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subject:"EU-Staaten"
subject:"Public choice"
~person:"Aït-Sahalia, Yacine"
~subject:"CAPM"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Forschungsbericht"
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EU-Staaten
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Aït-Sahalia, Yacine
Kelly, Jerry S.
35
Campbell, Donald E.
34
Jarrow, Robert A.
30
Gupta, Rangan
26
Madan, Dilip B.
26
Sen, Arunava
24
Bollerslev, Tim
23
McAleer, Michael
23
Renault, Eric
23
Buchanan, James M.
21
Saari, Donald
21
Le Breton, Michel
19
Lepelley, Dominique
19
Alesina, Alberto
18
Bossert, Walter
18
Suzumura, Kōtarō
18
Fabozzi, Frank J.
17
Hansen, Lars Peter
17
Merlin, Vincent R.
17
Barberà, Salvador
16
De Grauwe, Paul
16
Ferson, Wayne E.
16
Gersbach, Hans
16
Zhou, Guofu
16
Andersen, Torben
15
Asai, Manabu
15
Chiarella, Carl
15
Cochrane, John H.
15
Faff, Robert W.
15
Frey, Bruno S.
15
Ghysels, Eric
15
Harvey, Campbell R.
15
Levy, Haim
15
Tabellini, Guido Enrico
15
Acemoglu, Daron
14
Bossaerts, Peter L.
14
Fleurbaey, Marc
14
He, Xue-zhong
14
Lee, Cheng F.
14
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Journal of econometrics
7
Journal of financial economics
2
The review of financial studies
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of the American Statistical Association : JASA
1
The journal of finance : the journal of the American Finance Association
1
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ECONIS (ZBW)
14
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1
Implied stochastic volatility models
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
The review of financial studies
34
(
2021
)
1
,
pp. 394-450
Persistent link: https://www.econbiz.de/10012405816
Saved in:
2
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
3
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
4
High-frequency factor models and regressions
Aït-Sahalia, Yacine
;
Kalnina, Ilze
;
Xiu, Dacheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
Saved in:
5
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
Saved in:
6
Modeling financial contagion using mutually exciting jump processes
Aït-Sahalia, Yacine
;
Cacho-Diaz, Julio
;
Laeven, Roger J. A.
- In:
Journal of financial economics
117
(
2015
)
3
,
pp. 585-606
Persistent link: https://www.econbiz.de/10011480318
Saved in:
7
The leverage effect puzzle : disentangling sources of bias at high frequency
Aït-Sahalia, Yacine
;
Fan, Jianqing
;
Li, Yingying
- In:
Journal of financial economics
109
(
2013
)
1
,
pp. 224-249
Persistent link: https://www.econbiz.de/10009765821
Saved in:
8
Ultra high frequency volatility estimation with dependent microstructure noise
Aït-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 160-175
Persistent link: https://www.econbiz.de/10009242527
Saved in:
9
Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine
;
Mancini, Loriano
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
Saved in:
10
A tale of two time scales : determining integrated volatility with noisy high-frequency data
Zhang, Lan
;
Mykland, Per A.
;
Aït-Sahalia, Yacine
- In:
Journal of the American Statistical Association : JASA
100
(
2005
)
472
,
pp. 1393-1411
Persistent link: https://www.econbiz.de/10003242153
Saved in:
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