Yacine Ait-Sahalia : Citation Profile


Are you Yacine Ait-Sahalia?

Princeton University

29

H index

44

i10 index

4367

Citations

RESEARCH PRODUCTION:

47

Articles

49

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   34 years (1988 - 2022). See details.
   Cites by year: 128
   Journals where Yacine Ait-Sahalia has often published
   Relations with other researchers
   Recent citing documents: 144.    Total self citations: 49 (1.11 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pai23
   Updated: 2024-01-16    RAS profile: 2023-07-07    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Xiu, Dacheng (6)

Holzmeister, Felix (4)

Frömmel, Michael (4)

FERROUHI, EL MEHDI (4)

Dumitrescu, Ariadna (4)

Abudy, Menachem (4)

Menkveld, Albert (4)

Ferrara, Gerardo (4)

Caporin, Massimiliano (4)

Gerritsen, Dirk (4)

Brownlees, Christian (4)

Bohorquez Correa, Santiago (4)

Chernov, Mikhail (4)

Deev, Oleg (4)

Gehrig, Thomas (4)

Füllbrunn, Sascha (4)

Deku, Solomon (4)

Dreber, Anna (4)

Colliard, Jean-Edouard (4)

Chow, Nikolai Sheung-Chi (4)

CAPELLE-BLANCARD, Gunther (4)

Adrian, Tobias (4)

Johannesson, Magnus (4)

Alexeev, Vitali (4)

Dimpfl, Thomas (4)

Jurkatis, Simon (2)

Regis, Luca (2)

Pelizzon, Loriana (2)

Putnins, Talis (2)

He, Xuezhong (Tony) (2)

Vilkov, Grigory (2)

Rakowski, David (2)

Hurlin, Christophe (2)

Foucault, Thierry (2)

Jalkh, Naji (2)

Nielsson, Ulf (2)

Hautsch, Nikolaus (2)

Harris, Jeffrey (2)

Frijns, Bart (2)

Talavera, Oleksandr (2)

Vogel, Sebastian (2)

Xia, Shuo (2)

Stefanova, Denitsa (2)

Scaillet, Olivier (2)

Zhou, Chen (2)

Wolff, Christian (2)

Theissen, Erik (2)

Walther, Thomas (2)

Hjalmarsson, Erik (2)

Heath, Davidson (2)

Söderlind, Paul (2)

Palan, Stefan (2)

Mihet, Roxana (2)

Lopez-Lira, Alejandro (2)

Liew, Chee (2)

Korajczyk, Robert (2)

Sojli, Elvira (2)

Kassner, Bernhard (2)

Gil-Bazo, Javier (2)

Wilhelmsson, Anders (2)

Park, Andreas (2)

van Kervel, Vincent (2)

Prokopczuk, Marcel (2)

Patel, Vinay (2)

Schuerhoff, Norman (2)

Wong, Wing-Keung (2)

PASCUAL, ROBERTO (2)

Davies, Ryan (2)

Ødegaard, Bernt (2)

Schenk-Hoppé, Klaus (2)

Gorbenko, Arseny (2)

Renault, Thomas (2)

Kearney, Fearghal (2)

Bouri, Elie (2)

Schwarz, Marco (2)

Taylor, Nick (2)

Bos, Charles (2)

Horenstein, Alex (2)

LINTON, OLIVER (2)

Patton, Andrew (2)

Lajaunie, Quentin (2)

Roy, Saurabh (2)

Smales, Lee (2)

Pastor, Lubos (2)

Moinas, Sophie (2)

Lof, Matthijs (2)

Ranaldo, Angelo (2)

Tonks, Ian (2)

Verousis, Thanos (2)

Sarno, Lucio (2)

Rinne, Kalle (2)

Reitz, Stefan (2)

Pasquariello, Paolo (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 (53)

LINTON, OLIVER (45)

Shephard, Neil (43)

Andersen, Torben (43)

Swanson, Norman (43)

Phillips, Peter (43)

Härdle, Wolfgang (36)

Xiu, Dacheng (33)

Ghysels, Eric (32)

Hansen, Peter (32)

Cites to:

Bollerslev, Tim (37)

Hansen, Lars (29)

Andersen, Torben (29)

Shephard, Neil (24)

Tauchen, George (24)

merton, robert (23)

Wu, Liuren (19)

Diebold, Francis (19)

Hansen, Peter (18)

Meddahi, Nour (17)

Fan, Jianqing (17)

Main data


Where Yacine Ait-Sahalia has published?


