5 17 1,024
Variable Selection for Portfolio Choice 0 0 3 129 0 1 8 362
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 1 72 0 0 3 245
Total Working Papers 6 19 88 7,832 26 90 475 24,955


Journal Article 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 4 103 2 10 34 472
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 1 1 17 4 5 8 106
Comment 0 0 0 10 0 0 1 65
Disentangling diffusion from jumps 2 2 2 86 4 6 17 281
Do option markets correctly price the probabilities of movement of the underlying asset? 0 2 5 448 6 13 32 889
Dynamic equilibrium and volatility in financial asset markets 0 0 1 25 0 2 18 233
Edgeworth expansions for realized volatility and related estimators 0 1 2 21 0 2 8 112
Estimating affine multifactor term structure models using closed-form likelihood expansions 1 2 4 61 1 5 17 210
Fisher's Information for Discretely Sampled Lévy Processes 0 0 0 30 0 1 5 117
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 0 2 110 1 3 9 346
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 120 0 2 11 526
Market response to policy initiatives during the global financial crisis 0 1 9 71 1 6 36 289
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 0 128 1 2 8 450
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 1 170 1 3 16 498
Nonparametric Pricing of Interest Rate Derivative Securities 1 3 5 500 2 5 18 1,481
Nonparametric option pricing under shape restrictions 0 2 3 64 1 4 12 346
Nonparametric risk management and implied risk aversion 1 5 17 394 5 16 51 901
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 0 1 211
Out of sample forecasts of quadratic variation 0 0 1 64 0 3 11 247
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 7 1 1 3 33
Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion 0 0 1 29 2 4 9 211
Testing Continuous-Time Models of the Spot Interest Rate 0 1 3 664 0 3 19 2,016
Testing for jumps in noisy high frequency data 1 1 2 27 4 4 13 146
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 1 40 1 2 9 361
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 0 23 1 8 18 201
Transition Densities for Interest Rate and Other Nonlinear Diffusions 1 2 5 129 3 5 17 320
Ultra high frequency volatility estimation with dependent microstructure noise 2 2 5 56 3 5 16 253
Variable Selection for Portfolio Choice 1 1 1 100 2 4 13 444
Total Journal Articles 10 27 75 3,497 46 124 430 11,765


Statistics updated 2017-12-03