Yacine Ait-Sahalia

Princeton University - Department of Economics

Director, Bendheim Center for Finance

Fisher Hall

Princeton, NJ 08544

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

50

DOWNLOADS
Rank 1,920

SSRN RANKINGS

Top 1,920

in Total Papers Downloads

20,050

SSRN CITATIONS
Rank 857

SSRN RANKINGS

Top 857

in Total Papers Citations

444

CROSSREF CITATIONS

846

Scholarly Papers (50)

1.
Downloads 3,178 ( 4,305)
Citation 8

High Frequency Market Making: Optimal Quoting

Number of pages: 48 Posted: 28 Sep 2013 Last Revised: 15 Jun 2017
Yacine Ait-Sahalia and Mehmet Saglam
Princeton University - Department of Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 3,068 (4,478)
Citation 5

Abstract:

Loading...

High Frequency Trading, Market Making, Liquidity, Poisson Processes, Stochastic Optimal Control.

High Frequency Traders: Taking Advantage of Speed

NBER Working Paper No. w19531
Number of pages: 52 Posted: 18 Oct 2013 Last Revised: 15 May 2021
Yacine Ait-Sahalia and Mehmet Saglam
Princeton University - Department of Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 110 (299,471)
Citation 2

Abstract:

Loading...

2.

The Term Structure of Variance Swaps and Risk Premia

Swiss Finance Institute Research Paper No. 18-37
Number of pages: 64 Posted: 27 Aug 2012 Last Revised: 14 May 2018
Yacine Ait-Sahalia, Mustafa Karaman and Loriano Mancini
Princeton University - Department of Economics, University of Zurich - Swiss Banking Institute (ISB) and USI Lugano - Institute of Finance
Downloads 2,507 (6,403)
Citation 36

Abstract:

Loading...

Variance Swap, Stochastic Volatility, Likelihood Approximation, Term Structure, Equity Risk Premium, Variance Risk Premium

3.

Non-Parametric Risk Management and Implied Risk Aversion

Number of pages: 49 Posted: 02 Jun 1998
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,523 (14,282)
Citation 4

Abstract:

Loading...

4.

Implied Stochastic Volatility Models

Number of pages: 51 Posted: 01 Jun 2017 Last Revised: 21 Feb 2019
Yacine Ait-Sahalia, Chenxu Li and Chen Xu Li
Princeton University - Department of Economics, Peking University - Guanghua School of Management and Princeton University - Bendheim Center for Finance
Downloads 1,151 (21,954)
Citation 1

Abstract:

Loading...

implied volatility surface, stochastic volatility, option pricing, closed-form expansion

5.
Downloads 1,142 ( 22,213)
Citation 7

Principal Component Analysis of High Frequency Data

Chicago Booth Research Paper No. 15-39
Number of pages: 64 Posted: 19 Aug 2015 Last Revised: 22 Aug 2017
Yacine Ait-Sahalia and Dacheng Xiu
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 1,118 (22,512)

Abstract:

Loading...

Ito Semimartingale, High Frequency, Spectral Function, Eigenvalue, Eigenvector, Principal Components, Three Factor Model

Principal Component Analysis of High Frequency Data

NBER Working Paper No. w21584
Number of pages: 53 Posted: 28 Sep 2015 Last Revised: 05 Feb 2021
Yacine Ait-Sahalia and Dacheng Xiu
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 24 (607,041)
Citation 4

Abstract:

Loading...

6.
Downloads 686 ( 45,438)
Citation 45

Luxury Goods and the Equity Premium

Journal of Finance, Vol. 59, No. 6, 2004
Number of pages: 60 Posted: 19 May 2003 Last Revised: 17 Jun 2009
Yacine Ait-Sahalia, Jonathan A. Parker and Motohiro Yogo
Princeton University - Department of Economics, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Princeton University - Department of Economics
Downloads 588 (54,935)
Citation 45

Abstract:

Loading...

Asset pricing, Consumption, Equity premium puzzle, Portfolio choice

Luxury Goods and the Equity Premium

NBER Working Paper No. w8417
Number of pages: 47 Posted: 17 Oct 2005 Last Revised: 23 Oct 2010
Yacine Ait-Sahalia, Jonathan A. Parker and Motohiro Yogo
Princeton University - Department of Economics, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Princeton University - Department of Economics
Downloads 98 (322,106)

Abstract:

Loading...

7.

Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data

Chicago Booth Research Paper No. 15-43
Number of pages: 43 Posted: 07 Oct 2015 Last Revised: 11 Oct 2016
Yacine Ait-Sahalia and Dacheng Xiu
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 677 (46,292)
Citation 17

Abstract:

Loading...

High-dimensional data, high-frequency, latent factor model, principal components, portfolio optimization

8.

High Frequency Market Making: Implications for Liquidity

Number of pages: 45 Posted: 02 Feb 2017
Yacine Ait-Sahalia and Mehmet Saglam
Princeton University - Department of Economics and University of Cincinnati - Department of Finance - Real Estate
Downloads 675 (46,494)
Citation 17

Abstract:

Loading...

High Frequency Trading, Market Making, Duopoly, Liquidity, Order Cancellations, Competition for Order Flow, Financial Market Regulation, Tobin Tax, Order Resting Time, Order Cancellation Tax, Pro Rata Allocation

9.
Downloads 624 ( 51,482)
Citation 30

Variable Selection for Portfolio Choice

Rodney L. White Center for Financial Research Working Paper No. 21-00
Number of pages: 71 Posted: 12 Mar 2001
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business
Downloads 563 (58,012)
Citation 32

Abstract:

Loading...

Variable Selection for Portfolio Choice

NBER Working Paper No. w8127
Number of pages: 70 Posted: 18 Feb 2001 Last Revised: 21 Oct 2010
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business
Downloads 61 (425,448)

Abstract:

Loading...

10.

Out of Sample Forecasts of Quadratic Variation

Journal of Econometrics, Vol. 147, pp. 17-33, 2008
Number of pages: 36 Posted: 01 Jun 2006 Last Revised: 12 Nov 2008
Yacine Ait-Sahalia and Loriano Mancini
Princeton University - Department of Economics and USI Lugano - Institute of Finance
Downloads 535 (62,546)
Citation 3

Abstract:

Loading...

Market microstructure noise, high frequency data, measurement error, realized volatility, two scales realized volatility, out of sample forecasts.

11.

High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data

Number of pages: 37 Posted: 28 Jun 2010
Yacine Ait-Sahalia, Jianqing Fan and Dacheng Xiu
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance and University of Chicago - Booth School of Business
Downloads 530 (63,198)
Citation 6

Abstract:

Loading...

Market microstructure noise, Covariance, Quasi-Maximum Likelihood Estimator, Refresh Time, Generalized Synchronization

12.

A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

Chicago Booth Research Paper No. 16-06
Number of pages: 55 Posted: 07 Mar 2016 Last Revised: 21 Feb 2017
Yacine Ait-Sahalia and Dacheng Xiu
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 486 (70,419)
Citation 8

Abstract:

Loading...

Hausman test, market microstructure noise, realized volatility, QMLE, TSRV, preaveraging, super-efficiency, local power

13.

Portfolio Choice in Markets with Contagion

Number of pages: 33 Posted: 05 Oct 2012 Last Revised: 27 Mar 2015
Yacine Ait-Sahalia and Thomas R. Hurd
Princeton University - Department of Economics and McMaster University - Department of Mathematics and Statistics
Downloads 464 (74,554)
Citation 5

Abstract:

Loading...

Merton problem, jumps, Hawkes process, mutual excitation, contagion, flight-to-quality

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

AFA 2011 Denver Meetings Paper
Posted: 03 Mar 2010
Yacine Ait-Sahalia and Jean Jacod
Princeton University - Department of Economics and Université Paris VI Pierre et Marie Curie
Downloads 273 (134,423)
Citation 9

Abstract:

Loading...

Continuous-time models, semimartingales, jumps, volatility, spectrum, high frequency financial returns, market microstructure noise

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 40 Posted: 07 Oct 2009
Yacine Ait-Sahalia and Jean Jacod
Princeton University - Department of Economics and Université Paris VI Pierre et Marie Curie
Downloads 142 (245,402)
Citation 2

Abstract:

Loading...

continuous-time models, semimartingales, jumps, volatility, spectrum, high frequency financial returns

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

NBER Working Paper No. w15808
Number of pages: 62 Posted: 15 Mar 2010 Last Revised: 13 Mar 2021
Yacine Ait-Sahalia and Jean M. Jacod
Princeton University - Department of Economics and Université Paris VI Pierre et Marie Curie
Downloads 35 (538,580)

Abstract:

Loading...

