Yacine Ait-Sahalia : Citation Profile

Are you Yacine Ait-Sahalia?

Princeton University

28

H index

41

i10 index

4105

Citations

RESEARCH PRODUCTION:

46

Articles

47

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   34 years (1988 - 2022). See details.
   Cites by year: 120
   Journals where Yacine Ait-Sahalia has often published
   Relations with other researchers
   Recent citing documents: 355.    Total self citations: 48 (1.16 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pai23
   Updated: 2023-03-02    RAS profile: 2022-03-19    
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Relations with other researchers

Works with:

Xiu, Dacheng (7)

Ferrara, Gerardo (4)

Caporin, Massimiliano (4)

Gerritsen, Dirk (4)

Deev, Oleg (4)

Brownlees, Christian (4)

Gehrig, Thomas (4)

Johannesson, Magnus (4)

FERROUHI, EL MEHDI (4)

Chernov, Mikhail (4)

Chow, Nikolai Sheung-Chi (4)

Deku, Solomon (4)

Colliard, Jean-Edouard (4)

CAPELLE-BLANCARD, Gunther (4)

Holzmeister, Felix (4)

Menkveld, Albert (4)

Dreber, Anna (4)

Dimpfl, Thomas (4)

Adrian, Tobias (4)

Bohorquez Correa, Santiago (4)

Abudy, Menachem (4)

Dumitrescu, Ariadna (4)

Alexeev, Vitali (4)

Frömmel, Michael (3)

Füllbrunn, Sascha (3)

Gorbenko, Arseny (2)

Smales, Lee (2)

Hurlin, Christophe (2)

Sojli, Elvira (2)

Mihet, Roxana (2)

Kassner, Bernhard (2)

Pasquariello, Paolo (2)

Vilkov, Grigory (2)

Regis, Luca (2)

Patton, Andrew (2)

Schwarz, Marco (2)

Wilhelmsson, Anders (2)

Frijns, Bart (2)

Sarno, Lucio (2)

Hjalmarsson, Erik (2)

Putnins, Talis (2)

Patel, Vinay (2)

Wong, Wing-Keung (2)

Schenk-Hoppé, Klaus (2)

Lopez-Lira, Alejandro (2)

Rakowski, David (2)

Bouri, Elie (2)

Wolff, Christian (2)

Rinne, Kalle (2)

Talavera, Oleksandr (2)

Lof, Matthijs (2)

Palan, Stefan (2)

Verousis, Thanos (2)

Taylor, Nick (2)

Park, Andreas (2)

Davies, Ryan (2)

Heath, Davidson (2)

He, Xuezhong (Tony) (2)

Prokopczuk, Marcel (2)

Pastor, Lubos (2)

Nielsson, Ulf (2)

Stefanova, Denitsa (2)

Xia, Shuo (2)

Bos, Charles (2)

Harris, Jeffrey (2)

Foucault, Thierry (2)

LINTON, OLIVER (2)

Ranaldo, Angelo (2)

van Kervel, Vincent (2)

Kearney, Fearghal (2)

Jurkatis, Simon (2)

Jalkh, Naji (2)

Fan, Jianqing (2)

Vogel, Sebastian (2)

Theissen, Erik (2)

Lajaunie, Quentin (2)

Hautsch, Nikolaus (2)

Moinas, Sophie (2)

Reitz, Stefan (2)

Tonks, Ian (2)

Walther, Thomas (2)

Roy, Saurabh (2)

Scaillet, Olivier (2)

PASCUAL, ROBERTO (2)

Pelizzon, Loriana (2)

Gil-Bazo, Javier (2)

Zhou, Chen (2)

Horenstein, Alex (2)

Jones, Charles (2)

Liew, Chee (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)

Yu, Jun (52)

McAleer, Michael (48)

LINTON, OLIVER (43)

Swanson, Norman (43)

Shephard, Neil (42)

Phillips, Peter (42)

Andersen, Torben (39)

Härdle, Wolfgang (35)

Ghysels, Eric (32)

Xiu, Dacheng (31)

Cites to:

Bollerslev, Tim (37)

Hansen, Lars (29)

Andersen, Torben (27)

Shephard, Neil (24)

Tauchen, George (24)

Carr, Peter (21)

merton, robert (21)

Diebold, Francis (19)

Hansen, Peter (18)

Fan, Jianqing (17)

Meddahi, Nour (17)

Main data

Where Yacine Ait-Sahalia has published?

