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 Yacine Ait-Sahalia
 SSRN Author Rank: 2,678 by Downloads
 Director, Bendheim Center for Finance
 Princeton University - Department of Economics
 Fisher Hall
 Princeton, NJ 08544
 United States
 609-258-4015 (Phone)
 609-258-5398 (Fax)
 email address
 National Bureau of Economic Research (NBER)
 1050 Massachusetts Avenue
 Cambridge, MA 02138
 United States

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. Yacine Ait-Sahalia's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
3,798
Total
Citations
704
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Andrew W. Lo
MIT Sloan School of Management
Posted:
02 Jun 98
Last Revised:
20 Jul 00
1,178
(3,757)
52

2.  
Variable Selection for Portfolio Choice | Show Abstract | Download |
Rodney L. White Center for Financial Research Working Paper No. 21-00
Working Paper Series
Yacine Ait-Sahalia
Princeton University - Department of Economics
Michael W. Brandt
Duke University - Fuqua School of Business
Posted:
12 Mar 01
Last Revised:
08 Jun 01
400
(19,231)
42

3.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Jianqing Fan
Princeton University - Bendheim Center for Finance
Heng Peng
Hong Kong Baptist University
Posted:
11 Jan 07
Last Revised:
11 Jan 07
331
(24,376)
5

4.   Incl. Electronic Paper
Yacine Ait-Sahalia
Princeton University - Department of Economics
Jonathan A. Parker
Princeton University - Department of Economics
Motohiro Yogo
University of Pennsylvania - Finance Department
Posted:
19 May 03
Last Revised:
17 Jun 09
330
( 24,462)
41

5.  
Maximum-Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach | Show Abstract | Download |
Center for Research in Security Prices (CRSP) Working Paper No. 467
Working Paper Series
Yacine Ait-Sahalia
Princeton University - Department of Economics
Posted:
01 Jun 98
Last Revised:
19 Jul 00
299
(27,525)
11

6.  
Out of Sample Forecasts of Quadratic Variation | Show Abstract | Download |
Journal of Econometrics, Vol. 147, pp. 17-33, 2008
Accepted Paper Series
Yacine Ait-Sahalia
Princeton University - Department of Economics
Loriano Mancini
Swiss Federal Institute of Technology Lausanne
Posted:
01 Jun 06
Last Revised:
12 Nov 08
260
(32,288)
4

7.   Incl. Electronic Paper
Yacine Ait-Sahalia
Princeton University - Department of Economics
Michael W. Brandt
Duke University - Fuqua School of Business
Posted:
26 Feb 08
Last Revised:
15 Oct 08
210
( 40,578)
4

8.  
Testing for Jumps in a Discretely Observed Process | Show Abstract | Download |
Paris December 2007 Finance International Meeting AFFI
Working Paper Series
Yacine Ait-Sahalia
Princeton University - Department of Economics
Jean Jacod
Université Paris VI Pierre et Marie Curie
Posted:
12 Dec 07
Last Revised:
14 Oct 08
114
(71,462)
19

9.  
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions | Show Abstract | Download |
Fisher College of Business Working Paper No. 2008-03-018, Charles A. Dice Working Paper No. 2008-19
Working Paper Series
Yacine Ait-Sahalia
Princeton University - Department of Economics
Robert L. Kimmel
Ohio State University - Department of Finance
Posted:
15 Oct 08
Last Revised:
30 Jul 09
78
(93,426)
8

10.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Per A. Mykland
University of Chicago - Department of Statistics
Lan Zhang
University of Illinois at Chicago - Department of Finance
Posted:
04 Jul 05
Last Revised:
04 Jul 05
49
(119,954)
10

11.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Robert L. Kimmel
Ohio State University - Department of Finance
Posted:
06 Jul 04
Last Revised:
30 Aug 09
38
(132,808)
16

12.  
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data | Show Abstract | Download |
Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Working Paper Series
Yacine Ait-Sahalia
Princeton University - Department of Economics
Jean Jacod
Université Paris VI Pierre et Marie Curie
Posted:
07 Oct 09
Last Revised:
29 Oct 09
36
(135,392)
1

13.   Incl. Electronic Paper
Yacine Ait-Sahalia
Princeton University - Department of Economics
Posted:
10 Oct 94
Last Revised:
20 Mar 08
35
(136,681)
77

