Princeton University
Department of Economics - Bendheim Center for Finance



Yacine Ait-Sahalia's Research Page



High Frequency Financial Econometrics 



                                
                                                                                            
 


Handbook of Financial Econometrics



 
  • Edited by Yacine Ait-Sahalia and Lars Peter Hansen, published in 2010.
  • More information can be found here.

 

 
 
 

Code for Closed-Form Maximum-Likelihood Estimation of Diffusions

 
 
 
 

 

  • Matlab Code corresponding to the articles below:

    • Transition Densities for Interest Rate and Other Nonlinear Diffusions, Journal of Finance, 1999, 54, 1361-1395
    • Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach, Econometrica, 2002, 70, 223-262
    • Maximum Likelihood Estimation of Stochastic Volatility Models, with Robert Kimmel, Journal of Financial Economics, 2007, 83, 413-452.
    • Closed-Form Likelihood Expansions for Multivariate Diffusions, Annals of Statistics, 2008, 36, 906-937.
    • Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions, with Robert Kimmel, Journal of Financial Economics, 2010, 98, 113–144.
 


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    Financial support from the NSF under grants SBR-9996023, SBR-0111140, SBR-0350772, DMS-0532370 and SES-0850533 is gratefully acknowledged.
    Documents on this page are in Adobe Acrobat format (.pdf).

     

  • Modeling Financial Contagion Using Mutually Exciting Jump Processes, with Julio Cacho-Diaz and Roger J.A. Laeven, forthcoming in the Journal of Financial Economics. 

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  • Market-Based Estimation of Stochastic Volatility Models, with Dante Amengual and Elena Manresa, forthcoming in the Journal of Econometrics.

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  • Testing for Jumps in Noisy High Frequency Data, with Jean Jacod and Jia Li, Journal of Econometrics, 2012, 168, 207-222.

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  • How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis, with Jochen Andritzky, Andreas Jobst, Sylwia Nowak and Natalia Tamirisa, Journal of International Economics, 2012, 87, 162-177.

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  • Luxury Goods and the Equity Premium, with Jonathan Parker and Motohiro Yogo, Journal of Finance, 2004, 59, 2959-3004.

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  • Nonparametric Option Pricing under Shape Restrictions, with Jefferson Duarte, Journal of Econometrics, 2003, 116, 9-47
  • The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions, with Per Mykland, Econometrica, 2003, 71, 483-549

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  • Telling From Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion, Journal of Finance, 2002, 57, 2075-2112

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  • Maximum-Likelihood Estimation of Discretely-Sampled Diffusions: A Closed-Form Approximation Approach, Econometrica, 2002, 70, 223-262 (this paper received the 1998 Cornerstone Research Award)
  • Goodness-of-Fit Tests for Regression Using Kernel Methods, with Peter J. Bickel and Thomas M. Stoker, Journal of Econometrics, 2001, 105, 363-412
  • Do Options Markets Correctly Price the Probabilities of Movement of the Underlying Asset?, with Yubo Wang and Francis Yared, Journal of Econometrics, 2001, 102, 67-110 (this paper received the 2003 Dennis J. Aigner Award for the best paper in applied econometrics published in the Journal of Econometrics in 2001 and 2002)
  • Variable Selection for Portfolio Choice, with Michael Brandt, Journal of Finance, 2001, 56, 1297-1351 (this paper received the 2001 FAME Annual Research Prize)
  • Transition Densities for Interest Rate and Other Nonlinear Diffusions, Journal of Finance, 1999, 54, 1361-1395
  •  Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices, with Andrew Lo, Journal of Finance, 1998, 53, 499-547
  • Testing Continuous-Time Models of the Spot Interest Rate, Review of Financial Studies, 1996, 9, 385-426 (this paper received the Michael J. Brennan Award for the best paper published in the Review of Financial Studies in 1996)
  • Nonparametric Pricing of Interest Rate Derivative Securities, Econometrica, 1996, 64, 527-560

 



Download Working Papers



 

  • High Frequency Traders: Taking Advantage of Speed, with Mehmet Saglam. 
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  • Portfolio Choice in Markets with Contagion, with Tom Hurd. 

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  • The Term Structure of Variance Swaps, Risk Premia and the Expectations Hypothesis, with Mustafa Karaman and Loriano Mancini. 

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  • Consumption and Portfolio Choice with Option-Implied State Prices, with Michael Brandt.

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Reprints



 

  • Some reprints and working papers can be obtained from the nber.gif (324 bytes)