Princeton University
Department of Economics - Bendheim Center for
Finance
Yacine Aït-Sahalia's
Research Page
Handbook of Financial
Econometrics
- Edited by Yacine Aït-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.
Download Articles
- The Leverage Effect Puzzle: Disentangling
Sources of Bias at High Frequency,
with Jianqing Fan and Yingying Li,
forthcoming in the
Journal of Financial Economics.
- Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data, with Jean Jacod, Journal of Economic Literature, 2012, 50, 1007-1050.
- Identifying the Successive Blumenthal-Getoor Indices of a Discretely Observed Process, with Jean Jacod, Annals of Statistics, 2012, 40, 1430-1464.
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).
- Testing for Jumps in Noisy High Frequency Data, with Jean Jacod and Jia Li, Journal of Econometrics, 2012, 168, 207-222.
- 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.
- Stationarity-Based Specification Tests for
Diffusions When the Process is Nonstationary,
with Joon Park,
Journal of Econometrics,
2012, 169, 279-292.
- Testing Whether Jumps Have Finite or Infinite
Activity, with Jean Jacod,
Annals of Statistics,
2011, 39, 1689-1719.
- Ultra High Frequency Volatility Estimation
with Dependent Microstructure Noise,
with Per Mykland and Lan Zhang,
Journal of Econometrics, 2011, 160,
160-175.
- Edgeworth Expansions for Realized Volatility
and Related Estimators, with Lan Zhang and Per Mykland,
Journal of Econometrics,
2011, 160, 190-203.
- High Frequency Covariance Estimates with Noisy
and Asynchronous Financial Data, with
Jianqing Fan and Dacheng Xiu,
Journal
of the American Statistical Association, 2010, 105, 1504–1517.
- Nonparametric Tests of the Markov Hypothesis
in Continuous-Time Models, with Jianqing
Fan and Jiancheng Jiang,
Annals of Statistics,
2010, 38, 3129-3163.
- Is Brownian Motion Necessary to Model High Frequency Data?, with Jean Jacod, Annals of Statistics, 2010, 38, 3093-3128.
- Estimating Affine Multifactor Term Structure Models Using
Closed-Form Likelihood Expansions, with Robert Kimmel,
Journal of Financial Economics,
2010, 98, 113–144.
- Estimating and Testing Continuous-Time
Models in Finance: The Role of Transition Densities,
Annual Review of
Financial Economics, 2009, 1, 341-359.
- Nonparametric Transition-Based Tests for
Jump-Diffusions,
with Jianqing Fan and Heng Peng,
Journal
of the American Statistical Association, 2009, 104, 1102-1116.
- Estimating the Degree of Activity of
Jumps in High Frequency Data, with Jean Jacod,
Annals of Statistics,
2009, 37, 2202-2244.
-
Portfolio
Choice with a Jumps: A Closed Form Solution, with Julio Cacho-Diaz
and Tom Hurd, Annals of Applied
Probability, 2009, 19, 556–584.
- Operator Methods for Continuous-Time Markov
Processes, with Lars P. Hansen and José A. Scheinkman, in Handbook of Financial
Econometrics, edited by Y. Aït-Sahalia and L.P. Hansen, 2009, North
Holland.
- Estimating Volatility in the Presence of
Market Microstructure Noise: A Review of the Theory and Practical
Considerations, with Per Mykland,
in Handbook of Financial Time Series, edited by Thomas Mikosch et
al., 2009, Springer-Verlag.
- High Frequency Market Microstructure Noise
Estimates and Liquidity Measures, with Jialin Yu,
Annals of Applied Statistics,
2009, 3, 422-457.
- Testing for Jumps in a Discretely
Observed Process, with Jean Jacod,
Annals of Statistics,
2009, 37,
184-222.
- Out of Sample Forecasts of Quadratic
Variation,
with Loriano Mancini,
Journal of Econometrics,
2008, 147,
17-33.
- Fisher's Information for Discretely
Sampled Lévy Processes, with Jean Jacod,
Econometrica,
2008, 76,
727-761.
- An Analysis of Hansen-Scheinkman Moment
Estimators for Discretely and Randomly Sampled Diffusions, with Per
Mykland,
Journal of Econometrics,
2008, 144,
1-26.
- Closed-Form Likelihood Expansions for Multivariate
Diffusions,
Annals of Statistics,
2008, 36, 906-937.
Matlab Code to estimate a diffusion using closed-form maximum-likelihood
-
Volatility
Estimators for Discretely Sampled Lévy Processes,
with Jean
Jacod,
Annals of Statistics,
2007, 35, 355-392.
-
Estimating Continuous-Time Models Using Discretely Sampled Data,
Econometric Society World Congress Invited Lecture, in
Advances in Economics and Econometrics, Theory
and Applications, Ninth World Congress, edited by Richard Blundell,
Persson Torsten and Whitney K. Newey, Econometric Society Monographs,
Cambridge University Press, 2007.
- Maximum Likelihood Estimation of Stochastic Volatility
Models, with Robert Kimmel,
Journal of Financial Economics, 2007, 83,
413-452.
- Saddlepoint Approximations for
Continuous-Time Markov Processes, with Jialin Yu,
Journal of Econometrics, 2006, 134, 507-551.
-
Likelihood Inference for Diffusions: A Survey, in Frontiers in Statistics: in Honor of Peter J. Bickel's 65th Birthday, edited by Jianqing Fan and Hira L. Koul, Imperial College Press, 2006.
- A Tale of Two Time Scales: Determining Integrated
Volatility with Noisy High-Frequency Data, with Lan
Zhang and Per Mykland, Journal
of the American Statistical Association, 2005, 100, 1394-1411.
- How Often to Sample a Continuous-Time Process in the
Presence of Market Microstructure Noise, with Per Mykland and Lan
Zhang, Review of Financial
Studies, 2005, 18, 351-416.
- Estimating Diffusions with Discretely and Possibly Randomly Spaced Data: A General Theory, with Per Mykland, Annals of Statistics, 2004, 32, 2186-2222.
- Luxury Goods and the Equity Premium, with Jonathan Parker and Motohiro Yogo, Journal of Finance, 2004, 59, 2959-3004.
- Disentangling Diffusion from Jumps, Journal of Financial Economics, 2004, 74, 487-528.
- 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
- Telling From Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion, Journal of Finance, 2002, 57, 2075-2112
- 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)
Matlab Code to estimate a diffusion using closed-form maximum-likelihood
- 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)
- Nonparametric Risk Management and Implied Risk Aversion, with Andrew Lo, Journal of Econometrics, 2000, 94, 9-51
- 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
- Dynamic Equilibrium and Volatility in Financial Asset Markets, Journal of Econometrics, 1998, 84, 93-128
- 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
- Portfolio Choice in Markets with Contagion, with Tom Hurd.
- The Term Structure of Variance Swaps, Risk Premia and the Expectations Hypothesis, with Mustafa Karaman and Loriano Mancini.
- Modeling Financial Contagion Using Mutually
Exciting Jump Processes, with Julio
Cacho-Diaz and Roger Laeven.
- Consumption and Portfolio Choice with Option-Implied State Prices, with Michael Brandt.
Reprints
- Some reprints and working papers can be obtained from
the
