Yacine Ait-Sahalia : Citation Profile


Are you Yacine Ait-Sahalia?

Princeton University

26

H index

37

i10 index

3518

Citations

RESEARCH PRODUCTION:

44

Articles

41

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   33 years (1988 - 2021). See details.
   Cites by year: 106
   Journals where Yacine Ait-Sahalia has often published
   Relations with other researchers
   Recent citing documents: 308.    Total self citations: 46 (1.29 %)

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   Permalink: http://citec.repec.org/pai23
   Updated: 2021-11-20    RAS profile: 2021-01-24    
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Relations with other researchers


Works with:

Xiu, Dacheng (6)

Authors registered in RePEc who have co-authored more than one work in the last five years with Yacine Ait-Sahalia.

Is cited by:

Bollerslev, Tim (61)

McAleer, Michael (49)

Yu, Jun (45)

Swanson, Norman (43)

Shephard, Neil (42)

Phillips, Peter (39)

Andersen, Torben (37)

Asai, Manabu (33)

Härdle, Wolfgang (29)

Barndorff-Nielsen, Ole (29)

Hansen, Peter (28)

Cites to:

Bollerslev, Tim (33)

Shephard, Neil (22)

Andersen, Torben (22)

Hansen, Lars (21)

Tauchen, George (20)

Hansen, Peter (16)

Barndorff-Nielsen, Ole (15)

Fan, Jianqing (15)

Lunde, Asger (15)

Diebold, Francis (15)

Singleton, Kenneth (14)

Main data


Where Yacine Ait-Sahalia has published?


Journals with more than one article published# docs
Journal of Econometrics20
Journal of Financial Economics4
Econometrica4
Journal of Business & Economic Statistics2
Journal of the American Statistical Association2
Review of Financial Studies2
Journal of Finance2

Recent works citing Yacine Ait-Sahalia (2021 and 2020)


YearTitle of citing document
2020Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Christensen, Kim ; Bolko, Anine E ; Veliyev, Bezirgen ; Pakkanen, Mikko S. In: CREATES Research Papers. RePEc:aah:create:2020-12.

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2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2020Intraday Trading Invariance in the E-mini S&P 500 Futures Market. (2020). Andersen, Torben G ; Obizhaeva, Anna A ; Kyle, Albert S ; Bondarenko, Oleg. In: Working Papers. RePEc:abo:neswpt:w0272.

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2021CDS Pricing with Fractional Hawkes Processes. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021018.

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2021Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2020Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992.

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2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2020Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2021Continuous Record Asymptotics for Structural Change Models. (2019). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10881.

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2020Continuous Record Laplace-based Inference about the Break Date in Structural Change Models. (2019). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1804.00232.

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2020State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248.

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2020Optimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes. (2019). Nisen, Jeffrey ; Li, Cheng ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:1811.07499.

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2020Network effects in default clustering for large systems. (2019). Yang, Jia ; Spiliopoulos, Konstantinos. In: Papers. RePEc:arx:papers:1812.07645.

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2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2021Bayesian prediction of jumps in large panels of time series data. (2019). Papaspiliopoulos, Omiros ; Dellaportas, Petros ; Alexopoulos, Angelos. In: Papers. RePEc:arx:papers:1904.05312.

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2021Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

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2021Finance Without Brownian Motions: An Introduction To Simplified Stochastic Calculus. (2019). Ruf, Johannes ; Vcern, Alevs . In: Papers. RePEc:arx:papers:1912.03651.

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2021Risk of Bitcoin Market: Volatility, Jumps, and Forecasts. (2019). Kuo, Weiyu ; Hardle, Wolfgang Karl ; Hu, Junjie. In: Papers. RePEc:arx:papers:1912.05228.

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2020How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2001.11249.

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2020Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio. (2020). Roberts, Stephen ; Zohren, Stefan ; Lim, Bryan. In: Papers. RePEc:arx:papers:2002.02008.

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2020Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849.

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2020Large-Maturity Smiles for an Affine Jump-Diffusion Model. (2020). Lin, Junfeng ; Ling, Zhichao ; Yao, Nian. In: Papers. RePEc:arx:papers:2003.00334.

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2020Convex Optimization Over Risk-Neutral Probabilities. (2020). Boyd, Stephen ; Tuck, Jonathan ; Barratt, Shane. In: Papers. RePEc:arx:papers:2003.02878.

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2021Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2021Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging. (2020). Wu, Bei ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:2004.01865.

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2021Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013.

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2020Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015.

