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1

Principal Component Analysis of High Frequency Data

Aït-Sahalia, Yacine, Xiu, Dacheng

Journal:

Journal of the American Statistical Association

Year:

2017

Language:

english

File:

PDF, 1.31 MB

english, 2017

2

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Yacine Aït-Sahalia, Per A. Mykland and Lan Zhang

Journal:

Review of Financial Studies

Year:

2005

Language:

english

File:

PDF, 1.90 MB

english, 2005

3

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

Yacine Aït-Sahalia, Andrew W. Lo

Journal:

The Journal of Finance

Year:

1998

Language:

english

File:

PDF, 946 KB

english, 1998

4

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

Yacine Aït-Sahalia and Andrew W. Lo

Journal:

The Journal of Finance

Year:

1998

Language:

english

File:

PDF, 1.62 MB

english, 1998

5

Transition Densities for Interest Rate and Other Nonlinear Diffusions

Yacine Aït-Sahalia

Journal:

The Journal of Finance

Year:

1999

Language:

english

File:

PDF, 882 KB

english, 1999

6

Luxury Goods and the Equity Premium

YACINE AÏT-SAHALIA, JONATHAN A. PARKER, MOTOHIRO YOGO

Journal:

The Journal of Finance

Year:

2004

Language:

english

File:

PDF, 367 KB

english, 2004

7

Estimating affine multifactor term structure models using closed-form likelihood expansions

Yacine Aït-Sahalia, Robert L. Kimmel

Journal:

Journal of Financial Economics

Year:

2010

Language:

english

File:

PDF, 603 KB

english, 2010

8

[Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes]: Comment

Yacine Aït-Sahalia

Journal:

Journal of Business and Economic Statistics

Year:

2002

Language:

english

File:

PDF, 246 KB

english, 2002

9

A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High-Frequency Data

Lan Zhang, Per A. Mykland and Yacine Aït-Sahalia

Journal:

Journal of the American Statistical Association

Year:

2005

Language:

english

File:

PDF, 2.21 MB

english, 2005

10

Papers and Proceedings of the Sixty-First Annual Meeting of the American Finance Association, New Orleans, Louisiana, January 5-7, 2001 || Variable Selection for Portfolio Choice

Yacine Aït-Sahalia and Michael W. Brandt

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 1.42 MB

english, 2001

11

Closed-Form Implied Volatility Surfaces for Stochastic Volatility Models

Ait-Sahalia, Yacine, Li, Chenxu, Li, Chen Xu

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 1.02 MB

english, 2017

12

High-Frequency Factor Models and Regressions

Ait-Sahalia, Yacine, Kalnina, Ilze, Xiu, Dacheng

Journal:

SSRN Electronic Journal

Year:

2019

Language:

english

File:

PDF, 1.33 MB

english, 2019

13

Testing Continuous-Time Models of the Spot Interest Rate

Yacine Ait-Sahalia

Journal:

Review of Financial Studies

Year:

1996

Language:

english

File:

PDF, 1.08 MB

english, 1996

14

[Realized Variance and Market Microstructure Noise]: Comment

Yacine Aït-Sahalia, Per A. Mykland and Lan Zhang

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 870 KB

english, 2006

15

Nonparametric Pricing of Interest Rate Derivative Securities

Ait-Sahalia, Yacine

Journal:

Year:

1996

Language:

english

File:

PDF, 752 KB

english, 1996

16

High Frequency Market Microstructure Noise Estimates and Liquidity Measures

Yacine Aït-Sahalia and Jialin Yu

Journal:

The Annals of Applied Statistics

Year:

2009

Language:

english

File:

PDF, 3.19 MB

english, 2009

17

Variable Selection for Portfolio Choice

Brandt, Michael W., Ait-Sahalia, Yacine

Journal:

SSRN Electronic Journal

Year:

2001

Language:

english

File:

PDF, 774 KB

english, 2001

18

Ultra high frequency volatility estimation with dependent microstructure noise

Yacine Aït-Sahalia, Per A. Mykland, Lan Zhang

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 976 KB

english, 2011

19

Variable Selection for Portfolio Choice

Yacine Aït-Sahalia, Michael W. Brandt

Journal:

The Journal of Finance

Year:

2001

Language:

english

File:

PDF, 2.63 MB

english, 2001

20

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

Yacine Aït-Sahalia

Journal:

Year:

2002

Language:

english

File:

PDF, 678 KB

english, 2002

21

Fisher's Information for Discretely Sampled Lévy Processes

Yacine Aït-Sahalia, Jean Jacod

Journal:

Year:

2008

Language:

english

File:

PDF, 355 KB

english, 2008

22

Market response to policy initiatives during the global financial crisis

Yacine Aït-Sahalia, Jochen Andritzky, Andreas Jobst, Sylwia Nowak, Natalia Tamirisa

Journal:

Journal of International Economics

Year:

2012

Language:

english

File:

PDF, 723 KB

english, 2012

23

The leverage effect puzzle: Disentangling sources of bias at high frequency

Aït-Sahalia, Yacine, Fan, Jianqing, Li, Yingying

Journal:

Journal of Financial Economics

Year:

2013

Language:

english

File:

PDF, 1.23 MB

english, 2013

24

Comment

Aït-Sahalia, Yacine, Mykland, Per A, Zhang, Lan

Journal:

Journal of Business and Economic Statistics

Year:

2006

Language:

english

File:

PDF, 229 KB

english, 2006

25

High frequency market microstructure noise estimates and liquidity measures

Aït-Sahalia, Yacine, Yu, Jialin

Journal:

The Annals of Applied Statistics

Year:

2009

Language:

english

File:

PDF, 452 KB

english, 2009

26

Fisher's Information for Discretely Sampled Lévy Processes

Yacine Aït-Sahalia and Jean Jacod

Journal:

Year:

2008

Language:

english

File:

PDF, 3.55 MB

english, 2008

27

Market-based estimation of stochastic volatility models

Aït-Sahalia, Yacine, Amengual, Dante, Manresa, Elena

Journal:

Journal of Econometrics

Year:

2015

Language:

english

File:

PDF, 589 KB

english, 2015

28

Closed-Form Likelihood Expansions for Multivariate Diffusions

Yacine Aït-Sahalia

Journal:

The Annals of Statistics

Year:

2008

Language:

english

File:

PDF, 2.20 MB

english, 2008

29

Luxury Goods and the Equity Premium

Yacine Aït-Sahalia, Jonathan A. Parker and Motohiro Yogo

Journal:

The Journal of Finance

Year:

2004

Language:

english

File:

PDF, 4.95 MB

english, 2004

30

IS BROWNIAN MOTION NECESSARY TO MODEL HIGH-FREQUENCY DATA?

Yacine Aït-Sahalia and Jean Jacod

Journal:

The Annals of Statistics

Year:

2010

Language:

english

File:

PDF, 2.65 MB

english, 2010

31

Increased correlation among asset classes: Are volatility or jumps to blame, or both?

Aït-Sahalia, Yacine, Xiu, Dacheng

Journal:

Journal of Econometrics

Year:

2016

Language:

english

File:

PDF, 1.46 MB

english, 2016

32

Papers and Proceedings, Fifty-Ninth Annual Meeting, American Finance Association, New York, New York, January 4-6, 1999 || Transition Densities for Interest Rate and Other Nonlinear Diffusions

Yacine Aït-Sahalia

Journal:

The Journal of Finance

Year:

1999

Language:

english

File:

PDF, 904 KB

english, 1999

33

Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion

Yacine Aït-Sahalia

Journal:

The Journal of Finance

Year:

2002

Language:

english

File:

PDF, 1.04 MB

english, 2002

34

Estimation of the Continuous and Discontinuous Leverage Effects

Aït-Sahalia, Yacine, Fan, Jianqing, Laeven, Roger J. A., Wang, Christina Dan, Yang, Xiye

Journal:

Journal of the American Statistical Association

Year:

2016

Language:

english

File:

PDF, 400 KB

english, 2016

35

Using principal component analysis to estimate a high dimensional factor model with high-frequency data

Aït-Sahalia, Yacine, Xiu, Dacheng

Journal:

Journal of Econometrics

Year:

2017

Language:

english

File:

PDF, 3.66 MB

english, 2017

36

A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

Ait-Sahalia, Yacine, Xiu, Dacheng

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 1009 KB

english, 2016

37

Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both?

Ait-Sahalia, Yacine, Xiu, Dacheng

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 1.55 MB

english, 2014

38

Maximum-Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach

Ait-Sahalia, Yacine

Journal:

SSRN Electronic Journal

Year:

1998

Language:

english

File:

PDF, 284 KB

english, 1998

39

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

Aït-Sahalia, Yacine, Xiu, Dacheng

Journal:

Journal of Econometrics

Year:

2018

Language:

english

File:

PDF, 856 KB

english, 2018

40

Nonparametric Transition-Based Tests for Jump-Diffusions

Ait-Sahalia, Yacine, Fan, Jianqing, Peng, Heng

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 535 KB

english, 2005

41

Out of sample forecasts of quadratic variation

Yacine Aït-Sahalia, Loriano Mancini

Journal:

Journal of Econometrics

Year:

2008

Language:

english

File:

PDF, 3.37 MB

english, 2008

42

Edgeworth expansions for realized volatility and related estimators

Lan Zhang, Per A. Mykland, Yacine Aït-Sahalia

Journal:

Journal of Econometrics

Year:

2011

Language:

english

File:

PDF, 647 KB

english, 2011

43

Dynamic equilibrium and volatility in financial asset markets

Yacine Aït-Sahalia

Journal:

Journal of Econometrics

Year:

1998

Language:

english

File:

PDF, 2.45 MB

english, 1998

44

Testing for jumps in noisy high frequency data

Yacine Aït-Sahalia, Jean Jacod, Jia Li

Journal:

Journal of Econometrics

Year:

2012

Language:

english

File:

PDF, 936 KB

english, 2012

45

Stationarity-based specification tests for diffusions when the process is nonstationary

Yacine Aït-Sahalia, Joon Y. Park

Journal:

Journal of Econometrics

Year:

2012

Language:

english

File:

PDF, 310 KB

english, 2012

46

Testing whether jumps have finite or infinite activity

Aït-Sahalia, Yacine, Jacod, Jean

Journal:

The Annals of Statistics

Year:

2011

Language:

english

File:

PDF, 722 KB

english, 2011

47

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

Aït-Sahalia, Yacine, Jacod, Jean

Journal:

Journal of Economic Literature

Year:

2012

Language:

english

File:

PDF, 1.17 MB

english, 2012

48

Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities

Aït-Sahalia, Yacine

Journal:

Annual Review of Financial Economics

Year:

2009

Language:

english

File:

PDF, 905 KB

english, 2009

49

Modelling Stock Market Volatility || Nonparametric Pricing of Interest Rate Derivative Securities*

Aït-Sahalia, Yacine

Year:

1996

Language:

english

File:

PDF, 2.03 MB

english, 1996

50

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach

Yacine Aït-Sahalia

Journal:

Year:

2002

Language:

english

File:

PDF, 999 KB

english, 2002