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Ait-Sahalia, Yacine's
Scholarly Papers
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Total Downloads
6,444
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Citations
1,489
1.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Lo, Andrew W. Massachusetts Institute of Technology (MIT) - Sloan School of Management
1,406
(5,239)
106
2.
Luxury Goods and the Equity Premium
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Ait-Sahalia, Yacine Princeton University - Department of Economics
Parker, Jonathan A. Kellogg School of Management
Yogo, Motohiro Federal Reserve Bank of Minneapolis
Posted:
19 May 03
Last Revised:
23 Oct 10
532
(23,518)
69
Ait-Sahalia, Yacine Princeton University - Department of Economics
Parker, Jonathan A. Kellogg School of Management
Yogo, Motohiro Federal Reserve Bank of Minneapolis
Posted:
19 May 03
Last Revised:
17 Jun 09
470
69
Asset pricing, Consumption, Equity premium puzzle, Portfolio choice
Ait-Sahalia, Yacine Princeton University - Department of Economics
Parker, Jonathan A. Kellogg School of Management
Yogo, Motohiro Federal Reserve Bank of Minneapolis
62
69
3.
Variable Selection for Portfolio Choice
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Ait-Sahalia, Yacine Princeton University - Department of Economics
Brandt, Michael W. Duke University - Fuqua School of Business
Posted:
18 Feb 01
Last Revised:
21 Oct 10
514
(24,644)
83
Ait-Sahalia, Yacine Princeton University - Department of Economics
Brandt, Michael W. Duke University - Fuqua School of Business
474
83
Ait-Sahalia, Yacine Princeton University - Department of Economics
Brandt, Michael W. Duke University - Fuqua School of Business
40
83
4.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Fan, Jianqing Princeton University - Bendheim Center for Finance
Peng, Heng Hong Kong Baptist University (HKBU)
415
(32,600)
9
Generalized likelihood ratio tests, local linear fit, null distribution, jump-diffusions, Markovian processes, power, specification tests, transition density
5.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Fan, Jianqing Princeton University - Bendheim Center for Finance
Xiu, Dacheng University of Chicago - Booth School of Business
410
(33,086)
4
Market microstructure noise, Covariance, Quasi-Maximum Likelihood Estimator, Refresh Time, Generalized Synchronization
6.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Mancini, Loriano Ecole Polytechnique Fédérale de Lausanne
Posted:
01 Jun 06
Last Revised:
12 Nov 08
370
(37,558)
16
Market microstructure noise, high frequency data, measurement error, realized volatility, two scales realized volatility, out of sample forecasts.
7.
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
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Ait-Sahalia, Yacine Princeton University - Department of Economics
Jacod, Jean M. University of Paris 6 Pierre et Marie Curie
Posted:
07 Oct 09
Last Revised:
12 Sep 10
365
(38,160)
6
Ait-Sahalia, Yacine Princeton University - Department of Economics
Jacod, Jean M. University of Paris 6 Pierre et Marie Curie
18
6
Ait-Sahalia, Yacine Princeton University - Department of Economics
Jacod, Jean Université Paris VI Pierre et Marie Curie
234
6
Continuous-time models, semimartingales, jumps, volatility, spectrum, high frequency financial returns, market microstructure noise
Ait-Sahalia, Yacine Princeton University - Department of Economics
Jacod, Jean Université Paris VI Pierre et Marie Curie
113
6
continuous-time models, semimartingales, jumps, volatility, spectrum, high frequency financial returns
8.
Maximum-Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach
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Ait-Sahalia, Yacine Princeton University - Department of Economics
Posted:
01 Jun 98
Last Revised:
12 Aug 10
359
(38,929)
61
Ait-Sahalia, Yacine Princeton University - Department of Economics
21
61
Ait-Sahalia, Yacine Princeton University - Department of Economics
338
61
9.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Karaman, Mustafa University of Zurich - Swiss Banking Institute (ISB)
Mancini, Loriano Ecole Polytechnique Fédérale de Lausanne
351
(40,172)
1
variance swap, stochastic volatility, likelihood approximation, term structure, equity risk premium, variance risk premium, expectation hypothesis
10.
Consumption and Portfolio Choice with Option-Implied State Prices
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Ait-Sahalia, Yacine Princeton University - Department of Economics
Brandt, Michael W. Duke University - Fuqua School of Business
Posted:
26 Feb 08
Last Revised:
15 Oct 08
278
(52,693)
8
Ait-Sahalia, Yacine Princeton University - Department of Economics
Brandt, Michael W. Duke University - Fuqua School of Business
38
8
Ait-Sahalia, Yacine Princeton University - Department of Economics
Brandt, Michael W. Duke University - Fuqua School of Business
20
8
Ait-Sahalia, Yacine Princeton University - Department of Economics
Brandt, Michael W. Duke University - Fuqua School of Business
220
8
Portfolio problem, martingale representation
11.
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions
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Ait-Sahalia, Yacine Princeton University - Department of Economics
Kimmel, Robert L. Ohio State University (OSU) - Department of Finance
Posted:
06 Dec 02
Last Revised:
27 Sep 10
181
(82,442)
23
Ait-Sahalia, Yacine Princeton University - Department of Economics
Kimmel, Robert L. Ohio State University (OSU) - Department of Finance
Posted:
15 Oct 08
Last Revised:
27 Sep 10
143
23
Ait-Sahalia, Yacine Princeton University - Department of Economics
Kimmel, Robert L. Ohio State University (OSU) - Department of Finance
38
23
12.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Jacod, Jean Université Paris VI Pierre et Marie Curie
156
(94,650)
55
jumps, test, discrete, sampling, high frequency
13.
