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Testing continuous-time models of the spot interest rate

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Y Ait-Sahalia - Review of Financial studies, 1996 - Soc Financial Studies
Abstract Different continuous-time models for interest rates coexist in the literature. We test
parametric models by comparing their implied parametric density to the same density
estimated nonparametrically. We do not replace the continuous-time model by discrete ...
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[PDF] A tale of two time scales

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L Zhang, PA Mykland… - Journal of the American Statistical …, 2005 - ASA
It is a common practice in finance to estimate volatility from the sum of frequently sampled
squared returns. However, market microstructure poses challenges to this estimation
approach, as evidenced by recent empirical studies in finance. The present work attempts ...
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Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices

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Y Aït‐Sahalia… - The Journal of Finance, 1998 - Wiley Online Library
Page 1. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset
Prices YACINE AÏT-SAHALIA and ANDREW W. LO* ABSTRACT Implicit in the prices
of traded financial assets are Arrow–Debreu prices or ...
Cited by 717 - Related articles - Library Search - BL Direct - All 21 versions

Nonparametric pricing of interest rate derivative securities

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Y Ait-Sahalia - 1995 - nber.org
We propose a nonparametric estimation procedure for continuous-time stochastic models.
Because prices of derivative securities depend crucially on the form of the instantaneous
volatility of the underlying process, we leave the volatility function unrestricted and ...
Cited by 553 - Related articles - Library Search - BL Direct - All 20 versions

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed‐form Approximation Approach

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Y Aït‐Sahalia - Econometrica, 2002 - Wiley Online Library
Page 1. Econometrica, Vol. 70, No. 1 (January, 2002), 223–262 MAXIMUM
LIKELIHOOD ESTIMATION OF DISCRETELY SAMPLED DIFFUSIONS: A
CLOSED-FORM APPROXIMATION APPROACH By Yacine Aït-Sahalia1 When ...
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How often to sample a continuous-time process in the presence of market microstructure noise

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Y Aït-Sahalia, PA Mykland… - Review of Financial …, 2005 - Soc Financial Studies
Skip Navigation. ...
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Transition densities for interest rate and other nonlinear diffusions

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Y Aït‐Sahalia - The journal of finance, 1999 - Wiley Online Library
Page 1. Transition Densities for Interest Rate and Other Nonlinear Diffusions YACINE
AÏT-SAHALIA* ABSTRACT This paper applies to interest rate models the theoretical
method developed in Aït-Sahalia ~1998! to generate ...
Cited by 265 - Related articles - BL Direct - All 27 versions

Variable selection for portfolio choice

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Y Ait-Sahalia… - 2001 - nber.org
We study asset allocation when the conditional moments of returns are partly predictable.
Rather than first model the return distribution and subsequently characterize the portfolio
choice, we determine directly the dependence of the optimal portfolio weights on the ...
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Disentangling diffusion from jumps

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Y Aıt-Sahalia - Journal of Financial Economics, 2004 - Elsevier
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Testing for jumps in a discretely observed process

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Y Aït-Sahalia… - The Annals of Statistics, 2009 - projecteuclid.org
Page 1. The Annals of Statistics 2009, Vol. 37, No. 1, 184–222 DOI: 10.1214/07-AOS568 ©
Institute of Mathematical Statistics, 2009 TESTING FOR JUMPS IN A DISCRETELY
OBSERVED PROCESS BY YACINE AÏT-SAHALIA 1 AND JEAN JACOD ...
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Luxury goods and the equity premium

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Y Ait‐Sahalia, JA Parker… - The Journal of Finance, 2004 - Wiley Online Library
This paper evaluates the equity premium using novel data on the consumption of luxury
goods. Specifying utility as a nonhomothetic function of both luxury and basic consumption
goods, we derive pricing equations and evaluate the risk of holding equity. Household ...
Cited by 176 - Related articles - BL Direct - All 32 versions

Do option markets correctly price the probabilities of movement of the underlying asset?

