Yacine Aı̈t-Sahalia

A Tale of Two Time Scales

Lan Zhang, Per A. Mykland, Yacine Aı̈t-Sahalia · Journal of the American Statistical Association · 2005 · 1.3K citations

Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices

Yacine Aı̈t-Sahalia, Andrew W. Lo · The Journal of Finance · 1998 · 1.1K citations

Empirical Finance, Engineering, Excess Kurtosis +17

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

Yacine Aı̈t-Sahalia · Econometrica · 2002 · 937 citations

Discretely Sampled Diffusions, Closed-form Approximation Approach, Computational Finance +14

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 · 2005 · 913 citations

High Frequency Estimates, Sampling (Signal Processing), Engineering +21

Nonparametric risk management and implied risk aversion

Yacine Aı̈t-Sahalia, Andrew W. Lo · Journal of Econometrics · 2000 · 776 citations

Economics, Nonparametric Risk Management, Engineering +7