Aït-Sahalia, Yacine
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- Nonparametric pricing of interest rate derivative securities
- Nonparametric option pricing under shape restrictions
- Closed-from likelihood expansions for multivariate diffusions
- High-frequency financial econometrics, Yacine Aït-Sahalia, Jean Jacod
- Disentangling volatility from jumps
- Dynamic equilibrium and volatility in financial asset markets
- Luxury goods and the equity premium
- Nonparametric estimation of state-price densities implicit in financial asset prices
- How often to sample a continuous-time process in the presence of market microstructure noise
- Telling from discrete data whether the underlying continuous-time model is a diffusion
- testing of contimuous-time models of the spot interest rate
- Maximum likelihood estimation of discretely sampled diffusions, a closed-form approach
- Variable selection for portfolio choice
- Nonparametric risk management and implied risk aversion