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Y Aıt-Sahalia, Y Wang… - Journal of Econometrics, 2001 - Elsevier
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Ultra high frequency volatility estimation with dependent microstructure noise

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Y Aït-Sahalia, PA Mykland… - Journal of Econometrics, 2011 - Elsevier
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Nonparametric option pricing under shape restrictions

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Y Aıt-Sahalia… - Journal of Econometrics, 2003 - Elsevier
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Closed-form likelihood expansions for multivariate diffusions

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Y Ait-Sahalia - The Annals of Statistics, 2008 - projecteuclid.org
Abstract This paper provides closed-form expansions for the log-likelihood function of
multivariate diffusions sampled at discrete time intervals. The coefficients of the expansion
are calculated explicitly by exploiting the special structure afforded by the diffusion model. ...
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Goodness-of-fit tests for kernel regression with an application to option implied volatilities

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Y Aı̈t-Sahalia, PJ Bickel… - Journal of Econometrics, 2001 - Elsevier
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Estimating affine multifactor term structure models using closed-form likelihood expansions

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Y Aït-Sahalia… - Journal of Financial Economics, 2010 - Elsevier
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Volatility estimators for discretely sampled Lévy processes

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Y Aït-Sahalia… - The Annals of Statistics, 2007 - projecteuclid.org
Page 1. The Annals of Statistics 2007, Vol. 35, No. 1, 355–392 DOI: 10.1214/
009053606000001190 © Institute of Mathematical Statistics, 2007 VOLATILITY ESTIMATORS
FOR DISCRETELY SAMPLED LÉVY PROCESSES BY YACINE AÏT-SAHALIA 1 AND JEAN ...
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Estimating the degree of activity of jumps in high frequency data

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Y Aït-Sahalia… - The Annals of Statistics, 2009 - projecteuclid.org
Page 1. The Annals of Statistics 2009, Vol. 37, No. 5A, 2202–2244 DOI: 10.1214/08-AOS640 ©
Institute of Mathematical Statistics, 2009 ESTIMATING THE DEGREE OF ACTIVITY OF JUMPS
IN HIGH FREQUENCY DATA BY YACINE AÏT-SAHALIA 1 AND JEAN JACOD ...
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[BOOK] Goodness-of-fit tests for regression using kernel methods

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Y Aït-Sahalia, PJ Bickel… - 1994 - en.scientificcommons.org
... GOODNESS FIT TESTS for REGRESSION USING KERNEL METHODS Yacine Ait Sahalia Peter
Bickel Thomas Stoker SWP Revised June University Chicago University California Berkeley
Massachusetts Institute Technology November Goodness Fit Tests for Regression ...
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Out of sample forecasts of quadratic variation

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Y Aīt-Sahalia… - Journal of Econometrics, 2008 - Elsevier
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[CITATION] Estimating the degree of activity of jumps in high frequency data

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Y Aıt-Sahalia… - The Annals of Statistics, 2009
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Estimators of diffusions with randomly spaced discrete observations: A general theory

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Y Ait-Sahalia… - The Annals of Statistics, 2004 - projecteuclid.org
Abstract We provide a general method to analyze the asymptotic properties of a variety of
estimators of continuous time diffusion processes when the data are not only discretely
sampled in time but the time separating successive observations may possibly be random. ...
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[PDF] Nonparametric transition-based tests for jump diffusions

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Y Ait-Sahalia, J Fan… - Journal of the American Statistical Association, 2009 - ASA
We develop a specification test for the transition density of a discretely sampled continuous-
time jump-diffusion process, based on a comparison of a nonparametric estimate of the
transition density or distribution function with their corresponding parametric counterparts ...
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Fisher's information for discretely sampled Lévy processes

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Y Aït‐Sahalia… - Econometrica, 2008 - Wiley Online Library
Page 1. Econometrica, Vol. 76, No. 4 (July, 2008), 727–761 FISHER'S INFORMATION
FOR DISCRETELY SAMPLED LÉVY PROCESSES BY YACINE AÏT-SAHALIA AND
JEAN JACOD1 This paper studies the asymptotic behavior ...
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[PDF] Do Interest Rates Really Follow Continuous-Time Markov Diffusions?,"

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Y Ait-Sahalia - Manuscript, Graduate School of Business, University of …, 1996 - Citeseer
First, how reasonable is the Markovian assumption? A test of this hypothesis will be
proposed. Second, if the process is Markovian, can it be identified further as a diffusion, as
has been assumed by most of the theoretical literature? A second test will be proposed, ...
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[BOOK] Handbook of financial econometrics: Tools and techniques

Y Aït-Sahalia - 2009 - books.google.com
Page 1. Handbooks in Finance HANDBOOK of 1 \-'Q: FINANCIAL Q ECONOMETRICS
/'VOLUME 1—TOOLS AND TECHNIQUES Yacine A'|'t-Sahalia Lars Peter Hansen
Editors 1 North-Holland Page 2. Handbooks in Finance ...
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High frequency market microstructure noise estimates and liquidity measures