Journals with more than one article published# docs
Journal of Econometrics21
Econometrica4
Journal of Financial Economics4
Journal of Finance3
Journal of Business & Economic Statistics2
Review of Financial Studies2
Journal of the American Statistical Association2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc26
Post-Print / HAL2

Recent works citing Yacine Ait-Sahalia (2022 and 2021)

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

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2021A GARCH Tutorial with R. (2021). Perlin, Marcelo ; Vancin, Daniel Francisco ; Mastella, Mauro ; Ramos, Henrique Pinto. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:25:y:2021:i:1:1420.

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

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2022Long memory self-exciting jump diffusion for asset prices modeling. (2022). Hainaut, Donatien ; Njike, Charles G. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022003.

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

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

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2022Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2018). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1811.09312.

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

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

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

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

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

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2022Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging. (2020). Wu, Bei ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:2004.01865.

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

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

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2022A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2022Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures. (2020). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Papers. RePEc:arx:papers:2010.04610.

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2022Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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

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2022Estimation of Tempered Stable L\{e}vy Models of Infinite Variation. (2021). Han, Yuchen ; Gong, Ruoting ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:2101.00565.

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2021A Unified Framework for Specification Tests of Continuous Treatment Effect Models. (2021). Zhang, Zheng ; Linton, Oliver ; Huang, Wei. In: Papers. RePEc:arx:papers:2102.08063.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2022Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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

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

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

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

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

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2022An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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

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

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2022Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262.

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

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2021Numerical approximation of hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay. (2021). Coffie, Emmanuel. In: Papers. RePEc:arx:papers:2107.03712.

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

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

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

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

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2021Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective. (2021). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2111.09655.

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2022Option Pricing with State-dependent Pricing Kernel. (2021). Huang, Zhuo ; Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2112.05308.

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2022Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. (2022). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2112.14529.

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2022Optimal measure preserving derivatives revisited. (2022). Beare, Brendan. In: Papers. RePEc:arx:papers:2201.09108.

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2022Efficient Volatility Estimation for L\evy Processes with Jumps of Unbounded Variation. (2022). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2202.00877.

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2022Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia. (2022). Roncalli, Thierry ; Kostyuchyk, Nazar ; Bruder, Benjamin. In: Papers. RePEc:arx:papers:2202.10721.

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2022From Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution. (2022). Mariotti, Tommaso ; Toscano, Giacomo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2202.12137.

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2022A contagion process with self-exciting jumps in credit risk applications. (2022). Pasricha, Puneet ; Natarajan, Selvaraju ; Selvamuthu, Dharmaraja. In: Papers. RePEc:arx:papers:2202.12946.

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

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2022High-Frequency-Based Volatility Model with Network Structure. (2022). Wang, Junhui ; Li, Guodong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:2204.12933.

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2022HARNet: A Convolutional Neural Network for Realized Volatility Forecasting. (2022). Hautsch, Nikolaus ; Bayer, Xandro ; Reisenhofer, Rafael. In: Papers. RePEc:arx:papers:2205.07719.

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

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

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2022Application 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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2022A penalized two-pass regression to predict stock returns with time-varying risk premia. (2022). Scaillet, Olivier ; Guerrier, St'Ephane ; Bakalli, Gaetan. In: Papers. RePEc:arx:papers:2208.00972.

