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Yacine Aı̈t-Sahalia · Study
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Author
Yacine Aı̈t-Sahalia
74 works
· latest 2024
· 7 institutions
cluster: provisional
Works
60 shown
Nonstandard Errors
The Journal of Finance
·
2024
·
94 authors
·
Open access
111
citations
High frequency market making: The role of speed
Journal of Econometrics
·
2023
·
2 authors
31
citations
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Journal of Econometrics
·
2020
·
2 authors
48
citations
The term structure of equity and variance risk premia
Journal of Econometrics
·
2020
·
3 authors
95
citations
Implied Stochastic Volatility Models
Review of Financial Studies
·
2020
·
3 authors
61
citations
High-frequency factor models and regressions
Journal of Econometrics
·
2020
·
3 authors
·
Open access
78
citations
The Term Structure of Variance Swaps and Risk Premia
RePEc: Research Papers in Economics
·
2018
·
3 authors
·
preprint
57
citations
Principal Component Analysis of High-Frequency Data
Journal of the American Statistical Association
·
2017
·
2 authors
256
citations
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Journal of Econometrics
·
2017
·
2 authors
·
Open access
220
citations
Robust Consumption and Portfolio Policies When Asset Prices Can Jump
Journal of Economic Theory
·
2017
·
2 authors
·
Open access
52
citations
High Frequency Market Making: Implications for Liquidity
SSRN Electronic Journal
·
2017
·
1 author
·
preprint
·
Open access
39
citations
Estimation of the Continuous and Discontinuous Leverage Effects
Journal of the American Statistical Association
·
2016
·
5 authors
·
Open access
70
citations
A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data
Journal of Econometrics
·
2016
·
2 authors
·
Open access
87
citations
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
SSRN Electronic Journal
·
2016
·
3 authors
·
preprint
·
Open access
37
citations
Portfolio Choice in Markets with Contagion
Journal of Financial Econometrics
·
2015
·
2 authors
88
citations
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
Journal of Econometrics
·
2015
·
2 authors
·
Open access
39
citations
Modeling financial contagion using mutually exciting jump processes
Journal of Financial Economics
·
2015
·
3 authors
·
Open access
576
citations
Principal Component Analysis of High Frequency Data
SSRN Electronic Journal
·
2015
·
2 authors
·
preprint
·
Open access
44
citations
High-Frequency Financial Econometrics
Princeton University Press eBooks
·
2014
·
2 authors
·
book
283
citations
High-Frequency Financial Econometrics
Princeton University Press eBooks
·
2014
·
2 authors
·
book
199
citations
Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both?
Journal of Econometrics
·
2014
·
2 authors
·
Open access
104
citations
High Frequency Traders: Taking Advantage of Speed
National Bureau of Economic Research
·
2013
·
2 authors
·
report
·
Open access
62
citations
The leverage effect puzzle: Disentangling sources of bias at high frequency
Journal of Financial Economics
·
2013
·
3 authors
205
citations
High Frequency Market Making: The Role of Speed
SSRN Electronic Journal
·
2013
·
2 authors
·
preprint
·
Open access
44
citations
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Journal of Economic Literature
·
2012
·
2 authors
176
citations
The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis
SSRN Electronic Journal
·
2012
·
3 authors
·
preprint
·
Open access
100
citations
Testing for jumps in noisy high frequency data
Journal of Econometrics
·
2011
·
3 authors
·
Open access
141
citations
Market response to policy initiatives during the global financial crisis
Journal of International Economics
·
2011
·
4 authors
235
citations
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Journal of the American Statistical Association
·
2010
·
3 authors
·
Open access
280
citations
Estimating affine multifactor term structure models using closed-form likelihood expansions☆
Journal of Financial Economics
·
2010
·
2 authors
163
citations
Ultra high frequency volatility estimation with dependent microstructure noise
Journal of Econometrics
·
2010
·
3 authors
360
citations
Edgeworth expansions for realized volatility and related estimators
Journal of Econometrics
·
2010
·
3 authors
67
citations
Modeling Financial Contagion Using Mutually Exciting Jump Processes
National Bureau of Economic Research
·
2010
·
3 authors
·
report
·
Open access
122
citations
Market Response to Policy Initiatives during the Global Financial Crisis
National Bureau of Economic Research
·
2010
·
4 authors
·
report
·
Open access
37
citations
Operator Methods for Continuous-Time Markov Processes
Elsevier eBooks
·
2010
·
3 authors
·
chapter
58
citations
Nonparametric Transition-Based Tests for Jump Diffusions
Journal of the American Statistical Association
·
2009
·
3 authors
·
Open access
94
citations
Estimating the degree of activity of jumps in high frequency data
The Annals of Statistics
·
2009
·
2 authors
·
Open access
288
citations
High frequency market microstructure noise estimates and liquidity measures
The Annals of Applied Statistics
·
2009
·
2 authors
·
Open access
132
citations
Testing for jumps in a discretely observed process
The Annals of Statistics
·
2009
·
2 authors
·
Open access
587
citations
Portfolio choice with jumps: a closed-form solution
·
2009
·
3 authors
·
preprint
85
citations
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions
SSRN Electronic Journal
·
2009
·
2 authors
·
preprint
·
Open access
38
citations
Out of sample forecasts of quadratic variation
Journal of Econometrics
·
2008
·
2 authors
·
Open access
149
citations
High Frequency Market Microstructure Noise Estimates and Liquidity Measures
National Bureau of Economic Research
·
2008
·
2 authors
·
report
·
Open access
61
citations
Testing whether jumps have finite or infinite activity
·
2008
·
2 authors
·
preprint
98
citations
Volatility estimators for discretely sampled Lévy processes
The Annals of Statistics
·
2007
·
2 authors
104
citations
Maximum likelihood estimation of stochastic volatility models
Journal of Financial Economics
·
2006
·
2 authors
538
citations
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Kluwer Academic Publishers eBooks
·
2006
·
3 authors
·
chapter
111
citations
A Tale of Two Time Scales
Journal of the American Statistical Association
·
2005
·
3 authors
1,312
citations
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
National Bureau of Economic Research
·
2005
·
3 authors
·
report
·
Open access
68
citations
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Review of Financial Studies
·
2005
·
3 authors
876
citations
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
SSRN Electronic Journal
·
2005
·
3 authors
·
preprint
·
Open access
40
citations
Luxury Goods and the Equity Premium
The Journal of Finance
·
2004
·
3 authors
353
citations
Disentangling diffusion from jumps
Journal of Financial Economics
·
2004
·
1 author
362
citations
Maximum Likelihood Estimation of Stochastic Volatility Models
National Bureau of Economic Research
·
2004
·
2 authors
·
report
·
Open access
55
citations
Estimators of Diffusions with Randomly Spaced Discrete Observations: A General Theory
·
2004
·
2 authors
·
preprint
50
citations
A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
National Bureau of Economic Research
·
2003
·
3 authors
·
report
·
Open access
1,373
citations
Nonparametric option pricing under shape restrictions
Journal of Econometrics
·
2003
·
2 authors
342
citations
The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions
Econometrica
·
2003
·
2 authors
133
citations
Luxury Goods and the Equity Premium
SSRN Electronic Journal
·
2003
·
3 authors
·
preprint
·
Open access
51
citations
Nonparametric estimation of state-price densities implicit in financial asset prices
·
2002
·
2 authors
·
other
·
Open access
153
citations