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2020Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data. (2020). Fallahgoul, Hasan. In: Papers. RePEc:arx:papers:2004.11686.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2021Denise: Deep Learning based Robust PCA for Positive Semidefinite Matrices. (2020). Teichmann, Josef ; Krach, Florian ; Herrera, Calypso . In: Papers. RePEc:arx:papers:2004.13612.

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2020The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2020Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Song, Xinyu ; Kim, Donggyu ; Wang, Yazhen. In: Papers. RePEc:arx:papers:2006.12039.

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2021A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2020A Bivariate Compound Dynamic Contagion Process for Cyber Insurance. (2020). Jang, Jiwook ; Oh, Rosy. In: Papers. RePEc:arx:papers:2007.04758.

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2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

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2020Detecting and repairing arbitrage in traded option prices. (2020). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2008.09454.

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2020Model-driven statistical arbitrage on LETF option markets. (2020). Hardle, Wolfgang Karl ; Nasekin, Sergey. In: Papers. RePEc:arx:papers:2009.09713.

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2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103.

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2021Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

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2020Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai. In: Papers. RePEc:arx:papers:2010.07659.

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2021Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2020Portfolio Risk Measurement Using a Mixture Simulation Approach. (2020). Sharifi, Azin ; Sina, Seyed Mohammad ; Arian, Hamidreza. In: Papers. RePEc:arx:papers:2011.07994.

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2020Option Pricing Incorporating Factor Dynamics in Complete Markets. (2020). Lindquist, Brent W ; Shirvani, Abootaleb ; Hu, Yuan ; Rachev, Svetlozar T ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:2011.08343.

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2021Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Crisóstomo, Ricardo. In: Papers. RePEc:arx:papers:2012.09041.

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2021Estimation of Tempered Stable L\{e}vy Models of Infinite Variation. (2021). Han, Yuchen ; Gong, Ruoting ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:2101.00565.

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2021Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2021High-dimensional estimation of quadratic variation based on penalized realized variance. (2021). Podolskij, Mark ; Nielsen, Mikkel Slot ; Christensen, Kim. In: Papers. RePEc:arx:papers:2103.03237.

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2021Delay stochastic interest rate model with jump and strong convergence in Monte Carlo simulations. (2021). Coffie, Emmanuel. In: Papers. RePEc:arx:papers:2103.07651.

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2021Bootstrap Inference for Hawkes and General Point Processes. (2021). Cavaliere, Giuseppe ; Staerk-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Papers. RePEc:arx:papers:2104.03122.

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2021A robust specification test in linear panel data models. (2021). Beyaztas, Beste Hamiye ; Mandal, Abhijit ; Bandyopadhyay, Soutir. In: Papers. RePEc:arx:papers:2104.07723.

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2021Hermite Polynomial-based Valuation of American Options with General Jump-Diffusion Processes. (2021). Chen, LI ; Zhang, Guang. In: Papers. RePEc:arx:papers:2104.11870.

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2021An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2021Optimal Execution with Quadratic Variation Inventories. (2021). Carmona, Rene ; Leal, Laura. In: Papers. RePEc:arx:papers:2104.14615.

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2021Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes. (2021). Mandjes, Michel ; Karim, Raviar. In: Papers. RePEc:arx:papers:2106.03560.

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2021Portfolio Allocation under Asymmetric Dependence in Asset Returns using Local Gaussian Correlations. (2021). Tjostheim, Dag ; Berentsen, Geir Drage ; Otneim, Haakon ; Stove, Baard ; Sleire, Anders D ; Haugen, Sverre Hauso. In: Papers. RePEc:arx:papers:2106.12425.

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2021Gibbs posterior inference on a Levy density under discrete sampling. (2021). Martin, Ryan ; Wang, Zhe. In: Papers. RePEc:arx:papers:2109.06567.

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2021Mean-Variance Portfolio Selection in Contagious Markets. (2021). Zou, Bin ; Shen, Yang. In: Papers. RePEc:arx:papers:2110.09417.

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2021Understanding jumps in high frequency digital asset markets. (2021). Hardle, Wolfgang Karl ; Sizov, Sergej ; Nagy, Odett ; Saef, Danial. In: Papers. RePEc:arx:papers:2110.09429.

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2021Exponential GARCH-Ito Volatility Models. (2021). Kim, Donggyu. In: Papers. RePEc:arx:papers:2111.04267.

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2020The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News. (2020). Jin, Jianjian ; Ellwanger, Reinhard ; Alquist, Ron. In: Staff Working Papers. RePEc:bca:bocawp:20-8.

