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

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Research Output 1996 2019

Annals Issue in Honor of Jerry A. Hausman: Editors’ Introduction

Ait-Sahalia, Y., Lo, A. W. & Newey, W. K., Jan 1 2019, (Accepted/In press) In : Journal of Econometrics.

Princeton University

Research output: Contribution to journalArticle

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
Lévy process
1 Citations

A Hausman test for the presence of market microstructure noise in high frequency data

Ait-Sahalia, Y. & Xiu, D., Jan 1 2018, (Accepted/In press) In : Journal of Econometrics.

Princeton University

Research output: Contribution to journalArticle

Hausman test
Estimator
Market microstructure noise
High-frequency data
Test statistic
3 Citations

Principal Component Analysis of High-Frequency Data

Ait-Sahalia, Y. & Xiu, D., Jun 25 2018, (Accepted/In press) In : Journal of the American Statistical Association. p. 1-17 17 p.

Princeton University

Research output: Contribution to journalArticle

High-frequency Data
Principal Components
Principal Component Analysis
Low Frequency
Estimator

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