المؤلفون: Lan Zhang, Per A. Mykland, Yacine Ait-Sahalia

مصطلحات موضوعية: Probability, Statistics, Measurement error, Subsampling, Market Microstructure, Martingale, Bias-correction, Realized volatility

Relation: https://figshare.com/articles/A_tale_of_two_time_scales_Determining_integrated_volatility_with_noisy_high_frequency_data/6586400

الاتاحة: https://doi.org/10.1184/r1/6586400.v1
https://figshare.com/articles/A_tale_of_two_time_scales_Determining_integrated_volatility_with_noisy_high_frequency_data/6586400

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

المصدر: Journal of Econometrics. 222:364-392

مصطلحات موضوعية: Economics and Econometrics, Stochastic volatility, Applied Mathematics, Model selection, 05 social sciences, Bivariate analysis, Implied volatility, 01 natural sciences, 010104 statistics & probability, Valuation of options, 0502 economics and business, Market data, Econometrics, Economics, 0101 mathematics, 050205 econometrics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::5a0c17bdde1f16c50b436ab9f97a4c47
https://doi.org/10.1016/j.jeconom.2020.07.006

المؤلفون: Mustafa Karaman, Yacine Ait-Sahalia, Loriano Mancini

المصدر: Journal of Econometrics. 219:204-230

مصطلحات موضوعية: Variance risk premium, Economics and Econometrics, Variance swap, Stochastic volatility, Applied Mathematics, Risk premium, 05 social sciences, Equity (finance), 01 natural sciences, 010104 statistics & probability, Economic indicator, 0502 economics and business, Financial crisis, Econometrics, Economics, Volatility risk, 0101 mathematics, 050205 econometrics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::34046e0251b9bd51c83cd634bb6f211d
https://doi.org/10.1016/j.jeconom.2020.03.002

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

المصدر: Journal of Econometrics. 216:86-105

مصطلحات موضوعية: Economics and Econometrics, Earnings, Applied Mathematics, 05 social sciences, Nonparametric statistics, Inference, 01 natural sciences, 010104 statistics & probability, 0502 economics and business, Systematic risk, Piecewise, Econometrics, Economics, 0101 mathematics, Volatility (finance), Time series, Stock (geology), 050205 econometrics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::0e76c6f14cab6090a62c6644e96a8375
https://doi.org/10.1016/j.jeconom.2020.01.007

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

المصدر: The Review of Financial Studies. 34:394-450

مصطلحات موضوعية: Surface (mathematics), Economics and Econometrics, 050208 finance, Index (economics), Stochastic volatility, 05 social sciences, Implied volatility, 01 natural sciences, 010104 statistics & probability, Accounting, 0502 economics and business, Econometrics, Affine transformation, 0101 mathematics, Volatility (finance), Finance, Generalized method of moments, Parametric statistics, Mathematics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::1cf2d99e15e44c1dbb9801bff1851b2e
https://doi.org/10.1093/rfs/hhaa041

المؤلفون: Yacine Ait-Sahalia, Jianqing Fan, Lirong Xue, Yifeng Zhou

المصدر: SSRN Electronic Journal.

مصطلحات موضوعية: History, Polymers and Plastics, Business and International Management, Industrial and Manufacturing Engineering

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::154d737427cb2e63980fd32a1563ca44
https://doi.org/10.2139/ssrn.4196310

المؤلفون: Augustin Landier, David Sraer, David Thesmar, Yacine Ait-Sahalia, Gadi Barlevy, Effy Benmelech, Markus Brunner-Meier, Robin Greenwood, Denis Gromb, Harrison Hong, Florencio Lopez-De-Silanes, Guillaume Plantin, Jose Scheinkman, Hyun Shin, Andrei

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.novasbe.unl.pt/images/novasbe/files/file_1073_1_1328788874.pdf.

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1039.1372; http://www.novasbe.unl.pt/images/novasbe/files/file_1073_1_1328788874.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1039.1372
http://www.novasbe.unl.pt/images/novasbe/files/file_1073_1_1328788874.pdf

المؤلفون: Yacine Ait-Sahalia, Dacheng Xiu

المصدر: Journal of Econometrics. 211:176-205

مصطلحات موضوعية: Economics and Econometrics, Noise, Realized variance, Applied Mathematics, Econometrics, Nonparametric statistics, Test statistic, Estimator, Market microstructure, Volatility (finance), Hausman test, Mathematics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::f42736b43601a10d9244d2133070e5f4
https://doi.org/10.1016/j.jeconom.2018.12.013

المؤلفون: Yacine Aït-sahalia, Jochen Andritzky, Sylwia Nowak, Prepared Yacine Aït-sahalia, Natalia Tamirisa, Authorized Jonathan, D. Ostry

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.imf.org/external/pubs/ft/wp/2009/wp09204.pdf.

مصطلحات موضوعية: Crisis, policy, announcement, event, financial, liquidity, monetary, fiscal, bank

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.164.1406; http://www.imf.org/external/pubs/ft/wp/2009/wp09204.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.164.1406
http://www.imf.org/external/pubs/ft/wp/2009/wp09204.pdf

المؤلفون: Felix Matthys, Ronnie Sircar, Emilio Osambela, Yacine Ait-Sahalia

مصطلحات موضوعية: Stochastic volatility, Risk aversion, Equity premium puzzle, Econometrics, Economics, Asset allocation, Ambiguity aversion, Portfolio, Capital asset pricing model, Volatility (finance)

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::2498c95c2e35b2342d578d9fe8792d56
https://doi.org/10.3386/w29195

المؤلفون: Chris Bardgett, Elise Gourier, Markus Leippold, Yacine Aït-Sahalia, Peter Christoffersen, Jérôme Detemple, Garland Durham, Damir Filipović, Andras Fulop, Michael Johannes, Loriano Mancini, Chay Ornthanalai, Andrew Papanicolaou, Chris Rogers, Ronnie Sircar, Josef Teichmann, Fabio Trojani, Anders Trolle, Alexandre Ziegler

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.elisegourier.com/uploads/3/7/9/6/37964671/researchpaper_consistentmodel_spx_vix_egourier.pdf.

