Yacine Ait-Sahalia : Citation Profile


Are you Yacine Ait-Sahalia?

Princeton University

21

H index

27

i10 index

2794

Citations

RESEARCH PRODUCTION:

28

Articles

35

Papers

RESEARCH ACTIVITY:

   21 years (1994 - 2015). See details.
   Cites by year: 133
   Journals where Yacine Ait-Sahalia has often published
   Relations with other researchers
   Recent citing documents: 165.    Total self citations: 32 (1.13 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pai23
   Updated: 2018-04-14    RAS profile: 2013-07-14    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

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 (52)

Yu, Jun (44)

Härdle, Wolfgang (43)

Phillips, Peter (39)

Shephard, Neil (38)

Ghysels, Eric (35)

Andersen, Torben (33)

McAleer, Michael (32)

Swanson, Norman (30)

Barndorff-Nielsen, Ole (29)

Hansen, Peter (28)

Cites to:

Bollerslev, Tim (21)

Lo, Andrew (18)

Andersen, Torben (17)

Meddahi, Nour (14)

Shephard, Neil (13)

Hansen, Lars (12)

Tauchen, George (12)

Lunde, Asger (11)

Hansen, Peter (10)

Diebold, Francis (10)

Singleton, Kenneth (9)

Main data


Where Yacine Ait-Sahalia has published?


Journals with more than one article published# docs
Journal of Econometrics11
Econometrica4
Journal of Finance4
Journal of Financial Economics3
Journal of Business & Economic Statistics2
Review of Financial Studies2

Recent works citing Yacine Ait-Sahalia (2018 and 2017)


YearTitle of citing document
2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea . In: CREATES Research Papers. RePEc:aah:create:2017-15.

Full description at Econpapers || Download paper

2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26.

Full description at Econpapers || Download paper

2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich . In: CREATES Research Papers. RePEc:aah:create:2017-30.

Full description at Econpapers || Download paper

2018Matching distributions: Asset pricing with density shape correction. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1312.4227.

Full description at Econpapers || Download paper

2017Nonparametric estimates of pricing functionals. (2017). d'Addona, Stefano ; Marinelli, Carlo . In: Papers. RePEc:arx:papers:1506.06568.

Full description at Econpapers || Download paper

2017Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut . In: Papers. RePEc:arx:papers:1509.01175.

Full description at Econpapers || Download paper

2017Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

Full description at Econpapers || Download paper

2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1602.05489.

Full description at Econpapers || Download paper

2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

Full description at Econpapers || Download paper

2018The Jacobi Stochastic Volatility Model. (2018). Ackerer, Damien ; Pulido, Sergio ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07099.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185.

Full description at Econpapers || Download paper

2017High-Frequency Jump Analysis of the Bitcoin Market. (2017). Scaillet, Olivier ; Trevisan, Christopher ; Treccani, Adrien . In: Papers. RePEc:arx:papers:1704.08175.

Full description at Econpapers || Download paper

2018Nonparametric Regression with Multiple Thresholds: Estimation and Inference. (2018). Chiou, Yan-Yu ; Chen, Jau-Er . In: Papers. RePEc:arx:papers:1705.09418.

Full description at Econpapers || Download paper

2017General Compound Hawkes Processes in Limit Order Books. (2017). Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:1706.07459.

Full description at Econpapers || Download paper

2017Hybrid marked point processes: characterisation, existence and uniqueness. (2017). Morariu-Patrichi, Maxime ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1707.06970.

Full description at Econpapers || Download paper

2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

Full description at Econpapers || Download paper

2017Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

Full description at Econpapers || Download paper

2017The microstructure of high frequency markets. (2017). Carmona, Rene ; Webster, Kevin . In: Papers. RePEc:arx:papers:1709.02015.

Full description at Econpapers || Download paper

2018Testing if the market microstructure noise is a function of the limit order book. (2018). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1709.02502.

Full description at Econpapers || Download paper

2017Systemic risk in a mean-field model of interbank lending with self-exciting shocks. (2017). Pascucci, Andrea ; la Rovere, Stefano ; Borovykh, Anastasia . In: Papers. RePEc:arx:papers:1710.00231.

Full description at Econpapers || Download paper

2017Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem. (2017). Sirignano, Justin ; Spiliopoulos, Konstantinos. In: Papers. RePEc:arx:papers:1710.04273.

