Research Output per year
Fingerprint Dive into the research topics where Yacine Ait-Sahalia is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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High-frequency Data
Mathematics
Estimator
Mathematics
Volatility
Mathematics
Jump
Mathematics
Market Microstructure
Mathematics
Realized Volatility
Mathematics
Closed-form
Mathematics
Estimate
Mathematics
Network
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Research Output 1996 2019
4
Citations
(Scopus)
A Hausman test for the presence of market microstructure noise in high frequency data
Ait-Sahalia, Y. & Xiu, D., Jul 1 2019, In : Journal of Econometrics. 211, 1, p. 176-205 30 p.Research output: Contribution to journal › Article
Hausman test
Estimator
Market microstructure noise
High-frequency data
Test statistic
Annals Issue in Honor of Jerry A. Hausman: Editors’ Introduction
Ait-Sahalia, Y., Lo, A. W. & Newey, W. K., Jul 1 2019, In : Journal of Econometrics. 211, 1, p. 1-3 3 p.Research output: Contribution to journal › Editorial
4
Citations
(Scopus)
Principal Component Analysis of High-Frequency Data
Ait-Sahalia, Y. & Xiu, D., Jan 2 2019, In : Journal of the American Statistical Association. 114, 525, p. 287-303 17 p.Research output: Contribution to journal › Article
High-frequency Data
Principal Components
Principal Component Analysis
Low Frequency
Estimator
2
Citations
(Scopus)
Robust consumption and portfolio policies when asset prices can jump
Ait-Sahalia, Y. & Matthys, F., Jan 1 2019, In : Journal of Economic Theory. 179, p. 1-56 56 p.Research output: Contribution to journal › Article
Uncertainty
Asset prices
Investors
Jump
Optimal portfolio
Semimartingale: Itô or not ?
Ait-Sahalia, Y. & Jacod, J., Jan 1 2018, In : Stochastic Processes and their Applications. 128, 1, p. 233-254 22 p.Research output: Contribution to journal › Article
Semimartingale
Identifiability
Lebesgue Measure
Absolutely Continuous
Statistical Inference