Yacine Ait-Sahalia : Citation Profile


Are you Yacine Ait-Sahalia?

Princeton University

23

H index

32

i10 index

3167

Citations

RESEARCH PRODUCTION:

41

Articles

38

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   30 years (1988 - 2018). See details.
   Cites by year: 105
   Journals where Yacine Ait-Sahalia has often published
   Relations with other researchers
   Recent citing documents: 327.    Total self citations: 41 (1.28 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pai23
   Updated: 2019-01-12    RAS profile: 2018-05-27    
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Relations with other researchers


Works with:

Laeven, Roger (3)

Fan, Jianqing (2)

Pelizzon, Loriana (2)

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 (45)

Härdle, Wolfgang (43)

Shephard, Neil (42)

McAleer, Michael (41)

Phillips, Peter (39)

Andersen, Torben (36)

Ghysels, Eric (35)

Swanson, Norman (32)

Christoffersen, Peter (30)

Barndorff-Nielsen, Ole (29)

Cites to:

Bollerslev, Tim (25)

Shephard, Neil (21)

Lo, Andrew (19)

Andersen, Torben (19)

Hansen, Peter (16)

Tauchen, George (16)

Lunde, Asger (15)

Hansen, Lars (15)

Meddahi, Nour (14)

Fan, Jianqing (14)

Barndorff-Nielsen, Ole (14)

Main data


Where Yacine Ait-Sahalia has published?


Journals with more than one article published# docs
Journal of Econometrics16
Journal of Finance5
Econometrica4
Journal of Financial Economics4
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.

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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.

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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.

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2018Cross-sectional noise reduction and more efficient estimation of Integrated Variance. (2018). Mirone, Giorgio . In: CREATES Research Papers. RePEc:aah:create:2018-18.

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2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-19.

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

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

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

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2018Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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

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2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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

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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.

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2018Wavelet-based methods for high-frequency lead-lag analysis. (2018). Koike, Yuta ; Hayashi, Takaki . In: Papers. RePEc:arx:papers:1612.01232.

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2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

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2017Estimation of a noisy subordinated Brownian Motion via two-scales power variations. (2017). Figueroa-Lopez, Jose E ; Lee, K. In: Papers. RePEc:arx:papers:1702.01164.

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

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

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

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2018Hybrid marked point processes: characterisation, existence and uniqueness. (2018). Morariu-Patrichi, Maxime ; Pakkanen, Mikko S. In: Papers. RePEc:arx:papers:1707.06970.

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

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

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

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

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2018Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1709.02502.

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2018Systemic risk in a mean-field model of interbank lending with self-exciting shocks. (2018). Pascucci, Andrea ; la Rovere, Stefano ; Borovykh, Anastasia. In: Papers. RePEc:arx:papers:1710.00231.

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2018Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem. (2018). Sirignano, Justin ; Spiliopoulos, Konstantinos. In: Papers. RePEc:arx:papers:1710.04273.

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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.

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2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan . In: Papers. RePEc:arx:papers:1711.04392.

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

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

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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.

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2018Continuous Record Asymptotics for Structural Change Models. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10881.

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2018Tests for Forecast Instability and Forecast Failure under a Continuous Record Asymptotic Framework. (2018). Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10883.

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2018Continuous Record Laplace-based Inference about the Break Date in Structural Change Models. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1804.00232.

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2018Conditional heteroskedasticity in crypto-asset returns. (2018). Shaw, Charles. In: Papers. RePEc:arx:papers:1804.07978.

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2018Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs. (2018). Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:1805.09996.

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2018State-Varying Factor Models of Large Dimensions. (2018). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1807.02248.

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2018Affine Jump-Diffusions: Stochastic Stability and Limit Theorems. (2018). Zhang, Xiaowei ; Glynn, Peter W. In: Papers. RePEc:arx:papers:1811.00122.

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2018Optimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes. (2018). Jos'e E. Figueroa-L'opez, ; Nisen, Jeffrey ; Li, Cheng. In: Papers. RePEc:arx:papers:1811.07499.

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2018Modeling aggressive market order placements with Hawkes factor models. (2018). Xu, Hai-Chuan ; Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:1811.08076.

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2018Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1811.09312.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2018General Compound Hawkes Processes in Limit Order Books. (2018). Swishchuk, Anatoliy ; Huffman, Aiden. In: Papers. RePEc:arx:papers:1812.02298.

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2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Working Papers Series. RePEc:bcb:wpaper:482.

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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.

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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.

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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.

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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.

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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.

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

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

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2017Continuous Record Asymptotics for Structural Change Models. (2017). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-010.

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2017Continuous Record Laplace-based Inference about the Break Date in Structural Change Models. (2017). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-011.

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

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

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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.

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2018Central Bank Policies and Financial Markets: Lessons from the Euro Crisis. (2018). Mody, Ashoka ; Nedeljkovic, Milan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7400.

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2018Medida de aversión al Riesgo Mediante Volatilidades Implícitas Realizadas. (2018). Sagner, Andres ; Fernandois, Antonio ; alvarez, Nicolas . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:818.

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2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

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

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2018Muddying the waters: Who Induces Volatility in an Emerging Market?. (2018). Yepes-Henao, Paula A ; Gencay, Ramazan ; Agudelo, Diego A. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016974.

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2018Capital Share Risk in U.S. Asset Pricing. (2018). Lettau, Martin ; Ma, Sai ; Ludvigson, Sydney. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12628.

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2018Generalized Recovery. (2018). Lando, David ; Jensen, Christian Skov ; Pedersen, Lasse Heje. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12665.

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

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2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

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2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12857.

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2018Pockets of Predictability. (2018). Farmer, Leland ; Timmermann, Allan G ; Schmidt, Lawrence . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12885.

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2018Making Parametric Portfolio Policies Work. (2018). Gehrig, Thomas ; Westerkamp, Arne ; Sogner, Leopold . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13193.

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2017Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market. (2017). Wu, Xin Yu ; Zhou, Hailin ; Ren, Senchun. In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:4:p:263-278.

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

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2018Value-at-Risk prediction using option-implied risk measures. (2018). Schindelhauer, Kai ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

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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.

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2017A Simple R-Estimation Method for Semiparametric Duration Models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Working Papers ECARES. RePEc:eca:wpaper:2013/243446.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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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.

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2018News and expected returns in East Asian equity markets: The RV-GARCHM model. (2018). Yao, Wenying ; Tang, Chrismin ; Martin, Vance L. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:36-52.

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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.

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2019On a spiked model for large volatility matrix estimation from noisy high-frequency data. (2019). Shen, Keren ; Li, Wai Keung ; Yao, Jianfeng. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:207-221.

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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.

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2018Local volatility and the recovery rate of credit default swaps. (2018). Jansen, Jeroen ; Fabozzi, Frank J ; Das, Sanjiv R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:1-29.

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2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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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.

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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.

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2018Forecasting the aggregate oil price volatility in a data-rich environment. (2018). Ma, Feng ; Zhang, Yaojie ; Wahab, M. I. M., ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:320-332.

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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhihong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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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.

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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.

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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.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2018Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach. (2018). Herrera, Rodrigo ; Clements, Adam ; Gonzalez, Sergio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:70-88.

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2018Consistent estimator of nonparametric structural spurious regression model for high frequency data. (2018). Jeong, Minsoo. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:18-21.

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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.

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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.

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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.

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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.

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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.

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2017A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation. (2017). Hounyo, Ulrich ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:10-28.

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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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article59
2010Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 59
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