Yacine Ait-Sahalia : Citation Profile

Princeton University

31

H index

47

i10 index

4719

Citations

RESEARCH PRODUCTION:

49

Articles

52

Papers

1

Books

3

Chapters

RESEARCH ACTIVITY:

   36 years (1988 - 2024). See details.
   Cites by year: 131
   Journals where Yacine Ait-Sahalia has often published
   Relations with other researchers
   Recent citing documents: 228.    Total self citations: 50 (1.05 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pai23
   Updated: 2025-04-12    RAS profile: 2024-06-07    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Chernov, Mikhail (6)

Füllbrunn, Sascha (6)

Caporin, Massimiliano (6)

Deev, Oleg (6)

CAPELLE-BLANCARD, Gunther (6)

Ferrara, Gerardo (6)

Deku, Solomon (6)

Frömmel, Michael (6)

Dimpfl, Thomas (6)

Alexeev, Vitali (6)

Gerritsen, Dirk (6)

Holzmeister, Felix (6)

Frijns, Bart (6)

Davies, Ryan (6)

Gehrig, Thomas (6)

Bos, Charles (6)

Dreber, Anna (6)

Johannesson, Magnus (6)

FERROUHI, EL MEHDI (6)

Colliard, Jean-Edouard (6)

Menkveld, Albert (6)

Brownlees, Christian (6)

Xiu, Dacheng (6)

Aloosh, Arash (5)

Chow, Nikolai Sheung-Chi (5)

Degryse, Hans (5)

Eugster, Nicolas (5)

Bohorquez Correa, Santiago (5)

Talavera, Oleksandr (4)

Korajczyk, Robert (4)

Pasquariello, Paolo (4)

Rinne, Kalle (4)

Lof, Matthijs (4)

Dumitrescu, Ariadna (4)

Jalkh, Naji (4)

Verousis, Thanos (4)

Renault, Thomas (4)

Sojli, Elvira (4)

Schwarz, Marco (4)

Jurkatis, Simon (4)

Smales, Lee (4)

Park, Andreas (4)

Adrian, Tobias (4)

Palan, Stefan (4)

Stefanova, Denitsa (4)

Schenk-Hoppé, Klaus (4)

Liew, Chee (4)

Schuerhoff, Norman (4)

Bjønnes, Geir (4)

Horenstein, Alex (4)

Vilkov, Grigory (4)

Shachar, Or (4)

Pastor, Lubos (4)

Reitz, Stefan (4)

Gil-Bazo, Javier (4)

Abudy, Menachem (4)

Wilhelmsson, Anders (4)

Huang, Wenqian (4)

Xia, Shuo (4)

Harris, Jeffrey (4)

Walther, Thomas (4)

Wolff, Christian (4)

Scaillet, Olivier (4)

Hurlin, Christophe (4)

Ranaldo, Angelo (4)

Zhang, S. Sarah (4)

LINTON, OLIVER (4)

Ødegaard, Bernt (4)

Hautsch, Nikolaus (4)

Nielsson, Ulf (4)

Sarno, Lucio (4)

Foucault, Thierry (4)

Koetter, Michael (3)

Taylor, Nick (3)

Mihet, Roxana (3)

Voigt, Stefan (3)

Neszveda, Gabor (3)

Roy, Saurabh (3)

He, Xuezhong (Tony) (3)

Güçbilmez, Ufuk (3)

Lajaunie, Quentin (2)

Lopez-Lira, Alejandro (2)

Putnins, Talis (2)

Roy, Saurabh (2)

Bouri, Elie (2)

Patel, Vinay (2)

Vogel, Sebastian (2)

Regis, Luca (2)

Kearney, Fearghal (2)

Hjalmarsson, Erik (2)

Heath, Davidson (2)

Zhou, Chen (2)

Söderlind, Paul (2)

Theissen, Erik (2)

Gorbenko, Arseny (2)

Prokopczuk, Marcel (2)

van Kervel, Vincent (2)

Pelizzon, Loriana (2)

Wong, Wing-Keung (2)

Rakowski, David (2)

Kassner, Bernhard (2)

PASCUAL, ROBERTO (2)

Tonks, Ian (2)

Moinas, Sophie (2)

