Yacine Ait-Sahalia : Citation Profile

Princeton University

31

H index

47

i10 index

4872

Citations

RESEARCH PRODUCTION:

49

Articles

52

Papers

1

Books

3

Chapters

RESEARCH ACTIVITY:

   36 years (1988 - 2024). See details.
   Cites by year: 135
   Journals where Yacine Ait-Sahalia has often published
   Relations with other researchers
   Recent citing documents: 317.    Total self citations: 50 (1.02 %)

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   Permalink: http://citec.repec.org/pai23
   Updated: 2026-01-10    RAS profile: 2024-06-07    
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Relations with other researchers

Works with:

FERROUHI, EL MEHDI (6)

Caporin, Massimiliano (6)

Dreber, Anna (6)

Xiu, Dacheng (6)

Menkveld, Albert (6)

Dimpfl, Thomas (6)

Johannesson, Magnus (6)

CAPELLE-BLANCARD, Gunther (6)

Gehrig, Thomas (6)

Holzmeister, Felix (6)

Gerritsen, Dirk (6)

Alexeev, Vitali (6)

Frijns, Bart (6)

Dumitrescu, Ariadna (6)

Chernov, Mikhail (6)

Davies, Ryan (6)

Deku, Solomon (6)

Degryse, Hans (6)

Colliard, Jean-Edouard (6)

Deev, Oleg (6)

Ferrara, Gerardo (6)

Brownlees, Christian (6)

Frömmel, Michael (6)

Füllbrunn, Sascha (6)

Bos, Charles (6)

Bohorquez Correa, Santiago (5)

Eugster, Nicolas (5)

Gil-Bazo, Javier (5)

Aloosh, Arash (5)

Chow, Nikolai Sheung-Chi (5)

Hurlin, Christophe (4)

Vilkov, Grigory (4)

Korajczyk, Robert (4)

Rinne, Kalle (4)

Liew, Chee (4)

Foucault, Thierry (4)

Smales, Lee (4)

Scaillet, Olivier (4)

Abudy, Menachem (4)

Xia, Shuo (4)

Sojli, Elvira (4)

Taylor, Nick (4)

Horenstein, Alex (4)

Sarno, Lucio (4)

Palan, Stefan (4)

Schuerhoff, Norman (4)

Renault, Thomas (4)

Nielsson, Ulf (4)

Verousis, Thanos (4)

Lof, Matthijs (4)

Pastor, Lubos (4)

Roy, Saurabh (4)

Adrian, Tobias (4)

Wolff, Christian (4)

Capera Romero, Laura (4)

Reitz, Stefan (4)

Ranaldo, Angelo (4)

Shachar, Or (4)

Jurkatis, Simon (4)

Walther, Thomas (4)

Harris, Jeffrey (4)

Ødegaard, Bernt (4)

Hautsch, Nikolaus (4)

LINTON, OLIVER (4)

Talavera, Oleksandr (4)

Huang, Wenqian (4)

Moinas, Sophie (4)

Jalkh, Naji (4)

Zhang, S. Sarah (4)

Wilhelmsson, Anders (4)

Schwarz, Marco (4)

Pasquariello, Paolo (4)

Schenk-Hoppé, Klaus (4)

Tonks, Ian (4)

Park, Andreas (4)

Bjønnes, Geir (4)

Stefanova, Denitsa (4)

He, Xuezhong (Tony) (3)

Neszveda, Gabor (3)

Shui, Jessica (3)

Voigt, Stefan (3)

Koetter, Michael (3)

Hambuckers, Julien (3)

Mihet, Roxana (3)

Güçbilmez, Ufuk (3)

Söderlind, Paul (2)

Gorbenko, Arseny (2)

Zhou, Chen (2)

Prokopczuk, Marcel (2)

Patton, Andrew (2)

Hjalmarsson, Erik (2)

Heath, Davidson (2)

Wong, Wing-Keung (2)

Rakowski, David (2)

Putnins, Talis (2)

Pelizzon, Loriana (2)

Lopez-Lira, Alejandro (2)

Bouri, Elie (2)

Vogel, Sebastian (2)

van Kervel, Vincent (2)

Kassner, Bernhard (2)

Theissen, Erik (2)

Lajaunie, Quentin (2)

Regis, Luca (2)

Kearney, Fearghal (2)

Patel, Vinay (2)

Roy, Saurabh (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 (75)

LINTON, OLIVER (67)

Härdle, Wolfgang (56)

Yu, Jun (53)

Kim, Donggyu (46)

Andersen, Torben (44)

Shephard, Neil (43)

Phillips, Peter (43)

Swanson, Norman (43)

Kalnina, Ilze (38)

Asai, Manabu (34)

Cites to:

Bollerslev, Tim (37)

Andersen, Torben (30)

Hansen, Lars (29)

Shephard, Neil (26)

Tauchen, George (25)

merton, robert (23)

Meddahi, Nour (20)

Diebold, Francis (19)

Wu, Liuren (19)

Hansen, Peter (18)

Singleton, Kenneth (17)

Main data

Where Yacine Ait-Sahalia has published?