Journals with more than one article published# docs
Journal of Econometrics21
Journal of Financial Economics4
Econometrica4
Journal of Finance3
Review of Financial Studies3
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, Inc26
Papers / arXiv.org2
Post-Print / HAL2

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Efficient 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.

Full description at Econpapers || Download paper

2023Statistical 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Co-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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023An 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023COVID?19, ESG investing, and the resilience of more sustainable stocks: Evidence from European firms. (2023). Torluccio, Giuseppe ; Bendinelli, Ennio ; Cardillo, Giovanni. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:32:y:2023:i:1:p:602-623.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Robust consumption and portfolio choice with derivatives trading. (2023). Zhuang, YI ; Yang, Charles ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:832-850.

Full description at Econpapers || Download paper

2023Pandemic portfolio choice. (2023). Weiss, Farina ; Kraft, Holger. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:451-462.

Full description at Econpapers || Download paper

2023Surrender contagion in life insurance. (2023). Schaefer, Mick ; Lavasani, Aidin Miri ; Hilpert, Christian ; Cheng, Chunli. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1465-1479.

Full description at Econpapers || Download paper

2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

Full description at Econpapers || Download paper

2023A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks. (2023). Seeger, Norman J ; Schlag, Christian ; Rodrigues, Paulo ; Pollastri, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:322-341.

Full description at Econpapers || Download paper

2023Time series momentum and reversal: Intraday information from realized semivariance. (2023). Wang, Shixuan ; Li, BO ; Lu, Shanglin ; Liu, Zhenya. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:54-77.

Full description at Econpapers || Download paper

2023Heterogeneous impacts of oil prices on Chinas stock market: Based on a new decomposition method. (2023). Ai, Chunrong ; Xu, Jie ; Liu, Feng. In: Energy. RePEc:eee:energy:v:268:y:2023:i:c:s0360544223000385.

Full description at Econpapers || Download paper

2023Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284.

Full description at Econpapers || Download paper

2023Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach. (2023). Zhang, Dalu ; Yan, Meilan ; Xiao, Qin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002594.

Full description at Econpapers || Download paper

2023Attention and retail investor herding in cryptocurrency markets. (2023). Dimpfl, Thomas ; Koch, Sophia. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s154461232200650x.

Full description at Econpapers || Download paper

2023Robust leverage choice of hedge funds with rare disasters. (2023). Luo, Deqing ; Yan, Qianhui ; Mu, Congming. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000636.

Full description at Econpapers || Download paper

2023Monetary policy as market stabilizer in the COVID-19 pandemic. (2023). Xiao, Yajun ; Chen, Yang ; Shan, Yimin. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s154461232300332x.

Full description at Econpapers || Download paper

2023Firm fundamentals and the cross-section of implied volatility shapes. (2023). Zhou, Guofu ; Guo, Biao ; Chen, Ding. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000611.

Full description at Econpapers || Download paper

2023A Bayesian analysis of time-varying jump risk in S&P 500 returns and options. (2023). Luo, Dan ; Carverhill, Andrew. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000751.

Full description at Econpapers || Download paper

2023What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037.

Full description at Econpapers || Download paper

2023Deal! Market reactions to the agreement on the EU Covid-19 recovery fund. (2023). ap Gwilym, Owain ; Molyneux, Philip ; Pancotto, Livia. In: Journal of Financial Stability. RePEc:eee:finsta:v:67:y:2023:i:c:s1572308923000578.

Full description at Econpapers || Download paper

2023Judgment day: Algorithmic trading around the Swiss franc cap removal. (2023). Breedon, Francis ; Vause, Nicholas ; Ranaldo, Angelo ; Chen, Louisa. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001453.

Full description at Econpapers || Download paper

2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

Full description at Econpapers || Download paper

2023The sum of all fears: Forecasting international returns using option-implied risk measures. (2023). Toupin, Dominique ; Power, Gabriel J ; Gagnon, Marie-Helene. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002813.

