Yacine Aït-Sahalia

Yacine Aït-Sahalia's AcademicInfluence.com Rankings

Yacine Aït-Sahalia

Economics

#2562

World Rank

#2920

Historical Rank

Financial Economics

#40

World Rank

#40

Historical Rank

Econometrics

#68

World Rank

#70

Historical Rank

economics Degrees

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Economics

Why Is Yacine Aït-Sahalia Influential?

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According to Wikipedia, Yacine Aït-Sahalia is the Otto Hack 1903 Professor of Finance and Economics at Princeton University. His primary area of research is financial econometrics. He has been serving as the inaugural director of the Bendheim Center for Finance at Princeton University from 1998 until 2014. Prior to that, he was an assistant professor , associate professor and professor of finance at the University of Chicago Booth School of Business.

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Yacine Aït-Sahalia's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

A Tale of Two Time Scales (2003) (1210)
Testing Continuous-Time Models of the Spot Interest Rate (1995) (1012)
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed‐form Approximation Approach (2002) (925)
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2003) (876)
Nonparametric Risk Management and Implied Risk Aversion (2000) (781)
Nonparametric estimation of state-price densities implicit in financial asset prices (1995) (732)
Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998) (660)
Modeling Financial Contagion Using Mutually Exciting Jump Processes (2010) (587)
Nonparametric Pricing of Interest Rate Derivative Securities (1995) (585)
Testing for Jumps in a Discretely Observed Process (2009) (562)
Transition Densities for Interest Rate and Other Nonlinear Diffusions (1999) (411)
Variable Selection for Portfolio Choice (2001) (395)
Luxury Goods and the Equity Premium (2001) (394)
Disentangling diffusion from jumps (2004) (339)
Nonparametric Option Pricing Under Shape Restrictions (2002) (334)
Closed-Form Likelihood Expansions for Multivariate Diffusions (2002) (330)
Estimating the degree of activity of jumps in high frequency data (2009) (257)
Market Response to Policy Initiatives During the Global Financial Crisis (2010) (257)
Do option markets correctly price the probabilities of movement of the underlying asset (2001) (254)
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data (2010) (250)
Testing Continuous-Time Models of the Spot Interest Rate (1996) (223)
Closed-Form Likelihood Expansions for Multivariate Diffusions (2002) (207)
High-Frequency Financial Econometrics (2014) (194)
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2009) (180)
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions (2002) (178)
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency (2011) (176)
Principal Component Analysis of High-Frequency Data (2015) (175)
Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data (2016) (155)
Out of Sample Forecasts of Quadratic Variation (2008) (152)
High Frequency Market Microstructure Noise Estimates and Liquidity Measures (2008) (147)
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions (2002) (143)
Volatility estimators for discretely sampled Lévy processes (2007) (120)
Goodness-of-fit tests for kernel regression with an application to option implied volatilities (2001) (119)
Portfolio choice with jumps: A closed-form solution (2009) (116)
Is Brownian motion necessary to model high-frequency data? (2010) (114)
The Term Structure of Variance Swaps and Risk Premia (2015) (110)
Saddlepoint Approximations for Continuous-Time Markov Processes ∗ (2006) (107)
Testing for jumps in noisy high frequency data (2012) (106)
Testing whether jumps have finite or infinite activity (2011) (102)
Mutual Excitation in Eurozone Sovereign CDS (2014) (99)
High Frequency Traders: Taking Advantage of Speed (2013) (94)
Fisher's Information for Discretely Sampled Lévy Processes (2004) (91)
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach (1998) (87)
Nonparametric Transition-Based Tests for Jump-Diffusions (2005) (87)
Estimators of diffusions with randomly spaced discrete observations: A general theory (2004) (77)
Edgeworth Expansions for Realized Volatility and Related Estimators (2005) (74)
Portfolio Choice in Markets with Contagion (2012) (70)
The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis (2012) (66)
Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both? (2014) (66)
Goodness-of-fit tests for regression using kernel methods (1994) (63)
How to Stop a Herd of Running Bears? Market Response to Policy Initiatives During the Global Financial Crisis (2009) (59)
High Frequency Market Making: Optimal Quoting (2016) (57)
ESTIMATING THE DEGREE OF ACTIVITY OF JUMPS IN HIGH FREQUENCY FINANCIAL DATA (2008) (54)
A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003) (54)
Estimation of the Continuous and Discontinuous Leverage Effects (2015) (43)
A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data (2017) (43)
Operator Methods for Continuous-Time Markov Processes ⁄ (2010) (42)
High Frequency Market Making: Implications for Liquidity (2017) (40)
Robust Consumption and Portfolio Policies When Asset Prices Can Jump (2018) (33)
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models (2016) (33)
The term structure of equity and variance risk premia (2020) (31)
Non-Parametric Risk Management and Implied Risk Aversion (1998) (28)
Implied Stochastic Volatility Models (2019) (26)
High-Frequency Factor Models and Regressions (2019) (25)
Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations (2009) (25)
