A tale of two time scales: Determining integrated volatility with noisy high-frequency data L Zhang, PA Mykland, Y Aït-Sahalia Journal of the American Statistical Association 100 (472), 1394-1411, 2005 | 2351 | 2005 |
Nonparametric estimation of state‐price densities implicit in financial asset prices Y Aït‐Sahalia, AW Lo The journal of finance 53 (2), 499-547, 1998 | 1522 | 1998 |
Testing continuous-time models of the spot interest rate Y Ait-Sahalia The review of financial studies 9 (2), 385-426, 1996 | 1415 | 1996 |
Maximum likelihood estimation of discretely sampled diffusions: a closed‐form approximation approach Y Aït‐Sahalia Econometrica 70 (1), 223-262, 2002 | 1248 | 2002 |
How often to sample a continuous-time process in the presence of market microstructure noise Y Ait-Sahalia, PA Mykland, L Zhang The review of financial studies 18 (2), 351-416, 2005 | 1173 | 2005 |
Nonparametric risk management and implied risk aversion Y Ait-Sahalia, AW Lo Journal of econometrics 94 (1-2), 9-51, 2000 | 1011 | 2000 |
Nonparametric pricing of interest rate derivative securities Y Ait-Sahalia Econometrica 64 (3), 527-560, 1996 | 847 | 1996 |
Modeling financial contagion using mutually exciting jump processes Y Aït-Sahalia, J Cacho-Diaz, RJA Laeven Journal of Financial Economics 117 (3), 585-606, 2015 | 775 | 2015 |
Testing for jumps in a discretely observed process Y Aït-Sahalia, J Jacod | 731 | 2009 |
Maximum likelihood estimation of stochastic volatility models Y Aït-Sahalia, R Kimmel Journal of financial economics 83 (2), 413-452, 2007 | 664 | 2007 |
Variable selection for portfolio choice Y Ait-Sahalia, MW Brandt The Journal of Finance 56 (4), 1297-1351, 2001 | 575 | 2001 |
Closed-form likelihood expansions for multivariate diffusions Y Aït-Sahalia National Bureau of Economic Research, 2002 | 571 | 2002 |
Ultra high frequency volatility estimation with dependent microstructure noise Y Aït-Sahalia, PA Mykland, L Zhang Journal of Econometrics 160 (1), 160-175, 2011 | 554* | 2011 |
Transition densities for interest rate and other nonlinear diffusions Y Ait-Sahalia The Journal of Finance 54, 1361-1395, 1999 | 552 | 1999 |
High-frequency financial econometrics Y Aït-Sahalia, J Jacod High-Frequency Financial Econometrics, 2014 | 524 | 2014 |
Disentangling diffusion from jumps Y Ait-Sahalia Journal of financial economics 74 (3), 487-528, 2004 | 488 | 2004 |
Luxury goods and the equity premium Y Ait‐Sahalia, JA Parker, M Yogo The Journal of Finance 59 (6), 2959-3004, 2004 | 486 | 2004 |
Nonparametric option pricing under shape restrictions Y Ait-Sahalia, J Duarte Journal of Econometrics 116 (1-2), 9-47, 2003 | 435 | 2003 |
Market response to policy initiatives during the global financial crisis Y Aït-Sahalia, J Andritzky, A Jobst, S Nowak, N Tamirisa Journal of International Economics 87 (1), 162-177, 2012 | 373 | 2012 |
Estimating the degree of activity of jumps in high frequency data Y Aït-Sahalia, J Jacod | 342 | 2009 |