Patton, Andrew (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)

Swanson, Norman (43)

Phillips, Peter (43)

Shephard, Neil (43)

Asai, Manabu (34)

Xiu, Dacheng (33)

Cites to:

Bollerslev, Tim (37)

Andersen, Torben (30)

Hansen, Lars (29)

Shephard, Neil (26)

Tauchen, George (25)

merton, robert (23)

Meddahi, Nour (20)

Wu, Liuren (19)

Diebold, Francis (19)

Hansen, Peter (18)

Singleton, Kenneth (17)

Main data

Production by document typearticlebookpaperchapter19881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240510Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1988198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202405001,0001,500Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 31Most cited documents12345678910111213141516171819202122232425262728293031323305001,000Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250402040h-index Highcharts.comExport to raster or vector imagePrint the chart

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
Papers / arXiv.org2
Post-Print / HAL2

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

Year  ↓Title of citing document  ↓
2024An 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

2025Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

Full description at Econpapers || Download paper

2025Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

Full description at Econpapers || Download paper

2024Application 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.

Full description at Econpapers || Download paper

2024Matrix 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

2024Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

Full description at Econpapers || Download paper

2024Efficient 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

2024Statistical 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

2024Co-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

2025Price Discovery for Derivatives. (2023). Tseng, Michael ; Keller, Christian. In: Papers. RePEc:arx:papers:2302.13426.

Full description at Econpapers || Download paper

2024High-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

2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

Full description at Econpapers || Download paper

2024Unifying 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

2025Asymptotic 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

2024Large 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

2024Volatility 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

2024Hierarchical 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

2024Latent 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

2024Asymptotic 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

2024An 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

2024iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

Full description at Econpapers || Download paper

2024No-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

2024Convergence 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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Cubic-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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Financial stability communication: the case of the Bank of England practices. (2024). Jbir, Hamdi. In: Economics Bulletin. RePEc:ebl:ecbull:eb-23-00493.

Full description at Econpapers || Download paper

2024Convergence of a exponential tamed method for a general interest rate model. (2024). Wang, Mengchao ; Lord, Gabriel. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:467:y:2024:i:c:s0096300323006720.

Full description at Econpapers || Download paper

2024Peak operation optimization of cascade hydropower reservoirs and solar power plants considering output forecasting uncertainty. (2024). Niu, Wen-Jing ; Huang, Qing-Qing ; Feng, Zhong-Kai ; Wang, Jia-Yang ; Wu, Hui-Jun ; Li, Shu-Shan ; Su, Hua-Ying. In: Applied Energy. RePEc:eee:appene:v:358:y:2024:i:c:s0306261923018974.

Full description at Econpapers || Download paper

2024Competition among high-frequency traders and market quality. (2024). Breckenfelder, Johannes. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924001143.

Full description at Econpapers || Download paper

2024Closed-form approximations of moments and densities of continuous–time Markov models. (2024). Mele, Antonio ; Lee, Young Jun ; Kristensen, Dennis. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001404.

Full description at Econpapers || Download paper

2024Market price determination: Interpreting quote order imbalance under zero-profit equilibrium. (2024). Long, Xingchen ; Wu, Liang ; Yan, Jingzhou. In: Economic Modelling. RePEc:eee:ecmode:v:134:y:2024:i:c:s0264999324000646.

Full description at Econpapers || Download paper

2024The valuation of arithmetic Asian options with mean reversion and jump clustering. (2024). Song, Shiyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001821.

Full description at Econpapers || Download paper

2024Pricing VIX options based on mean-reverting models driven by information. (2024). Zheng, Zun-Xin ; Yin, Ya-Hua ; Zhu, Fu-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001281.

Full description at Econpapers || Download paper

2024Systematic staleness. (2024). Reno, Roberto ; Pirino, Davide ; Bandi, Federico M. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002385.

Full description at Econpapers || Download paper

2024Optimal nonparametric range-based volatility estimation. (2024). Li, Qiyuan ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002646.

Full description at Econpapers || Download paper

2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

Full description at Econpapers || Download paper

2024Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property. (2024). Yang, Songshan ; Wen, Jiawei ; Li, Changcheng ; Cai, Zhanrui. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622000902.

