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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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Luxury goods and the equity premium
Aït-Sahalia, Yacine; Parker, Jonathan A.; Yogo, Motohiro - In: The journal of finance : the journal of the American … 59 (2004) 6, pp. 2959-3004
Persistent link: https://www.econbiz.de/10002504180
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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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Variable selection for portfolio choice
Aït-Sahalia, Yacine; Brandt, Michael W. - In: The journal of finance : the journal of the American … 56 (2001) 4, pp. 1297-1351
Persistent link: https://www.econbiz.de/10001662220
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Telling from discrete data whether the underlying continuous-time model is a diffusion
Aït-Sahalia, Yacine - In: The journal of finance : the journal of the American … 57 (2002) 5, pp. 2075-2112
Persistent link: https://www.econbiz.de/10001709404
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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
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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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Nonparametric estimation of state-price densities implicit in financial asset prices
Aït-Sahalia, Yacine - In: The journal of finance : the journal of the American … 53 (1998) 2, pp. 499-547
Persistent link: https://www.econbiz.de/10001238271