29
H index
45
i10 index
4421
Citations
Princeton University | 29 H index 45 i10 index 4421 Citations RESEARCH PRODUCTION: 47 Articles 49 Papers 1 Books 2 Chapters RESEARCH ACTIVITY: 34 years (1988 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pai23 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Yacine Ait-Sahalia. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 21 |
Econometrica | 4 |
Journal of Financial Economics | 4 |
The Review of Financial Studies | 3 |
Journal of Finance | 3 |
Journal of the American Statistical Association | 2 |
Journal of Business & Economic Statistics | 2 |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 26 |
Papers / arXiv.org | 2 |
Post-Print / HAL | 2 |
Year | Title of citing document | |
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2023 | A 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 | |
2023 | A 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 | |
2023 | A 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 | |
2023 | Denise: 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 | |
2023 | Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435. Full description at Econpapers || Download paper | |
2024 | An 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 | |
2023 | Encompassing Tests for Nonparametric Regressions. (2022). Lapenta, Elia ; Lavergne, Pascal. In: Papers. RePEc:arx:papers:2203.06685. Full description at Econpapers || Download paper | |
2023 | Estimating 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 | |
2023 | Matrix 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 | |
2023 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2023 | Efficient 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 | |
2023 | Statistical 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 | |
2023 | The 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 | |
2023 | Efficient 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. Full description at Econpapers || Download paper | |
2023 | Fixed-point iterative algorithm for SVI model. (2023). Zhang, Wenqing ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:2301.07830. Full description at Econpapers || Download paper | |
2023 | Co-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 | |
2023 | Multi-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 | |
2024 | Price Discovery for Derivatives. (2023). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426. Full description at Econpapers || Download paper | |
2023 | High-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 | |
2023 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper | |
2023 | Forecasting 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 | |
2023 | Dark 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 | |
2024 | Unifying 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 | |
2023 | Symmetric 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 | |
2023 | Asymptotic 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 | |
2024 | Large 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 | |
2024 | Volatility 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 | |
2023 | Hierarchical 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 | |
2023 | Latent 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 | |
2023 | Asymptotic 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 | |
2023 | Fast 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 | |
2023 | When to efficiently rebalance a portfolio. (2023). Fukasawa, Masaaki ; Ando, Masayuki. In: Papers. RePEc:arx:papers:2308.08745. Full description at Econpapers || Download paper | |
2023 | An 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 | |
2023 | New 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 | |
2024 | iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943. Full description at Econpapers || Download paper | |
2023 | From 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 | |
2023 | Sluggish 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 | |
2023 | Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511. Full description at Econpapers || Download paper | |
2024 | No-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 | |
2023 | Robust 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 | |
2023 | Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2023). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784. Full description at Econpapers || Download paper | |
2023 | The 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 | |
2023 | Timing 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 | |
2023 | COVID?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 | |
2023 | Optimal 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 | |
2023 | A 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 | |
2023 | Do 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 | |
2023 | A 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 | |
2023 | Good 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 | |
2023 | Portfolio 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 | |
2023 | The 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 | |
2023 | Algorithmic trading: Intraday profitability and trading behavior. (2023). Arumugam, Devika. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003334. Full description at Econpapers || Download paper | |
2023 | A 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 | |
2023 | Identifying 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 | |
2023 | Bootstrap 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 | |
2023 | Modeling 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 | |
2023 | Intraday 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 | |
2023 | Large 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 | |
2023 | Uniform 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 | |
2023 | A 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 | |
2023 | News-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 | |
2023 | Semiparametric 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 | |
2023 | Robust 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 | |
2023 | Pandemic 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 | |
2023 | Surrender 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 | |
2023 | The 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 | |
2023 | A 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 | |
2023 | Time 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 | |
2023 | Heterogeneous 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 | |
2023 | Good 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 | |
2023 | Commodity 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 | |
2023 | Attention 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 | |
2023 | Robust 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 | |
2023 | Monetary 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 | |
2023 | Economic evaluation of dynamic hedging strategies using high-frequency data. (2023). Lai, Yu-Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006025. Full description at Econpapers || Download paper | |
2023 | Firm 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 | |
2023 | A 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 | |
2023 | What 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 | |
2023 | Deal! 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 | |
2023 | Judgment 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 | |
2023 | Discovering 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 | |
2023 | Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data. (2023). Hao, Hong-Xia ; Lin, Jin-Guan ; Fu, Jin-Yu. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1698-1712. Full description at Econpapers || Download paper | |
2023 | The 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 | |
2023 | GARCH 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 | |
2023 | COVID-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 | |
2023 | The 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 | |
2023 | On 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 | |
2023 | Explaining 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 | |
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1999 | Transition Densities for Interest Rate and Other Nonlinear Diffusions In: Journal of Finance. [Full Text][Citation analysis] | article | 67 |
2001 | TRANSITION 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 | |
2001 | Variable Selection for Portfolio Choice In: Journal of Finance. [Full Text][Citation analysis] | article | 189 |
2001 | Variable Selection for Portfolio Choice.(2001) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 189 | paper | |
2001 | Variable Selection for Portfolio Choice..(2001) In: Manitoba - Department of Economics. [Citation analysis] This paper has nother version. Agregated cites: 189 | paper | |