High Frequency Market Microstructure Noise Estimates and Liquidity Measures
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Ait-Sahalia, Yacine Princeton University - Department of Economics
Yu, Jialin Columbia Business School - Finance and Economics
Posted:
15 Feb 08
Last Revised:
27 Oct 11
148
(99,255)
7
Ait-Sahalia, Yacine Princeton University - Department of Economics
Yu, Jialin Columbia Business School - Finance and Economics
98
7
Ait-Sahalia, Yacine Princeton University - Department of Economics
Yu, Jialin Columbia Business School - Finance and Economics
50
7
14.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Hurd, Thomas R. McMaster University - Department of Mathematics and Statistics
Posted:
05 Oct 12
Last Revised:
18 Nov 12
138
(105,387)
Merton problem, jumps, Hawkes process, mutual excitation, contagion, flight-to-quality
15.
Andritzky, Jochen R. Universität St. Gallen
Jobst, Andreas A. Bermuda Monetary Authority (BMA)
Nowak, Sylwia Barbara affiliation not provided to SSRN
Ait-Sahalia, Yacine Princeton University - Department of Economics
Tamirisa, Natalia T. International Monetary Fund (IMF)
111
(125,591)
6
Banks, Capital markets, Central banks, Data analysis, Databases, Financial crisis, Financial sector, Monetary policy, Spillovers, Statistics
16.
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
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Ait-Sahalia, Yacine Princeton University - Department of Economics
Lo, Andrew W. Massachusetts Institute of Technology (MIT) - Sloan School of Management
Posted:
02 Aug 98
Last Revised:
24 Sep 10
80
(156,540)
149
Ait-Sahalia, Yacine Princeton University - Department of Economics
Lo, Andrew W. Massachusetts Institute of Technology (MIT) - Sloan School of Management
80
147
Ait-Sahalia, Yacine Princeton University - Department of Economics
Lo, Andrew W. Massachusetts Institute of Technology (MIT) - Sloan School of Management
0
17.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Lo, Andrew W. Massachusetts Institute of Technology (MIT) - Sloan School of Management
62
(180,923)
107
18.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Mykland, Per A. University of Chicago - Department of Statistics
Zhang, Lan University of Illinois at Chicago - Department of Finance
59
(185,573)
41
19.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Kimmel, Robert L. Ohio State University (OSU) - Department of Finance
56
(190,395)
44
20.
Zhang, Lan University of Illinois at Chicago - Department of Finance
Ait-Sahalia, Yacine Princeton University - Department of Economics
Mykland, Per A. University of Chicago - Department of Statistics
48
(204,391)
195
21.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Cacho-Diaz, Julio Princeton University - Department of Economics
Laeven, Roger J. A. Tilburg University - Department of Econometrics and Operations Research, and CentER
40
(220,071)
12
22.
Testing Continuous-Time Models of the Spot Interest Rate
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Ait-Sahalia, Yacine Princeton University - Department of Economics
Posted:
10 Oct 94
Last Revised:
24 Sep 10
39
(222,154)
149
Ait-Sahalia, Yacine Princeton University - Department of Economics
39
145
Ait-Sahalia, Yacine Princeton University - Department of Economics
0
Ait-Sahalia, Yacine Princeton University - Department of Economics
0
23.
Nonparametric Pricing of Interest Rate Derivative Securities
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Ait-Sahalia, Yacine Princeton University - Department of Economics
Posted:
07 Sep 99
Last Revised:
24 Sep 10
39
(222,154)
82
Ait-Sahalia, Yacine Princeton University - Department of Economics
39
82
Ait-Sahalia, Yacine Princeton University - Department of Economics
0
24.
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
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Ait-Sahalia, Yacine Princeton University - Department of Economics
Mykland, Per A. University of Chicago - Department of Statistics
Posted:
17 Oct 05
Last Revised:
29 Jul 10
36
(228,783)
123
Ait-Sahalia, Yacine Princeton University - Department of Economics
0
Ait-Sahalia, Yacine Princeton University - Department of Economics
Mykland, Per A. University of Chicago - Department of Statistics
36
123
25.
Ait-Sahalia, Yacine Princeton University - Department of Economics
35
(231,110)
37
26.
Ait-Sahalia, Yacine Princeton University - Department of Economics
34
(233,477)
6
27.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Andritzky, Jochen R. International Monetary Fund (IMF)
Jobst, Andreas A. Bermuda Monetary Authority (BMA)
Nowak, Sylwia Barbara International Monetary Fund (IMF)
Tamirisa, Natalia T. International Monetary Fund (IMF)
32
(238,293)
14
28.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Duarte, Jefferson Rice University
29
(246,292)
29
29.
Ait-Sahalia, Yacine Princeton University - Department of Economics
29
(246,292)
26
30.
Ait-Sahalia, Yacine Princeton University - Department of Economics
26
(255,280)
31.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Zhang, Lan University of Illinois at Chicago - Department of Finance
Mykland, Per A. University of Chicago - Department of Statistics
21
(272,010)
8
32.
Dynamic Equilibrium and Volatility in Financial Asset Markets
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Ait-Sahalia, Yacine Princeton University - Department of Economics
Posted:
30 Aug 99
Last Revised:
14 Jul 00
19
(279,063)
2
Ait-Sahalia, Yacine Princeton University - Department of Economics
19
2
Ait-Sahalia, Yacine Princeton University - Department of Economics
0
33.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Mykland, Per A. University of Chicago - Department of Statistics
17
(286,187)
15
34.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Fan, Jianqing Princeton University - Bendheim Center for Finance
Li, Yingying Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
9
(313,942)
1
35.
Ait-Sahalia, Yacine Princeton University - Department of Economics
36.
Ait-Sahalia, Yacine Princeton University - Department of Economics