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Disentangling diffusion from jumps
Aït-Sahalia, Yacine - In: Journal of financial economics 74 (2004) 3, pp. 487-528
Persistent link: https://www.econbiz.de/10002439265
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The leverage effect puzzle : disentangling sources of bias at high frequency
Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - In: Journal of financial economics 109 (2013) 1, pp. 224-249
Persistent link: https://www.econbiz.de/10009765821
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Estimating affine multifactor term structure models using closed-form likelihood expansions
Aït-Sahalia, Yacine; Kimmel, Robert - In: Journal of financial economics 98 (2010) 1, pp. 113-144
Persistent link: https://www.econbiz.de/10008702741
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Maximum likelihood estimation of stochastic volatility models
Aït-Sahalia, Yacine; Kimmel, Robert - In: Journal of financial economics 83 (2007) 2, pp. 413-452
Persistent link: https://www.econbiz.de/10003425468
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Modeling financial contagion using mutually exciting jump processes
Aït-Sahalia, Yacine; Cacho-Diaz, Julio; Laeven, Roger J. A. - In: Journal of financial economics 117 (2015) 3, pp. 585-606
Persistent link: https://www.econbiz.de/10011480318
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Slow-moving capital and execution costs : evidence from a major trading glitch
Bogousslavsky, Vincent; Collin-Dufresne, Pierre; … - In: Journal of financial economics 139 (2021) 3, pp. 922-949
Persistent link: https://www.econbiz.de/10012693851
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Liquidity regimes and optimal dynamic asset allocation
Collin-Dufresne, Pierre; Daniel, Kent; Sağlam, Mehmet - In: Journal of financial economics 136 (2020) 2, pp. 379-406
Persistent link: https://www.econbiz.de/10012545569
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The leverage effect puzzle: Disentangling sources of bias at high frequency
Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - In: Journal of financial economics 109 (2013) 1, pp. 224-249
Persistent link: https://www.econbiz.de/10010122976