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Mutual excitation in Eurozone sovereign CDS
Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana - In: Journal of econometrics 183 (2014) 2, pp. 151-167
Persistent link: https://www.econbiz.de/10010506073
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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
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Goodness-of-fit tests for kernel regression with an application to option implied volatilities
Aït-Sahalia, Yacine; Bickel, Peter J.; Stoker, Thomas … - In: Journal of econometrics 105 (2001) 2, pp. 363-412
Persistent link: https://www.econbiz.de/10001633671
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Do option markets correctly price the probabilities of movement of the underlying asset?
Aït-Sahalia, Yacine; Wang, Yubo; Yared, Francis - In: Journal of econometrics 102 (2001) 1, pp. 67-110
Persistent link: https://www.econbiz.de/10001575286
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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
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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
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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