Maximum-Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach (1998) (24)
Disentangling Volatility from Jumps (2003) (24)
Nonparametric tests of the Markov hypothesis in continuous-time models (2010) (22)
Advances in Economics and Econometrics: Estimating Continuous-Time Models with Discretely Sampled Data (2007) (22)
Consumption and Portfolio Choice with Option-Implied State Prices (2008) (22)
Closed-form implied volatility surfaces for stochastic volatility models with jumps (2020) (20)
Nonparametric Pricing of Interest Rate Derivative Securities (1995) (20)
Stationarity-based specification tests for diffusions when the process is nonstationary (2012) (20)
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions (2008) (19)
IDENTIFYING THE SUCCESSIVE BLUMENTHAL-GETOOR INDICES OF A DISCRETELY OBSERVED PROCESS (2012) (15)
Market-based estimation of stochastic volatility models (2015) (15)
Dynamic equilibrium and volatility in financial asset markets (1998) (13)
Likelihood Inference for Diffusions: A Survey (2006) (12)
Principal Component Estimation of a Large Covariance Matrix with High-Frequency Data ∗ (2015) (11)
EDGEWORTH EXPANSIONS FOR REALIZED VOLATILITY (2005) (10)
Comment on “ Realized variance and market microstructure noise " by Peter Hansen and Asger Lunde ∗ (2005) (10)
Likelihood‐Based Volatility Estimators in the Presence of Market Microstructure Noise (2012) (10)
Handbook of Financial Econometrics, Vol 1 (2010) (9)
Nonparametric Transition-Based Tests for Jump Diffusions (2009) (9)
Nonparametric functional estimation with applications to financial models (1993) (9)
Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities (2009) (8)
Handbook of financial econometrics, Vol 2 (2009) (7)
Maximum likelihood estimation of latent Markov models using closed-form approximations (2020) (6)
Inference on Risk Premia in Continuous-Time Asset Pricing Models (2020) (6)
Tools and techniques (2010) (4)
Robust Portfolio Optimization with Jumps ∗ (2014) (4)
High frequency traders and the price process (2020) (4)
Entry-Exit Decisions of Foreign Firms and Import Prices (1994) (4)
Non-Standard Errors (2021) (3)
Semimartingale: Itô or not ? (2018) (3)
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment (2002) (3)
When Uncertainty and Volatility are Disconnected: Implications for Asset Pricing and Portfolio Performance (2021) (3)
Econometrics of Diffusion Models (2010) (3)
Out of Sample Forecast of Quadratic Variation (2006) (2)
From Tick Data to Semimartingales (2017) (2)
Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment (1993) (2)
How and When are High-Frequency Stock Returns Predictable? (2022) (2)
Learning about the impact of Government Policy and the Yield Curve (2014) (1)
VOLATILITY ESTIMATORS FOR DISCRETELY SAMPLED (2007) (1)
Comment (2006) (1)
Annals Issue in Honor of Jerry A. Hausman (2019) (1)
Term, Inflation, and Foreign Exchange Risk Premia: A Unified Treatment (1993) (1)
Dynamic Equilibrium and Volatility in Financial Asset Markets (1996) (1)
CHAPTER 1 Operator Methods for Continuous-Time Markov Processes (2004) (1)
High Frequency Market Making∗ (2016) (0)
The Journal of Econometrics 2012–2018 (2023) (0)
Chapter 7. Volatility and Microstructure Noise (2014) (0)
Chapter 6. Estimating Integrated Volatility: The Base Case with No Noise and Equidistant Observations (2014) (0)
Chapter 2. Data Considerations (2014) (0)
Chapter 4. With Jumps: An Introduction to Power Variations (2014) (0)
High-frequency factormodels and regressions (2020) (0)
Chapter 12. Finite or Infinite Activity for Jumps (2014) (0)
Chapter 1. From Diffusions to Semimartingales (2014) (0)
2 Alternative Ways to Model a Continuous-Time Markov Process (2004) (0)
Preface [High-Frequency Financial Econometrics] (2014) (0)
Chapter 9. Volatility and Irregularly Spaced Observations (2014) (0)
The Causal E ff ect of Mortgage Re fi nancing on Interest-Rate Volatility : Empirical Evidence and Theoretical Implications (2006) (0)
Disentangling Volatility from Jumps (2003) (0)
Mutual excitation in eurozone sovereign CDS SAFE (2014) (0)
Chapter 8. Estimating Spot Volatility (2014) (0)
High frequency market making: The role of speed (2023) (0)
Testing finite activity against infinite activity for jumps, for high frequency observation: an overview (The 8th workshop on stochastic numerics) (2009) (0)
Chapter 3. Introduction to Asymptotic Theory: Volatility Estimation for a Continuous Process (2014) (0)
Volatility Estmators for Discretely Sampled L\'{e}vy Processses (2005) (0)
High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data (2010) (0)
Chapter 14. Co-jumps (2014) (0)
Chapter 11. Finer Analysis of Jumps: The Degree of Jump Activity (2014) (0)
Chapter 13. Is Brownian Motion Really Necessary (2014) (0)
Very High-dimensional Data : Prediction and Variable Selection (2006) (0)
Edgeworth expansions in small noise asymptotics (2005) (0)
Appendix for “ High Frequency Market Making : Implications for Liquidity (2017) (0)
Appendix A. Asymptotic Results for Power Variations (2014) (0)
Chapter 5. High-Frequency Observations: Identifiability and Asymptotic Efficiency (2014) (0)
Appendix B. Miscellaneous Proofs (2014) (0)
The Econometrics of Fixed-Income Markets (2016) (0)
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) (2004) (0)
Chapter 10. Testing for Jumps (2014) (0)

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Yacine Aït-Sahalia's Academic­Influence.com Rankings

Why Is Yacine Aït-Sahalia Influential?

Yacine Aït-Sahalia's Published Works

Published Works

Other Resources About Yacine Aït-Sahalia

What Schools Are Affiliated With Yacine Aït-Sahalia?

Yacine Aït-Sahalia's AcademicInfluence.com Rankings