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Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan
Yu, Jialin - In: Journal of Econometrics 141 (2007) 2, pp. 1245-1280
Persistent link: https://www.econbiz.de/10005285606
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Saddlepoint approximations for continuous-time Markov processes
Ai[dieresis]t-Sahalia, Yacine; Yu, Jialin - In: Journal of Econometrics 134 (2006) 2, pp. 507-551
Persistent link: https://www.econbiz.de/10005285812
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Dynamic equilibrium and volatility in financial asset markets
Ait-Sahalia, Yacine - In: Journal of Econometrics 84 (1998) 1, pp. 93-127
Persistent link: https://www.econbiz.de/10005122530
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Nonparametric risk management and implied risk aversion
Ait-Sahalia, Yacine; Lo, Andrew W. - In: Journal of Econometrics 94 (2000) 1-2, pp. 9-51
Persistent link: https://www.econbiz.de/10005122615
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Nonparametric option pricing under shape restrictions
Ait-Sahalia, Yacine; Duarte, Jefferson - In: Journal of Econometrics 116 (2003) 1-2, pp. 9-47
Persistent link: https://www.econbiz.de/10005285370
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Goodness-of-fit tests for kernel regression with an application to option implied volatilities
Ait-Sahalia, Yacine; Bickel, Peter J.; Stoker, Thomas M. - In: Journal of Econometrics 105 (2001) 2, pp. 363-412
Persistent link: https://www.econbiz.de/10005192333
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Do option markets correctly price the probabilities of movement of the underlying asset?
Ait-Sahalia, Yacine; Wang, Yubo; Yared, Francis - In: Journal of Econometrics 102 (2001) 1, pp. 67-110
Persistent link: https://www.econbiz.de/10005192795