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 1 372 4 16 30 1,044
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 1 97 2 6 11 344
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 0 183 1 6 10 478
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 81 0 0 6 266
Disentangling Volatility from Jumps 0 0 0 238 2 4 7 317
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 2 5 8 342
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 1 354 0 0 3 1,482
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 0 112 1 4 9 364
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 78 1 2 7 224
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 380 5 8 10 1,050
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 1 1 249 1 5 8 833
High Frequency Traders: Taking Advantage of Speed 0 0 0 142 2 3 8 360
High frequency market microstructure noise estimates and liquidity measures 0 0 2 145 1 7 14 438
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 248 1 6 8 866
How and When are High-Frequency Stock Returns Predictable? 7 12 66 315 24 49 172 665
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 21 2 5 11 54
Le redressement des Tables de Contingence: Deux nouvelles approches 0 0 0 0 2 3 5 41
Luxury Goods and the Equity Premium 0 0 1 15 1 6 16 325
Luxury Goods and the Equity Premium 0 0 0 513 3 7 13 2,183
Market Response to Policy Initiatives during the Global Financial Crisis 0 0 0 213 4 6 11 656
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 0 426 1 5 7 1,556
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 1 693 2 6 15 1,688
Modeling Financial Contagion Using Mutually Exciting Jump Processes 1 2 2 150 3 10 16 513
Mutual excitation in eurozone sovereign CDS 0 0 0 58 3 5 9 194
Non-Standard Errors 0 0 1 27 4 7 27 161
Non-Standard Errors 0 0 0 8 2 4 6 38
Non-Standard Errors 0 0 2 44 6 12 35 458
Non-Standard Errors 0 0 0 19 1 3 5 29
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 576 6 9 14 2,030
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 1 2 4 485
Nonparametric Option Pricing under Shape Restrictions 0 0 0 215 3 13 22 688
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 0 341 2 5 9 1,065
Nonparametric Risk Management and Implied Risk Aversion 0 1 1 499 6 12 15 1,316
Nonstandard errors 0 0 1 12 3 7 28 63
Portfolio Choice in Markets with Contagion 0 0 0 21 3 5 6 114
Principal Component Analysis of High Frequency Data 0 0 1 122 1 7 11 184
So Many Jumps, So Few News 0 0 2 19 2 5 19 37
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 170 0 2 6 954
Testing Continuous-Time Models of the Spot Interest Rate 0 0 1 346 2 5 10 1,132
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 83 1 3 6 818
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 2 55 2 7 12 172
The Term Structure of Variance Swaps and Risk Premia 0 0 0 105 7 17 25 255
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 0 200 4 9 11 578
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 0 263 7 11 16 885
Variable Selection for Portfolio Choice 0 0 0 1 4 11 16 535
Variable Selection for Portfolio Choice 0 0 0 454 1 4 7 1,177
Variable Selection for Portfolio Choice 0 0 0 136 3 5 9 488
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 37 0 2 6 70
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 27 0 2 7 55
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 0 75 0 0 2 267
Total Working Papers 8 16 88 9,094 139 343 750 30,748
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 3 19 8 14 23 81
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data 0 0 2 124 2 15 24 627
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 0 21 1 3 9 136
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 0 36 2 16 22 282
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models 0 0 0 11 1 6 10 82
Closed-form implied volatility surfaces for stochastic volatility models with jumps 0 2 8 60 1 8 23 145
Comment 0 0 0 10 0 2 4 80
Disentangling diffusion from jumps 0 0 1 96 4 6 10 334
Do option markets correctly price the probabilities of movement of the underlying asset? 0 0 0 490 0 4 10 1,055
Dynamic equilibrium and volatility in financial asset markets 0 0 0 27 0 0 4 264
Edgeworth expansions for realized volatility and related estimators 0 0 0 24 0 2 5 143
Entry-Exit Decisions of Foreign Firms and Import Prices 0 0 0 5 0 1 4 18
Estimating affine multifactor term structure models using closed-form likelihood expansions 0 0 1 82 1 2 8 289
Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities 0 0 2 97 1 1 4 220
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 1 4 7 42
Fisher's Information for Discretely Sampled Lévy Processes 1 1 2 32 1 1 6 144
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 0 0 119 1 6 8 407
High frequency market making: The role of speed 3 3 12 22 10 11 34 53
High frequency traders and the price process 1 2 3 57 6 11 21 164
High-frequency factor models and regressions 0 2 4 35 2 11 23 175
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 1 2 2 131 4 14 22 632
Implied Stochastic Volatility Models 0 0 3 31 3 6 13 61
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 1 21 2 8 16 123
Market response to policy initiatives during the global financial crisis 0 0 0 116 8 14 21 538
Market-based estimation of stochastic volatility models 0 0 0 26 0 3 6 125
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 0 137 3 7 9 530
Maximum likelihood estimation of latent Markov models using closed-form approximations 0 1 2 5 1 5 13 21
Modeling financial contagion using mutually exciting jump processes 0 3 10 166 2 17 38 571
Mutual excitation in Eurozone sovereign CDS 1 1 1 48 2 5 8 151
Nonparametric Pricing of Interest Rate Derivative Securities 1 1 2 551 4 7 13 1,651
Nonparametric option pricing under shape restrictions 0 0 2 109 2 8 21 538
Nonparametric risk management and implied risk aversion 0 1 4 524 1 12 25 1,307
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 1 2 4 235
Out of sample forecasts of quadratic variation 0 0 1 83 1 5 12 335
Portfolio Choice in Markets with Contagion 0 0 0 14 1 2 5 47
Principal Component Analysis of High-Frequency Data 0 0 0 14 4 6 12 59
Robust consumption and portfolio policies when asset prices can jump 0 0 0 20 2 6 11 83
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 1 5 8 56
Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion 0 0 0 29 1 2 5 235
Testing Continuous-Time Models of the Spot Interest Rate 0 0 1 689 3 22 28 2,140
Testing for jumps in noisy high frequency data 0 0 0 46 1 3 8 255
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 0 40 1 6 10 400
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 1 1 36 2 10 18 323
The term structure of equity and variance risk premia 0 0 1 21 1 4 14 78
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 0 2 141 0 2 7 392
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 0 107 6 15 20 502
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 2 9 74 8 14 32 255
Variable Selection for Portfolio Choice 0 0 2 116 1 2 9 584
Total Journal Articles 8 22 82 4,689 108 336 669 17,021

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 6 17 291
Total Books 0 0 0 0 1 6 17 291

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Preface 0 0 0 15 2 2 6 62
TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS 0 0 0 7 1 2 4 33
Total Chapters 0 0 0 22 3 4 10 95
1 registered items for which data could not be found
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Statistics updated 2026-01-09