Full description at Econpapers || Download paper

2017Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis. (2017). Magris, Martin ; Kanniainen, Juho ; Rasanen, Esa ; Kim, Jiyeong. In: Papers. RePEc:arx:papers:1711.03534.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Compound Hawkes Processes in Limit Order Books. (2017). Swishchuk, Anatoliy ; Chavez-Casillas, Jonathan ; Elliott, Robert ; Remillard, Bruno . In: Papers. RePEc:arx:papers:1712.03106.

Full description at Econpapers || Download paper

2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

Full description at Econpapers || Download paper

2018A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894.

Full description at Econpapers || Download paper

2017Volatility Spillovers among Global Stock Markets: Measuring Total and Directional Effects. (2017). Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Gamba, Santiago ; Gamba-Santamaria, Santiago ; Hurtado-Guarin, Jorge Luis . In: Borradores de Economia. RePEc:bdr:borrec:983.

Full description at Econpapers || Download paper

2017The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652.

Full description at Econpapers || Download paper

2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

Full description at Econpapers || Download paper

2017Surfing through the GFC: Systemic Risk in Australia. (2017). Luciani, Matteo ; Veredas, David ; Matei, Marius ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:1-19.

Full description at Econpapers || Download paper

2017AN OPTION VALUATION FRAMEWORK BASED ON ARITHMETIC BROWNIAN MOTION: JUSTIFICATION AND IMPLEMENTATION ISSUES. (2017). Brooks, Robert. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:401-427.

Full description at Econpapers || Download paper

2017The October 2016 sterling flash episode: when liquidity disappeared from one of the world’s most liquid markets. (2017). Noss, Joseph ; Crowley-Reidy, Liam ; Linton, Oliver ; Tobek, Ondrej ; Pedace, Lucas. In: Bank of England working papers. RePEc:boe:boeewp:0687.

Full description at Econpapers || Download paper

2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

Full description at Econpapers || Download paper

2017Timing Strategy Performance in the Crude Oil Futures Market. (2017). Taylor, Nick. In: Bristol Accounting and Finance Discussion Papers. RePEc:bri:accfin:17/7.

Full description at Econpapers || Download paper

2018Implications of High-Frequency Trading for Security Markets. (2018). Linton, O ; Mahmoodzadeh, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1802.

Full description at Econpapers || Download paper

2018Global Banking, Trade, and the International Transmission of the Great Recession. (2018). Enders, Zeno ; Born, Alexandra. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6912.

Full description at Econpapers || Download paper

2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach. (2017). Mora-Valencia, Andrés ; Cortés, Lina ; Perote, Javier ; Cortes, Lina M. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015923.

Full description at Econpapers || Download paper

2017Entropy-based implied moments. (2017). Xiao, Xiao ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

Full description at Econpapers || Download paper

2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

Full description at Econpapers || Download paper

2017Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies. (2017). Beirne, John ; Apostolou, Apostolos. In: Working Paper Series. RePEc:ecb:ecbwps:20172044.

Full description at Econpapers || Download paper

2017Options, equity risks, and the value of capital structure adjustments. (2017). Borochin, Paul ; Yang, Jie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:150-178.

Full description at Econpapers || Download paper

2017Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

Full description at Econpapers || Download paper

2017Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets. (2017). Kilic, Erdem. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:51-67.

Full description at Econpapers || Download paper

2017Do the central bank actions reduce interest rate volatility?. (2017). Moura, Jaqueline Terra ; Machado, Jose Valentim. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:129-137.

Full description at Econpapers || Download paper

2017Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes. (2017). Gong, Xiaoli ; Zhuang, Xintian . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:148-159.

Full description at Econpapers || Download paper

2017Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift☆. (2017). Li, Shaoyu ; Zheng, Tingguo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:200-221.

Full description at Econpapers || Download paper

2018Optimal combination of currency strategies. (2018). Laborda, Ricardo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:129-140.

Full description at Econpapers || Download paper

2017Asymptotics for recurrent diffusions with application to high frequency regression. (2017). Kim, Jihyun ; Park, Joon Y. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:37-54.

Full description at Econpapers || Download paper

2017Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

Full description at Econpapers || Download paper

2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

Full description at Econpapers || Download paper

2017Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

Full description at Econpapers || Download paper

2017Testing for non-correlation between price and volatility jumps. (2017). Jacod, Jean ; Muller, Gernot ; Kluppelberg, Claudia . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:284-297.

Full description at Econpapers || Download paper

2017Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (2017). Chen, Richard Y ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:79-103.

Full description at Econpapers || Download paper

2017On high frequency estimation of the frictionless price: The use of observed liquidity variables. (2017). Chaker, Selma . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:127-143.

