E-LIB Suche - Ergebnisse für: Ait-Sahalia, Yacine

1

High frequency market making: The role of speed:

Aït-Sahalia, Yacine ; Sağlam, Mehmet
Journal of Econometrics. 239 (2024) 2 - p. 105421 , 2024

Link: https://doi.org/10.1016/..

2

Maximum likelihood estimation of latent Markov models using..:

Aït-Sahalia, Yacine ; Li, Chenxu ; Li, Chen Xu
Journal of Econometrics. 240 (2024) 2 - p. 105008 , 2024

Link: https://doi.org/10.1016/..

3

When uncertainty and volatility are disconnected: Implicati..:

Aït-Sahalia, Yacine ; Matthys, Felix ; Osambela, Emilio.
Journal of Econometrics. , 2024

Link: https://doi.org/10.1016/..

4

The Journal of Econometrics 2012–2018:

Aït-Sahalia, Yacine ; Fan, Jianqing
Journal of Econometrics. , 2023

Link: https://doi.org/10.1016/..

5

How and When are High-Frequency Stock Returns Predictable?

NBER working paper series, no. w30366

Aït-Sahalia, Yacine ; Fan, Jianqing ; Xue, Lirong. , 2022

Link: https://www.nber.org/pap..

6

When Uncertainty and Volatility Are Disconnected: Implicati..

NBER working paper series, no. w29195

Aït-Sahalia, Yacine ; Matthys, Felix ; Osambela, Emilio. , 2021

Link: https://www.nber.org/pap..

7

Closed-form implied volatility surfaces for stochastic vola..:

Aït-Sahalia, Yacine ; Li, Chenxu ; Li, Chen Xu
Journal of Econometrics. 222 (2021) 1 - p. 364-392 , 2021

Link: https://doi.org/10.1016/..

8

FROM TICK DATA TO SEMIMARTINGALES:

Aït-Sahalia, Yacine ; Jacod, Jean
The Annals of Applied Probability. 30 (2020) 6 - p. 2740-2768 , 2020

Link: https://www.jstor.org/st..

9

High frequency traders and the price process:

Aït-Sahalia, Yacine ; Brunetti, Celso
Journal of Econometrics. 217 (2020) 1 - p. 20-45 , 2020

Link: https://doi.org/10.1016/..

10

High-frequency factor models and regressions:

Aït-Sahalia, Yacine ; Kalnina, Ilze ; Xiu, Dacheng
Journal of Econometrics. 216 (2020) 1 - p. 86-105 , 2020

Link: https://doi.org/10.1016/..

11

Inference on Risk Premia in Continuous-Time Asset Pricing M..

NBER working paper series, no. w28140

Aït-Sahalia, Yacine ; Jacod, Jean ; Xiu, Dacheng , 2020

Link: https://www.nber.org/pap..

12

Implied Stochastic Volatility Models:

Aït-Sahalia, Yacine ; Li, Chenxu ; Li, Chen Xu.
The Review of Financial Studies. 34 (2020) 1 - p. 394-450 , 2020

Link: https://doi.org/10.1093/..

13

The term structure of equity and variance risk premia:

Aït-Sahalia, Yacine ; Karaman, Mustafa ; Mancini, Loriano
Journal of Econometrics. 219 (2020) 2 - p. 204-230 , 2020

Link: https://doi.org/10.1016/..

14

Robust consumption and portfolio policies when asset prices..:

Aït-Sahalia, Yacine ; Matthys, Felix
Journal of Economic Theory. 179 (2019) - p. 1-56 , 2019

Link: https://doi.org/10.1016/..

15

Annals Issue in Honor of Jerry A. Hausman:

Aït-Sahalia, Yacine ; Lo, Andrew W. ; Newey, Whitney K.
Journal of Econometrics. 211 (2019) 1 - p. 1-3 , 2019

Link: https://doi.org/10.1016/..