Journals with more than one article published# docs
Journal of Econometrics23
Econometrica4
Journal of Financial Economics4
Journal of Finance3
The Review of Financial Studies3
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, Inc27
Post-Print / HAL2
Papers / arXiv.org2

Recent works citing Yacine Ait-Sahalia (2025 and 2024)

YearTitle of citing document
2024Affine Heston model style with self-exciting jumps and long memory. (2024). Hainaut, Donatien ; Leunga, Charles Guy. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024001.

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2025Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy. (2022). Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1811.09312.

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

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2025Stochastic arbitrage with market index options. (2025). Beare, Brendan ; Seo, Juwon. In: Papers. RePEc:arx:papers:2207.00949.

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

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

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2025Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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

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

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2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

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

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2025Arrow-Debreu Meets Kyle: Price Discovery Across Derivatives. (2025). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426.

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

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

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

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2025Asymptotic Expansions for High-Frequency Option Data. (2025). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450.

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

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

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

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2025Latent Factor Analysis in Short Panels. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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

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

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

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2025From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033.

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

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2024Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2024). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784.

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2025Short-Term Asymptotics of Volatility Skew and Curvature Based on Cumulants. (2025). Cheng, Xue. In: Papers. RePEc:arx:papers:2401.03776.

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2024Functional Limit Theorems for Hawkes Processes. (2024). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2401.11495.

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2024Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors. (2024). Yu, Xiang ; Wang, Wenyuan ; Yan, Kaixin. In: Papers. RePEc:arx:papers:2401.14672.

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2025Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions. (2024). Schroers, Dennis. In: Papers. RePEc:arx:papers:2401.16286.

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2024The Fourier-Malliavin Volatility (FMVol) MATLAB library. (2024). Sanfelici, Simona ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2402.00172.

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2025Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Papers. RePEc:arx:papers:2403.00819.

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

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2025Reinforcement Learning for Jump-Diffusions, with Financial Applications. (2025). Yu, Xun ; Gao, Xuefeng ; Li, Lingfei. In: Papers. RePEc:arx:papers:2405.16449.

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2024Probabilistic models and statistics for electronic financial markets in the digital age. (2024). Bibinger, Markus. In: Papers. RePEc:arx:papers:2406.07388.

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2024Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment. (2024). Shen, Yang ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2407.02831.

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2024Attribution Methods in Asset Pricing: Do They Account for Risk?. (2024). Gao, Yuan ; Chen, Dangxing. In: Papers. RePEc:arx:papers:2407.08953.

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2025Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators. (2025). Jos'e E. Figueroa-L'opez, ; Pang, Jincheng ; Wu, Bei. In: Papers. RePEc:arx:papers:2407.09759.

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2024A nonparametric test for rough volatility. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2407.10659.

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2025Estimation of bid-ask spreads in the presence of serial dependence. (2025). Brouty, Xavier ; Garcin, Matthieu ; Roccaro, Hugo. In: Papers. RePEc:arx:papers:2407.17401.

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2024Reinforcement Learning in High-frequency Market Making. (2024). Ding, Zihan ; Zheng, Yuheng. In: Papers. RePEc:arx:papers:2407.21025.

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2025Cross-sectional Dependence in Idiosyncratic Volatility. (2024). Tewou, Kokouvi ; Kalnina, Ilze. In: Papers. RePEc:arx:papers:2408.13437.

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2024MLP, XGBoost, KAN, TDNN, and LSTM-GRU Hybrid RNN with Attention for SPX and NDX European Call Option Pricing. (2024). Beigi, Homayoon ; Ter-Avanesov, Boris. In: Papers. RePEc:arx:papers:2409.06724.

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2024Contract Structure and Risk Aversion in Longevity Risk Transfers. (2024). Zhang, Yuanyuan ; Li, Hong ; Landriault, David. In: Papers. RePEc:arx:papers:2409.08914.

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2024Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets. (2024). Yang, Yanrong ; Wu, Ruike ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2410.01826.