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2022Estimation of growth in fund models. (2022). Ruf, Johannes ; Koo, Hyeng Keun ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:2208.02573.

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2022Do Investors Hedge Against Green Swans? Option-Implied Risk Aversion to Wildfires. (2022). Ouazad, Amine. In: Papers. RePEc:arx:papers:2208.06930.

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2022Matrix 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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2022Large Volatility Matrix Analysis Using Global and National Factor Models. (2022). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2208.12323.

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2022Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing. (2022). Aste, Tomaso ; Wang, Yuanrong ; Saef, Danial. In: Papers. RePEc:arx:papers:2208.12614.

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

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2022ESG-valued discrete option pricing in complete markets. (2022). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2209.06276.

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2022Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira. In: Papers. RePEc:arx:papers:2209.08967.

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2022Efficient 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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2022Statistical 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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2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217.

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2022Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2210.16042.

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2022State-dependent Asset Allocation Using Neural Networks. (2022). Neghab, Davood Pirayesh ; Bradrania, Reza. In: Papers. RePEc:arx:papers:2211.00871.

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2022Dynamic Estimates Of The Arrow-Pratt Absolute And Relative Risk Aversion Coefficients. (2022). Pittis, Nikitas ; Samartzis, George. In: Papers. RePEc:arx:papers:2211.03604.

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2022The 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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2022Efficient 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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2021EMU deepening and sovereign debt spreads: using political space to achieve policy space. (2021). Pérez, Javier ; Kataryniuk, Iván ; Perez, Javier J ; Mora-Bajen, Victor. In: Working Papers. RePEc:bde:wpaper:2103.

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2021Passive funds affect prices: evidence from the most ETF-dominated asset classes. (2021). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:952.

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

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2021Recovering the market risk premium from higher?order moment risks. (2021). Rompolis, Leonidas ; Chalamandaris, George. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:147-186.

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2021Shedding light on a dark matter: Jump diffusion and option?implied investor preferences. (2021). Perrakis, Stylianos ; Oancea, Michael ; Ghanbari, Hamed. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:2:p:244-286.

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2021Multifractal Detrended Fluctuation Analysis of Return on Bitcoin. (2021). Shrestha, Keshab. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:1:p:312-323.

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2021The profitability of trading on large Lévy jumps. (2021). Pan, Zheyao ; Gray, Phil ; Chan, Kam Fong. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:627-635.

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2022Does the kitchen?sink model work forecasting the equity premium?. (2022). Yin, Anwen. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:223-247.

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2022Was Sarbanes–Oxley Costly? Evidence from Optimal Contracting on CEO Compensation. (2022). Miller, Robert A ; Li, Chen ; Gayle, Georgelevi. In: Journal of Accounting Research. RePEc:bla:joares:v:60:y:2022:i:4:p:1189-1234.

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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2022Double Smoothed Volatility Estimation of Potentially Non?stationary Jump?diffusion Model of Shibor. (2022). Lin, Zhengyan ; Hou, Weijie ; Song, Yuping. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:53-82.

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2022A new volatility model: GQARCH?ItÔ model. (2022). Xu, LU ; Sun, Yulei ; Yuan, Huiling ; Cui, Xiangyu ; Zhou, Yong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370.

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2022Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665.

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2022Testing the volatility jumps based on the high frequency data. (2022). Lin, Jinguan ; Liu, Meiyao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:669-694.

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2022Is the ECB’s conventional monetary policy state?dependent? An event study approach. (2022). Perdichizzi, Salvatore ; Torluccio, Giuseppe ; Cotugno, Matteo. In: Manchester School. RePEc:bla:manchs:v:90:y:2022:i:2:p:213-236.

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2021The asymptotic expansion of the regular discretization error of Itô integrals. (2021). Fukasawa, Masaaki ; Alos, Elisa. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:323-365.

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2021Getting on and Moving Up the Property Ladder: Real Hedging in the U.S. Housing Market Before and After the Crisis. (2021). Escobari, Diego ; Damianov, Damian S. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:4:p:1201-1237.

