Yacine Ait-Sahalia : Citation Profile

Are you Yacine Ait-Sahalia?

Princeton University

31

H index

45

i10 index

4606

Citations

RESEARCH PRODUCTION:

49

Articles

52

Papers

1

Books

3

Chapters

RESEARCH ACTIVITY:

   36 years (1988 - 2024). See details.
   Cites by year: 127
   Journals where Yacine Ait-Sahalia has often published
   Relations with other researchers
   Recent citing documents: 285.    Total self citations: 50 (1.07 %)

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   Permalink: http://citec.repec.org/pai23
   Updated: 2024-11-08    RAS profile: 2024-06-07    
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Relations with other researchers

Works with:

Xiu, Dacheng (7)

Dreber, Anna (6)

Davies, Ryan (6)

CAPELLE-BLANCARD, Gunther (6)

Füllbrunn, Sascha (6)

Deku, Solomon (6)

Caporin, Massimiliano (6)

Menkveld, Albert (6)

Frijns, Bart (6)

FERROUHI, EL MEHDI (6)

Deev, Oleg (6)

Chernov, Mikhail (6)

Gehrig, Thomas (6)

Colliard, Jean-Edouard (6)

Frömmel, Michael (6)

Johannesson, Magnus (6)

Dimpfl, Thomas (6)

Aloosh, Arash (5)

Degryse, Hans (5)

Bohorquez Correa, Santiago (5)

Holzmeister, Felix (5)

Brownlees, Christian (5)

Alexeev, Vitali (5)

Eugster, Nicolas (5)

Adrian, Tobias (4)

Dumitrescu, Ariadna (4)

Korajczyk, Robert (4)

Hautsch, Nikolaus (4)

Gerritsen, Dirk (4)

Abudy, Menachem (4)

Walther, Thomas (4)

Liew, Chee (4)

Harris, Jeffrey (4)

Verousis, Thanos (4)

Nielsson, Ulf (4)

Foucault, Thierry (4)

Smales, Lee (4)

Chow, Nikolai Sheung-Chi (4)

Huang, Wenqian (4)

Schwarz, Marco (4)

Horenstein, Alex (4)

Renault, Thomas (4)

Lof, Matthijs (4)

Jalkh, Naji (4)

Ødegaard, Bernt (4)

Ferrara, Gerardo (4)

Pastor, Lubos (4)

Bjønnes, Geir (4)

Gil-Bazo, Javier (4)

Schenk-Hoppé, Klaus (4)

Wolff, Christian (4)

Stefanova, Denitsa (4)

Sarno, Lucio (4)

Hurlin, Christophe (4)

Schuerhoff, Norman (4)

Palan, Stefan (4)

Ranaldo, Angelo (4)

Pasquariello, Paolo (4)

Shachar, Or (4)

Reitz, Stefan (4)

Talavera, Oleksandr (4)

Vilkov, Grigory (4)

Rinne, Kalle (4)

Zhang, S. Sarah (4)

Koetter, Michael (3)

Wilhelmsson, Anders (3)

Mihet, Roxana (3)

Güçbilmez, Ufuk (3)

Taylor, Nick (3)

Neszveda, Gabor (3)

Roy, Saurabh (3)

Voigt, Stefan (3)

Xia, Shuo (3)

Patel, Vinay (2)

He, Xuezhong (Tony) (2)

Theissen, Erik (2)

Gorbenko, Arseny (2)

Sojli, Elvira (2)

Roy, Saurabh (2)

Regis, Luca (2)

Heath, Davidson (2)

Jurkatis, Simon (2)

Bos, Charles (2)

LINTON, OLIVER (2)

Kearney, Fearghal (2)

Lajaunie, Quentin (2)

Rakowski, David (2)

Prokopczuk, Marcel (2)

PASCUAL, ROBERTO (2)

Putnins, Talis (2)

Wong, Wing-Keung (2)

Kassner, Bernhard (2)

