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Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
Fan, Jianqing; Li, Yingying; Yu, Ke - In: Journal of the American Statistical Association : JASA 107 (2012) 497, pp. 412-429
Persistent link: https://www.econbiz.de/10009981416
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THE LEVERAGE EFFECT PUZZLE: DISENTANGLING SOURCES OF BIAS AT HIGH FREQUENCY
Ait-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - 2011
Persistent link: https://www.econbiz.de/10009833031
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Nonparametric Transition-Based Tests for Jump Diffusions
Aït-Sahalia, Yacine; Fan, Jianqing; Peng, Heng - In: Journal of the American Statistical Association : JASA 104 (2009) 487, pp. 1102-1116
Persistent link: https://www.econbiz.de/10008328382
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High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Aït-Sahalia, Yacine; Fan, Jianqing; Xiu, Dacheng - In: Journal of the American Statistical Association : JASA 105 (2010) 492, pp. 1504-1518
Persistent link: https://www.econbiz.de/10008819024
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How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - In: The review of financial studies 18 (2013) 2, pp. 351-350
Persistent link: https://www.econbiz.de/10010114501
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Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine; Mancini, Loriano - In: Journal of econometrics 147 (2008) 1, pp. 17-33
Persistent link: https://www.econbiz.de/10008143207
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Fisher's Information for Discretely Sampled Lévy Processes
Aït-Sahalia, Yacine; Jacod, Jean - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 4, pp. 727-762
Persistent link: https://www.econbiz.de/10008077672
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Market response to policy initiatives during the global financial crisis
Aït-Sahalia, Yacine; Andritzky, Jochen; Jobst, Andreas; … - In: Journal of international economics 87 (2012) 1, pp. 162-178
Persistent link: https://www.econbiz.de/10009967153
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Testing for jumps in noisy high frequency data
Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia - In: Journal of econometrics 168 (2012) 2, pp. 207-223
Persistent link: https://www.econbiz.de/10009969396
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Stationarity-based specification tests for diffusions when the process is nonstationary
Aït-Sahalia, Yacine; Park, Joon Y. - In: Journal of econometrics 169 (2012) 2, pp. 279-293
Persistent link: https://www.econbiz.de/10009987065