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2021EMU deepening and sovereign debt spreads: using political space to achieve policy space. (2021). Pérez, Javier ; Kataryniuk, Iván ; Perez, Javier J ; Mora-Bajen, Victor. In: Working Papers. RePEc:bde:wpaper:2103.

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2020Inflation at risk in advanced and emerging economies. (2020). Mehrotra, Aaron ; Zampolli, Fabrizio ; Contreras, Juan ; Banerjee, Ryan Niladri. In: BIS Working Papers. RePEc:bis:biswps:883.

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2021The value relevance of fair value and historical cost measurements during the financial crisis. (2021). Morris, Richard D ; Kang, Helen ; Liao, Lin. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:2069-2107.

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2020Optimal portfolio choices using financial leverage. (2020). Olmo, Jose ; Laborda, Ricardo. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:72:y:2020:i:2:p:146-166.

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2020Modelling Financial Contagion Using High Frequency Data. (2020). Yao, Wenying ; Alexeev, Vitali ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330.

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2020Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349.

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2020Mispriced index option portfolios. (2020). Perrakis, Stylianos ; Czerwonko, Michal ; Constantinides, George M. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:2:p:297-330.

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2020The Pricing Kernel Puzzle: A Real Phenomenon or a Statistical Artifact?. (2020). Anwar, Sajid ; Siddiqi, Hammad. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:2:p:485-491.

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2020The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets. (2020). Gottschalk, Katrin ; da Fonseca, Jose. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579.

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2020Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

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2021Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2.

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2020A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection. (2020). Li, S ; Connor, G ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20103.

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2020A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model. (2020). Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20114.

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2021Augmented Real-Time GARCH: A Joint Model for Returns, Volatility and Volatility of Volatility. (2021). Ding, Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2112.

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2021Robust Estimation of Integrated Volatility. (2021). Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2115.

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2021Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model. (2021). Linton, O ; Chen, J ; Li, Y-N., . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2150.

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2020Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2019). Guidolin, Massimo ; De Pace, Pierangelo ; Contessi, Silvio ; DePace, Pierangelo. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1001.

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2021Estimación de probabilidades representativas del mundo real: importancia de los sesgos conductuales. (2021). Crisóstomo, Ricardo ; Crisostomo, Ricardo . In: CNMV Documentos de Trabajo. RePEc:cnv:docutr:dt_73es.

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2021Monetary-fiscal policy interactions in the euro area. (2021). Schmidt, Sebastian ; Poelhekke, Steven ; Pisani, Massimiliano ; Mazelis, Falk ; Kataryniuk, Iván ; Freier, Maximilian ; Ferdinandusse, Marien ; Debrun, Xavier ; Cimadomo, Jacopo ; Bonam, Dennis ; Hammermann, Felix ; Vladu, Andreea ; Muggenthaler, Philip ; Kording, Julia ; Checherita-Westphal, Cristina ; Penciu, Alexandru ; Faria, Thomas ; Vansteenkiste, Isabel ; Pool, Sebastiaan ; Gerke, Rafael ; Valenta, Vilem ; Bletzinger, Tilman ; Montes-Galdon, Carlos ; Ferrero, Guiseppe ; da Costa, Jose Cardoso ; Paulus, Alari ; Eisenschmidt, Jens ; Masuch, Klaus ; Kamps, Christophe ; Gardo, Sandor ; Trzcinska, Agnieszka ; Barthelemy, Jean ; Marrazzo, Marco ; Jacquinot, Pascal ; Campos, Maria ; Ozden, Talga ; Semeano, Joo Domingues ; Sauer, Stephan ; Christ
2021Least squares estimation for path-distribution dependent stochastic differential equations. (2021). Wu, Jiang-Lun ; Ren, Panpan . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:410:y:2021:i:c:s0096300321005464.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2021An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439.

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2020Nonlinear and time-varying risk premia. (2020). Cai, Zongwu ; Mi, Xianhua ; Ma, Chaoqun. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x2030064x.

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2020Inferring time non-homogeneous Ornstein Uhlenbeck type stochastic process. (2020). Giorno, V ; Albano, G. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:150:y:2020:i:c:s0167947320300992.

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2021Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method. (2021). Leitao, Alvaro ; Kirkby, Lars J ; Nguyen, Duy. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000360.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2020Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality. (2020). Kukacka, Jiri ; Krištoufek, Ladislav. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300257.

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2021Optimal market-Making strategies under synchronised order arrivals with deep neural networks. (2021). Zheng, Harry ; Lee, Kyungsub ; Jang, Hyun Jin ; Choi, So Eun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s0165188921000336.

