Yacine Ait Sahalia

Princeton University - Princeton / United States

Economics & Econometrics / Accounting & Finance

AD Scientific Index ID: 1467273

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Yacine Ait Sahalia's MOST POPULAR ARTICLES

1-) A tale of two time scales: Determining integrated volatility with noisy high-frequency dataL Zhang, PA Mykland, Y Aït-SahaliaJournal of the American Statistical Association 100 (472), 1394-1411, 200521872005

2-) Nonparametric estimation of state‐price densities implicit in financial asset pricesY Aït‐Sahalia, AW LoThe journal of finance 53 (2), 499-547, 199814451998

3-) Testing continuous-time models of the spot interest rateY Ait-SahaliaThe review of financial studies 9 (2), 385-426, 199613801996

4-) Maximum likelihood estimation of discretely sampled diffusions: a closed‐form approximation approachY Aït‐SahaliaEconometrica 70 (1), 223-262, 200212882002

5-) How often to sample a continuous-time process in the presence of market microstructure noiseY Ait-Sahalia, PA Mykland, L ZhangThe review of financial studies 18 (2), 351-416, 200511902005

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