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1081.6556; http://www.elisegourier.com/uploads/3/7/9/6/37964671/researchpaper_consistentmodel_spx_vix_egourier.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1081.6556
http://www.elisegourier.com/uploads/3/7/9/6/37964671/researchpaper_consistentmodel_spx_vix_egourier.pdf

المؤلفون: Drew D. Creal, Jing Cynthia Wu, We Thank Yacine Ait-sahalia, Boragan Aruoba, Michael Bauer, Alan Bester, John Cochrane, Rob Engle, Jim Hamilton, Chris Hansen, Guido Kuersteiner, Ken Singleton, Two Anonymous

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.nber.org/papers/w20115.pdf.

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.677.9462; http://www.nber.org/papers/w20115.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.677.9462
http://www.nber.org/papers/w20115.pdf

المؤلفون: Yacine Ait-Sahalia, Jean Jacod

المصدر: Ann. Appl. Probab. 30, no. 6 (2020), 2740-2768

مصطلحات موضوعية: continuous time, Statistics and Probability, convergence, Lévy process, Stochastic volatility, jumps, scaling, high frequency, Semimartingale, 62M05, Convergence (routing), Econometrics, 60H10, Asset (economics), stochastic volatility, Statistics, Probability and Uncertainty, 62F12, Scaling, 60J60, Mathematics, Sign (mathematics)

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::88913c3808b294a9f239f6b24815d411
https://doi.org/10.1214/20-aap1571

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

المصدر: Journal of Econometrics.

مصطلحات موضوعية: Economics and Econometrics, Stochastic volatility, Computer science, Applied Mathematics, 05 social sciences, Monte Carlo method, State vector, Estimator, Markov chain Monte Carlo, Latent variable, Markov model, 01 natural sciences, 010104 statistics & probability, symbols.namesake, 0502 economics and business, symbols, Applied mathematics, 0101 mathematics, Likelihood function, 050205 econometrics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::56cd1244d2e27369281c7deca4ab641b
https://doi.org/10.1016/j.jeconom.2020.09.001

المؤلفون: Yacine Ait-Sahalia, Dacheng Xiu, Jean Jacod

مصطلحات موضوعية: Risk premium, Equity (finance), Econometrics, Jump, Capital asset pricing model, Inference, Time horizon, Regression, Factor analysis, Mathematics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::6e2180ed8936be1743c710b5fe1744c4
https://doi.org/10.3386/w28140

المؤلفون: Felix Matthys, Yacine Ait-Sahalia

المصدر: Journal of Economic Theory. 179:1-56

مصطلحات موضوعية: Economics and Econometrics, Financial economics, 05 social sciences, Lévy process, Quantitative analysis (finance), Computer Science::Computational Engineering, Finance, and Science, Replicating portfolio, 0502 economics and business, Econometrics, Jump, Economics, Portfolio, Post-modern portfolio theory, 050207 economics, Portfolio optimization, Robust control, 050205 econometrics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::980d6d0e26638b32eeb2cc468cd6ae4e
https://doi.org/10.1016/j.jet.2018.09.006

المؤلفون: Whitney K. Newey, Andrew W. Lo, Yacine Ait-Sahalia

المصدر: Journal of Econometrics. 211:1-3

مصطلحات موضوعية: Economics and Econometrics, Annals, Applied Mathematics, Honor, Economics, Classics

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_________::31ab9a72861afca9447837846e59776c
https://doi.org/10.1016/j.jeconom.2018.12.001

المؤلفون: Yacine Aït-sahalia, Jochen Andritzky, Sylwia Nowak, Natalia Tamirisa, To Tam Bayoumi, Andy Berg, Olivier Blanchard, Stijn Claessens, Atish R, Thomas Harjes, Laura Kodres, Manfred Kremer, Luc Laeven, André Meier, Gian Maria Milesi, Jonathan D. Ostry, Alex Popov, Effie Psalida, David Romer, Emil Stavrev, Mark Stone, Sumit Aneja, Tiffany Coln, Sarah Mogab, Carmela Pedicini, Jair Rodriguez, Sheila Tomilloso Igcasenza

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.newyorkfed.org/research/conference/2010/global/tamirisa.pdf.

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.473.3487; http://www.newyorkfed.org/research/conference/2010/global/tamirisa.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.473.3487
http://www.newyorkfed.org/research/conference/2010/global/tamirisa.pdf

المؤلفون: Yacine Aït-sahalia, Julio Cacho-diaz, T. R. Hurd

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://www.princeton.edu/%7Eyacine/portjump.pdf.

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1025.6120; http://www.princeton.edu/%7Eyacine/portjump.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1025.6120
http://www.princeton.edu/%7Eyacine/portjump.pdf

المؤلفون: Yacine Aït-sahalia, Robert L. Kimmel

المساهمون: The Pennsylvania State University CiteSeerX Archives

المصدر: http://fisher.osu.edu/supplements/10/9860/200819.pdf.

وصف الملف: application/pdf

Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.423.5464; http://fisher.osu.edu/supplements/10/9860/200819.pdf

الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.423.5464
http://fisher.osu.edu/supplements/10/9860/200819.pdf