Vogel, Sebastian (2)

Lopez-Lira, Alejandro (2)

Tonks, Ian (2)

Bouri, Elie (2)

Söderlind, Paul (2)

Park, Andreas (2)

Zhou, Chen (2)

Moinas, Sophie (2)

Hjalmarsson, Erik (2)

van Kervel, Vincent (2)

Scaillet, Olivier (2)

Pelizzon, Loriana (2)

Patton, Andrew (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 (61)

Härdle, Wolfgang (56)

Yu, Jun (53)

Kim, Donggyu (46)

LINTON, OLIVER (45)

Andersen, Torben (44)

Phillips, Peter (43)

Shephard, Neil (43)

Swanson, Norman (43)

Asai, Manabu (34)

Xiu, Dacheng (33)

Cites to:

Bollerslev, Tim (37)

Andersen, Torben (30)

Hansen, Lars (29)

Shephard, Neil (26)

Tauchen, George (25)

merton, robert (23)

Meddahi, Nour (20)

Wu, Liuren (19)

Diebold, Francis (19)

Hansen, Peter (18)

Singleton, Kenneth (17)

Main data

Where Yacine Ait-Sahalia has published?

Journals with more than one article published# docs
Journal of Econometrics23
Econometrica4
Journal of Financial Economics4
The Review of Financial Studies3
Journal of Finance3
Journal of the American Statistical Association2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc27
Post-Print / HAL2
Papers / arXiv.org2

Recent works citing Yacine Ait-Sahalia (2024 and 2023)

YearTitle of citing document
2023A Technical Indicator for a Short-term Trading Decision in the NASDAQ Market. (2023). Khalaf, Oshamah Ibrahim ; Bouasabah, Mohammed. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:27:y:2023:i:3:p:1-13.

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2023A fractional Hawkes process for illiquidity modeling. (2023). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023001.

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2023A mutually exciting rough jump diffusion for financial modelling. (2023). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023011.

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2023Denise: Deep Learning based Robust PCA for Positive Semidefinite Matrices. (2020). Teichmann, Josef ; Krach, Florian ; Herrera, Calypso . In: Papers. RePEc:arx:papers:2004.13612.

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2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2023Encompassing Tests for Nonparametric Regressions. (2022). Lapenta, Elia ; Lavergne, Pascal. In: Papers. RePEc:arx:papers:2203.06685.

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2024Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2023Estimating spot volatility under infinite variation jumps with market microstructure noise. (2022). Liu, Zhi. In: Papers. RePEc:arx:papers:2205.15738.

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2024Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2024Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2024Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693.

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2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2024Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations. (2022). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2209.10128.

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2024Statistical inference for rough volatility: Central limit theorems. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216.

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2023The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective. (2022). Veraart, Almut ; Pakkanen, Mikko ; Lucchese, Lorenzo. In: Papers. RePEc:arx:papers:2211.13777.

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2023Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833.

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2023Fixed-point iterative algorithm for SVI model. (2023). Zhang, Wenqing ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:2301.07830.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2023Multi-kernel property in high-frequency price dynamics under Hawkes model. (2023). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2302.11822.

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2024Price Discovery for Derivatives. (2023). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426.

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2024High-Frequency Volatility Estimation with Fast Multiple Change Points Detection. (2023). Polak, Pawel ; Ainasse, El Mehdi ; Balabhadra, Greeshma. In: Papers. RePEc:arx:papers:2303.10550.

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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2023Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151.

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2023Dark Matter in (Volatility and) Equity Option Risk Premiums. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip. In: Papers. RePEc:arx:papers:2303.16371.

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2024Unifying Market Microstructure and Dynamic Asset Pricing. (2023). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan ; Lauria, Davide. In: Papers. RePEc:arx:papers:2304.02356.