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2022Approximate 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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2021Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2.

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

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2021A Unified Framework for Specification Tests of Continuous Treatment Effect Models. (2021). Zhang, Z ; Linton, O ; Huang, W. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2113.

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

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

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2022Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. (2022). Wang, H ; Linton, O ; Bu, R. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2218.

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2022.

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2022A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver (Journal of Computational Physics, published online 19 January 2022). (2022). Yamada, Toshihiro ; Tsuchida, Yoshifumi ; Takahashi, Akihiko. In: CARF F-Series. RePEc:cfi:fseres:cf532.

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

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

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2022Optimal exercise of American puts with transaction costs under utility maximization. (2022). Zhu, Song-Ping ; Yan, Dong ; Lu, Xiaoping. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:415:y:2022:i:c:s0096300321007682.

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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]		article84
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: 84		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
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]		article734
2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 734		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]		article64
2001TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS.(2001) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64		chapter
2001Variable Selection for Portfolio Choice In: Journal of Finance.
[Full Text][Citation analysis]		article181
2001Variable Selection for Portfolio Choice.(2001) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 181		paper
2001Variable Selection for Portfolio Choice..(2001) In: Manitoba - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 181		paper
2001Variable Selection for Portfolio Choice.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 181		paper
2002Telling from Discrete Data Whether the Underlying Continuous?Time Model Is a Diffusion In: Journal of Finance.
[Full Text][Citation analysis]		article24
2001Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2018The Term Structure of Variance Swaps and Risk Premia In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper12
2008Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions In: Working Paper Series.
[Full Text][Citation analysis]		paper52
2010Estimating affine multifactor term structure models using closed-form likelihood expansions.(2010) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52		article
2002Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions.(2002) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52		paper
1996Nonparametric Pricing of Interest Rate Derivative Securities. In: Econometrica.
[Full Text][Citation analysis]		article174
1995Nonparametric Pricing of Interest Rate Derivative Securities.(1995) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 174		paper
2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach In: Econometrica.
[Citation analysis]		article131
2003The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions In: Econometrica.
[Citation analysis]		article35
2002The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions.(2002) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
2008Fishers Information for Discretely Sampled Lévy Processes In: Econometrica.
[Full Text][Citation analysis]		article14
2004Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]		paper0
2001Do option markets correctly price the probabilities of movement of the underlying asset? In: Journal of Econometrics.
[Full Text][Citation analysis]		article103
2001Goodness-of-fit tests for kernel regression with an application to option implied volatilities In: Journal of Econometrics.
[Full Text][Citation analysis]		article77
2003Nonparametric option pricing under shape restrictions In: Journal of Econometrics.
[Full Text][Citation analysis]		article131
2002Nonparametric Option Pricing under Shape Restrictions.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 131		paper
2008An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2008Out of sample forecasts of quadratic variation In: Journal of Econometrics.
[Full Text][Citation analysis]		article57
2011Ultra high frequency volatility estimation with dependent microstructure noise In: Journal of Econometrics.
[Full Text][Citation analysis]		article160
2005Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 160		paper
2005Ultra high frequency volatility estimation with dependent microstructure noise.(2005) In: Discussion Paper Series 1: Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 160		paper
2011Edgeworth expansions for realized volatility and related estimators In: Journal of Econometrics.
[Full Text][Citation analysis]		article31
2005Edgeworth Expansions for Realized Volatility and Related Estimators.(2005) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31		paper
2012Testing for jumps in noisy high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article46
2012Stationarity-based specification tests for diffusions when the process is nonstationary In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2014Mutual excitation in Eurozone sovereign CDS In: Journal of Econometrics.
[Full Text][Citation analysis]		article52