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2020Expectile CAPM. (2020). Zheng, Zhenlong ; Hu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:386-397.

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2020The Tobit cointegrated vector autoregressive model: An application to the currency market. (2020). Welfe, Aleksander ; Grabowski, Wojciech. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:88-100.

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2020Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data. (2020). Ji, Qiang ; GUPTA, RANGAN ; Cunado, Juncal ; Liu, Bing-Yue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830319x.

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2020Implied risk aversion and pricing kernel in the FTSE 100 index. (2020). Sung, Hao-Chang ; Ju, Wen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302092.

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2020Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness. (2020). Jang, Hyun Jin ; Choi, So Eun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302973.

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2020Equity premium prediction and optimal portfolio decision with Bagging. (2020). Yin, Anwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301686.

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2021Consistent pricing of VIX options with the Hawkes jump-diffusion model. (2021). Ma, Yong ; Li, Shenghong ; Jing, BO. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302114.

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2021Jump Interdependencies: Stochastic linkages among international stock markets. (2021). Prasanna, Krishna ; Kshatriya, Saranya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000528.

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2021Effects of quantitative easing on firm performance in the euro area. (2021). Korab, Petr ; Dibooglu, Sel ; Mallek, Ray Saadaoui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000814.

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2020Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix. (2020). Tse, Yiu-Kuen ; Dong, Yingjie. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s016517652030286x.

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More than 100 citations found, this list is not complete...

Works by Yacine Ait-Sahalia:


YearTitleTypeCited
1994Entry-Exit Decisions of Foreign Firms and Import Prices In: Annals of Economics and Statistics.
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article0
2012Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data In: Journal of Economic Literature.
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article78
2010Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data.(2010) In: NBER Working Papers.
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paper
2009Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities In: Annual Review of Financial Economics.
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article0
2005A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data In: Journal of the American Statistical Association.
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article629
2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data.(2003) In: NBER Working Papers.
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paper
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics.
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article0
2006Comment In: Journal of Business & Economic Statistics.
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article0
1999Transition Densities for Interest Rate and Other Nonlinear Diffusions In: Journal of Finance.
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article61
2001TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS.(2001) In: World Scientific Book Chapters.
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chapter
2001Variable Selection for Portfolio Choice In: Journal of Finance.
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article170
2001Variable Selection for Portfolio Choice.(2001) In: FAME Research Paper Series.
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This paper has another version. Agregated cites: 170
paper
2001Variable Selection for Portfolio Choice..(2001) In: Manitoba - Department of Economics.
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This paper has another version. Agregated cites: 170
paper
2001Variable Selection for Portfolio Choice.(2001) In: NBER Working Papers.
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This paper has another version. Agregated cites: 170
paper
2018The Term Structure of Variance Swaps and Risk Premia In: Swiss Finance Institute Research Paper Series.
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paper7
2008Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions In: Working Paper Series.
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paper46
2010Estimating affine multifactor term structure models using closed-form likelihood expansions.(2010) In: Journal of Financial Economics.
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article
2002Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions.(2002) In: NBER Technical Working Papers.
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paper
1996Nonparametric Pricing of Interest Rate Derivative Securities. In: Econometrica.
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article171
1995Nonparametric Pricing of Interest Rate Derivative Securities.(1995) In: NBER Working Papers.
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paper
2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach In: Econometrica.
[Citation analysis]
article115
2003The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions In: Econometrica.
[Citation analysis]
article29
2002The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions.(2002) In: NBER Technical Working Papers.
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paper
2008Fishers Information for Discretely Sampled Lévy Processes In: Econometrica.
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article13
2004Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) In: Econometric Society 2004 North American Winter Meetings.
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paper0
2001Do option markets correctly price the probabilities of movement of the underlying asset? In: Journal of Econometrics.
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article93
2001Goodness-of-fit tests for kernel regression with an application to option implied volatilities In: Journal of Econometrics.
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article67
2003Nonparametric option pricing under shape restrictions In: Journal of Econometrics.
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article123
2002Nonparametric Option Pricing under Shape Restrictions.(2002) In: NBER Working Papers.
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This paper has another version. Agregated cites: 123
paper
2008An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions In: Journal of Econometrics.
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article0
2008Out of sample forecasts of quadratic variation In: Journal of Econometrics.
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article54
2011Ultra high frequency volatility estimation with dependent microstructure noise In: Journal of Econometrics.
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article131
2005Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 131
paper
2005Ultra high frequency volatility estimation with dependent microstructure noise.(2005) In: Discussion Paper Series 1: Economic Studies.
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paper
2011Edgeworth expansions for realized volatility and related estimators In: Journal of Econometrics.
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article22
2005Edgeworth Expansions for Realized Volatility and Related Estimators.(2005) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 22
paper
2012Testing for jumps in noisy high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]
article39
2012Stationarity-based specification tests for diffusions when the process is nonstationary In: Journal of Econometrics.
[Full Text][Citation analysis]
article6
2014Mutual excitation in Eurozone sovereign CDS In: Journal of Econometrics.
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article43
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
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This paper has another version. Agregated cites: 43
paper
2015Market-based estimation of stochastic volatility models In: Journal of Econometrics.
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article12
2016Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models In: Journal of Econometrics.
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article13
2016Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics.
[Full Text][Citation analysis]
article23
2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data In: Journal of Econometrics.
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article47
2019A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics.
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article9
2020High-frequency factor models and regressions In: Journal of Econometrics.
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article4
2020High frequency traders and the price process In: Journal of Econometrics.
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article0
2020The term structure of equity and variance risk premia In: Journal of Econometrics.
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article2
1998Dynamic equilibrium and volatility in financial asset markets In: Journal of Econometrics.
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article4
1996Dynamic Equilibrium and Volatility in Financial Asset Markets.(1996) In: NBER Working Papers.
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paper
Dynamic Equilibrium and Volatility in Financial Asset Markets.() In: CRSP working papers.
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paper
2000Nonparametric risk management and implied risk aversion In: Journal of Econometrics.
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article323
2000Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers.
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paper
2012Market response to policy initiatives during the global financial crisis In: Journal of International Economics.
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article127
2010Market Response to Policy Initiatives during the Global Financial Crisis.(2010) In: NBER Working Papers.
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paper
2019Robust consumption and portfolio policies when asset prices can jump In: Journal of Economic Theory.
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article8
2013The leverage effect puzzle: Disentangling sources of bias at high frequency In: Journal of Financial Economics.
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article57
2011The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency.(2011) In: NBER Working Papers.
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paper
2015Modeling financial contagion using mutually exciting jump processes In: Journal of Financial Economics.
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article204
2010Modeling Financial Contagion Using Mutually Exciting Jump Processes.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 204
paper
2004Disentangling diffusion from jumps In: Journal of Financial Economics.
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article50
2018Semimartingale: Itô or not ? In: Stochastic Processes and their Applications.
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article0
1988Le redressement des Tables de Contingence : Deux nouvelles approches In: Post-Print.
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paper0
1994Goodness-of-fit tests for regression using kernel methods In: Working papers.
[Full Text][Citation analysis]
paper23
1998Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach In: NBER Technical Working Papers.
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paper13
2004Maximum Likelihood Estimation of Stochastic Volatility Models In: NBER Working Papers.
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paper3
2008High Frequency Market Microstructure Noise Estimates and Liquidity Measures In: NBER Working Papers.
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paper3
2008Consumption and Portfolio Choice with Option-Implied State Prices In: NBER Working Papers.
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paper5
2013High Frequency Traders: Taking Advantage of Speed In: NBER Working Papers.
[Full Text][Citation analysis]
paper11
2015Principal Component Analysis of High Frequency Data In: NBER Working Papers.
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paper16
2019Principal Component Analysis of High-Frequency Data.(2019) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
article
2020Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers.
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paper0
2021When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance In: NBER Working Papers.
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paper0
1995Testing Continuous-Time Models of the Spot Interest Rate In: NBER Working Papers.
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paper294
1996Testing Continuous-Time Models of the Spot Interest Rate..(1996) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 294
article
1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices In: NBER Working Papers.
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paper42
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.() In: CRSP working papers.
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paper
2001Luxury Goods and the Equity Premium In: NBER Working Papers.
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paper32
2002Luxury Goods and the Equity Premium.(2002) In: Working Papers.
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2001Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion In: NBER Working Papers.
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paper4
2002Closed-Form Likelihood Expansions for Multivariate Diffusions In: NBER Working Papers.
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paper5
2003How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise In: NBER Working Papers.
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paper152
2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise.(2005) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 152
article
2003Disentangling Volatility from Jumps In: NBER Working Papers.
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paper2
2016Portfolio Choice in Markets with Contagion In: Journal of Financial Econometrics.
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article10
2014Preface In: Introductory Chapters.
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chapter0
2014High-Frequency Financial Econometrics In: Economics Books.
[Citation analysis]
book105
2017Estimation of the Continuous and Discontinuous Leverage Effects In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article18

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