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2025Risk Premia in the Bitcoin Market. (2024). Miftachov, Ratmir ; Grith, Maria ; Almeida, Caio ; Wang, Zijin. In: Papers. RePEc:arx:papers:2410.15195.

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2024Whack-a-mole Online Learning: Physics-Informed Neural Network for Intraday Implied Volatility Surface. (2024). Barucca, Paolo ; Phelan, Carolyn E ; Hoshisashi, Kentaro. In: Papers. RePEc:arx:papers:2411.02375.

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2024Bounded Rationality in Central Bank Communication. (2024). Lee, Choong Lyol ; Kim, Wonseong. In: Papers. RePEc:arx:papers:2411.04286.

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2024Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

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2025Cubic-based Prediction Approach for Large Volatility Matrix using High-Frequency Financial Data. (2024). Choi, Sung Hoon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2412.04293.

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2024A theory of passive market impact. (2024). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Chahdi, Youssef Ouazzani. In: Papers. RePEc:arx:papers:2412.07461.

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2024Option Pricing with a Compound CARMA(p,q)-Hawkes. (2024). Perchiazzo, Andrea ; Mercuri, Lorenzo ; Rroji, Edit. In: Papers. RePEc:arx:papers:2412.15172.

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2024Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures. (2024). Zhang, Rouyi ; Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2412.16436.

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2025Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

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2025Improving volatility forecasts of the Nikkei 225 stock index using a realized EGARCH model with realized and realized range-based volatilities. (2025). Chang, Yaming. In: Papers. RePEc:arx:papers:2502.02695.

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2025To Make, or to Take, That Is the Question: Impact of LOB Mechanics on Natural Trading Strategies. (2025). Shestopaloff, Alexander Y ; Howison, Sam ; Cucuringu, Mihai ; Albers, Jakob. In: Papers. RePEc:arx:papers:2502.18625.

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2025Forecasting realized volatility in the stock market: a path-dependent perspective. (2025). Liu, Xiangdong ; Hong, Shaopeng ; Fu, Sicheng. In: Papers. RePEc:arx:papers:2503.00851.

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2025Dynamic Factor Correlation Model. (2025). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2503.01080.

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2025On the Realized Joint Laplace Transform of Volatilities with Application to Test the Volatility Dependence. (2025). Jiang, YU ; Feng, Xinwei ; Liu, Zhi ; Meng, Zhe. In: Papers. RePEc:arx:papers:2503.02283.

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2025Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure. (2025). Zhang, Ruixun ; Xu, Yumin ; Chen, Minshuo. In: Papers. RePEc:arx:papers:2504.06566.

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2025An Efficient Multi-scale Leverage Effect Estimator under Dependent Microstructure Noise. (2025). Xiong, Ziyang ; Chen, Zhao ; Wang, Christina Dan. In: Papers. RePEc:arx:papers:2505.08654.

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2025(In)stability in the Dynamics of the Cross-Country Distribution of Income Per Capita. (2025). Johnson, Paul ; Fiaschi, Davide. In: Papers. RePEc:arx:papers:2506.06755.

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2025Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?. (2025). Pollok, Austin. In: Papers. RePEc:arx:papers:2506.07928.

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2025Data Synchronization at High Frequencies. (2025). Kong, Xinbing ; Liu, Cheng ; Wu, Bin. In: Papers. RePEc:arx:papers:2507.12220.

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2025Low-Rank Structured Nonparametric Prediction of Instantaneous Volatility. (2025). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2507.22173.

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2025Stochastic Boundaries in Spatial General Equilibrium: A Diffusion-Based Approach to Causal Inference with Spillover Effects. (2025). Kikuchi, Tatsuru. In: Papers. RePEc:arx:papers:2508.06594.

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2025American Option Pricing Under Time-Varying Rough Volatility: A Signature-Based Hybrid Framework. (2025). Shah, Roshan. In: Papers. RePEc:arx:papers:2508.07151.

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2025Variable selection for minimum-variance portfolios. (2025). Moura, Guilherme V ; Torrent, Hudson S. In: Papers. RePEc:arx:papers:2508.14986.

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2025Controllable Generation of Implied Volatility Surfaces with Variational Autoencoders. (2025). Wang, Jing ; Vuik, Cornelis ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2509.01743.

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2025Joint calibration of the volatility surface and variance term structure. (2025). Yoo, Jiwook. In: Papers. RePEc:arx:papers:2509.08096.

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2025Community-level Contagion among Diverse Financial Assets. (2025). Crane, Martin ; Bezbradica, Marija ; Ngoc, An Pham. In: Papers. RePEc:arx:papers:2509.15232.