Full description at Econpapers || Download paper

2023GARCH option pricing with volatility derivatives. (2023). Park, Yang-Ho ; Oh, Dong Hwan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002989.

Full description at Econpapers || Download paper

2023COVID-19 and market structure dynamics. (2023). Woods, Donovan ; Cox, Justin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426621003137.

Full description at Econpapers || Download paper

2023The incremental information in the yield curve about future interest rate risk. (2023). Christensen, Bent Jesper ; Veliyev, Bezirgen ; Kjar, Mads Markvart. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001711.

Full description at Econpapers || Download paper

2023On the eigenvectors of large-dimensional sample spatial sign covariance matrices. (2023). Xia, Ningning ; Xu, Yangchang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:193:y:2023:i:c:s0047259x22001105.

Full description at Econpapers || Download paper

2023Explaining intraday crude oil returns with higher order risk-neutral moments. (2023). Wong, Patrick. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000211.

Full description at Econpapers || Download paper

2023The volatility of natural resources implications for sustainable development: Crude oil volatility prediction based on the multivariate structural regime switching. (2023). Ma, Feng ; Tang, Yusui. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003239.

Full description at Econpapers || Download paper

2023The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors. (2023). Ben Amar, Amine ; Balli, Faruk ; Billah, Mabruk. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x23000021.

Full description at Econpapers || Download paper

2023Futures trading activity and the jump risk of spot market: Evidence from the bitcoin market. (2023). Liao, Xiaosai ; Ma, Huan ; Zhang, Chuanhai. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x23000161.

Full description at Econpapers || Download paper

2023Financial distress and jump tail risk: Evidence from Chinas listed companies. (2023). Chao, Youcong ; Tian, Mengqiao ; Zhang, Yuchen ; Liu, Xiaoqun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:316-336.

Full description at Econpapers || Download paper

2023Learning risk preferences from investment portfolios using inverse optimization. (2023). Dong, Chaosheng ; Wang, Haoran ; Yu, Shi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000053.

Full description at Econpapers || Download paper

2023The LAN property for McKean–Vlasov models in a mean-field regime. (2023). Hoffmann, Marc ; della Maestra, Laetitia. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:155:y:2023:i:c:p:109-146.

Full description at Econpapers || Download paper

2023The moderating role of market turbulence beyond the Covid-19 pandemic and Russia-Ukraine crisis on the relationship between intellectual capital and business sustainability. (2023). Bin, Mohd Rosli ; Ismail, Noor Azizi ; Ahmad, Roselina Binti ; Alqershi, Nagwan ; Hakimin, Mohd Nor ; Nik, Nik Maheran ; Ramayah, T. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:186:y:2023:i:pb:s0040162522006023.

Full description at Econpapers || Download paper

2023Substitutes or complements? Examining effects of urban rail transit on bus ridership using longitudinal city-level data. (2023). Yuan, Quan ; Dong, Wentao ; Yang, Chao. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:174:y:2023:i:c:s0965856423001489.

Full description at Econpapers || Download paper

2023Shot-noise cojumps: exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111537.

Full description at Econpapers || Download paper

2023Unimodal maps perturbed by heteroscedastic noise: an application to a financial systems. (2023). Lillo, Fabrizio ; Livieri, Giulia ; Vaienti, Sandro ; Solomko, Anton ; Marmi, Stefano. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:120290.

Full description at Econpapers || Download paper

2023The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96652.

Full description at Econpapers || Download paper

2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

Full description at Econpapers || Download paper

2023Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise. (2012). LINTON, OLIVER ; Park, Sujin . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp703.

