Yacine Ait-Sahalia : Citation Profile


Are you Yacine Ait-Sahalia?

Princeton University

23

H index

30

i10 index

3004

Citations

RESEARCH PRODUCTION:

41

Articles

38

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   30 years (1988 - 2018). See details.
   Cites by year: 100
   Journals where Yacine Ait-Sahalia has often published
   Relations with other researchers
   Recent citing documents: 246.    Total self citations: 41 (1.35 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pai23
   Updated: 2018-07-21    RAS profile: 2018-05-27    
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Relations with other researchers


Works with:

Laeven, Roger (3)

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)

McAleer, Michael (41)

Phillips, Peter (39)

Shephard, Neil (38)

Ghysels, Eric (35)

Andersen, Torben (35)

Swanson, Norman (32)

Christoffersen, Peter (29)

Barndorff-Nielsen, Ole (29)

Cites to:

Bollerslev, Tim (25)

Shephard, Neil (19)

Lo, Andrew (19)

Andersen, Torben (19)

Tauchen, George (16)

Hansen, Peter (16)

Lunde, Asger (15)

Hansen, Lars (15)

Barndorff-Nielsen, Ole (14)

Fan, Jianqing (14)

Meddahi, Nour (14)

Main data


Where Yacine Ait-Sahalia has published?


Journals with more than one article published# docs
Journal of Econometrics16
Journal of Finance5
Journal of Financial Economics4
Econometrica4
Review of Financial Studies2
Journal of Business & Economic Statistics2

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). Christensen, Kim ; Veliyev, Bezirgen ; Thyrsgaard, Martin. 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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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.

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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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2017Local Parametric Estimation in High Frequency Data. (2017). 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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2017Hybrid marked point processes: characterisation, existence and uniqueness. (2017). 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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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.

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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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2017Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem. (2017). 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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2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). 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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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 ; Dungey, Mardi ; Veredas, David ; Matei, Marius. 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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2018Medida de aversión al Riesgo Mediante Volatilidades Implícitas Realizadas. (2018). alvarez, Nicolas ; Sagner, Andres ; Fernandois, Antonio. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:818.

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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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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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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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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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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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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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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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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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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 ; Christensen, K ; Thamrongrat, N ; Podolskij, M. 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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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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2018Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data. (2018). Kim, Donggyu ; Wang, Yazhen ; Li, Cui-Xia ; Kong, Xin-Bing. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:69-79.

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2018A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise. (2018). Li, Yingying ; Zhang, Zhiyuan. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:187-222.

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2018Asymptotic inference about predictive accuracy using high frequency data. (2018). Li, Jia ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:223-240.

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2018Testing for self-excitation in jumps. (2018). Boswijk, Peter H ; Yang, Xiye. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:256-266.

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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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2018Estimating the integrated volatility using high-frequency data with zero durations. (2018). Liu, Zhi ; Jing, Bing-Yi ; Kong, Xin-Bing. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:18-32.

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2018Filtered likelihood for point processes. (2018). Giesecke, Kay ; Schwenkler, Gustavo. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:33-53.

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2018Testing for jumps and jump intensity path dependence. (2018). Corradi, Valentina ; Swanson, Norman R ; Silvapulle, Mervyn J. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

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2018Testing against constant factor loading matrix with large panel high-frequency data. (2018). Kong, Xin-Bing ; Liu, Cheng. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:301-319.

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2018Semiparametric estimation under shape constraints. (2018). Wu, Ximing ; Sickles, Robin . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:74-89.

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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.

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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.

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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.

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2017Time-varying continuous and jump betas: The role of firm characteristics and periods of stress. (2017). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:1-19.

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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.

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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.

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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.

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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.

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

Works by Yacine Ait-Sahalia:


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1994Entry-Exit Decisions of Foreign Firms and Import Prices In: Annals of Economics and Statistics.
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2012Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data In: Journal of Economic Literature.
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2010Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data.(2010) In: NBER Working Papers.
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2009Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities In: Annual Review of Financial Economics.
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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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2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data.(2003) In: NBER Working Papers.
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2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics.
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2006Comment In: Journal of Business & Economic Statistics.
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1998Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices In: Journal of Finance.
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1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.(1995) In: NBER Working Papers.
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1999Transition Densities for Interest Rate and Other Nonlinear Diffusions In: Journal of Finance.
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2001TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS.(2001) In: World Scientific Book Chapters.
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2001Variable Selection for Portfolio Choice In: Journal of Finance.
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2001Variable Selection for Portfolio Choice.(2001) In: FAME Research Paper Series.
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2001Variable Selection for Portfolio Choice..(2001) In: Manitoba - Department of Economics.
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2001Variable Selection for Portfolio Choice.(2001) In: NBER Working Papers.
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2002Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion In: Journal of Finance.
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2001Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion.(2001) In: NBER Working Papers.
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2004Luxury Goods and the Equity Premium In: Journal of Finance.
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2001Luxury Goods and the Equity Premium.(2001) In: NBER Working Papers.
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2002Luxury Goods and the Equity Premium.(2002) In: Working Papers.
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2008Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions In: Working Paper Series.
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2010Estimating affine multifactor term structure models using closed-form likelihood expansions.(2010) In: Journal of Financial Economics.
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2002Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions.(2002) In: NBER Technical Working Papers.
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1996Nonparametric Pricing of Interest Rate Derivative Securities. In: Econometrica.
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1995Nonparametric Pricing of Interest Rate Derivative Securities.(1995) In: NBER Working Papers.
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2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach In: Econometrica.
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2003The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions In: Econometrica.
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2002The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions.(2002) In: NBER Technical Working Papers.
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2008Fishers Information for Discretely Sampled Lévy Processes In: Econometrica.
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2004Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) In: Econometric Society 2004 North American Winter Meetings.
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2001Do option markets correctly price the probabilities of movement of the underlying asset? In: Journal of Econometrics.
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2001Goodness-of-fit tests for kernel regression with an application to option implied volatilities In: Journal of Econometrics.
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2003Nonparametric option pricing under shape restrictions In: Journal of Econometrics.
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2002Nonparametric Option Pricing under Shape Restrictions.(2002) In: NBER Working Papers.
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2008An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions In: Journal of Econometrics.
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2008Out of sample forecasts of quadratic variation In: Journal of Econometrics.
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2011Ultra high frequency volatility estimation with dependent microstructure noise In: Journal of Econometrics.
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2005Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise.(2005) In: NBER Working Papers.
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2005Ultra high frequency volatility estimation with dependent microstructure noise.(2005) In: Discussion Paper Series 1: Economic Studies.
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2011Edgeworth expansions for realized volatility and related estimators In: Journal of Econometrics.
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2005Edgeworth Expansions for Realized Volatility and Related Estimators.(2005) In: NBER Technical Working Papers.
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2012Testing for jumps in noisy high frequency data In: Journal of Econometrics.
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2012Stationarity-based specification tests for diffusions when the process is nonstationary In: Journal of Econometrics.
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2014Mutual excitation in Eurozone sovereign CDS In: Journal of Econometrics.
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2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
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2015Market-based estimation of stochastic volatility models In: Journal of Econometrics.
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2016Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models In: Journal of Econometrics.
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2016Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics.
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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data In: Journal of Econometrics.
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1998Dynamic equilibrium and volatility in financial asset markets In: Journal of Econometrics.
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1996Dynamic Equilibrium and Volatility in Financial Asset Markets.(1996) In: NBER Working Papers.
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2000Nonparametric risk management and implied risk aversion In: Journal of Econometrics.
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2000Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers.
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2012Market response to policy initiatives during the global financial crisis In: Journal of International Economics.
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2010Market Response to Policy Initiatives during the Global Financial Crisis.(2010) In: NBER Working Papers.
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2013The leverage effect puzzle: Disentangling sources of bias at high frequency In: Journal of Financial Economics.
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2011The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency.(2011) In: NBER Working Papers.
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2015Modeling financial contagion using mutually exciting jump processes In: Journal of Financial Economics.
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2010Modeling Financial Contagion Using Mutually Exciting Jump Processes.(2010) In: NBER Working Papers.
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2004Disentangling diffusion from jumps In: Journal of Financial Economics.
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2018Semimartingale: Itô or not ? In: Stochastic Processes and their Applications.
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1988Le redressement des Tables de Contingence : Deux nouvelles approches In: Post-Print.
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1994Goodness-of-fit tests for regression using kernel methods In: Working papers.
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1998Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach In: NBER Technical Working Papers.
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2004Maximum Likelihood Estimation of Stochastic Volatility Models In: NBER Working Papers.
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2008High Frequency Market Microstructure Noise Estimates and Liquidity Measures In: NBER Working Papers.
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2008Consumption and Portfolio Choice with Option-Implied State Prices In: NBER Working Papers.
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2013High Frequency Traders: Taking Advantage of Speed In: NBER Working Papers.
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2015Principal Component Analysis of High Frequency Data In: NBER Working Papers.
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1995Testing Continuous-Time Models of the Spot Interest Rate In: NBER Working Papers.
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1996Testing Continuous-Time Models of the Spot Interest Rate..(1996) In: Review of Financial Studies.
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2003How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise In: NBER Working Papers.
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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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2003Disentangling Volatility from Jumps In: NBER Working Papers.
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2016Portfolio Choice in Markets with Contagion In: Journal of Financial Econometrics.
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2014Preface In: Introductory Chapters.
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2017Estimation of the Continuous and Discontinuous Leverage Effects In: Journal of the American Statistical Association.
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