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2025Beyond Returns: A Candlestick-Based Approach to Spot Covariance Estimation. (2025). Simsek, Yasin. In: Papers. RePEc:arx:papers:2510.12911.

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2025Debiased Kernel Estimation of Spot Volatility in the Presence of Infinite Variation Jumps. (2025). Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B ; Zhou, Tianwei. In: Papers. RePEc:arx:papers:2510.14285.

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2025Toward Black Scholes for Prediction Markets: A Unified Kernel and Market Makers Handbook. (2025). Dalen, Shaw. In: Papers. RePEc:arx:papers:2510.15205.

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2025Portfolio selection with exogenous and endogenous transaction costs under a two-factor stochastic volatility model. (2025). Wang, Zirun ; He, Xin-Jiang ; Zhou, KE ; Yan, Dong. In: Papers. RePEc:arx:papers:2510.21156.

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2025Asset Pricing in the Presence of Market Microstructure Noise. (2025). Yegon, Peter ; Rachev, Svetlozar T ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2511.00308.

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2025On the estimation of leverage effect and volatility of volatility in the presence of jumps. (2025). Liu, Qiang ; Zhou, Wang. In: Papers. RePEc:arx:papers:2511.00944.

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2025Asset-liability management with Epstein-Zin utility$\quad$ under stochastic interest rate and unknown market price of risk. (2025). Kuissi-Kamdem, Wilfried. In: Papers. RePEc:arx:papers:2511.02158.

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2025Spectral analysis of high-dimensional spot volatility matrix with applications. (2025). Liu, Qiang ; Zhou, Wang. In: Papers. RePEc:arx:papers:2511.02660.

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2025Daily Forecasting for Annual Time Series Datasets Using Similarity-Based Machine Learning Methods: A Case Study in the Energy Market. (2025). Goldani, Mahdi. In: Papers. RePEc:arx:papers:2511.05556.

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2025Push-response anomalies in high-frequency S&P 500 price series. (2025). Smirnov, Mikhail ; Vlasiuk, Dmitrii. In: Papers. RePEc:arx:papers:2511.06177.

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2025Estimation of High-dimensional Nonlinear Vector Autoregressive Models. (2025). Han, Yuefeng ; Chen, Likai ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2511.18641.

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2025Inflation volatility across advanced and emerging economies during the COVID-19 pandemic. (2025). Briseo, Regina ; Arango-Castillo, Lenin ; Orraca, Mara Jos. In: Working Papers. RePEc:bdm:wpaper:2025-13.

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2024Application of Copula Methods in Financial Risk Management: Case of the Zimbabwe Stock Exchange and the Victoria Falls Stock Exchange.. (2024). Basvi, Brian. In: International Journal of Research and Scientific Innovation. RePEc:bjc:journl:v:11:y:2024:i:5:p:674-695.

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

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2024The Dark Side of Circuit Breakers. (2024). Xing, Hao ; Wang, Jiang ; Petukhov, Anton ; Chen, Hui. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:1405-1455.

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2024Modeling Conditional Factor Risk Premia Implied by Index Option Returns. (2024). Orowski, Piotr ; Jacobs, Kris ; Fournier, Mathieu. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2289-2338.

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2024Information Aggregation with Asymmetric Asset Payoffs. (2024). Hellwig, Christian ; Tsyvinski, Aleh ; Albagli, Elias. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2715-2758.

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2024High‐Frequency‐Based Volatility Model with Network Structure. (2024). Yuan, Huiling ; Wang, Junhui ; Li, Guodong ; Lu, Kexin. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:533-557.

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2024Asymptotic Normality of Bias Reduction Estimation for Jump Intensity Function in Financial Markets. (2024). Qiu, Jiawei ; Zhu, Min ; Song, Yuping. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:558-583.

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2024Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility. (2024). Yu, Jin ; Liu, Guangying ; Hao, Hongxia ; Lin, Jin Guan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:613-638.

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2024Value‐at‐Risk under Measurement Error. (2024). Taamouti, Abderrahim ; Song, Xiaojun ; Doukali, Mohamed. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:690-713.

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2024Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng. In: Statistica Neerlandica. RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104.

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2025The Factor Structure of Jump Risk. (2025). Ding, YI ; Andersen, Torben G ; Yu, Seunghyeon ; Todorov, Viktor. In: Working Papers. RePEc:boa:wpaper:202531.

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2024Multi-kernel property in high-frequency price dynamics under Hawkes model. (2024). Kyungsub, Lee. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:4:p:605-624:n:1003.