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52		paper
2015Market-based estimation of stochastic volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]		article11
2016Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models In: Journal of Econometrics.
[Full Text][Citation analysis]		article14
2016Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics.
[Full Text][Citation analysis]		article32
2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article61
2019A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
2020High-frequency factor models and regressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article4
2020High frequency traders and the price process In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2020The term structure of equity and variance risk premia In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2021Closed-form implied volatility surfaces for stochastic volatility models with jumps In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
1998Dynamic equilibrium and volatility in financial asset markets In: Journal of Econometrics.
[Full Text][Citation analysis]		article4
1996Dynamic Equilibrium and Volatility in Financial Asset Markets.(1996) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
Dynamic Equilibrium and Volatility in Financial Asset Markets.() In: CRSP working papers.
[Citation analysis]
This paper has another version. Agregated cites: 4		paper
2000Nonparametric risk management and implied risk aversion In: Journal of Econometrics.
[Full Text][Citation analysis]		article346
2000Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 346		paper
2012Market response to policy initiatives during the global financial crisis In: Journal of International Economics.
[Full Text][Citation analysis]		article147
2010Market Response to Policy Initiatives during the Global Financial Crisis.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 147		paper
2019Robust consumption and portfolio policies when asset prices can jump In: Journal of Economic Theory.
[Full Text][Citation analysis]		article12
2013The leverage effect puzzle: Disentangling sources of bias at high frequency In: Journal of Financial Economics.
[Full Text][Citation analysis]		article73
2011The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73		paper
2015Modeling financial contagion using mutually exciting jump processes In: Journal of Financial Economics.
[Full Text][Citation analysis]		article244
2010Modeling Financial Contagion Using Mutually Exciting Jump Processes.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 244		paper
2004Disentangling diffusion from jumps In: Journal of Financial Economics.
[Full Text][Citation analysis]		article58
2018Semimartingale: Itô or not ? In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
2021When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper3
2021When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance.(2021) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Non-Standard Errors.(2021) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
1988Le redressement des Tables de Contingence : Deux nouvelles approches In: Post-Print.
[Citation analysis]		paper0
1994Goodness-of-fit tests for regression using kernel methods In: Working papers.
[Full Text][Citation analysis]		paper25
1998Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach In: NBER Technical Working Papers.
[Full Text][Citation analysis]		paper13
2004Maximum Likelihood Estimation of Stochastic Volatility Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2008High Frequency Market Microstructure Noise Estimates and Liquidity Measures In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2008Consumption and Portfolio Choice with Option-Implied State Prices In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2013High Frequency Traders: Taking Advantage of Speed In: NBER Working Papers.
[Full Text][Citation analysis]		paper16
2015Principal Component Analysis of High Frequency Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper25
2019Principal Component Analysis of High-Frequency Data.(2019) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		article
2020Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2022How and When are High-Frequency Stock Returns Predictable? In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
1995Testing Continuous-Time Models of the Spot Interest Rate In: NBER Working Papers.
[Full Text][Citation analysis]		paper318
1996Testing Continuous-Time Models of the Spot Interest Rate..(1996) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 318		article
1995Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices In: NBER Working Papers.
[Full Text][Citation analysis]		paper54
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.() In: CRSP working papers.
[Citation analysis]
This paper has another version. Agregated cites: 54		paper
2001Luxury Goods and the Equity Premium In: NBER Working Papers.
[Full Text][Citation analysis]		paper43
2002Luxury Goods and the Equity Premium.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43		paper
2002Closed-Form Likelihood Expansions for Multivariate Diffusions In: NBER Working Papers.
[Full Text][Citation analysis]		paper8
2003How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise In: NBER Working Papers.
[Full Text][Citation analysis]		paper197
2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise.(2005) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 197		article
2003Disentangling Volatility from Jumps In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2016Portfolio Choice in Markets with Contagion In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article15
2014Preface In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
2014High-Frequency Financial Econometrics In: Economics Books.
[Citation analysis]		book138
2017Estimation of the Continuous and Discontinuous Leverage Effects In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article26

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team