15 treff

High-frequency financial econometrics
Ait-Sahalia, Yacine
Bok Engelsk 2014
Ultra high frequency volatility estimation with dependent microstructure noise
Ait-Sahalia, Yacine
Bok Engelsk 2005
Maximum likelihood estimation of stochastic volatility models
Yacine Ait-Sahalia, Robert Kimmel
Bok Engelsk 2004
Disentangling volatility from jumps
Ait-Sahalia, Yacine
Bok Engelsk 2003
How often to sample a continuous-time process in the presence of market microstructure noise
Ait-Sahalia, Yacine
Bok Engelsk 2003
A tale of two time scales : determining integrated volatility with noisy high-frequency data
Lan Zhang, Per A. Mykland, Yacine Ait-Sah...
Bok Engelsk 2003
Closed-from likelihood expansions for multivariate diffusions
Yacine Ait-Sahalia
Bok Engelsk 2002
Nonparametric option pricing under shape restrictions
Yacine Ait-Sahalia, Jefferson Duarte
Bok Engelsk 2002
Telling from discrete data whether the underlying continuous-time model is a diffusion

Bok Engelsk 2001
Variable selection for portfolio choice

Bok Engelsk 2001
Nonparametric risk management and implied risk aversion

Bok Engelsk 1997
Dynamic equilibrium and volatility in financial asset markets

Bok Engelsk 1996
Nonparametric estimation of state-price densities implicit in financial asset prices
Yacine Aït-Sahalia
Bok Engelsk 1995
Nonparametric pricing of interest rate derivative securities
Yacine Aït-Sahalia
Bok Engelsk 1995
Testing continuous-time models of the spot interest rate

Bok Engelsk 1995