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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

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

Bayesian exploratory factor analysis

Conti, Gabriella; Frühwirth-Schnatter, Sylvia; … - In: Journal of econometrics 183 (2014) 1, pp. 31-57

Persistent link: https://www.econbiz.de/10010506092

Bayesian estimation of a dynamic game with endogenous, partially observed, serially correlated state

Gallant, A. Ronald; Hong, Han; Khwaja, Ahmed - 2011

Persistent link: https://www.econbiz.de/10009561727

A family of autoregressive conditional duration models

Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 130 (2006) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10003228621

Nonparametric specification tests for conditional duration models

Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68

Persistent link: https://www.econbiz.de/10002756914

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

Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices

Chen, Joseph - 2000

This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...

Persistent link: https://www.econbiz.de/10012471074

Inference on Risk Premia in Continuous-Time Asset Pricing Models

Aït-Sahalia, Yacine - 2020

We develop and implement asymptotic theory to conduct inference on continuous-time asset pricing models using …

Persistent link: https://www.econbiz.de/10012482359

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