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Nonparametric statistics
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ECONIS (ZBW)
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Nonparametric transition-based tests for jump diffusions
Aït-Sahalia, Yacine
;
Fan, Jianqing
;
Peng, Heng
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
487
,
pp. 1102-1116
Persistent link: https://www.econbiz.de/10003902802
Saved in:
2
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
Saved in:
3
Edgeworth expansion for realized volatility and related estimators
Zhang, Lan
;
Mykland, Per A.
;
Aït-Sahalia, Yacine
-
2005
Persistent link: https://www.econbiz.de/10003217402
Saved in:
4
A tale of two time scales : determining integrated volatility with noisy high-frequency data
Zhang, Lan
;
Mykland, Per A.
;
Aït-Sahalia, Yacine
- In:
Journal of the American Statistical Association : JASA
100
(
2005
)
472
,
pp. 1393-1411
Persistent link: https://www.econbiz.de/10003242153
Saved in:
5
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
Saved in:
6
Is the short rate drift actually nonlinear?
Chapman, David A.
;
Pearson, Neil D.
- In:
The journal of finance : the journal of the American …
55
(
2000
)
1
,
pp. 355-388
Persistent link: https://www.econbiz.de/10001496998
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7
Nonparametric option pricing under shape restrictions
Aït-Sahalia, Yacine
;
Duarte, Jefferson
-
2002
Persistent link: https://www.econbiz.de/10001669271
Saved in:
8
Nonparametric option pricing under shape restrictions
Aït-Sahalia, Yacine
;
Duarte, Jefferson
- In:
Journal of econometrics
116
(
2003
)
1/2
,
pp. 9-47
Persistent link: https://www.econbiz.de/10001772140
Saved in:
9
Implied stochastic volatility models
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
The review of financial studies
34
(
2021
)
1
,
pp. 394-450
Persistent link: https://www.econbiz.de/10012405816
Saved in:
10
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
Aït-Sahalia, Yacine
;
Park, Joon Y.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 119-138
Persistent link: https://www.econbiz.de/10011616006
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