Aït-Sahalia, Yacine.
Yacine Aït-Sahalia
VIAF ID: 65067891 ( Personal )
Permalink: http://viaf.org/viaf/65067891
Preferred Forms
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- 100 1 _ ‡a Aït-Sahalia, Yacine
- 100 1 _ ‡a Aït-Sahalia, Yacine
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- 100 1 _ ‡a Aït-Sahalia, Yacine
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- 100 1 _ ‡a Aït-Sahalia, Yacine
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- 100 0 _ ‡a Yacine Ai͏̈t-Sahalia
- 100 0 _ ‡a Yacine Aït-Sahalia
4xx's: Alternate Name Forms (20)
5xx's: Related Names (10)
- 510 2 _ ‡a Massachusetts Institute of Technology
- 510 2 _ ‡a Massachusetts Institute of Technology ‡4 affi ‡4 https://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
- 510 2 _ ‡a National Bureau of Economic Research
- 510 2 _ ‡a National Bureau of Economic Research ‡4 affi ‡4 https://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
- 510 2 _ ‡a Princeton University / Department of Economics / Bendheim Center for Finance
- 510 2 _ ‡a Princeton University ‡b Department of Economics
- 510 2 _ ‡a Princeton University ‡b Department of Economics ‡4 affi ‡4 https://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
- 510 2 _ ‡a University of Chicago
- 510 2 _ ‡a University of Chicago ‡4 affi ‡4 https://d-nb.info/standards/elementset/gnd#affiliation ‡e Affiliation
- 510 2 _ ‡a ebrary, Inc
Works
Title | Sources |
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Analyzing the spectrum of asset returns : jump and volatility components in high frequency data | |
Applications | |
Closed-from likelihood expansions for multivariate diffusions | |
Consumption and portfolio choice with option-implied state prices | |
Disentangling volatility from jumps | |
Edgeworth expansions for realized volatility and related estimators | |
Entry-exit decisions of foreign firms and import pricces = Les décisions d'entrée et de sortie des firmes étrangères et le prix des importations | |
High-frequency financial econometrics | |
How often to sample a continuous-time process in the presence of market microstructure noise | |
How to stop a herd of running bears? market response to policy initiatives during the Global Financial Crisis | |
The Leverage Effect Puzzle : Disentangling Sources of Bias at High Frequency | |
Luxury goods and the equity premium | |
Maximum likelihood estimation of stochastic volatility models | |
Modeling financial contagion using mutually exciting jump processes | |
Nonparametric estimation of state-price densities implicit in financial asset prices, c1995: | |
Nonparametric option pricing under shape restrictions | |
Nonparametric pricing of interest rate derivative securities | |
Risques financiers extrêmes et allocation d'actifs | |
A Tale of two time scales : determining integrated volatility with noisy high frequency data | |
Telling from discrete data whether the underlying continuous-time model is a diffusion | |
Testing continuous-time models of the spot interest rate | |
Tools and techniques | |
Ultra high frequency volatility estimation with dependent microstructure noise | |
Variable selection for portfolio choice |