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Y Ait-Sahalia… - 2008 - nber.org
Using recent advances in the econometrics literature, we disentangle from high frequency
observations on the transaction prices of a large sample of NYSE stocks a fundamental
component and a microstructure noise component. We then relate these statistical ...
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[PDF] Estimating continuous-time models with discretely sampled data

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Y Aït-Sahalia - ECONOMETRIC SOCIETY MONOGRAPHS, 2007 - princeton.edu
Page 1. Estimating Continuous-Time Models with Discretely Sampled Data∗ Yacine
Aït-Sahalia Princeton University and NBER First Draft: June 2005. This Version: August
13, 2006. Abstract This lecture surveys the recent literature ...
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Edgeworth expansions for realized volatility and related estimators

[PDF] from uic.edu
L Zhang, PA Mykland… - 2005 - nber.org
Page 1. TECHNICAL WORKING PAPER SERIES EDGEWORTH EXPANSIONS FOR
REALIZED VOLATILITY AND RELATED ESTIMATORS Lan Zhang Per Mykland Yacine
Aït-Sahalia Technical Working Paper 319 http://www.nber.org/papers/T0319 ...
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Maximum likelihood estimation of discretely sampled diffusions: a closed-form approach

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Y Ait-Sahalia - 1998 - nber.org
When a continuous-time diffusion is observed only at discrete dates, not necessarily close
together, the likelihood function of the observations is in most cases not explicitly
computable. Researchers have relied on simulations of sample paths in between the ...
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Modeling financial contagion using mutually exciting jump processes

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Y Aït-Sahalia, J Cacho-Diaz… - 2010 - nber.org
Page 1. NBER WORKING PAPER SERIES MODELING FINANCIAL CONTAGION USING
MUTUALLY EXCITING JUMP PROCESSES Yacine Aït-Sahalia Julio Cacho-Diaz Roger
JA Laeven Working Paper 15850 http://www.nber.org/papers/w15850 ...
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Analyzing the spectrum of asset returns: jump and volatility components in high frequency data

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Y Aït-Sahalia… - 2010 - nber.org
Page 1. NBER WORKING PAPER SERIES ANALYZING THE SPECTRUM OF ASSET RETURNS:
JUMP AND VOLATILITY COMPONENTS IN HIGH FREQUENCY DATA Yacine Aït-Sahalia Jean
Jacod Working Paper 15808 http://www.nber.org/papers/w15808 ...
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Out of sample forecasts of quadratic variation

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Y Ait-Sahalia… - 2006 - papers.ssrn.com
Abstract: We compare the forecasts of Quadratic Variation given by the Realized Volatility
(RV) and the Two Scales Realized Volatility (TSRV) computed from high frequency data in
the presence of market microstructure noise, under several different dynamics for the ...
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[BOOK] How to Stop a Herd of Running Bears?: Market Response to Policy Initiatives During the Global Financial Crisis

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Y Aït-Sahalia… - 2009 - papers.ssrn.com
Page 1. Electronic copy available at: http://ssrn.com/abstract=1461222 WP/09/204 How to Stop
a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis
Yacine Aït-Sahalia, Jochen Andritzky, Andreas Jobst, Sylwia Nowak, ...
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Disentangling volatility from jumps

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Y Aït-Sahalia - 2003 - nber.org
Page 1. NBER WORKING PAPER SERIES DISENTANGLING VOLATILITY FROM JUMPS
Yacine Aït-Sahalia Working Paper 9915 http://www.nber.org/papers/w9915 NATIONAL
BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts ...
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[PDF] Comment

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Y Aït-Sahalia, PA Mykland… - Journal of Business and Economic …, 2006 - ASA
Page 1. 162 Journal of Business & Economic Statistics, April 2006 Comment Yacine
AÏT-SAHALIA Department of Economics and Bendheim Center for Finance, Princeton
University, and NBER, Princeton, NJ 08544-1021 (yacine@princeton.edu) ...
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Edgeworth expansions for realized volatility and related estimators

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L Zhang, PA Mykland… - Journal of Econometrics, 2011 - Elsevier
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Testing whether jumps have finite or infinite activity