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2023Symmetric positive semi-definite Fourier estimator of instantaneous variance-covariance matrix. (2023). Yasuda, Yukie ; Mariotti, Tommaso ; Mancino, Maria Elvira ; Liu, Nien-Lin ; Akahori, Jiro. In: Papers. RePEc:arx:papers:2304.04372.

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2023Asymptotic Expansions for High-Frequency Option Data. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450.

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2024Large Global Volatility Matrix Analysis Based on Structural Information. (2023). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464.

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2024Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2024Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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2023Fast and Furious: A High-Frequency Analysis of Robinhood Users Trading Behavior. (2023). Cenesizoglu, Tolga ; Aymard, Cl'Ement ; Ardia, David. In: Papers. RePEc:arx:papers:2307.11012.

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2023When to efficiently rebalance a portfolio. (2023). Fukasawa, Masaaki ; Ando, Masayuki. In: Papers. RePEc:arx:papers:2308.08745.

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2024An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics. (2023). Ventre, Carmine ; Polukarov, Maria ; Cao, YI ; Li, Haochen. In: Papers. RePEc:arx:papers:2308.14235.

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2023New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025.

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2024iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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2023From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033.

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2023Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2023). Neely, Christopher ; Boudt, Kris ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2309.15705.

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2023Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511.

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2024No-Arbitrage Deep Calibration for Volatility Smile and Skewness. (2023). Phelan, Carolyn E ; Hoshisashi, Kentaro ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2310.16703.

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2023Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas. (2023). Hansen, Peter ; Luo, Yiyao. In: Papers. RePEc:arx:papers:2310.19992.

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2023Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2023). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784.

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2024Jump detection in high-frequency order prices. (2024). Ristig, Alexander ; Hautsch, Nikolaus ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2403.00819.

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2024On Mertons Optimal Portfolio Problem under Sporadic Bankruptcy. (2024). Pokojovy, Michael ; Kopeliovich, Yaacov. In: Papers. RePEc:arx:papers:2403.15923.

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2023The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul. (2023). Alshiqi, Sevdie ; Demirel, Bilge Leyli ; Dogan, Mesut ; Altinay, Aysenur Tarakcioglu. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:4:p:3-21.

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2023.

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2023Timing the factor zoo via deep learning: Evidence from China. (2023). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:485-505.

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2024Risk contagion in financial markets: A systematic review using bibliometric methods. (2024). Zhou, Yunyan ; Zhai, Lili ; Su, Fei ; Wang, Feifan ; Zhuang, Zixi. In: Australian Economic Papers. RePEc:bla:ausecp:v:63:y:2024:i:1:p:163-199.

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2024Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

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2024.

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2023Optimal measure preserving derivatives revisited. (2023). Beare, Brendan. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:370-388.

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2024Approximate maximum likelihood estimation for one?dimensional diffusions observed on a fine grid. (2022). Preston, Simon P ; Paine, Phillip J ; Lu, Kevin W. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:3:p:1085-1114.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2024Convergence of a exponential tamed method for a general interest rate model. (2024). Wang, Mengchao ; Lord, Gabriel. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:467:y:2024:i:c:s0096300323006720.

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2024Peak operation optimization of cascade hydropower reservoirs and solar power plants considering output forecasting uncertainty. (2024). Niu, Wen-Jing ; Huang, Qing-Qing ; Feng, Zhong-Kai ; Wang, Jia-Yang ; Wu, Hui-Jun ; Li, Shu-Shan ; Su, Hua-Ying. In: Applied Energy. RePEc:eee:appene:v:358:y:2024:i:c:s0306261923018974.

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2023Do algorithmic traders exploit volatility?. (2023). Marathe, Rahul R ; Prasanna, Krishna P ; Arumugam, Devika. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001009.

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2023Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes. (2023). Teng, Yuanyang ; Li, Yicun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:177:y:2023:i:c:s0960077923011050.

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2023A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (2023). Ge, Shuyi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002688.

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2023Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613.