Full description at Econpapers || Download paper

2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Xiu, Dacheng ; Shephard, Neil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

Full description at Econpapers || Download paper

2017Functional linear regression with functional response. (2017). Benatia, David ; FLORENS, Jean-Pierre ; Carrasco, Marine. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:269-291.

Full description at Econpapers || Download paper

2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Xiu, Dacheng ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

Full description at Econpapers || Download paper

2017Inference in continuous systems with mildly explosive regressors. (2017). Yu, Jun ; Phillips, Peter ; Chen, YE ; PEter, ; JunYu, . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:400-416.

Full description at Econpapers || Download paper

2017Mixed-scale jump regressions with bootstrap inference. (2017). Chen, Rui ; Li, Jia ; Todorov, Viktor ; Tauchen, George. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:417-432.

Full description at Econpapers || Download paper

2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Matei, Marius ; Dungey, Mardi. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

Full description at Econpapers || Download paper

2018Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:178-195.

Full description at Econpapers || Download paper

2017A penalized method for multivariate concave least squares with application to productivity analysis. (2017). Keshvari, Abolfazl. In: European Journal of Operational Research. RePEc:eee:ejores:v:257:y:2017:i:3:p:1016-1029.

Full description at Econpapers || Download paper

2017The risk premium that never was: A fair value explanation of the volatility spread. (2017). McGee, Richard J ; McGroarty, Frank. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:370-380.

Full description at Econpapers || Download paper

2017Intraday volatility and the implementation of a closing call auction at Borsa Istanbul. (2017). Inci, Can A ; Ozenbas, Deniz . In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:79-89.

Full description at Econpapers || Download paper

2017Marked Hawkes process modeling of price dynamics and volatility estimation. (2017). Ki, Byoung ; Lee, Kyungsub . In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:174-200.

Full description at Econpapers || Download paper

2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, Peter H. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

Full description at Econpapers || Download paper

2017Informed trading in S&P index options? Evidence from the 2008 financial crisis. (2017). French, Joseph ; Chen, Clara Chia-Sheng ; Li, Wei-Xuan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:40-65.

Full description at Econpapers || Download paper

2017Nonparametric estimates of pricing functionals. (2017). Marinelli, Carlo ; dAddona, Stefano . In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:19-35.

Full description at Econpapers || Download paper

2017Generating options-implied probability densities to understand oil market events. (2017). Datta, Deepa Dhume ; Ross, Landon J ; Londono, Juan M. In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:440-457.

Full description at Econpapers || Download paper

2017Timing strategy performance in the crude oil futures market. (2017). Taylor, Nick. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:480-492.

Full description at Econpapers || Download paper

2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

Full description at Econpapers || Download paper

2017Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models. (2017). Tunaru, Diana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:119-129.

Full description at Econpapers || Download paper

2017Can tree-structured classifiers add value to the investor?. (2017). Laborda, Ricardo. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:211-226.

Full description at Econpapers || Download paper

2017Range-based and GARCH volatility estimation: Evidence from the French asset market. (2017). Benlagha, Noureddine ; Chargui, Sana . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:149-165.

Full description at Econpapers || Download paper

2017Contagion modeling between the financial and insurance markets with time changed processes. (2017). Hainaut, Donatien. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:63-77.

Full description at Econpapers || Download paper

2017The equity-like behaviour of sovereign bonds. (2017). Dufour, Alfonso ; Varotto, Simone ; Stancu, Andrei . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:25-46.

Full description at Econpapers || Download paper

2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

Full description at Econpapers || Download paper

2017Realised variance forecasting under Box-Cox transformations. (2017). Taylor, Nick . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:770-785.

Full description at Econpapers || Download paper

2017Optimal asset allocation for strategic investors. (2017). Laborda, Ricardo ; Olmo, Jose. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:970-987.

Full description at Econpapers || Download paper

2018Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index. (2018). Horta, Eduardo ; Ziegelmann, Flavio. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:75-88.

Full description at Econpapers || Download paper

2017Bank productivity growth and convergence in the European Union during the financial crisis. (2017). Tzeremes, Nickolaos ; Kourtzidis, Stavros ; Sevic, Zeljko ; Degl, Marta . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:184-199.

Full description at Econpapers || Download paper

2017Option pricing under time-varying risk-aversion with applications to risk forecasting. (2017). Kiesel, Rudiger ; Rahe, Florentin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:120-138.

Full description at Econpapers || Download paper

2017Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives. (2017). Nguyen, Duc Khuong ; Paltalidis, Nikos ; Gounopoulos, Dimitrios ; Boubaker, Sabri. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:35-52.