Full description at Econpapers || Download paper

2024Optimal covariance matrix estimation for high-dimensional noise in high-frequency data. (2024). Tang, Cheng Yong ; Liu, Cheng ; Hu, Qiao ; Chang, Jinyuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001543.

Full description at Econpapers || Download paper

2024Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Zhong, Wei ; Yang, Yanrong ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646.

Full description at Econpapers || Download paper

2024Stock co-jump networks. (2024). Zheng, Xinghua ; Liu, Guoli ; Ding, YI. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300057x.

Full description at Econpapers || Download paper

2024Realized regression with asynchronous and noisy high frequency and high dimensional data. (2024). Zhang, Lan ; Mykland, Per A ; Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300132x.

Full description at Econpapers || Download paper

2024Volatility of volatility and leverage effect from options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000150.

Full description at Econpapers || Download paper

2024Nonparametric estimation for high-frequency data incorporating trading information. (2024). Wang, Jiandong ; Hu, Jie ; Cui, Wenhao. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000368.

Full description at Econpapers || Download paper

2024High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times. (2024). Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000472.

Full description at Econpapers || Download paper

2024Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094.

Full description at Econpapers || Download paper

2024Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. (2024). Omori, Yasuhiro ; Watanabe, Toshiaki ; Takahashi, Makoto. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:34-56.

Full description at Econpapers || Download paper

2024Variance swaps with mean reversion and multi-factor variance. (2024). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:191-212.

Full description at Econpapers || Download paper

2024Certainty of uncertainty for asset pricing. (2024). Meng, Lingchao ; Kang, Jie ; Jiang, Fuwei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000367.

Full description at Econpapers || Download paper

2024Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525.

Full description at Econpapers || Download paper

2024Estimation and inference in low frequency factor model regressions with overlapping observations. (2024). Dossani, Asad. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000719.

Full description at Econpapers || Download paper

2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Bouri, Elie ; Chen, Yan ; Zhang, Lei. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x.

Full description at Econpapers || Download paper

2024Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Yacine Ait-Sahalia:

Year  ↓Title  ↓Type  ↓Cited  ↓
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]		article97
2010Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 97		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]		paper52
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: 52		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.
[Full Text][Citation analysis]
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]		article805
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: 805		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]		article196
2001Variable Selection for Portfolio Choice.(2001) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 196		paper
2001Variable Selection for Portfolio Choice..(2001) In: Manitoba - Department of Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 196		paper
2001Variable Selection for Portfolio Choice.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 196		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]		paper59
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: 59		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: 59		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]		article108
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]		article155
2002Nonparametric Option Pricing under Shape Restrictions.(2002) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 155		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]		article61
2011Ultra high frequency volatility estimation with dependent microstructure noise In: Journal of Econometrics.
[Full Text][Citation analysis]		article181
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: 181		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: 181		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]		article62
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]		article63
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 63		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]		article50
2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article89
2019A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2020High-frequency factor models and regressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article22
2020High frequency traders and the price process In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2020The term structure of equity and variance risk premia In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
2021Closed-form implied volatility surfaces for stochastic volatility models with jumps In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
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]		article1
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]		article385
2000Nonparametric Risk Management and Implied Risk Aversion.(2000) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 385		paper
2012Market response to policy initiatives during the global financial crisis In: Journal of International Economics.
[Full Text][Citation analysis]		article165
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: 165		paper
2019Robust consumption and portfolio policies when asset prices can jump In: Journal of Economic Theory.
[Full Text][Citation analysis]		article19
2013The leverage effect puzzle: Disentangling sources of bias at high frequency In: Journal of Financial Economics.
[Full Text][Citation analysis]		article93
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: 93		paper
2015Modeling financial contagion using mutually exciting jump processes In: Journal of Financial Economics.
[Full Text][Citation analysis]		article305
2010Modeling Financial Contagion Using Mutually Exciting Jump Processes.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 305		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]		paper4
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: 4		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]		paper21
2015Principal Component Analysis of High Frequency Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper40
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: 40		article
2020Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2022How and When are High-Frequency Stock Returns Predictable? In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
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]		paper322
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: 322		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]		paper202
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: 202		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]		article10
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]		book180
2017Estimation of the Continuous and Discontinuous Leverage Effects In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article34

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team