NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Yacine Aït-Sahalia

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

Working Papers

October 2013High Frequency Traders: Taking Advantage of Speed
with Mehmet Saglam: w19531
November 2011The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency
with Jianqing Fan, Yingying Li: w17592
March 2010Modeling Financial Contagion Using Mutually Exciting Jump Processes
with Julio Cacho-Diaz, Roger J.A. Laeven: w15850
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
with Jean Jacod: w15808
Market Response to Policy Initiatives during the Global Financial Crisis
with Jochen Andritzky, Andreas Jobst, Sylwia Nowak, Natalia Tamirisa: w15809
March 2008Consumption and Portfolio Choice with Option-Implied State Prices
with Michael W. Brandt: w13854
February 2008High Frequency Market Microstructure Noise Estimates and Liquidity Measures
with Jialin Yu: w13825
October 2005Edgeworth Expansions for Realized Volatility and Related Estimators
with Lan Zhang, Per A. Mykland: t0319
May 2005Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
with Per A. Mykland, Lan Zhang: w11380
June 2004Maximum Likelihood Estimation of Stochastic Volatility Models
with Robert Kimmel: w10579
November 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
with Lan Zhang, Per A. Mykland: w10111
August 2003Disentangling Volatility from Jumps
w9915
April 2003How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
with Per A. Mykland: w9611
December 2002Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions
with Robert Kimmel: t0286
May 2002Closed-Form Likelihood Expansions for Multivariate Diffusions
w8956
Nonparametric Option Pricing under Shape Restrictions
with Jefferson Duarte: w8944
April 2002The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
with Per A. Mykland: t0276
October 2001Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion
w8504
August 2001Luxury Goods and the Equity Premium
with Jonathan A. Parker, Motohiro Yogo: w8417
February 2001Variable Selection for Portfolio Choice
with Michael W. Brandt: w8127
March 2000Nonparametric Risk Management and Implied Risk Aversion
with Andrew W. Lo: w6130
February 1998Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach
t0222
March 1996Dynamic Equilibrium and Volatility in Financial Asset Markets
w5479
November 1995Nonparametric Pricing of Interest Rate Derivative Securities
w5345
Testing Continuous-Time Models of the Spot Interest Rate
w5346
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
with Andrew W. Lo: w5351

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

 
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