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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
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Fiscal policy and asset markets : a semiparametric analysis
Jansen, Dennis W.; Li, Qi; Wang, Zijun; Yang, Jian - In: Journal of econometrics 147 (2008) 1, pp. 141-150
Persistent link: https://www.econbiz.de/10003783794
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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
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Edgeworth expansion for realized volatility and related estimators
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - 2005
Persistent link: https://www.econbiz.de/10003217402
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Estimating affine multifactor term structure models using closed-form likelihood expansions
Aït-Sahalia, Yacine; Kimmel, Robert - 2002
Persistent link: https://www.econbiz.de/10001720457
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The effects of Random and discrete sampling when estimating continuous-time diffusions
Aït-Sahalia, Yacine; Mykland, Per A. - 2002
Persistent link: https://www.econbiz.de/10001663740
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A nonparametric test for poolability using panel data
Baltagi, Badi H. - In: Journal of econometrics 75 (1996) 2, pp. 345-367
Persistent link: https://www.econbiz.de/10001204705
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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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Nonparametric risk management and implied risk aversion
Aït-Sahalia, Yacine; Lo, Andrew W. - In: Journal of econometrics 94 (2000) 1/2, pp. 9-51
Persistent link: https://www.econbiz.de/10001437741