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Ait-Sahalia, Yacine
9
Kimmel, Robert L.
3
Cheridito, Patrick
2
Brandt, Michael W.
1
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1
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Working paper / National Bureau of Economic Research, Inc
7
Journal of financial economics
2
The journal of finance : the journal of the American Finance Association
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Modeling the term structure of interest rates: A new approach
Kimmel, Robert L.
- In:
Journal of financial economics
72
(
2004
)
1
,
pp. 143-184
Persistent link: https://www.econbiz.de/10006504733
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2
A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS
Cheridito, Patrick
;
Filipovic, Damir
;
Kimmel, Robert L.
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 509-520
Persistent link: https://www.econbiz.de/10008425295
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3
Market price of risk specifications for affine models: Theory and evidence
Cheridito, Patrick
;
Filipović, Damir
;
Kimmel, Robert L.
- In:
Journal of financial economics
83
(
2007
)
1
,
pp. 123-170
Persistent link: https://www.econbiz.de/10007772568
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4
ARTICLES - Variable Selection for Portfolio Choice
Ait-Sahalia, Yacine
;
Brandt, Michael W.
- In:
The journal of finance : the journal of the American …
56
(
2001
)
4
,
pp. 1297-1350
Persistent link: https://www.econbiz.de/10006563789
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5
NONPARAMETRIC RISK MANAGEMENT AND IMPLIED RISK AVERSION
Ait-Sahalia, Yacine
;
Lo, Andrew W.
-
1997
Persistent link: https://www.econbiz.de/10006996849
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6
HIGH FREQUENCY MARKET MICROSTRUCTURE NOISE ESTIMATES AND LIQUIDITY MEASURES
Ait-Sahalia, Yacine
;
Yu, Jialin
-
2008
Persistent link: https://www.econbiz.de/10007978541
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7
Transition Densities for Interest Rate and Other Nonlinear Diffusions
Ait-Sahalia, Yacine
- In:
The journal of finance : the journal of the American …
54
(
1999
)
4
,
pp. 1361-1396
Persistent link: https://www.econbiz.de/10007375438
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8
A TALE OF TWO TIME SCALES: DETERMINING INTEGRATED VOLATILITY WITH NOISY HIGH-FREQUENCY DATA
Zhang, Lan
;
Mykland, Per A.
;
Ait-Sahalia, Yacine
-
2003
Persistent link: https://www.econbiz.de/10006966215
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9
CLOSED-FROM LIKELIHOOD EXPANSIONS FOR MULTIVARIATE DIFFUSIONS
Ait-Sahalia, Yacine
-
2002
Persistent link: https://www.econbiz.de/10006974040
Saved in:
10
NONPARAMETRIC OPTION PRICING UNDER SHAPE RESTRICTIONS
Ait-Sahalia, Yacine
;
Duarte, Jefferson
-
2002
Persistent link: https://www.econbiz.de/10006974092
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