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A tale of two time scales : determining integrated volatility with noisy high-frequency data
Zhang, Lan; Mykland, Per A.; Aït-Sahalia, Yacine - 2003
Persistent link: https://www.econbiz.de/10001833930
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Nonparametric risk management and implied risk aversion
Aït-Sahalia, Yacine; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000637525
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Dynamic equilibrium and volatility in financial asset markets
Aït-Sahalia, Yacine - 1996
Persistent link: https://www.econbiz.de/10000569087
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The effects of random and discrete sampling when estimating continuous-time diffusions
Aït-Sahalia, Yacine; Mykland, Per A. - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 483-549
Persistent link: https://www.econbiz.de/10001750277
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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. - 2003
Persistent link: https://www.econbiz.de/10001752968
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Luxury goods and the equity premium
Aït-Sahalia, Yacine; Parker, Jonathan A.; Yogo, Motohiro - 2002
Persistent link: https://www.econbiz.de/10001755283
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Telling from discrete data whether the underlying continuous-time model is a diffusion
Aït-Sahalia, Yacine - In: The journal of finance : the journal of the American … 57 (2002) 5, pp. 2075-2112
Persistent link: https://www.econbiz.de/10001709404
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Closed-form likelihood expansions for multivariate diffusions
Aït-Sahalia, Yacine - 2002
Persistent link: https://www.econbiz.de/10001671264
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Variable selection for portfolio choice
Aït-Sahalia, Yacine; Brandt, Michael W. - In: The journal of finance : the journal of the American … 56 (2001) 4, pp. 1297-1351
Persistent link: https://www.econbiz.de/10001662220
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The effects of Random and discrete sampling when estimating continuous-time diffusions
Aït-Sahalia, Yacine; Mykland, Per A. - 2002
Persistent link: https://www.econbiz.de/10001663740