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Nonparametric risk management and implied risk aversion
Aït-Sahalia, Yacine; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000637525
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Dynamic equilibrium and volatility in financial asset markets
Aït-Sahalia, Yacine - 1996
Persistent link: https://www.econbiz.de/10000569087
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Dynamic equilibrium and volatility in financial asset markets
Aït-Sahalia, Yacine - In: Journal of econometrics 84 (1998) 1, pp. 93-127
Persistent link: https://www.econbiz.de/10001234470
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Principal component analysis of high frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - 2015
Persistent link: https://www.econbiz.de/10011372555
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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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How often to sample a continuous-time process in the presence of market microstructure noise
Aït-Sahalia, Yacine; Mykland, Per A. - 2003
Persistent link: https://www.econbiz.de/10001752968
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Nonparametric option pricing under shape restrictions
Aït-Sahalia, Yacine; Duarte, Jefferson - In: Journal of econometrics 116 (2003) 1/2, pp. 9-47
Persistent link: https://www.econbiz.de/10001772140
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Luxury goods and the equity premium
Aït-Sahalia, Yacine; Parker, Jonathan A.; Yogo, Motohiro - 2001
Persistent link: https://www.econbiz.de/10001603816
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Telling from discrete data whether the underlying continuous-time model is a diffusion
Aït-Sahalia, Yacine - 2001
Persistent link: https://www.econbiz.de/10001614008
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Nonparametric option pricing under shape restrictions
Aït-Sahalia, Yacine; Duarte, Jefferson - 2002
Persistent link: https://www.econbiz.de/10001669271