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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.

  • 2 Similar Profiles
High-frequency Data Mathematics
Estimator Mathematics
Volatility Mathematics
Jump Mathematics
Market Microstructure Mathematics
Realized Volatility Mathematics
Closed-form Mathematics
Estimate Mathematics

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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.

Princeton University

Research output: Contribution to journalArticle

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.

Princeton University

Research output: Contribution to journalEditorial

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.

Princeton University

Research output: Contribution to journalArticle

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.

Princeton University

Research output: Contribution to journalArticle

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.

Princeton University

Research output: Contribution to journalArticle

Semimartingale
Identifiability
Lebesgue Measure
Absolutely Continuous
Statistical Inference

Press/Media

Sparking New Ideas In Econometrics

Yacine Ait-Sahalia

5/22/15

1 item of Media coverage

Princeton University

Press/Media: Press / Media