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2023Portfolio optimization in the presence of tail correlation. (2023). Chibane, Messaoud ; ben Abdelaziz, Fouad. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000470.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Algorithmic trading: Intraday profitability and trading behavior. (2023). Arumugam, Devika. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003334.

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2024Market price determination: Interpreting quote order imbalance under zero-profit equilibrium. (2024). Long, Xingchen ; Wu, Liang ; Yan, Jingzhou. In: Economic Modelling. RePEc:eee:ecmode:v:134:y:2024:i:c:s0264999324000646.

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2024The valuation of arithmetic Asian options with mean reversion and jump clustering. (2024). Song, Shiyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001821.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Identifying latent factors based on high-frequency data. (2023). Zhang, Chuanhai ; Xu, Wen ; Sun, Yucheng. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:251-270.

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2023Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Intraday cross-sectional distributions of systematic risk. (2023). Andersen, Torben ; Todorov, Viktor ; Thyrsgaard, Martin ; Riva, Raul. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1394-1418.

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2023Large volatility matrix analysis using global and national factor models. (2023). Kim, Donggyu ; Choi, Sung Hoon. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1917-1933.

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2023Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications. (2023). Wang, Bin ; Kim, Jihyun ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1934-1954.

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2023A GMM approach to estimate the roughness of stochastic volatility. (2023). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:745-778.

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2023News-implied linkages and local dependency in the equity market. (2023). Linton, Oliver ; Ge, Shuyi. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:779-815.

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2023Semiparametric estimation of latent variable asset pricing models. (2023). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001598.

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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.
[Full Text][Citation analysis]		article0
2012Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data In: Journal of Economic Literature.
[Full Text][Citation analysis]		article96
2010Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 96		paper
2009Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article0
2009High frequency market microstructure noise estimates and liquidity measures In: Papers.
[Full Text][Citation analysis]		paper51
2008High Frequency Market Microstructure Noise Estimates and Liquidity Measures.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2012Portfolio Choice in Markets with Contagion In: Papers.
[Full Text][Citation analysis]		paper21
2016Portfolio Choice in Markets with Contagion.(2016) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 21		article
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]		article791
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 nother version. Agregated cites: 791		paper
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]		article1
2006Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
1999Transition Densities for Interest Rate and Other Nonlinear Diffusions In: Journal of Finance.
[Full Text][Citation analysis]		article67
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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2018The Term Structure of Variance Swaps and Risk Premia In: Swiss Finance Institute Research Paper Series.
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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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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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2019A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics.
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2020High-frequency factor models and regressions In: Journal of Econometrics.
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2020High frequency traders and the price process In: Journal of Econometrics.
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2020The term structure of equity and variance risk premia In: Journal of Econometrics.
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2021Closed-form implied volatility surfaces for stochastic volatility models with jumps In: Journal of Econometrics.
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2024High frequency market making: The role of speed In: Journal of Econometrics.
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2024Maximum likelihood estimation of latent Markov models using closed-form approximations 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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2019Robust consumption and portfolio policies when asset prices can jump In: Journal of Economic Theory.
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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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2021When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance In: Finance and Economics Discussion Series.
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2021When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance.(2021) In: NBER Working Papers.
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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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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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2019Principal Component Analysis of High-Frequency Data.(2019) In: Journal of the American Statistical Association.
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2020Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers.
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2022How and When are High-Frequency Stock Returns Predictable? In: NBER Working Papers.
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2024So Many Jumps, So Few News 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: The Review of Financial Studies.
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1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices In: NBER Working Papers.
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2001Luxury Goods and the Equity Premium In: NBER Working Papers.
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2002Luxury Goods and the Equity Premium.(2002) In: Working Papers.
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2002Closed-Form Likelihood Expansions for Multivariate Diffusions In: NBER Working Papers.
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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: The Review of Financial Studies.
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2003Disentangling Volatility from Jumps In: NBER Working Papers.
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2014Preface In: Introductory Chapters.
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2014From Diffusions to Semimartingales In: Introductory Chapters.
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