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2025Heterogeneity, Jumps and Co-Movements in Transmission of Volatility Spillovers Among Cryptocurrencies. (2025). Maria, Tantoula ; Manolis, Tzagarakis ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:29:y:2025:i:5:p:621-649:n:1002.

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2024Estimating a Density Ratio Model for Stock Market Risk and Option Demand. (2024). LINTON, OLIVER ; Dalderop, Jeroen. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2411.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449.

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2024Estimating a Density Ratio Model for Stock Market Risk and Option Demand. (2024). LINTON, OLIVER ; Dalderop, J. In: Janeway Institute Working Papers. RePEc:cam:camjip:2405.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423.

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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]		article102
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 nother version. Agregated cites: 102		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]		paper57
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: 57		paper
2012Portfolio Choice in Markets with Contagion In: Papers.
[Full Text][Citation analysis]		paper22
2016Portfolio Choice in Markets with Contagion.(2016) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 22		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]		article817
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: 817		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]		article200
2001Variable Selection for Portfolio Choice.(2001) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 200		paper
2001Variable Selection for Portfolio Choice..(2001) In: Manitoba - Department of Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 200		paper
2001Variable Selection for Portfolio Choice.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 200		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]		paper14
2008Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions In: Working Paper Series.
[Full Text][Citation analysis]		paper60
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: 60		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: 60		paper
1996Nonparametric Pricing of Interest Rate Derivative Securities. In: Econometrica.
[Full Text][Citation analysis]		article173
1995Nonparametric Pricing of Interest Rate Derivative Securities.(1995) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 173		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]		article37
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: 37		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]		article109
2001Goodness-of-fit tests for kernel regression with an application to option implied volatilities In: Journal of Econometrics.
[Full Text][Citation analysis]		article78
2003Nonparametric option pricing under shape restrictions In: Journal of Econometrics.
[Full Text][Citation analysis]		article159
2002Nonparametric Option Pricing under Shape Restrictions.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 159		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]		article62
2011Ultra high frequency volatility estimation with dependent microstructure noise In: Journal of Econometrics.
[Full Text][Citation analysis]		article184
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: 184		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: 184		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]		article65
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]		article64
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 64		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]		article17
2016Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics.
[Full Text][Citation analysis]		article51
2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article100
2019A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article27
2020High-frequency factor models and regressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article27
2020High frequency traders and the price process In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2020The term structure of equity and variance risk premia In: Journal of Econometrics.
[Full Text][Citation analysis]		article22
2021Closed-form implied volatility surfaces for stochastic volatility models with jumps In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
2024High frequency market making: The role of speed In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2024Maximum likelihood estimation of latent Markov models using closed-form approximations In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
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]		article393
2000Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 393		paper
2012Market response to policy initiatives during the global financial crisis In: Journal of International Economics.
[Full Text][Citation analysis]		article171
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: 171		paper
2019Robust consumption and portfolio policies when asset prices can jump In: Journal of Economic Theory.
[Full Text][Citation analysis]		article22
2013The leverage effect puzzle: Disentangling sources of bias at high frequency In: Journal of Financial Economics.
[Full Text][Citation analysis]		article103
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: 103		paper
2015Modeling financial contagion using mutually exciting jump processes In: Journal of Financial Economics.
[Full Text][Citation analysis]		article316
2010Modeling Financial Contagion Using Mutually Exciting Jump Processes.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 316		paper
2004Disentangling diffusion from jumps In: Journal of Financial Economics.
[Full Text][Citation analysis]		article59
2018Semimartingale: Itô or not ? In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
2024Nonstandard errors In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper14
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: 14		paper
2021Non-Standard Errors.(2021) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2021When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper5
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: 5		paper
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
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]		paper22
2015Principal Component Analysis of High Frequency Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper48
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: 48		article
2020Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2022How and When are High-Frequency Stock Returns Predictable? In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2024So Many Jumps, So Few News In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
1995Testing Continuous-Time Models of the Spot Interest Rate In: NBER Working Papers.
[Full Text][Citation analysis]		paper325
1996Testing Continuous-Time Models of the Spot Interest Rate..(1996) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 325		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]		paper207
2005How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise.(2005) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 207		article
2003Disentangling Volatility from Jumps In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2021Implied Stochastic Volatility Models In: The Review of Financial Studies.
[Full Text][Citation analysis]		article13
2014Preface In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
2014From Diffusions to Semimartingales In: Introductory Chapters.
[Full Text][Citation analysis]		chapter0
2014High-Frequency Financial Econometrics In: Economics Books.
[Citation analysis]		book196
2017Estimation of the Continuous and Discontinuous Leverage Effects In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article36

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