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The Economics of Options-Implied Inflation Probability Density Functions

Wright, Jonathan; Kitsul, Yuriy - National Bureau of Economic Research (NBER) - 2012

investors having high marginal utility in states of the world characterized by either deflation or high inflation. …

Persistent link: https://www.econbiz.de/10011276419

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

Ait-Sahalia, Yacine; Jacod, Jean - National Bureau of Economic Research (NBER) - 2010

This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the...

Persistent link: https://www.econbiz.de/10008597185

The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency

Ait-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - National Bureau of Economic Research (NBER) - 2011

The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility … volatility estimated from high-frequency data. The puzzle lies in the fact that such an intuitively natural estimate yields …

Persistent link: https://www.econbiz.de/10009371811

Disentangling Volatility from Jumps

Ait-Sahalia, Yacine - National Bureau of Economic Research (NBER) - 2003

Realistic models for financial asset prices used in portfolio choice, option pricing or risk management include both a continuous Brownian and a jump components. This paper studies our ability to distinguish one from the other. I find that, surprisingly, it is possible to perfectly disentangle...

Persistent link: https://www.econbiz.de/10005710108

Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise

Ait-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - National Bureau of Economic Research (NBER) - 2005

integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant … estimators to the standard realized volatility. …

Persistent link: https://www.econbiz.de/10005713972

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Ait-Sahalia, Yacine; Mykland, Per A. - National Bureau of Economic Research (NBER) - 2003

Classical statistics suggest that for inference purposes one should always use as much data as is available. We study how the presence of market microstructure noise in high-frequency financial data can change that result. We show that the optimal sampling frequency at which to estimate the...

Persistent link: https://www.econbiz.de/10005720570

Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion

Ait-Sahalia, Yacine - National Bureau of Economic Research (NBER) - 2001

Asset returns have traditionally been modeled in the literature as following continuous-time Markov processes, and in many cases diffusions. Can discretely sampled financial rate data help us decide which continuous-time models are sensible? Diffusion processes are characterized by the...

Persistent link: https://www.econbiz.de/10005830473

High Frequency Market Microstructure Noise Estimates and Liquidity Measures

Ait-Sahalia, Yacine; Yu, Jialin - National Bureau of Economic Research (NBER) - 2008

Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure...

Persistent link: https://www.econbiz.de/10005774927

Predictive Regressions: A Present-value Approach

Binsbergen, Jules H. van; Koijen, Ralph S.J. - National Bureau of Economic Research (NBER) - 2010

We propose a latent variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend ratios and dividend growth rates to predict...

Persistent link: https://www.econbiz.de/10008532140

Multifrequency News and Stock Returns

Calvet, Laurent E.; Fisher, Adlai Julian - National Bureau of Economic Research (NBER) - 2005

Recent research documents that aggregate stock prices are driven by shocks with persistence levels ranging from daily …-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with … likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 …

Persistent link: https://www.econbiz.de/10005011929

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