Yacine Ait-Sahalia : Citation Profile

Are you Yacine Ait-Sahalia?

Princeton University

29

H index

44

i10 index

4337

Citations

RESEARCH PRODUCTION:

47

Articles

49

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   34 years (1988 - 2022). See details.
   Cites by year: 127
   Journals where Yacine Ait-Sahalia has often published
   Relations with other researchers
   Recent citing documents: 287.    Total self citations: 49 (1.12 %)

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   Permalink: http://citec.repec.org/pai23
   Updated: 2023-11-04    RAS profile: 2023-07-07    
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Relations with other researchers

Works with:

Xiu, Dacheng (6)

Brownlees, Christian (4)

Caporin, Massimiliano (4)

Colliard, Jean-Edouard (4)

FERROUHI, EL MEHDI (4)

Holzmeister, Felix (4)

Dimpfl, Thomas (4)

Ferrara, Gerardo (4)

Deev, Oleg (4)

Chernov, Mikhail (4)

Dumitrescu, Ariadna (4)

Adrian, Tobias (4)

Dreber, Anna (4)

Menkveld, Albert (4)

Gerritsen, Dirk (4)

Abudy, Menachem (4)

Bohorquez Correa, Santiago (4)

Frömmel, Michael (4)

Chow, Nikolai Sheung-Chi (4)

Johannesson, Magnus (4)

Gehrig, Thomas (4)

CAPELLE-BLANCARD, Gunther (4)

Alexeev, Vitali (4)

Deku, Solomon (4)

Füllbrunn, Sascha (3)

Bos, Charles (2)

Foucault, Thierry (2)

Renault, Thomas (2)

Hurlin, Christophe (2)

PASCUAL, ROBERTO (2)

Gil-Bazo, Javier (2)

Putnins, Talis (2)

Nielsson, Ulf (2)

Vilkov, Grigory (2)

Hautsch, Nikolaus (2)

He, Xuezhong (Tony) (2)

Lof, Matthijs (2)

Lajaunie, Quentin (2)

Ranaldo, Angelo (2)

Liew, Chee (2)

Sojli, Elvira (2)

Verousis, Thanos (2)

Pastor, Lubos (2)

van Kervel, Vincent (2)

Reitz, Stefan (2)

Wolff, Christian (2)

Sarno, Lucio (2)

Taylor, Nick (2)

Pelizzon, Loriana (2)

Rinne, Kalle (2)

Park, Andreas (2)

Kassner, Bernhard (2)

Tonks, Ian (2)

Mihet, Roxana (2)

Xia, Shuo (2)

Rakowski, David (2)

Zhou, Chen (2)

Jurkatis, Simon (2)

Frijns, Bart (2)

LINTON, OLIVER (2)

Palan, Stefan (2)

Regis, Luca (2)

Patel, Vinay (2)

Walther, Thomas (2)

Bouri, Elie (2)

Schuerhoff, Norman (2)

Scaillet, Olivier (2)

Hjalmarsson, Erik (2)

Prokopczuk, Marcel (2)

Gorbenko, Arseny (2)

Wong, Wing-Keung (2)

Heath, Davidson (2)

Lopez-Lira, Alejandro (2)

Harris, Jeffrey (2)

Theissen, Erik (2)

Moinas, Sophie (2)

Ødegaard, Bernt (2)

Patton, Andrew (2)

Smales, Lee (2)

Horenstein, Alex (2)

Stefanova, Denitsa (2)

Davies, Ryan (2)

Korajczyk, Robert (2)

Wilhelmsson, Anders (2)

Schwarz, Marco (2)

Kearney, Fearghal (2)

Roy, Saurabh (2)

Vogel, Sebastian (2)

Schenk-Hoppé, Klaus (2)

Jalkh, Naji (2)

Talavera, Oleksandr (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)

Swanson, Norman (43)

Shephard, Neil (43)

Phillips, Peter (43)

Andersen, Torben (39)

Härdle, Wolfgang (36)

Xiu, Dacheng (33)

Ghysels, Eric (32)

Hansen, Peter (31)

Cites to:

Bollerslev, Tim (37)

Hansen, Lars (29)

Andersen, Torben (27)

Shephard, Neil (24)

Tauchen, George (24)

merton, robert (23)

Diebold, Francis (19)

Wu, Liuren (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
Econometrica4
Journal of Financial Economics4
Review of Financial Studies3
Journal of Finance3
Journal of Business & Economic Statistics2
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
Papers / arXiv.org2

Recent works citing Yacine Ait-Sahalia (2023 and 2022)

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

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

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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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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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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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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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2023Matrix 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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2023Common 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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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.

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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.

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

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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.

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

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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.

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2023Quasi 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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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.

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

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

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

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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.

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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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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.

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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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2023iCOS: 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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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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2022Inflation risk and the labor market: beneath the surface of a flat Phillips curve. (2022). Aramonte, Sirio. In: BIS Working Papers. RePEc:bis:biswps:1054.

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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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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.

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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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2022.

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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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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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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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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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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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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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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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2022Maximum likelihood estimation of diffusions by continuous time Markov chain. (2022). Nguyen, Nhu N ; Kirkby, J L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:168:y:2022:i:c:s0167947321002425.

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2022Option-implied lottery demand and IPO returns. (2022). Schroen, Sebastian ; Krupski, Jan ; Dierkes, Maik. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:138:y:2022:i:c:s0165188922000616.

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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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2022Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators. (2022). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x.

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2022Modelling persistent stationary processes in continuous time. (2022). Jeong, Minsoo. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000220.

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2022The impact of COVID-19 on commodity options market: Evidence from China. (2022). Xu, Hao ; Chen, Jilong. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002395.

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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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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.
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This paper has another 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 another 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 another 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]		article748
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: 748		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 another version. Agregated cites: 67		chapter
2001Variable Selection for Portfolio Choice In: Journal of Finance.
[Full Text][Citation analysis]		article182
2001Variable Selection for Portfolio Choice.(2001) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 182		paper
2001Variable Selection for Portfolio Choice..(2001) In: Manitoba - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 182		paper
2001Variable Selection for Portfolio Choice.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 182		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]		paper13
2008Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions In: Working Paper Series.
[Full Text][Citation analysis]		paper55
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: 55		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: 55		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 another 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 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]		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]		article141
2002Nonparametric Option Pricing under Shape Restrictions.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 141		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]		article58
2011Ultra high frequency volatility estimation with dependent microstructure noise In: Journal of Econometrics.
[Full Text][Citation analysis]		article162
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: 162		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: 162		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]		article51
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]		article58
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another 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]		article14
2016Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics.
[Full Text][Citation analysis]		article39
2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article72
2019A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article19
2020High-frequency factor models and regressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article11
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 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]		article351
2000Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 351		paper
2012Market response to policy initiatives during the global financial crisis In: Journal of International Economics.
[Full Text][Citation analysis]		article155
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: 155		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]		article77
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: 77		paper
2015Modeling financial contagion using mutually exciting jump processes In: Journal of Financial Economics.
[Full Text][Citation analysis]		article266
2010Modeling Financial Contagion Using Mutually Exciting Jump Processes.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 266		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).
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This paper has another version. Agregated cites: 2		paper
2021Non-Standard Errors.(2021) In: Post-Print.
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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
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]		paper18
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 another version. Agregated cites: 27		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]		paper321
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: 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.
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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]		paper198
2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise.(2005) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 198		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

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