15.

Nonparametric Transition-Based Tests for Jump-Diffusions

Number of pages: 54 Posted: 11 Jan 2007
Yacine Ait-Sahalia, Jianqing Fan and Heng Peng
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance and Hong Kong Baptist University (HKBU)
Downloads 431 (81,389)
Citation 7

Abstract:

Loading...

Generalized likelihood ratio tests, local linear fit, null distribution, jump-diffusions, Markovian processes, power, specification tests, transition density

Maximum-Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach

Number of pages: 52 Posted: 01 Jun 1998
Yacine Ait-Sahalia
Princeton University - Department of Economics
Downloads 376 (94,611)
Citation 4

Abstract:

Loading...

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach

NBER Working Paper No. t0222
Number of pages: 48 Posted: 22 Sep 2000 Last Revised: 12 Aug 2010
Yacine Ait-Sahalia
Princeton University - Department of Economics
Downloads 41 (508,114)

Abstract:

Loading...

17.

Estimation of the Continuous and Discontinuous Leverage Effects

Number of pages: 67 Posted: 19 Nov 2014 Last Revised: 02 Oct 2015
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance, University of Amsterdam - Department of Quantitative Economics (KE), Columbia University - Department of Statistics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 386 (92,507)
Citation 6

Abstract:

Loading...

18.

High-Frequency Factor Models and Regressions

Chicago Booth Research Paper No. 19-04
Number of pages: 50 Posted: 23 Jan 2019
Yacine Ait-Sahalia, Ilze Kalnina and Dacheng Xiu
Princeton University - Department of Economics, North Carolina State University - Department of Economics and University of Chicago - Booth School of Business
Downloads 351 (103,054)
Citation 1

Abstract:

Loading...

Factor Model, Time-Varying Betas, Fama-French Factors, Idiosyncratic Risk, Big Data

19.

From Tick Data to Semimartingales

Number of pages: 39 Posted: 09 Oct 2017
Yacine Ait-Sahalia and Jean M. Jacod
Princeton University - Department of Economics and Université Paris VI Pierre et Marie Curie
Downloads 337 (107,871)

Abstract:

Loading...

Lévy Process, Semimartingale, Jumps, Scaling, Convergence, Tick by Tick, High Frequency, Continuous Time

Consumption and Portfolio Choice with Option-Implied State Prices

AFA 2009 San Francisco Meetings Paper
Number of pages: 47 Posted: 26 Feb 2008
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business
Downloads 238 (154,305)

Abstract:

Loading...

Portfolio problem, martingale representation

Consumption and Portfolio Choice with Option-Implied State Prices

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 1 Posted: 13 Oct 2008
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business
Downloads 59 (432,752)

Abstract:

Loading...

Consumption and Portfolio Choice with Option-Implied State Prices

NBER Working Paper No. w13854
Number of pages: 48 Posted: 19 Mar 2008 Last Revised: 10 May 2021
Yacine Ait-Sahalia and Michael W. Brandt
Princeton University - Department of Economics and Duke University - Fuqua School of Business
Downloads 37 (527,961)

Abstract:

Loading...

21.

Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both?

Chicago Booth Research Paper No. 14-11, Fama-Miller Working Paper
Number of pages: 39 Posted: 16 Apr 2014
Yacine Ait-Sahalia and Dacheng Xiu
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 307 (119,345)
Citation 5

Abstract:

Loading...

Quadratic covariation, continuous and jump components, overnight jumps, news surprises, financial crisis

22.

Mutual Excitation in Eurozone Sovereign CDS

SAFE Working Paper No. 51
Number of pages: 36 Posted: 19 May 2014 Last Revised: 02 Jun 2014
Yacine Ait-Sahalia, Roger J. A. Laeven and Loriana Pelizzon
Princeton University - Department of Economics, University of Amsterdam - Department of Quantitative Economics (KE) and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 293 (125,391)
Citation 8

Abstract:

Loading...

CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response

Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions

Fisher College of Business Working Paper No. 2008-03-018, Charles A. Dice Working Paper No. 2008-19
Number of pages: 54 Posted: 15 Oct 2008 Last Revised: 27 Sep 2010
Yacine Ait-Sahalia and Robert L. Kimmel
Princeton University - Department of Economics and Independent
Downloads 205 (178,162)
Citation 6

Abstract:

Loading...

Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions

NBER Working Paper No. t0286
Number of pages: 55 Posted: 06 Dec 2002 Last Revised: 08 Mar 2010
Yacine Ait-Sahalia and Robert L. Kimmel
Princeton University - Department of Economics and Independent
Downloads 54 (451,642)
Citation 3

Abstract:

Loading...

24.

Robust Consumption and Portfolio Policies When Asset Prices Can Jump

Journal of Economic Theory, 2019, 179, 1-56.
Number of pages: 73 Posted: 01 Jun 2017 Last Revised: 14 Jul 2020
Yacine Ait-Sahalia and Felix Matthys
Princeton University - Department of Economics and ITAM
Downloads 234 (157,359)
Citation 1

Abstract:

Loading...

Optimal consumption and portfolio selection, jumps, Levy processes, robust control, closed form solution

Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise

NBER Working Paper No. w11380
Number of pages: 43 Posted: 04 Jul 2005 Last Revised: 05 Feb 2021
Yacine Ait-Sahalia, Per A. Mykland and Lan Zhang
Princeton University - Department of Economics, University of Chicago - Department of Statistics and University of Illinois at Chicago - Department of Finance
Downloads 108 (301,428)
Citation 2

Abstract:

Loading...

Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise

Bundesbank Series 1 Discussion Paper No. 2005,30
Number of pages: 60 Posted: 08 Jun 2016
Yacine Ait-Sahalia, Per A. Mykland and Lan Zhang
Princeton University - Department of Economics, University of Chicago - Department of Statistics and University of Illinois at Chicago - Department of Finance
Downloads 93 (333,286)
Citation 6

Abstract:

Loading...

Market microstructure, Serial dependence, High frequency data, Realized volatility, Subsampling, Two Scales Realized Volatility

High Frequency Market Microstructure Noise Estimates and Liquidity Measures

Annals of Applied Statistics, Vol. 3, No. 1, pp. 422-457, 2009
Number of pages: 36 Posted: 27 Oct 2011
Yacine Ait-Sahalia and Jialin Yu
Princeton University - Department of Economics and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 135 (255,661)
Citation 8

Abstract:

Loading...

High Frequency Market Microstructure Noise Estimates and Liquidity Measures

NBER Working Paper No. w13825
Number of pages: 42 Posted: 15 Feb 2008 Last Revised: 20 Mar 2010
Yacine Ait-Sahalia and Jialin Yu
Princeton University - Department of Economics and Hong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 60 (429,063)

Abstract:

Loading...

27.

Testing for Jumps in a Discretely Observed Process

Paris December 2007 Finance International Meeting AFFI
Number of pages: 36 Posted: 12 Dec 2007
Yacine Ait-Sahalia and Jean Jacod
Princeton University - Department of Economics and Université Paris VI Pierre et Marie Curie
Downloads 192 (189,410)
Citation 31

Abstract:

Loading...

jumps, test, discrete, sampling, high frequency

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

NBER Working Paper No. w5351
Number of pages: 51 Posted: 20 Jul 2000 Last Revised: 24 Sep 2010
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 145 (241,158)
Citation 1

Abstract:

Loading...

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

Posted: 02 Aug 1998
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

Abstract:

Loading...

29.

How to Stop a Herd of Running Bears? Market Response to Policy Initiatives During the Global Financial Crisis

IMF Working Paper No. 09/204
Number of pages: 50 Posted: 13 Oct 2009
Universität St. Gallen, International Monetary Fund (IMF) - European Department, affiliation not provided to SSRN, Princeton University - Department of Economics and International Monetary Fund (IMF)
Downloads 143 (243,329)

Abstract:

Loading...

Banks, Capital markets, Central banks, Data analysis, Databases, Financial crisis, Financial sector, Monetary policy, Spillovers, Statistics

30.

Nonparametric Risk Management and Implied Risk Aversion

NBER Working Paper No. w6130
Number of pages: 50 Posted: 20 Jul 2000 Last Revised: 03 Apr 2021
Yacine Ait-Sahalia and Andrew W. Lo
Princeton University - Department of Economics and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 124 (271,626)
Citation 2

Abstract:

Loading...

Inference on Risk Premia in Continuous-Time Asset Pricing Models

Chicago Booth Research Paper No. 20-30
Number of pages: 46 Posted: 17 Sep 2020
Yacine Ait-Sahalia, Jean Jacod and Dacheng Xiu
Princeton University - Department of Economics, Université Paris VI Pierre et Marie Curie and University of Chicago - Booth School of Business
Downloads 99 (322,106)

Abstract:

Loading...

