Research Output per year
Fingerprint Fingerprint is based on mining the text of the experts' scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.
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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
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. 211, 1, p. 1-3 3 p.Research output: Contribution to journal › Editorial
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
2
Citations
(Scopus)
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. 211, 1, p. 176-205 30 p.Research output: Contribution to journal › Article
Hausman test
Estimator
Market microstructure noise
High-frequency data
Test statistic
1
Citation
(Scopus)
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.Research output: Contribution to journal › Article
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.Research output: Contribution to journal › Article
Semimartingale
Identifiability
Lebesgue Measure
Absolutely Continuous
Statistical Inference