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Yacine Ait-Sahalia

Global rank #765 99%

Institution: Princeton University

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://www.princeton.edu/~yacine

First Publication: 1996

Most Recent: 2024

RePEc ID: pai23 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 3.02 0.00 0.00 6.03
Last 10 Years 0.00 10.39 1.41 0.00 22.19
All Time 0.00 35.93 1.41 0.00 73.26

Publication Statistics

Raw Publications 37
Coauthorship-Adjusted Count 37.49

Publications (37)

Year Article Journal Tier Authors
2024 High frequency market making: The role of speed Journal of Econometrics A 2
2024 Maximum likelihood estimation of latent Markov models using closed-form approximations Journal of Econometrics A 3
2021 Closed-form implied volatility surfaces for stochastic volatility models with jumps Journal of Econometrics A 3
2021 Hermite polynomial based expansion of European option prices The Review of Financial Studies A 3
2020 High-frequency factor models and regressions Journal of Econometrics A 3
2020 High frequency traders and the price process Journal of Econometrics A 2
2020 The term structure of equity and variance risk premia Journal of Econometrics A 3
2019 A Hausman test for the presence of market microstructure noise in high frequency data Journal of Econometrics A 2
2019 Robust consumption and portfolio policies when asset prices can jump Journal of Economic Theory A 2
2019 Principal Component Analysis of High-Frequency Data Journal of the American Statistical Association B 2
2017 Using principal component analysis to estimate a high dimensional factor model with high-frequency data Journal of Econometrics A 2
2017 Estimation of the Continuous and Discontinuous Leverage Effects Journal of the American Statistical Association B 5
2016 Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models Journal of Econometrics A 2
2016 Increased correlation among asset classes: Are volatility or jumps to blame, or both? Journal of Econometrics A 2
2015 Market-based estimation of stochastic volatility models Journal of Econometrics A 3
2015 Modeling financial contagion using mutually exciting jump processes Journal of Financial Economics A 3
2014 Mutual excitation in Eurozone sovereign CDS Journal of Econometrics A 3
2013 The leverage effect puzzle: Disentangling sources of bias at high frequency Journal of Financial Economics A 3
2012 Testing for jumps in noisy high frequency data Journal of Econometrics A 3
2012 Stationarity-based specification tests for diffusions when the process is nonstationary Journal of Econometrics A 2
2012 Market response to policy initiatives during the global financial crisis Journal of International Economics A 5
2011 Ultra high frequency volatility estimation with dependent microstructure noise Journal of Econometrics A 3
2011 Edgeworth expansions for realized volatility and related estimators Journal of Econometrics A 3
2010 Estimating affine multifactor term structure models using closed-form likelihood expansions Journal of Financial Economics A 2
2008 An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions Journal of Econometrics A 2
2008 Out of sample forecasts of quadratic variation Journal of Econometrics A 2
2005 How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise The Review of Financial Studies A 1
2004 Disentangling diffusion from jumps Journal of Financial Economics A 1
2003 Nonparametric option pricing under shape restrictions Journal of Econometrics A 2
2002 Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion Journal of Finance A 1
2001 Variable Selection for Portfolio Choice Journal of Finance A 2
2001 Do option markets correctly price the probabilities of movement of the underlying asset? Journal of Econometrics A 3
2001 Goodness-of-fit tests for kernel regression with an application to option implied volatilities Journal of Econometrics A 3
2000 Nonparametric risk management and implied risk aversion Journal of Econometrics A 2
1999 Transition Densities for Interest Rate and Other Nonlinear Diffusions Journal of Finance A 1
1998 Dynamic equilibrium and volatility in financial asset markets Journal of Econometrics A 1
1996 Testing Continuous-Time Models of the Spot Interest Rate. The Review of Financial Studies A 1