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~person:"Aït-Sahalia, Yacine"
~person:"Li, Jia"
~person:"Zhang, Lan"
~source:"olc"
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Aït-Sahalia, Yacine
Li, Jia
Zhang, Lan
Ait-Sahalia, Yacine
9
Fan, Jianqing
4
Mykland, Per A.
4
Jacod, Jean
3
Andritzky, Jochen
2
Jobst, Andreas
2
Li, Yingying
2
Mancini, Loriano
2
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2
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2
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1
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Journal of econometrics
6
Journal of the American Statistical Association : JASA
2
Working paper / National Bureau of Economic Research, Inc
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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OLC EcoSci
ECONIS (ZBW)
115
RePEc
30
EconStor
2
USB Cologne (EcoSocSci)
2
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1
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1
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Aït-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
- In:
The review of financial studies
18
(
2013
)
2
,
pp. 351-350
Persistent link: https://www.econbiz.de/10010114501
Saved in:
2
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/10010122976
Saved in:
3
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Aït-Sahalia, Yacine
;
Jacod, Jean
- In:
Journal of economic literature
50
(
2012
)
4
,
pp. 1007-1050
Persistent link: https://www.econbiz.de/10010064044
Saved in:
4
Market response to policy initiatives during the global financial crisis
Aït-Sahalia, Yacine
;
Andritzky, Jochen
;
Jobst, Andreas
; …
- In:
Journal of international economics
87
(
2012
)
1
,
pp. 162-178
Persistent link: https://www.econbiz.de/10009967153
Saved in:
5
Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine
;
Jacod, Jean
;
Li, Jia
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 207-223
Persistent link: https://www.econbiz.de/10009969396
Saved in:
6
Stationarity-based specification tests for diffusions when the process is nonstationary
Aït-Sahalia, Yacine
;
Park, Joon Y.
- In:
Journal of econometrics
169
(
2012
)
2
,
pp. 279-293
Persistent link: https://www.econbiz.de/10009987065
Saved in:
7
Edgeworth expansions for realized volatility and related estimators
Zhang, Lan
;
Mykland, Per A.
;
Aït-Sahalia, Yacine
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 190-204
Persistent link: https://www.econbiz.de/10008770544
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. 160-176
Persistent link: https://www.econbiz.de/10008770546
Saved in:
9
MARKET RESPONSE TO POLICY INITIATIVES DURING THE GLOBAL FINANCIAL CRISIS
Aït-Sahalia, Yacine
;
Andritzky, Jochen
;
Jobst, Andreas
; …
-
2010
Persistent link: https://www.econbiz.de/10008400838
Saved in:
10
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Aït-Sahalia, Yacine
;
Fan, Jianqing
;
Xiu, Dacheng
- In:
Journal of the American Statistical Association : JASA
105
(
2010
)
492
,
pp. 1504-1518
Persistent link: https://www.econbiz.de/10008819024
Saved in:
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