NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Yacine Aït-Sahalia

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

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

Published: Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying, 2013. "The leverage effect puzzle: Disentangling sources of bias at high frequency," Journal of Financial Economics, Elsevier, vol. 109(1), pages 224-249. citation courtesy of

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

Published: Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data, with Jean Jacod, Journal of Economic Literature, 2012, 50, 1007-1050.

Market Response to Policy Initiatives during the Global Financial Crisis
with Jochen Andritzky, Andreas Jobst, Sylwia Nowak, Natalia Tamirisa: w15809

Published: Aït-Sahalia, Yacine & Andritzky, Jochen & Jobst, Andreas & Nowak, Sylwia & Tamirisa, Natalia, 2012. "Market response to policy initiatives during the global financial crisis," Journal of International Economics, Elsevier, vol. 87(1), pages 162-177. citation courtesy of

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

Published: Ait-Sahalia, Yacine and Jialin Yu "High Frequency Market Microstructure Noise Estimates and Liquidity Measures," Annals of Applied Statistics, 2009, 3, 422-457.

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

Published: Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2011. "Ultra high frequency volatility estimation with dependent microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 160-175, January. citation courtesy of

June 2004Maximum Likelihood Estimation of Stochastic Volatility Models
with Robert Kimmel: w10579

Published: Ait-Sahalia, Yacine and Robert Kimmel. "Maximum Likelihood Estimation of Stochastic Volatility Models." Journal of Financial Economics 83, 2 (February 2007): 413-52.

November 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
with Lan Zhang, Per A. Mykland: w10111

Published: Zhang, Lan, Per A. Mykland and Yacine Ait-Sahalia. "A Tale Of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data," Journal of the American Statistical Association, 2005, v100(472,Dec), 1394-1411. citation courtesy of

August 2003Disentangling Volatility from Jumps
w9915

Published: Journal of Financial Economics, 2004, vol. 74, pp. 487-528

April 2003How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
with Per A. Mykland: w9611

Published: Review of Financial Studies, 2005, vol. 18, pp. 351-416 citation courtesy of

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

Published: Ait-Sahalia, Yacine. "Closed-Form Likelihood Expansions for Multivariate Diffusions," Annals of Statistics, 2008, 36, 906-937. (1,Jan), 223-262.

Nonparametric Option Pricing under Shape Restrictions
with Jefferson Duarte: w8944

Published: Journal of Econometrics, 2003, vol. 116, pp. 9-47 citation courtesy of

April 2002The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
with Per A. Mykland: t0276

Published: "The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions", Econometrica, Vol. 71, pp. 483-549 (2003)

October 2001Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion
w8504

Published: "Telling from Discrete Data Whether te Underlying Continuous-Time Model isa Diffusion" Journal of Finance, Vol. 57, pp.2075-2112 (2002) citation courtesy of

August 2001Luxury Goods and the Equity Premium
with Jonathan A. Parker, Motohiro Yogo: w8417

Published: Journal of Finance, 2004, vol. 59, pp. 2959-3004 citation courtesy of

February 2001Variable Selection for Portfolio Choice
with Michael W. Brandt: w8127

Published: "Variability Selection for Portfolio Choice", Journal of Finance, Vol. 56,pp. 1297-1351 (2001). citation courtesy of

March 2000Nonparametric Risk Management and Implied Risk Aversion
with Andrew W. Lo: w6130

Published: Journal of Econometrics, Vol. 94 (2000): 9-51. citation courtesy of

February 1998Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach
t0222

Published: "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach", Econometrica, Vol. 70, pp. 223-262, (2002).

March 1996Dynamic Equilibrium and Volatility in Financial Asset Markets
w5479

Published: Journal of Econometrics, Vol. 84 (1998): 93-127. citation courtesy of

November 1995Nonparametric Pricing of Interest Rate Derivative Securities
w5345

Published: Econometrica, May 1996, vol.64, no.3, pp.527-560. citation courtesy of

Testing Continuous-Time Models of the Spot Interest Rate
w5346

Published: Review of Financial Studies, Vol. 9, no. 2 (Spring 1996): 385-426. citation courtesy of

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
with Andrew W. Lo: w5351

Published: The Journal of Finance, Vol. 53, no. 2 (April 1998): 499-547. citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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