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 1 366 2 7 16 988
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 0 91 1 3 16 272
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 1 2 182 0 3 7 460
Consumption and Portfolio Choice with Option-Implied State Prices 0 1 1 81 1 4 12 258
Disentangling Volatility from Jumps 0 0 0 237 1 3 7 305
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 353 1 2 6 1,477
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 1 2 5 331
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 0 112 0 2 7 351
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 77 2 5 12 212
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 378 1 4 12 1,031
Goodness-of-fit tests for regression using kernel methods 0 0 0 153 3 4 11 403
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 0 1 1 245 3 6 17 803
High Frequency Traders: Taking Advantage of Speed 0 1 13 119 0 5 54 287
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 1 1 245 3 8 15 835
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 15 15 1 4 25 25
Le redressement des Tables de Contingence: Deux nouvelles approches 0 0 0 0 1 2 7 28
Luxury Goods and the Equity Premium 0 0 1 512 1 2 14 2,152
Luxury Goods and the Equity Premium 0 1 2 13 1 9 37 281
Market Response to Policy Initiatives during the Global Financial Crisis 0 0 5 208 6 8 34 573
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 0 417 0 2 11 1,527
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 2 684 0 2 8 1,644
Modeling Financial Contagion Using Mutually Exciting Jump Processes 1 1 4 133 1 3 20 441
Mutual excitation in eurozone sovereign CDS 0 0 1 57 1 2 10 179
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 3 5 13 466
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 1 1 573 1 5 20 1,995
Nonparametric Option Pricing under Shape Restrictions 0 0 0 212 1 4 11 627
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 1 336 1 6 22 1,042
Nonparametric Risk Management and Implied Risk Aversion 0 0 2 489 0 2 15 1,273
Principal Component Analysis of High Frequency Data 0 0 0 111 0 2 11 130
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 169 0 2 9 943
Testing Continuous-Time Models of the Spot Interest Rate 0 0 3 342 0 3 16 1,105
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 1 1 82 0 3 7 805
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 0 51 0 2 8 152
The Term Structure of Variance Swaps and Risk Premia 1 2 16 93 3 6 45 193
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 1 199 3 5 13 553
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 0 259 3 5 17 846
Variable Selection for Portfolio Choice 0 0 2 451 4 9 30 1,084
Variable Selection for Portfolio Choice 0 0 0 1 1 5 21 473
Variable Selection for Portfolio Choice 0 0 3 135 4 7 24 415
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 0 0 0 0 0
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 0 72 0 1 3 260
Total Working Papers 2 11 79 8,255 55 164 648 27,225


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 2 2 6 8 3 4 18 31
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data 1 2 4 117 3 7 28 570
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 1 2 21 0 3 6 119
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 1 1 3 33 2 4 31 200
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models 0 0 2 7 1 2 8 61
Comment 0 0 0 10 0 1 6 76
Disentangling diffusion from jumps 0 0 0 88 1 3 8 303
Do option markets correctly price the probabilities of movement of the underlying asset? 0 0 4 467 4 9 24 994
Dynamic equilibrium and volatility in financial asset markets 0 0 0 26 2 4 11 258
Edgeworth expansions for realized volatility and related estimators 0 0 0 21 1 2 4 128
Entry-Exit Decisions of Foreign Firms and Import Prices 0 1 2 5 0 2 5 14
Estimating affine multifactor term structure models using closed-form likelihood expansions 0 1 6 77 1 3 16 265
Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities 0 0 4 93 0 0 8 209
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 1 2 1 2 5 15
Fisher's Information for Discretely Sampled Lévy Processes 0 0 0 30 1 1 8 136
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 1 2 114 1 5 10 378
High frequency traders and the price process 0 1 6 9 4 9 40 50
High-frequency factor models and regressions 0 4 13 17 3 13 52 75
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 1 125 2 3 13 587
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 1 3 13 1 3 10 80
Market response to policy initiatives during the global financial crisis 0 0 7 89 4 14 61 439
Market-based estimation of stochastic volatility models 0 0 0 26 0 1 4 114
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 1 1 137 0 3 14 501
Modeling financial contagion using mutually exciting jump processes 1 4 16 106 5 11 60 394
Mutual excitation in Eurozone sovereign CDS 0 2 2 40 1 4 18 123
Nonparametric Pricing of Interest Rate Derivative Securities 0 2 7 537 1 6 34 1,607
Nonparametric option pricing under shape restrictions 0 0 2 82 2 8 27 434
Nonparametric risk management and implied risk aversion 1 5 20 473 4 12 61 1,164
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 1 2 7 225
Out of sample forecasts of quadratic variation 0 1 1 75 1 5 12 298
Portfolio Choice in Markets with Contagion 1 1 1 6 1 1 6 22
Principal Component Analysis of High-Frequency Data 0 0 3 3 1 1 10 13
Robust consumption and portfolio policies when asset prices can jump 1 1 2 8 1 2 12 37
Semimartingale: Itô or not ? 0 0 0 4 1 2 8 38
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 8 1 2 5 43
Testing Continuous-Time Models of the Spot Interest Rate 0 0 3 676 0 4 18 2,079
Testing for jumps in noisy high frequency data 0 0 2 34 2 5 15 199
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 0 40 2 4 9 384
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 0 26 2 6 15 255
The term structure of equity and variance risk premia 0 0 9 9 2 6 29 29
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 0 3 137 3 4 19 364
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 8 89 4 7 50 412
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 1 2 15 35 2 6 36 129
Variable Selection for Portfolio Choice 0 0 3 110 2 4 28 519
Total Journal Articles 9 34 164 4,033 74 200 869 14,371


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 3 44 209
Total Books 0 0 0 0 1 3 44 209


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 4 51
TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS 0 0 0 7 0 0 4 24
Total Chapters 0 0 0 22 0 0 8 75


Statistics updated 2021-09-05