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 1 1 1 373 4 18 55 1,082
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 0 97 0 9 28 363
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 0 183 0 7 19 490
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 81 2 4 9 273
Disentangling Volatility from Jumps 0 0 0 238 0 2 11 323
Dynamic Equilibrium and Volatility in Financial Asset Markets 1 1 1 355 3 4 9 1,490
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 2 4 17 353
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 0 112 0 3 10 370
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 380 1 3 12 1,054
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 78 0 1 8 229
Goodness-of-fit tests for regression using kernel methods 0 0 0 154 0 0 4 415
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 0 0 1 249 1 5 16 844
High Frequency Traders: Taking Advantage of Speed 0 0 0 142 2 6 15 371
High frequency market microstructure noise estimates and liquidity measures 0 1 1 146 1 5 22 452
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 1 1 1 249 2 5 20 880
How and When are High-Frequency Stock Returns Predictable? 1 2 53 334 3 19 171 733
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 0 21 1 5 19 67
Le redressement des Tables de Contingence: Deux nouvelles approches 0 0 0 0 0 4 8 46
Luxury Goods and the Equity Premium 0 0 0 513 1 7 20 2,195
Luxury Goods and the Equity Premium 0 0 1 15 0 4 17 333
Market Response to Policy Initiatives during the Global Financial Crisis 0 0 0 213 1 3 13 663
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 0 426 3 8 23 1,573
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 693 0 2 22 1,699
Modeling Financial Contagion Using Mutually Exciting Jump Processes 1 1 3 151 3 8 35 535
Mutual excitation in eurozone sovereign CDS 0 0 0 58 0 3 12 200
Non-Standard Errors 0 0 0 8 1 5 17 51
Non-Standard Errors 0 0 0 19 0 5 33 59
Non-Standard Errors 0 0 0 27 3 5 21 171
Non-Standard Errors 0 0 0 44 2 12 43 483
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 1 6 9 492
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 576 2 9 27 2,046
Nonparametric Option Pricing under Shape Restrictions 0 0 1 216 0 4 29 699
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 0 341 0 1 21 1,080
Nonparametric Risk Management and Implied Risk Aversion 0 0 1 499 0 3 29 1,332
Nonstandard errors 0 0 1 12 2 5 34 81
Portfolio Choice in Markets with Contagion 0 0 0 21 1 4 18 126
Principal Component Analysis of High Frequency Data 0 0 0 122 0 3 26 203
So Many Jumps, So Few News 0 0 0 19 0 3 22 51
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 170 1 3 8 960
Testing Continuous-Time Models of the Spot Interest Rate 0 0 0 346 0 8 22 1,148
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 83 0 3 11 826
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 1 55 0 5 18 182
The Term Structure of Variance Swaps and Risk Premia 0 0 0 105 0 3 26 263
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 0 200 2 6 28 596
Ultra high frequency volatility estimation with dependent microstructure noise 1 1 1 264 2 5 25 898
Variable Selection for Portfolio Choice 0 0 0 136 2 5 14 497
Variable Selection for Portfolio Choice 0 0 0 1 0 2 15 539
Variable Selection for Portfolio Choice 0 1 1 455 1 3 18 1,190
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 37 0 2 12 80
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 27 0 2 8 61
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 0 75 0 5 9 275
Total Working Papers 6 9 68 9,121 50 256 1,138 31,422
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 2 19 0 5 34 97
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data 1 3 5 128 3 22 53 663
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 1 22 0 0 9 140
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 0 36 0 2 25 288
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models 0 0 0 11 0 3 16 90
Closed-form implied volatility surfaces for stochastic volatility models with jumps 0 3 6 63 0 7 30 163
Comment 0 0 0 10 0 1 5 83
Disentangling diffusion from jumps 1 1 2 98 2 4 15 343
Do option markets correctly price the probabilities of movement of the underlying asset? 1 2 4 494 1 4 17 1,067
Dynamic equilibrium and volatility in financial asset markets 0 0 0 27 1 6 10 272
Edgeworth expansions for realized volatility and related estimators 0 0 0 24 0 0 10 150
Entry-Exit Decisions of Foreign Firms and Import Prices 0 0 1 6 0 1 5 22
Estimating affine multifactor term structure models using closed-form likelihood expansions 0 1 1 83 1 7 14 299
Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities 0 0 1 97 2 4 8 226
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 0 3 12 49
Fisher's Information for Discretely Sampled Lévy Processes 0 0 2 32 0 2 10 150
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 1 1 120 1 5 14 415
High frequency market making: The role of speed 0 1 10 26 5 18 61 94
High frequency traders and the price process 0 2 5 59 1 3 21 169
High-frequency factor models and regressions 1 3 6 39 3 12 39 196
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 2 2 5 134 5 9 41 655
Implied Stochastic Volatility Models 0 1 5 35 0 7 24 75
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 0 21 0 3 16 129
Market response to policy initiatives during the global financial crisis 0 0 1 117 2 3 25 548
Market-based estimation of stochastic volatility models 0 0 0 26 0 1 12 132
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 0 137 2 5 16 539
Maximum likelihood estimation of latent Markov models using closed-form approximations 0 0 1 5 0 4 25 38
Modeling financial contagion using mutually exciting jump processes 1 2 9 169 3 8 48 597
Mutual excitation in Eurozone sovereign CDS 0 0 1 48 0 3 14 160
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 2 551 0 2 13 1,654
Nonparametric option pricing under shape restrictions 1 2 3 111 1 9 32 557
Nonparametric risk management and implied risk aversion 1 2 4 526 1 8 35 1,327
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 0 1 83 1 4 19 346
Portfolio Choice in Markets with Contagion 0 0 0 14 1 3 11 55
Principal Component Analysis of High-Frequency Data 0 0 0 14 2 5 18 70
Robust consumption and portfolio policies when asset prices can jump 0 0 0 20 2 5 16 91
Semimartingale: Itô or not ? 0 0 0 9 0 1 3 56
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 9 0 1 10 61
Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion 0 0 0 29 0 4 11 243
Testing Continuous-Time Models of the Spot Interest Rate 0 0 1 689 0 6 33 2,150
Testing for jumps in noisy high frequency data 0 0 1 47 2 6 21 272
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 0 40 0 0 10 404
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 2 37 0 5 24 334
The term structure of equity and variance risk premia 1 1 2 22 4 5 30 99
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 0 1 141 0 4 11 399
Ultra high frequency volatility estimation with dependent microstructure noise 1 1 3 110 4 9 40 526
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 0 5 75 0 6 30 265
Variable Selection for Portfolio Choice 0 0 0 116 1 5 12 593
Total Journal Articles 11 28 94 4,738 51 240 1,015 17,591

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 4 17 300
Total Books 0 0 0 0 0 4 17 300

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Preface 0 0 2 17 1 4 14 73
TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS 0 0 0 7 0 2 9 40
Total Chapters 0 0 2 24 1 6 23 113
1 registered items for which data could not be found
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