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Y Aït-Sahalia… - The Annals of Statistics, 2011 - projecteuclid.org
Page 1. The Annals of Statistics 2011, Vol. 39, No. 3, 1689–1719 DOI: 10.1214/11-AOS873 ©
Institute of Mathematical Statistics, 2011 TESTING WHETHER JUMPS HAVE FINITE OR
INFINITE ACTIVITY BY YACINE AÏT-SAHALIA 1 AND JEAN JACOD ...
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Estimating volatility in the presence of market microstructure noise: A review of the theory and practical considerations

Y Aït-Sahalia… - Handbook of financial time series, 2009 - Springer
Page 1. Estimating Volatility in the Presence of Market Microstructure Noise: A Review
of the Theory and Practical Considerations Yacine Aït-Sahalia and Per A. Mykland ∗
Abstract This chapter reviews our recent work on disentangling ...
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[PDF] Nonparametric Transition-Based Tests for Diffusions

[PDF] from vanderbilt.edu
Y Aıt-Sahalia, J Fan… - Manuscript, Princeton University, 2005 - vanderbilt.edu
Page 1. Nonparametric Transition-Based Tests for Diffusions∗ Yacine Aıt-Sahalia
Department of Economics Princeton University and NBER† Jianqing Fan Department of
Operations Research and Financial Engineering Princeton University‡ ...
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Market response to policy initiatives during the global financial crisis

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Y Ait-Sahalia, J Andritzky, A Jobst, S Nowak… - Journal of International …, 2011 - Elsevier
Abstract This paper examines the impact of macroeconomic and financial sector policy
announcements in the United States, the United Kingdom, the euro area, and Japan on
interbank credit and liquidity risk premia during the recent crisis. Overall, policy ...
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Consumption and portfolio choice with option-implied state prices

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Y Ait-Sahalia… - 2008 - nber.org
We propose an empirical implementation of the consumption-investment problem using the
martingale representation alternative to dynamic programming. Our method is based on the
direct observation of state prices from options data. This greatly simplifies the investor's ...
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Dynamic equilibrium and volatility in financial asset markets

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Y Aït-Sahalia - Journal of econometrics, 1998 - Elsevier
... ' ';'7.,2 ' JOURNAL OF Econometrics ELSEVIER Journal of Econometrics 84 (1998)
93-127 .... Dynamic equilibrium and volatility in financial asset markets Yacine Ait-Sahalia
Graduate School of Bushwss. UniversiO, of Chicago and NBER ! ...
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[CITATION] M. Yogo (2001)," Luxury Goods and the Equity Premium,"

Y Ait-Sahalia… - NBER, Working Paper
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[CITATION] Likelihood inference for diffusions: a survey

Y Ait-Sahalia - Frontiers in Statistics: in Honor of Peter J. Bickel's 65th …, 2006
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[CITATION] Nonparametric Risk Management and

Y Ait-Sahalia… - 2000
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[CITATION] Testing continuous-time models of the spot interest rate

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AS Yacine - Review of Financial Studies, 1996 - 万方数据资源系统
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DOI注册 期刊统计分析与评价 OA论文托管. 登录 | 注册 | 充值 | 帮助. ...
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Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

Y Ait-Sahalia… - Journal of Finance, 1997 - Citeseer
Abstract Implicit in the prices of traded financial assets are Arrow-Debreu prices or, with
continuous states, the state-price density (SPD). We construct a nonparametric estimator for
the SPD implicit in option prices and derive its asymptotic sampling theory. This estimator ...
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[CITATION] Discretely sampled diffusions

Y Aït-Sahalia, LP Hansen… - Handbook of Financial Econometrics. …, 2002
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[CITATION] Testing the Markov hypothesis in discretely sampled continuous-time processes

Y Aït-Sahalia - 2000 - Working paper, Princeton University
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Stationarity-based specification tests for diffusions when the process is nonstationary

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Y Aït-Sahalia… - Journal of Econometrics, 2012 - Elsevier
We analyze in this paper the asymptotic behavior of the specification test of Aït-Sahalia
(1996) for the stationary density of a diffusion process, but when t.
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Nonparametric tests of the Markov hypothesis in continuous-time models

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Y Aït-Sahalia, J Fan… - The Annals of Statistics, 2010 - projecteuclid.org
Page 1. The Annals of Statistics 2010, Vol. 38, No. 5, 3129–3163 DOI: 10.1214/09-
AOS763 © Institute of Mathematical Statistics, 2010 NONPARAMETRIC TESTS OF
THE MARKOV HYPOTHESIS IN CONTINUOUS-TIME MODELS1 ...
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[PDF] Out of sample forecasts of quadratic variation: Appendix

