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Nonparametric estimation of state-price densities implicit in financial asset prices

Aït-Sahalia, Yacine; Lo, Andrew W. - 1995

Persistent link: https://www.econbiz.de/10000935916

Nonparametric pricing of interest rate derivative securities

Aït-Sahalia, Yacine - 1995

Persistent link: https://www.econbiz.de/10000923501

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

Nonparametric pricing of interest rate derivative securities

Aït-Sahalia, Yacine - In: Econometrica : journal of the Econometric Society, an … 64 (1996) 3, pp. 527-560

Persistent link: https://www.econbiz.de/10001199899

Estimating and testing continuous-time models in finance : the role of transition densities

Aït-Sahalia, Yacine - In: Annual review of financial economics 1 (2009), pp. 341-359

Persistent link: https://www.econbiz.de/10003924504

Estimating affine multifactor term structure models using closed-form likelihood expansions

Aït-Sahalia, Yacine; Kimmel, Robert - In: Journal of financial economics 98 (2010) 1, pp. 113-144

Persistent link: https://www.econbiz.de/10008702741

Estimating affine multifactor term structure models using closed-form likelihood expansions

Aït-Sahalia, Yacine (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003783429

Closed-form implied volatility surfaces for stochastic volatility models with jumps

Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu - In: Journal of econometrics 222 (2021) 1,2, pp. 364-392

Persistent link: https://www.econbiz.de/10012619431

Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions

Aït-Sahalia, Yacine - 2002

We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nine Dai and Singleton (2000) affine models. Simulations show our technique very accurately approximates true (but...

Persistent link: https://www.econbiz.de/10012469344