Yacine Aı̈t-Sahalia

Author

Yacine Aı̈t-Sahalia

Also Known As

Ait Sahlia Y., Ait-Sahalia, Yacine, Aït-Sahalia, Yacine, Aït-sahalia, Michael W. Brandt, Y. Ait-Sahalia, YACINE AIT‐SAHALIA, YACINE AÏT-SAHALIA, YACINE AÏT‐SAHALIA, Yacine Ait-Sahalia

183

Publications

18.1K

Citations

H-Index

Concepts

All Affiliations

Princeton University University of Chicago National Bureau of Economic Research International Monetary Fund University of Illinois Chicago

About

Yacine Aı̈t-Sahalia is an author at Princeton University specializing in business, statistics, and finance.

Top Concepts

#	Concept	H-Index	Publications	Citations
1	Business	31	42	7K
2	Engineering	28	36	7.7K
3	Management	12	12	2.4K
4	Education	2	2	100
5	Accounting	2	2	144

Yacine Aı̈t-Sahalia

Publications

14.9K

Citations

H-Index

Page 1

	Year	Citations
A Tale of Two Time Scales Lan Zhang, Per A. Mykland, Yacine Aı̈t-Sahalia Journal of the American Statistical Association	2005	1.3K
Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices Yacine Aı̈t-Sahalia, Andrew W. Lo The Journal of Finance Empirical FinanceEngineeringExcess KurtosisOption PricesFinancial Mathematics	1998	1.1K
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach Yacine Aı̈t-Sahalia Econometrica Discretely Sampled DiffusionsClosed-form Approximation ApproachComputational FinanceEngineeringMaximum Likelihood Estimation	2002	937
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise Yacine Aı̈t-Sahalia, Per A. Mykland, Lan Zhang Review of Financial Studies High Frequency EstimatesSampling (Signal Processing)EngineeringStochastic AnalysisStochastic Phenomenon	2005	913
Nonparametric risk management and implied risk aversion Yacine Aı̈t-Sahalia, Andrew W. Lo Journal of Econometrics EconomicsNonparametric Risk ManagementEngineeringFinancial Risk ManagementRisk Management	2000	776
Testing for jumps in a discretely observed process Yacine Aı̈t-Sahalia, Jean Jacod The Annals of Statistics	2009	581
Maximum likelihood estimation of stochastic volatility models Yacine Aı̈t-Sahalia, Robert L. Kimmel Journal of Financial Economics Volatility ModelingMultivariate Stochastic VolatilityEngineeringMaximum Likelihood EstimationParameter Estimation	2006	566
Modeling financial contagion using mutually exciting jump processes Yacine Aı̈t-Sahalia, Julio Cacho-Diaz, Roger J. A. Laeven Journal of Financial Economics Computational FinanceManagementJump ProcessesFinancial MathematicsFinancial Engineering	2015	563
Disentangling diffusion from jumps Yacine Aı̈t-Sahalia Journal of Financial Economics PhysicsDiffusion ProcessDiffusion-based ModelingAnomalous DiffusionJump Diffusions	2004	382
Ultra high frequency volatility estimation with dependent microstructure noise Yacine Aı̈t-Sahalia, Per A. Mykland, Lan Zhang Journal of Econometrics Volatility ModelingEngineeringAsset PricingDependent Microstructure NoiseBusiness	2010	371

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