The following pages link to Yacine Aït-Sahalia (Q193895):
Displaying 50 items.
- Saddlepoint approximations for continuous-time Markov processes (Q278194) (← links)
- An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions (Q292134) (← links)
- Out of sample forecasts of quadratic variation (Q299250) (← links)
- Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
- Mutual excitation in Eurozone sovereign CDS (Q473225) (← links)
- Testing for jumps in noisy high frequency data (Q527932) (← links)
- Stationarity-based specification tests for diffusions when the process is nonstationary (Q528006) (← links)
- Is Brownian motion necessary to model high-frequency data? (Q605940) (← links)
- Nonparametric tests of the Markov hypothesis in continuous-time models (Q605941) (← links)
- Testing whether jumps have finite or infinite activity (Q638809) (← links)
- Identifying the successive Blumenthal-Getoor indices of a discretely observed process (Q693731) (← links)
- Ultra high frequency volatility estimation with dependent microstructure noise (Q737274) (← links)
- Edgeworth expansions for realized volatility and related estimators (Q737276) (← links)
- Estimating the degree of activity of jumps in high frequency data (Q834337) (← links)
- Volatility estimators for discretely sampled Lévy processes (Q997383) (← links)
- Testing for jumps in a discretely observed process (Q1002155) (← links)
- High frequency market microstructure noise estimates and liquidity measures (Q1018630) (← links)
- Portfolio choice with jumps: a closed-form solution (Q1024892) (← links)
- Dynamic equilibrium and volatility in financial asset markets (Q1379917) (← links)
- Nonparametric option pricing under shape restrictions (Q1398968) (← links)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
- Semimartingale: Itô or not ? (Q1683817) (← links)
- Robust consumption and portfolio policies when asset prices can jump (Q1757535) (← links)
- Estimators of diffusions with randomly spaced discrete observations: a general theory (Q1766133) (← links)
- Nonparametric risk management and implied risk aversion (Q1969813) (← links)
- A Hausman test for the presence of market microstructure noise in high frequency data (Q2000858) (← links)
- High frequency traders and the price process (Q2190209) (← links)
- The term structure of equity and variance risk premia (Q2224879) (← links)
- From tick data to semimartingales (Q2240473) (← links)
- High-frequency factor models and regressions (Q2305976) (← links)
- Market-based estimation of stochastic volatility models (Q2347717) (← links)
- Closed-form likelihood expansions for multivariate diffusions (Q2426628) (← links)
- Closed-form implied volatility surfaces for stochastic volatility models with jumps (Q2658792) (← links)
- The Journal of Econometrics 2012--2018 (Q2697960) (← links)
- Transition densities for interest rate and other nonlinear diffusions (Q2725572) (← links)
- Non-parametric pricing of interest rate-derivative securities. (Q2760392) (← links)
- (Q3511639) (← links)
- Fisher's Information for Discretely Sampled Lvy Processes (Q3521267) (← links)
- Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations (Q3646972) (← links)
- (Q4495100) (← links)
- Nonparametric Pricing of Interest Rate Derivative Securities (Q4883102) (← links)
- Principal Component Analysis of High-Frequency Data (Q5229911) (← links)
- Nonparametric Transition-Based Tests for Jump Diffusions (Q5254730) (← links)
- High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data (Q5255690) (← links)
- (Q5310585) (← links)
- (Q5447121) (← links)
- The Effects of Random and Discrete Sampling when Estimating Continuous-Time Diffusions (Q5472962) (← links)
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (Q5474965) (← links)
- (Q5495335) (← links)
- A Tale of Two Time Scales (Q5754906) (← links)