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Y Aıt-Sahalia… - 2007 - princeton.edu
Page 1. Out of Sample Forecasts of Quadratic Variation: Appendix Yacine Aıt-Sahalia Department
of Economics Princeton University and NBER ∗ Loriano Mancini Swiss Banking Institute University
of Zurich † July 31, 2007 Contents 1 Additional Monte Carlo Evidence 2 ...
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[PDF] Portfolio choice with a large number of assets: jumps and diversification

[PDF] from uic.edu
Y Aït-Sahalia, J Cacho-Diaz… - January, 2006 - tigger.uic.edu
Page 1. Portfolio Choice with a Large Number of Assets: Jumps and Diversification∗ Yacine
Aït-Sahalia Department of Economics Princeton University and NBER Julio Cacho-Diaz
Department of Economics Princeton University TR Hurd† Dept. ...
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[CITATION] Maximum likelihood estimation of stochastic

Y Aıt-Sahalia… - 2007
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Entry-Exit Decisions of Foreign Firms and Import Prices

Y Ait-Sahalia - Annales d'Economie et de Statistique, 1994 - JSTOR
This paper develops a simple model of the behavior of foreign firms in the domestic market,
in response to exchange rate changes. The Bellman Equations describing the optimal
strategy of the firms are explicited and solved for the US market in the 1980s using ...
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[CITATION] How often to sample a continuous

Y Aıt-Sahalia, P Mykland… - 2003
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[CITATION] Portfolio and consumption choice with option-implied state prices

Y Aıt-Sahalia… - 2003 - working paper, Princeton University
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[CITATION] Financial Engineering: Mathematical Models of Option Pricing & Their Estimations

Y Ait-Sahalia - 1997 - University of Chicago, Mimeo
Cited by 3 - Related articles

[CITATION] Luxury Goods and the

Y Aït-Sahalia, JA Parker… - 2004
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[CITATION] Variable selection for portfolio choice, Yeung Lewis Chan, and Luis M

Y Aıt-Sahalia… - 2003 - Viceira
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[Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes]: Comment

Full text - MIT Libraries
Y Ait-Sahalia - Journal of Business & Economic Statistics, 2002 - JSTOR
NOTE: This figure expands Figure 1 of Ait-Sahalia (2002) to incorporate the results of
Durham-Gallant, and focuses on the Cox-Ingersoll-Ross model. It reports the average
uniform absolute error of various density approximation techniques applied to that model." ...
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[CITATION] Luxury goods and the equity premium, Princeton University

Y Ait-Sahalia, JA Parker… - Economics Discussion Paper, 2002
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[CITATION] Lo (1998)“Nonparametric Risk Management and Implied Risk Aversion,”

Y Aït-Sahalia… - 1998 - working paper, January
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[CITATION] forthcoming, Testing for jumps in a discretly observed process

Y Ait-Sahalia… - Annals of Statistics
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[CITATION] Luxury goods and the equity

Y Ait-Sahalia, JA Parker… - 2004
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[CITATION] Mykland.(2003).“How often to sample a continuoustime process in the presenceóf market microstructure noise”

Y Ait-Sahalia - Technical report, NBER Working …
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The leverage effect puzzle: Disentangling sources of bias at high frequency

[PDF] from princeton.edu
Y Ait-Sahalia, J Fan… - 2011 - nber.org
The leverage effect refers to the generally negative correlation between an asset return and
its changes of volatility. A natural estimate consists in using the empirical correlation
between the daily returns and the changes of daily volatility estimated from high-frequency ...
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[CITATION] Market Response to Policy Initiatives During the Global Financial Crisis

AS Yacine, J Andritzky, A Jobst, S Nowak… - NBER Working Paper, 2010
Cited by 2 - Related articles

[CITATION] Comment

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Y Aït-Sahalia - Journal of business & economic statistics, 2002 - dialnet.unirioja.es
Información del artículo Comment.
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Testing for jumps in noisy high frequency data

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Y Aït-Sahalia, J Jacod… - Journal of Econometrics, 2011 - Elsevier
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[PDF] Comment on “Realized variance and market microstructure noise" by Peter Hansen and Asger Lunde