Full description at Econpapers || Download paper

2017An analysis of simultaneous company defaults using a shot noise process. (2017). Egami, M ; Kevkhishvili, R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:135-161.

Full description at Econpapers || Download paper

2017Equity index variance: Evidence from flexible parametric jump–diffusion models. (2017). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:85-103.

Full description at Econpapers || Download paper

2018Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67.

Full description at Econpapers || Download paper

2017A model for unpacking big data analytics in high-frequency trading. (2017). , Jonathan ; Currie, Wendy L. In: Journal of Business Research. RePEc:eee:jbrese:v:70:y:2017:i:c:p:300-307.

Full description at Econpapers || Download paper

2017Stock returns and interest rates around the World: A panel data approach. (2017). Assefa, Tibebe A ; Mollick, Andre Varella ; Esqueda, Omar A. In: Journal of Economics and Business. RePEc:eee:jebusi:v:89:y:2017:i:c:p:20-35.

Full description at Econpapers || Download paper

2017The price of variance risk. (2017). Giglio, Stefano ; Dew-Becker, Ian ; Rodriguez, Marius ; Le, Anh . In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:2:p:225-250.

Full description at Econpapers || Download paper

2017Explaining the negative returns to volatility claims: An equilibrium approach. (2017). Eraker, Bjorn ; Wu, Yue. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:1:p:72-98.

Full description at Econpapers || Download paper

2017Economic evaluation of asymmetric and price range information in gold and general financial markets. (2017). Wu, Chih-Chiang ; Chiu, Junmao. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:53-68.

Full description at Econpapers || Download paper

2017Cross-border spillover effects of unconventional monetary policies on Swiss asset prices. (2017). Bernhard, Severin ; Ebner, Till . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:75:y:2017:i:c:p:109-127.

Full description at Econpapers || Download paper

2017Macroeconomic announcements and price discovery in the foreign exchange market. (2017). Wu, Zhen-Xing ; Gau, Yin-Feng. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:232-254.

Full description at Econpapers || Download paper

2017Multivariate elliptical truncated moments. (2017). Broda, Simon ; Arismendi, Juan C. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:157:y:2017:i:c:p:29-44.

Full description at Econpapers || Download paper

2017News sentiment and jumps in energy spot and futures markets. (2017). Dokumentov, Alexander ; Rotaru, Kristian ; Maslyuk-Escobedo, Svetlana. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:186-210.

Full description at Econpapers || Download paper

2017From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes. (2017). Henkel, Christof . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:447-458.

Full description at Econpapers || Download paper

2017Pricing foreign equity option under stochastic volatility tempered stable Lévy processes. (2017). Gong, Xiaoli ; Zhuang, Xintian . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:483:y:2017:i:c:p:83-93.

Full description at Econpapers || Download paper

2017Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models. (2017). Juneja, Januj. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:292-305.

Full description at Econpapers || Download paper

2017The impact of monetary policy on BRIC markets asset prices during global financial crises. (2017). Paimanova, Viktoriia ; Galloppo, Giuseppe. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:21-49.

Full description at Econpapers || Download paper

2017Time-varying risk aversion and return predictability. (2017). Yoon, Sun-Joong . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:327-339.

Full description at Econpapers || Download paper

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

Works by Yacine Ait-Sahalia:


