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Modeling financial contagion using mutually exciting jump processes
Aït-Sahalia, Yacine; Chacho-Diaz, Julio; Laeven, Roger … - 2010
Persistent link: https://www.econbiz.de/10003955100
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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
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Estimating continuous-time models with discretely sampled data
Aït-Sahalia, Yacine - 2007
Persistent link: https://www.econbiz.de/10003691532
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Consumption and portfolio choice with option-implied state prices
Aït-Sahalia, Yacine; Brandt, Michael W. - 2008
Persistent link: https://www.econbiz.de/10003680553
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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
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Edgeworth expansions for realized volatility and related estimators
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - In: Journal of econometrics 160 (2011) 1, pp. 190-203
Persistent link: https://www.econbiz.de/10009242525
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Ultra high frequency volatility estimation with dependent microstructure noise
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 160 (2011) 1, pp. 160-175
Persistent link: https://www.econbiz.de/10009242527
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Principal component analysis of high frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - 2015
Persistent link: https://www.econbiz.de/10011372555
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The leverage effect puzzle : disentangling sources of bias at high frequency
Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - In: Journal of financial economics 109 (2013) 1, pp. 224-249
Persistent link: https://www.econbiz.de/10009765821
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Analyzing the spectrum of asset returns: jump and volatility components in high frequency data
Aït-Sahalia, Yacine; Jacod, Jean - In: Journal of economic literature 50 (2012) 4, pp. 1007-1050
Persistent link: https://www.econbiz.de/10009696498