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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
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Using principal component analysis to estimate a highdimensional factor model with high-frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - 2017
Persistent link: https://www.econbiz.de/10012806600
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Non-standard errors
Menkveld, Albert J.; Dreber, Anna; Holzmeister, Felix; … - 2021
Persistent link: https://www.econbiz.de/10012816038
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Market response to policy initiatives during the global financial crisis
Aït-Sahalia, Yacine; Andritzky, Jochen; Jobst, Andreas A. - In: Journal of international economics 87 (2012) 1, pp. 162-177
Persistent link: https://www.econbiz.de/10010220099
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High frequency traders and the price process
Aït-Sahalia, Yacine; Brunetti, Celso - In: Journal of econometrics 217 (2020) 1, pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
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The term structure of equity and variance risk premia
Aït-Sahalia, Yacine; Karamann, Mustafa; Mancini, Loriano - In: Journal of econometrics 219 (2020) 2, pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
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High-frequency factor models and regressions
Aït-Sahalia, Yacine; Kalnina, Ilze; Xiu, Dacheng - In: Journal of econometrics 216 (2020) 1, pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
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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
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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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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