YearTitleTypeCited
2005A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article494
2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 494
paper
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article0
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article0
1998Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices In: Journal of Finance.
[Full Text][Citation analysis]
article261
1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.(1995) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 261
paper
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.() In: CRSP working papers.
[Citation analysis]
This paper has another version. Agregated cites: 261
paper
1999Transition Densities for Interest Rate and Other Nonlinear Diffusions In: Journal of Finance.
[Full Text][Citation analysis]
article61
2001Variable Selection for Portfolio Choice In: Journal of Finance.
[Full Text][Citation analysis]
article132
2001Variable Selection for Portfolio Choice.(2001) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 132
paper
2001Variable Selection for Portfolio Choice..(2001) In: Manitoba - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 132
paper
2001Variable Selection for Portfolio Choice.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 132
paper
2002Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion In: Journal of Finance.
[Full Text][Citation analysis]
article17
2001Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2008Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions In: Working Paper Series.
[Full Text][Citation analysis]
paper34
2010Estimating affine multifactor term structure models using closed-form likelihood expansions.(2010) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
article
2002Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions.(2002) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
paper
1996Nonparametric Pricing of Interest Rate Derivative Securities. In: Econometrica.
[Full Text][Citation analysis]
article159
1995Nonparametric Pricing of Interest Rate Derivative Securities.(1995) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 159
paper
2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach In: Econometrica.
[Full Text][Citation analysis]
article99
2003The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions In: Econometrica.
[Full Text][Citation analysis]
article20
2002The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions.(2002) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
2008Fishers Information for Discretely Sampled Lévy Processes In: Econometrica.
[Full Text][Citation analysis]
article12
2004Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
paper0
2001Do option markets correctly price the probabilities of movement of the underlying asset? In: Journal of Econometrics.
[Full Text][Citation analysis]
article78
2001Goodness-of-fit tests for kernel regression with an application to option implied volatilities In: Journal of Econometrics.
[Full Text][Citation analysis]
article56
2003Nonparametric option pricing under shape restrictions In: Journal of Econometrics.
[Full Text][Citation analysis]
article101
2002Nonparametric Option Pricing under Shape Restrictions.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 101
paper
2008An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2008Out of sample forecasts of quadratic variation In: Journal of Econometrics.
[Full Text][Citation analysis]
article43
2011Ultra high frequency volatility estimation with dependent microstructure noise In: Journal of Econometrics.
[Full Text][Citation analysis]
article101
2005Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 101
paper
2005Ultra high frequency volatility estimation with dependent microstructure noise.(2005) In: Discussion Paper Series 1: Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 101
paper
2011Edgeworth expansions for realized volatility and related estimators In: Journal of Econometrics.
[Full Text][Citation analysis]
article17
2005Edgeworth Expansions for Realized Volatility and Related Estimators.(2005) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2012Testing for jumps in noisy high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]
article18
2012Stationarity-based specification tests for diffusions when the process is nonstationary In: Journal of Econometrics.
[Full Text][Citation analysis]
article6
1998Dynamic equilibrium and volatility in financial asset markets In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
1996Dynamic Equilibrium and Volatility in Financial Asset Markets.(1996) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
Dynamic Equilibrium and Volatility in Financial Asset Markets.() In: CRSP working papers.
[Citation analysis]
This paper has another version. Agregated cites: 3
paper
2000Nonparametric risk management and implied risk aversion In: Journal of Econometrics.
[Full Text][Citation analysis]
article253
2000Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 253
paper
2012Market response to policy initiatives during the global financial crisis In: Journal of International Economics.
[Full Text][Citation analysis]
article76
2010Market Response to Policy Initiatives during the Global Financial Crisis.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 76
paper
2013The leverage effect puzzle: Disentangling sources of bias at high frequency In: Journal of Financial Economics.
[Full Text][Citation analysis]
article21
2011The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2004Disentangling diffusion from jumps In: Journal of Financial Economics.
[Full Text][Citation analysis]
article47
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.
[Full Text][Citation analysis]
paper13
2004Maximum Likelihood Estimation of Stochastic Volatility Models In: NBER Working Papers.
[Full Text][Citation analysis]
paper3
2008High Frequency Market Microstructure Noise Estimates and Liquidity Measures In: NBER Working Papers.
[Full Text][Citation analysis]
paper2
2008Consumption and Portfolio Choice with Option-Implied State Prices In: NBER Working Papers.
[Full Text][Citation analysis]
paper3
2010Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data In: NBER Working Papers.
[Full Text][Citation analysis]
paper5
2010Modeling Financial Contagion Using Mutually Exciting Jump Processes In: NBER Working Papers.
[Full Text][Citation analysis]
paper96
2013High Frequency Traders: Taking Advantage of Speed In: NBER Working Papers.
[Full Text][Citation analysis]
paper5
2015Principal Component Analysis of High Frequency Data In: NBER Working Papers.
[Full Text][Citation analysis]
paper3
1995Testing Continuous-Time Models of the Spot Interest Rate In: NBER Working Papers.
[Full Text][Citation analysis]
paper275
1996Testing Continuous-Time Models of the Spot Interest Rate..(1996) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 275
article
2001Luxury Goods and the Equity Premium In: NBER Working Papers.
[Full Text][Citation analysis]
paper109
2002Closed-Form Likelihood Expansions for Multivariate Diffusions In: NBER Working Papers.
[Full Text][Citation analysis]
paper5
2003How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise In: NBER Working Papers.
[Full Text][Citation analysis]
paper141
2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise.(2005) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141
article
2003Disentangling Volatility from Jumps In: NBER Working Papers.
[Full Text][Citation analysis]
paper2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 1 2018. Contact: CitEc Team