Two-pass regression, cross-section of expected returns, arbitrage pricing theory, high frequency data, long horizon, semimartingales

Inference on Risk Premia in Continuous-Time Asset Pricing Models

NBER Working Paper No. w28140
Number of pages: 46 Posted: 01 Dec 2020 Last Revised: 05 Dec 2020
Yacine Ait-Sahalia, Dacheng Xiu and Jean Jacod
Princeton University - Department of Economics, University of Chicago - Booth School of Business and Université Paris VI Pierre et Marie Curie
Downloads 1 (799,867)
  • Add to Cart

Abstract:

Loading...

32.

A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

NBER Working Paper No. w10111
Number of pages: 30 Posted: 19 Nov 2003 Last Revised: 19 Aug 2010
Lan Zhang, Yacine Ait-Sahalia and Per A. Mykland
University of Illinois at Chicago - Department of Finance, Princeton University - Department of Economics and University of Chicago - Department of Statistics
Downloads 99 (317,706)
Citation 51

Abstract:

Loading...

33.

Modeling Financial Contagion Using Mutually Exciting Jump Processes

NBER Working Paper No. w15850
Number of pages: 50 Posted: 29 Mar 2010 Last Revised: 24 Apr 2021
Yacine Ait-Sahalia, Julio Cacho-Diaz and Roger J. A. Laeven
Princeton University - Department of Economics, Princeton University - Department of Economics and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 90 (337,640)
Citation 20

Abstract:

Loading...

34.

Maximum Likelihood Estimation of Stochastic Volatility Models

NBER Working Paper No. w10579
Number of pages: 44 Posted: 06 Jul 2004 Last Revised: 30 Aug 2009
Yacine Ait-Sahalia and Robert L. Kimmel
Princeton University - Department of Economics and Independent
Downloads 88 (342,402)
Citation 6

Abstract:

Loading...

35.

Market Response to Policy Initiatives During the Global Financial Crisis

NBER Working Paper No. w15809
Number of pages: 51 Posted: 15 Mar 2010 Last Revised: 14 Mar 2021
Princeton University - Department of Economics, German Council of Economic Experts, International Monetary Fund (IMF) - European Department, International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 71 (387,744)
Citation 6

Abstract:

Loading...

36.

Disentangling Volatility from Jumps

NBER Working Paper No. w9915
Number of pages: 45 Posted: 17 Oct 2005 Last Revised: 04 Feb 2021
Yacine Ait-Sahalia
Princeton University - Department of Economics
Downloads 69 (393,861)
Citation 9

Abstract:

Loading...

Testing Continuous-Time Models of the Spot Interest Rate

NBER Working Paper No. w5346
Number of pages: 42 Posted: 29 Jun 2000 Last Revised: 24 Sep 2010
Yacine Ait-Sahalia
Princeton University - Department of Economics
Downloads 68 (401,762)

Abstract:

Loading...

Testing Continuous-Time Models of the Spot Interest Rate

Posted: 10 Oct 1994
Yacine Ait-Sahalia
Princeton University - Department of Economics

Abstract:

Loading...

Testing Continuous-Time Models of the Spot Interest Rate

REVIEW OF FINANCIAL STUDIES, Vol. 9 No. 2
Posted: 29 May 1996
Yacine Ait-Sahalia
Princeton University - Department of Economics

Abstract:

Loading...

Nonparametric Pricing of Interest Rate Derivative Securities

NBER Working Paper No. w5345
Number of pages: 45 Posted: 20 Jul 2000 Last Revised: 08 Feb 2021
Yacine Ait-Sahalia
Princeton University - Department of Economics
Downloads 61 (429,063)

Abstract:

Loading...

Nonparametric Pricing of Interest Rate Derivative Securities

Posted: 07 Sep 1999
Yacine Ait-Sahalia
Princeton University - Department of Economics

Abstract:

Loading...

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

NBER Working Paper No. w9611
Number of pages: 53 Posted: 17 Oct 2005 Last Revised: 07 Apr 2021
Yacine Ait-Sahalia and Per A. Mykland
Princeton University - Department of Economics and University of Chicago - Department of Statistics
Downloads 56 (443,957)
Citation 11

Abstract:

Loading...