[PDF] from duke.edu
Y Aït-Sahalia, PA Mykland… - 2005 - public.econ.duke.edu
Page 1. Comment on “Realized variance and market microstructure noise" by Peter
Hansen and Asger Lunde∗ Yacine Aït-Sahalia, Per A. Mykland and Lan Zhang
October 6, 2005 We enjoyed reading the Hansen-Lunde paper ...
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[PDF] Identifying the successive Blumenthal-Getoor indices of a Discretely Observed Process

[PDF] from princeton.edu
Y Aït-Sahalia… - 2011 - princeton.edu
... 1 Page 2. 2 YACINE AIT-SAHALIA AND JEAN JACOD compensator of the jump measure μ
of X (see Jacod and Shiryaev (2003) for more details on characteristics). ... Page 4. 4 YACINE
AIT-SAHALIA AND JEAN JACOD BG index of jump activity 1 2 2 1 0 2 ...
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Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)

Y Ait-Sahalia - Econometric Society 2004 North American Winter …, 2004 - ideas.repec.org
This paper examines the estimation of parameters of a discretely sampled Markov process
whose continuous-time sample paths are generated by a continuous Brownian term and a
stochastic jump term, a realistic setting for many financial asset prices. In discretely ...
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[CITATION] Nonparametric functional estimation with applications to financial models

Y Aït-Sahalia… - 1993 - en.scientificcommons.org
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[PDF] Semiparametric and Nonparametric Methods in Econometrics

[PDF] from mfo.de
Y Ait-Sahalia, J Horowitz, O Linton… - mfo.de
Abstract. The main objective of this workshop was to bring together mathematical
statisticians and econometricians who work in the field of nonparametric and semiparametric
statistical methods. Nonparametric and semiparametric methods are active fields of ...
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Handbook of financial econometrics (Handbook in finance, Vol. 1)

Y AIT-SAHALIA… - Recherche, 2009 - lavoisier.fr
This collection of original articles 8 years in the making shines a bright light on recent
advances in financial econometrics. From a survey of mathematical and statistical tools for
understanding nonlinear Markov processes to an exploration of the time-series evolution ...
Cached - All 2 versions

Edgeworth Expansions for Realized Volatility and Related Estimators

Y Ait-Sahalia, L Zhang… - NBER Working Paper, 2005 - papers.ssrn.com
Abstract: This paper shows that the asymptotic normal approximation is often insufficiently
accurate for volatility estimators based on high frequency data. To remedy this, we compute
Edgeworth expansions for such estimators. Unlike the usual expansions, we have found ...

[CITATION] Lo.(1998), Transition Densities for Interest Rate and Other Nonlinear Densities

Full text - MIT Libraries
AS Yacine… - Journal of Finance, 1999

[PDF] Entry-Exit of Foreign Firms and Import Prices

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AÏTS Yacine - annales.ensae.fr
Page 1. ANNALES D'ÉCONOMIE ET DE STATISTIQUE. - № 34 — 1994 Entry-Exit
of Foreign Firms and Import Prices Yacine AÏT-SAHALIA* ABSTRACT. - This paper
develops a simple model of the behavior of foreign firms in ...
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[CITATION] Nonparametric functional estimation with applications to financial models

WK Newey, JA Hausman, Y Aït-Sahalia - 1993 - dspace.mit.edu
Page 1. Page 2. Page 3. Page 4. Page 5. Page 6. Page 7. Page 8. Page 9. Page 10. Page 11.
Page 12. Page 13. Page 14. Page 15. Page 16. Page 17. Page 18. Page 19. Page 20. Page
21. Page 22. Page 23. Page 24. Page 25. Page 26. Page 27. Page 28. Page 29. Page 30. Page ...
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[CITATION] The adjustment of contingency tables: two new approaches

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Y Aït-Sahalia - Empirical economics, 1990

[PDF] Woodrow Wilson School of Public and International Affairs

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Y Ait-Sahalia, JA Parker… - 2002 - wws.princeton.edu
Abstract This paper evaluates the equity premium using novel data on the consumption of
luxury goods. Specifying household utility as a nonhomothetic function of the consumption of
both a luxury good and a basic good, we derive pricing equations and evaluate the risk of ...
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http://www. econ. duke. edu/NASM/.

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Y Ait-Sahalia, F Econometrics, R Bansal… - …, 2007 - Wiley Online Library
THE 2007 FAR EASTERN MEETING of the Econometric Society will be held in Taipei,
Taiwan, from July 11 to July 13, 2007. The meeting will be organized by the Institute of
Economics, Academia Sinica. The program will consist of plenary, invited, and contributed ...