2001 | Variable Selection for Portfolio Choice.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 189 | paper | |
2002 | Telling from Discrete Data Whether the Underlying Continuous?Time Model Is a Diffusion In: Journal of Finance. [Full Text][Citation analysis] | article | 24 |
2001 | Telling 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 | |
2018 | The Term Structure of Variance Swaps and Risk Premia In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 14 |
2008 | Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions In: Working Paper Series. [Full Text][Citation analysis] | paper | 56 |
2010 | Estimating 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 | |
2002 | Estimating 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 | |
1996 | Nonparametric Pricing of Interest Rate Derivative Securities. In: Econometrica. [Full Text][Citation analysis] | article | 175 |
1995 | Nonparametric Pricing of Interest Rate Derivative Securities.(1995) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 175 | paper | |
2002 | Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach In: Econometrica. [Citation analysis] | article | 137 |
2003 | The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions In: Econometrica. [Citation analysis] | article | 35 |
2002 | The 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 | |
2008 | Fishers Information for Discretely Sampled Lévy Processes In: Econometrica. [Full Text][Citation analysis] | article | 14 |
2004 | Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 0 |
2001 | Do option markets correctly price the probabilities of movement of the underlying asset? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 107 |
2001 | Goodness-of-fit tests for kernel regression with an application to option implied volatilities In: Journal of Econometrics. [Full Text][Citation analysis] | article | 77 |
2003 | Nonparametric option pricing under shape restrictions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 142 |
2002 | Nonparametric Option Pricing under Shape Restrictions.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 142 | paper | |
2008 | An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2008 | Out of sample forecasts of quadratic variation In: Journal of Econometrics. [Full Text][Citation analysis] | article | 59 |
2011 | Ultra high frequency volatility estimation with dependent microstructure noise In: Journal of Econometrics. [Full Text][Citation analysis] | article | 166 |
2005 | Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 166 | paper | |
2005 | Ultra 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: 166 | paper | |
2011 | Edgeworth expansions for realized volatility and related estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 31 |
2005 | Edgeworth 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 | |
2012 | Testing for jumps in noisy high frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 53 |
2012 | Stationarity-based specification tests for diffusions when the process is nonstationary In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
2014 | Mutual excitation in Eurozone sovereign CDS In: Journal of Econometrics. [Full Text][Citation analysis] | article | 60 |
2014 | Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 60 | paper | |
2015 | Market-based estimation of stochastic volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
2016 | Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 15 |
2016 | Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 42 |
2017 | Using principal component analysis to estimate a high dimensional factor model with high-frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 75 |
2019 | A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 20 |
2020 | High-frequency factor models and regressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
2020 | High frequency traders and the price process In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2020 | The term structure of equity and variance risk premia In: Journal of Econometrics. [Full Text][Citation analysis] | article | 12 |
2021 | Closed-form implied volatility surfaces for stochastic volatility models with jumps In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
1998 | Dynamic equilibrium and volatility in financial asset markets In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
1996 | Dynamic 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 | ||
2000 | Nonparametric risk management and implied risk aversion In: Journal of Econometrics. [Full Text][Citation analysis] | article | 355 |
2000 | Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 355 | paper | |
2012 | Market response to policy initiatives during the global financial crisis In: Journal of International Economics. [Full Text][Citation analysis] | article | 157 |
2010 | Market 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 | |
2019 | Robust consumption and portfolio policies when asset prices can jump In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 17 |
2013 | The leverage effect puzzle: Disentangling sources of bias at high frequency In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 82 |
2011 | The 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: 82 | paper | |
2015 | Modeling financial contagion using mutually exciting jump processes In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 272 |
2010 | Modeling Financial Contagion Using Mutually Exciting Jump Processes.(2010) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 272 | paper | |
2004 | Disentangling diffusion from jumps In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 59 |
2018 | Semimartingale: Itô or not ? In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
2021 | When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 3 |
2021 | When 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 | |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 10 |
2021 | Non-Standard Errors.(2021) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2021 | Non-Standard Errors.(2021) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
1988 | Le redressement des Tables de Contingence : Deux nouvelles approches In: Post-Print. [Citation analysis] | paper | 0 |
1994 | Goodness-of-fit tests for regression using kernel methods In: Working papers. [Full Text][Citation analysis] | paper | 25 |
1998 | Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach In: NBER Technical Working Papers. [Full Text][Citation analysis] | paper | 13 |
2004 | Maximum Likelihood Estimation of Stochastic Volatility Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2008 | Consumption and Portfolio Choice with Option-Implied State Prices In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
2013 | High Frequency Traders: Taking Advantage of Speed In: NBER Working Papers. [Full Text][Citation analysis] | paper | 20 |
2015 | Principal Component Analysis of High Frequency Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 28 |
2019 | Principal 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: 28 | article | |
2020 | Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2022 | How and When are High-Frequency Stock Returns Predictable? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
1995 | Testing Continuous-Time Models of the Spot Interest Rate In: NBER Working Papers. [Full Text][Citation analysis] | paper | 321 |
1996 | Testing 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: 321 | article | |
1995 | Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices In: NBER Working Papers. [Full Text][Citation analysis] | paper | 54 |
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 | ||
2001 | Luxury Goods and the Equity Premium In: NBER Working Papers. [Full Text][Citation analysis] | paper | 43 |
2002 | Luxury Goods and the Equity Premium.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 43 | paper | |
2002 | Closed-Form Likelihood Expansions for Multivariate Diffusions In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
2003 | How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise In: NBER Working Papers. [Full Text][Citation analysis] | paper | 198 |
2005 | How 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: 198 | article | |
2003 | Disentangling Volatility from Jumps In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2021 | Implied Stochastic Volatility Models In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 7 |
2014 | Preface In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2014 | High-Frequency Financial Econometrics In: Economics Books. [Citation analysis] | book | 158 |
2017 | Estimation of the Continuous and Discontinuous Leverage Effects In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 29 |
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