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

The Review of Financial Studies, Vol. 18, Issue 2, pp. 351-416, 2005
Posted: 29 Feb 2008
Yacine Ait-Sahalia
Princeton University - Department of Economics

Abstract:

Loading...

40.

NBER Working Paper No. w8944
Number of pages: 51 Posted: 17 Oct 2005 Last Revised: 15 Jun 2020
Yacine Ait-Sahalia and Jefferson Duarte
Princeton University - Department of Economics and Rice University
Downloads 53 (448,249)
Citation 1

Abstract:

Loading...

41.

Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment

NBER Working Paper No. w4544
Number of pages: 36 Posted: 29 Jun 2000
Yacine Ait-Sahalia
Princeton University - Department of Economics
Downloads 51 (455,775)

Abstract:

Loading...

42.

Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion

NBER Working Paper No. w8504
Number of pages: 46 Posted: 29 Sep 2001 Last Revised: 24 Oct 2010
Yacine Ait-Sahalia
Princeton University - Department of Economics
Downloads 50 (459,764)
Citation 2

Abstract:

Loading...

43.

Closed-Form Likelihood Expansions for Multivariate Diffusions

NBER Working Paper No. w8956
Number of pages: 37 Posted: 24 May 2002 Last Revised: 08 Mar 2010
Yacine Ait-Sahalia
Princeton University - Department of Economics
Downloads 44 (484,573)
Citation 3

Abstract:

Loading...

44.

The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency

NBER Working Paper No. w17592
Number of pages: 52 Posted: 15 Nov 2011
Yacine Ait-Sahalia, Jianqing Fan and Yingying Li
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance and Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance
Downloads 38 (511,522)
Citation 7

Abstract:

Loading...

45.

When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance

Number of pages: 41 Posted: 10 May 2021
Yacine Ait-Sahalia, Felix Matthys, Emilio Osambela and Ronnie Sircar
Princeton University - Department of Economics, ITAM, Board of Governors of the Federal Reserve System and Princeton University - Department of Operations Research and Financial Engineering
Downloads 36 (541,750)

Abstract:

Loading...

Volatility and Uncertainty Disconnect, Stochastic Volatility, Stochastic Uncertainty, Risk Aversion, Uncertainty Aversion

46.

Edgeworth Expansions for Realized Volatility and Related Estimators

NBER Working Paper No. t0319
Number of pages: 45 Posted: 22 Aug 2007 Last Revised: 17 May 2021
Yacine Ait-Sahalia, Lan Zhang and Per A. Mykland
Princeton University - Department of Economics, University of Illinois at Chicago - Department of Finance and University of Chicago - Department of Statistics
Downloads 34 (531,336)

Abstract:

Loading...

Dynamic Equilibrium and Volatility in Financial Asset Markets

NBER Working Paper No. w5479
Number of pages: 42 Posted: 14 Jul 2000
Yacine Ait-Sahalia
Princeton University - Department of Economics
Downloads 34 (544,150)

Abstract:

Loading...

Dynamic Equilibrium and Volatility in Financial Asset Markets

Posted: 30 Aug 1999
Yacine Ait-Sahalia
Princeton University - Department of Economics

Abstract:

Loading...

48.

The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions

NBER Working Paper No. t0276
Number of pages: 63 Posted: 11 Apr 2002 Last Revised: 12 Apr 2002
Yacine Ait-Sahalia and Per A. Mykland
Princeton University - Department of Economics and University of Chicago - Department of Statistics
Downloads 31 (547,028)

Abstract:

Loading...

49.

Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities

Posted: 04 Jun 2010
Yacine Ait-Sahalia
Princeton University - Department of Economics

Abstract:

Loading...

50.

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach

Posted: 15 Jul 2002
Yacine Ait-Sahalia
Princeton University - Department of Economics

Abstract:

Loading...

Other Papers (1)

Total Downloads: 180
1.

How to Stop a Herd of Running Bears? Market Response to Policy Initiatives During the Global Financial Crisis

International Monetary Fund, WP No. 09/204, 22nd Australasian Finance and Banking Conference 2009
Number of pages: 50 Posted: 25 Aug 2009 Last Revised: 07 Oct 2009
Princeton University - Department of Economics, German Council of Economic Experts, International Monetary Fund (IMF) - European Department, International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 180

Abstract:

Loading...

Crisis, policy, announcement, event, financial, liquidity, monetary, fiscal, bank