[PDF] CENTRE FOR ECONOMETRIC ANALYSIS

[PDF] from city.ac.uk
Y Ait-Sahalia… - cass.city.ac.uk
Abstract We compare the forecasts of Quadratic Variation given by the Realized Volatility
(RV) and the Two Scales Realized Volatility (TSRV) computed from high frequency data in
the presence of market microstructure noise, under several different dynamics for the ...
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[CITATION] Nonparametric tests of the Markov hypothesis in continuous-time models-551: Y

Y Ait-Sahalia, J Fan… - Quality Control and Applied Statistics, 2011

[PDF] Likelihood Inference for Diffusions

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Y Aıt-Sahalia - business.uts.edu.au
Page 1. Likelihood Inference for Diffusions Yacine A¨ıt-Sahalia Princeton University Page 2. 1.
Introduction Page 3. 1. Introduction • Diffusions and more generally continuous-time Markov
processes are generally specified in economics and finance by their evolution over ...
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Econometrics of Diffusion Models

Y Aït‐Sahalia - Encyclopedia of Quantitative Finance - Wiley Online Library
Skip to Main Content. ...
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http://www. econ. duke. edu/NASM/.

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Y Ait-Sahalia, F Econometrics, R Bansal… - …, 2006 - Wiley Online Library
The Organizing Committee is co-chaired by Christopher J. O'Donnell and Alicia N.
Rambaldi. Submissions will be accepted from 1 December, 2006. Authors must submit full
versions of papers by 9 March, 2007 via the conference website (see below). Each author ...

[CITATION] Econometric

Y AIT-SAHALIA, BH BALTAGI, HJ BIERENS… - JOURNAL OF …, 2001
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[CITATION] 2003 NORTH AMERICAN WINTER MEETING OF THE ECONOMETRIC SOCIETY (2002, Vol. 29, No. 17.)

Y Ait-Sahalia, E Finance…

NOMINATION OF FELLOWS, 2003

Y Ait-Sahalia… - Econometrica, 2003 - Wiley Online Library
Any member of the Econometric Society may nominate candidates for Fellow. The
nomination form is on the Econometric Society website at www. econometricsociety.
org/es/nominations. html; additional forms can be photocopied. Information required ...
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Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment

Y Ait-Sahalia - 2000 - papers.ssrn.com
Abstract: The paper reviews the theoretical foundations of the use of forward interest rates to
infer expected future rates of interest, inflation, currency depreciation and inflation
differentials. Forward rates are related to these expected future variables via combinations ...
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[BOOK] How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis

JR Andritzky, A Jobst, Y Aït-Sahalia… - 2009 - books.google.com
Page 1. Working Paper A INTERNATIONAL MONETARY FUND Page 2. Working
Paper A INTERNATIONAL MONETARY FUND Page 3. WP/09/204 How to Stop a
Herd of Running Bears? Market Response to Policy Initiatives ...
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[PDF] Market-based Stochastic Volatility Models

[PDF] from webmeets.com
Y Aït-Sahalia, D Amengual… - 2011 - webmeets.com
Page 1. Market-based Stochastic Volatility Models Yacine Aït-Sahalia Department of Economics,
Princeton University, Fisher Hall, Princeton, NJ 08544, USA <yacine@princeton.edu> Dante
Amengual CEMFI, Casado del Alisal 5, Madrid, 28014, SPAIN <amengual@cemfi.es> ...
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[CITATION] Financial Economics

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F Allen… - Journal of Political Economy, 2001 - ecsocman.hse.ru
... Aннотация: Курс "Financial Economics" состоит из двух частей. Часть I -
"econometrics of continuous-time finance", читается профессором Принстонского
университета Yacine Ait-Sahalia. Часть II - "financial crises", читается ...
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Handbook of financial econometrics (2 Volume-set)

Y AIT-SAHALIA… - 2009 - lavoisier.fr
Volume 1, covers fundamental econometric techniques and tools on recent advances in
financial econometrics. Parametric and nonparametric, in continuous time and discrete time,
these techniques and tools include Markov processes, a system for categorizing volatility ...
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Handbook of financial econometrics. Volume 2. Applications

Y AIT-SAHALIA… - Recherche, 2009 - lavoisier.fr
Volume 2, covers important research even as they make unique empirical contributions to
the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return
tradeoff, option pricing, bond yields, and the management, supervision, and measurement ...
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