14.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Jialin Yu
Columbia Business School - Finance Subdivision
Posted:
15 Feb 08
Last Revised:
15 Feb 08
33
(139,494)
 

15.  
Variable Selection for Portfolio Choice | Show Abstract | Download |
NBER Working Paper No. W8127
Working Paper Series
Yacine Ait-Sahalia
Princeton University - Department of Economics
Michael W. Brandt
Duke University - Fuqua School of Business
Posted:
18 Feb 01
Last Revised:
14 Sep 01
33
(139,494)
42

16.   Incl. Electronic Paper
Yacine Ait-Sahalia
Princeton University - Department of Economics
Posted:
07 Sep 99
Last Revised:
20 Mar 08
32
(140,918)
47

17.   Incl. Electronic Paper
Yacine Ait-Sahalia
Princeton University - Department of Economics
Andrew W. Lo
MIT Sloan School of Management
Posted:
02 Aug 98
Last Revised:
20 Mar 08
32
(140,918)
63

18.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Posted:
29 Sep 01
Last Revised:
29 Sep 01
31
(142,387)
11

19.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Per A. Mykland
University of Chicago - Department of Statistics
Posted:
17 Oct 05
Last Revised:
17 Oct 05
29
(145,664)
38

20.  
Nonparametric Risk Management and Implied Risk Aversion | Show Abstract | Download |
NBER Working Paper No. W6130
Working Paper Series
Yacine Ait-Sahalia
Princeton University - Department of Economics
Andrew W. Lo
MIT Sloan School of Management
Posted:
20 Jul 00
Last Revised:
06 Apr 08
29
(145,664)
55

21.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Lan Zhang
University of Illinois at Chicago - Department of Finance
Per A. Mykland
University of Chicago - Department of Statistics
Posted:
19 Nov 03
Last Revised:
19 Nov 03
28
(147,436)
125

22.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Robert L. Kimmel
Ohio State University - Department of Finance
Posted:
06 Dec 02
Last Revised:
06 Dec 02
28
(147,436)
8

23.  
Disentangling Volatility from Jumps | Show Abstract | Download |
NBER Working Paper No. W9915
Working Paper Series
Yacine Ait-Sahalia
Princeton University - Department of Economics
Posted:
17 Oct 05
Last Revised:
17 Oct 05
27
(149,394)
2

24.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Jochen R. Andritzky
International Monetary Fund (IMF)
Andreas A. Jobst
International Monetary Fund (IMF) - Monetary and Capital Markets Department (MCM)
Sylwia Nowak
International Monetary Fund (IMF)
Natalia T. Tamirisa
International Monetary Fund (IMF)
Posted:
25 Aug 09
Last Revised:
07 Oct 09
22
(161,510)
 

25.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Posted:
29 Jun 00
Last Revised:
29 Jun 00
21
(164,320)
 

26.  
Nonparametric Option Pricing under Shape Restrictions | Show Abstract | Download |
NBER Working Paper No. W8944
Working Paper Series
Yacine Ait-Sahalia
Princeton University - Department of Economics
Jefferson Duarte
Rice University
Posted:
17 Oct 05
Last Revised:
17 Oct 05
20
(167,186)
7

27.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Posted:
24 May 02
Last Revised:
24 May 02
18
(172,894)
13

28.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Posted:
22 Sep 00
Last Revised:
29 Sep 00
15
(181,535)
13

29.   Incl. Electronic Paper
Yacine Ait-Sahalia
Princeton University - Department of Economics
Posted:
30 Aug 99
Last Revised:
14 Jul 00
15
(181,535)
1

30.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Lan Zhang
University of Illinois at Chicago - Department of Finance
Per A. Mykland
University of Chicago - Department of Statistics
Posted:
22 Aug 07
Last Revised:
22 Aug 07
14
(184,395)
3

31.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Per A. Mykland
University of Chicago - Department of Statistics
Posted:
11 Apr 02
Last Revised:
12 Apr 02
13
(187,291)
6

32.  
Yacine Ait-Sahalia
Princeton University - Department of Economics
Posted:
15 Jul 02
Last Revised:
15 Jul 02
0
(0)
 


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