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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

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

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

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

Annals issue in honor of Jerry A. Hausman : editors' introduction

Aït-Sahalia, Yacine; Lo, Andrew W.; Newey, Whitney K. - In: Journal of econometrics 211 (2019) 1, pp. 1-3

Persistent link: https://www.econbiz.de/10012303584

A Hausman test for the presence of market microstructure noise in high frequency data

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 211 (2019) 1, pp. 176-205

Persistent link: https://www.econbiz.de/10012303614

Special issue: annals issue in honor of Jerry A. Hausman

Aït-Sahalia, Yacine (ed.); Lo, Andrew W. (ed.); … - 2019

Persistent link: https://www.econbiz.de/10012303793

Portfolio choice in markets with contagion

Aït-Sahalia, Yacine; Hurd, T. R. - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011588523

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

Robust consumption and portfolio policies when asset prices can jump

Aït-Sahalia, Yacine; Matthys, Felix - In: Journal of economic theory 179 (2019), pp. 1-56

Persistent link: https://www.econbiz.de/10012131456

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