Full description at Econpapers || Download paper

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]
article91
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: 91
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]
paper50
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: 50
paper
2012Portfolio Choice in Markets with Contagion In: Papers.
[Full Text][Citation analysis]
paper20
2016Portfolio Choice in Markets with Contagion.(2016) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20
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]
article752
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: 752
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 67
chapter
2001Variable Selection for Portfolio Choice In: Journal of Finance.
[Full Text][Citation analysis]
article186
2001Variable Selection for Portfolio Choice.(2001) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 186
paper
2001Variable Selection for Portfolio Choice..(2001) In: Manitoba - Department of Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 186
paper
2001Variable Selection for Portfolio Choice.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 186
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 nother 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]
paper13
2008Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions In: Working Paper Series.
[Full Text][Citation analysis]
paper56
2010Estimating affine multifactor term structure models using closed-form likelihood expansions.(2010) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 56
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 nother version. Agregated cites: 56
paper
1996Nonparametric Pricing of Interest Rate Derivative Securities. In: Econometrica.
[Full Text][Citation analysis]
article175
1995Nonparametric Pricing of Interest Rate Derivative Securities.(1995) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 175
paper
2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach In: Econometrica.
[Citation analysis]
article137
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 nother 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]
article107
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]
article142
2002Nonparametric Option Pricing under Shape Restrictions.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 142
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]
article59
2011Ultra high frequency volatility estimation with dependent microstructure noise In: Journal of Econometrics.
[Full Text][Citation analysis]
article164
2005Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 164
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 nother version. Agregated cites: 164
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 nother version. Agregated cites: 31
paper
2012Testing for jumps in noisy high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]
article51
2012Stationarity-based specification tests for diffusions when the process is nonstationary In: Journal of Econometrics.
[Full Text][Citation analysis]
article9
2014Mutual excitation in Eurozone sovereign CDS In: Journal of Econometrics.
[Full Text][Citation analysis]
article58
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 58
paper
2015Market-based estimation of stochastic volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]
article13
2016Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models In: Journal of Econometrics.
[Full Text][Citation analysis]
article15
2016Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics.
[Full Text][Citation analysis]
article40
2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]
article73
2019A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]
article20
2020High-frequency factor models and regressions In: Journal of Econometrics.
[Full Text][Citation analysis]
article12
2020High frequency traders and the price process In: Journal of Econometrics.
[Full Text][Citation analysis]
article1
2020The term structure of equity and variance risk premia In: Journal of Econometrics.
[Full Text][Citation analysis]
article12
2021Closed-form implied volatility surfaces for stochastic volatility models with jumps In: Journal of Econometrics.
[Full Text][Citation analysis]
article8
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 nother version. Agregated cites: 4
paper
Dynamic Equilibrium and Volatility in Financial Asset Markets.() In: CRSP working papers.
[Citation analysis]
This paper has nother version. Agregated cites: 4
paper
2000Nonparametric risk management and implied risk aversion In: Journal of Econometrics.
[Full Text][Citation analysis]
article351
2000Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 351
paper
2012Market response to policy initiatives during the global financial crisis In: Journal of International Economics.
[Full Text][Citation analysis]
article157
2010Market Response to Policy Initiatives during the Global Financial Crisis.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 157
paper
2019Robust consumption and portfolio policies when asset prices can jump In: Journal of Economic Theory.
[Full Text][Citation analysis]
article17
2013The leverage effect puzzle: Disentangling sources of bias at high frequency In: Journal of Financial Economics.
[Full Text][Citation analysis]
article81
2011The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81
paper
2015Modeling financial contagion using mutually exciting jump processes In: Journal of Financial Economics.
[Full Text][Citation analysis]
article268
2010Modeling Financial Contagion Using Mutually Exciting Jump Processes.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 268
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 nother version. Agregated cites: 3
paper
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]
paper4
2021Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4
paper
2021Non-Standard Errors.(2021) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4
paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4
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
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]
paper19
2015Principal Component Analysis of High Frequency Data In: NBER Working Papers.
[Full Text][Citation analysis]
paper27
2019Principal Component Analysis of High-Frequency Data.(2019) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27
article
2020Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers.
[Full Text][Citation analysis]
paper3
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]
paper321
1996Testing Continuous-Time Models of the Spot Interest Rate..(1996) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 321
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 nother 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 nother 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 nother version. Agregated cites: 197
article
2003Disentangling Volatility from Jumps In: NBER Working Papers.
[Full Text][Citation analysis]
paper3
2021Implied Stochastic Volatility Models In: Review of Financial Studies.
[Full Text][Citation analysis]
article6
2014Preface In: Introductory Chapters.
[Full Text][Citation analysis]
chapter0
2014High-Frequency Financial Econometrics In: Economics Books.
[Citation analysis]
book154
2017Estimation of the Continuous and Discontinuous Leverage Effects In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
article29

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team