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Disagreement and return predictability of stock portfolios

Yu, Jialin - In: Journal of financial economics 99 (2011) 1, pp. 162-183

Persistent link: https://www.econbiz.de/10009241433

Modeling financial contagion using mutually exciting jump processes

Aït-Sahalia, Yacine; Cacho-Diaz, Julio; Laeven, Roger J. A. - In: Journal of financial economics 117 (2015) 3, pp. 585-606

Persistent link: https://www.econbiz.de/10011480318

Increased correlation among asset classes : Are volatility or jumps to blame, or both?

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 194 (2016) 2, pp. 205-219

Persistent link: https://www.econbiz.de/10011705106

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

Luxury goods and the equity premium

Aït-Sahalia, Yacine; Parker, Jonathan A.; Yogo, Motohiro - 2002

Persistent link: https://www.econbiz.de/10001755283

Luxury goods and the equity premium

Aït-Sahalia, Yacine; Parker, Jonathan A.; Yogo, Motohiro - 2001

Persistent link: https://www.econbiz.de/10001603816

A tale of two time scales : determining integrated volatility with noisy high-frequency data

Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - 2003

Persistent link: https://www.econbiz.de/10001833930

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

Modeling financial contagion using mutually exciting jump processes

Aït-Sahalia, Yacine; Chacho-Diaz, Julio; Laeven, Roger … - 2010

Persistent link: https://www.econbiz.de/10003955100

The leverage effect puzzle : disentangling sources of bias at high frequency

Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - 2011

"The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high-frequency data. The puzzle...

Persistent link: https://www.econbiz.de/10009423529