Yacine Ait-Sahalia
Yacine Ait-Sahalia
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Why has CEO pay increased so much?
X Gabaix, A Landier
The Quarterly Journal of Economics 123 (1), 49-100, 2008
23122008
A tale of two time scales: Determining integrated volatility with noisy high-frequency data
L Zhang, PA Mykland, Y Aït-Sahalia
Journal of the American Statistical Association 100 (472), 1394-1411, 2005
20432005
Nonparametric estimation of state‐price densities implicit in financial asset prices
Y Aït‐Sahalia, AW Lo
The journal of finance 53 (2), 499-547, 1998
13651998
Testing continuous-time models of the spot interest rate
Y Ait-Sahalia
The review of financial studies 9 (2), 385-426, 1996
13221996
Maximum likelihood estimation of discretely sampled diffusions: a closed‐form approximation approach
Y Aït‐Sahalia
Econometrica 70 (1), 223-262, 2002
10952002
How often to sample a continuous-time process in the presence of market microstructure noise
Y Ait-Sahalia, PA Mykland, L Zhang
The review of financial studies 18 (2), 351-416, 2005
10542005
Nonparametric risk management and implied risk aversion
Y Aıt-Sahalia, AW Lo
Journal of econometrics 94 (1-2), 9-51, 2000
9122000
Nonparametric Pricing of Interest Rate Derivative Securities
Y Ait-Sahalia
Econometrica 64, 527-560, 1996
8231996
Testing for jumps in a discretely observed process
Y Aït-Sahalia, J Jacod
The Annals of Statistics, 184-222, 2009
6252009
Modeling financial contagion using mutually exciting jump processes
Y Aït-Sahalia, J Cacho-Diaz, RJA Laeven
Journal of Financial Economics 117 (3), 585-606, 2015
5812015
Transition densities for interest rate and other nonlinear diffusions
Y Ait-Sahalia
Quantitative Analysis In Financial Markets: Collected Papers of the New York …, 2001
5132001
Variable selection for portfolio choice
Y Aït‐sahali, MW Brandt
The Journal of Finance 56 (4), 1297-1351, 2001
5122001
Closed-form likelihood expansions for multivariate diffusions
Y Aït-Sahalia
The Annals of Statistics 36 (2), 906-937, 2008
498*2008
Ultra high frequency volatility estimation with dependent microstructure noise
Y Aït-Sahalia, PA Mykland, L Zhang
Journal of Econometrics 160 (1), 160-175, 2011
472*2011
Luxury goods and the equity premium
Y Ait‐Sahalia, JA Parker, M Yogo
The Journal of Finance 59 (6), 2959-3004, 2004
4572004
Disentangling diffusion from jumps
Y Aıt-Sahalia
Journal of financial economics 74 (3), 487-528, 2004
4292004
Nonparametric option pricing under shape restrictions
Y Aıt-Sahalia, J Duarte
Journal of Econometrics 116 (1-2), 9-47, 2003
3682003
High-frequency financial econometrics
Y Aït-Sahalia, J Jacod
High-Frequency Financial Econometrics, 2014
3342014
Estimating the degree of activity of jumps in high frequency data
Y Aït-Sahalia, J Jacod
The Annals of Statistics 37 (5A), 2202-2244, 2009
3052009
Do option markets correctly price the probabilities of movement of the underlying asset?
Y Aıt-Sahalia, Y Wang, F Yared
Journal of Econometrics 102 (1), 67-110, 2001
2972001
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Artículos 1–20