Princeton
University
Department of
Economics - Bendheim Center for
Finance
Yacine Ait-Sahalia's Research Page
High Frequency
Financial Econometrics
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Handbook of
Financial Econometrics
Code
for Closed-Form Maximum-Likelihood Estimation of Diffusions
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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
- When Uncertainty and Volatility are Disconnected: Implications for Asset Pricing and Portfolio Performance, with Felix Matthys, Emilio Osambela and Ronnie Sircar, forthcoming in the Journal of Econometrics.
- Non-Standard Errors, crowd-sourcing project with 342 co-authors, forthcoming in the Journal of Finance.
- Maximum Likelihood Estimation of Latent Markov Models Using Closed-Form Approximations, with Chenxu Li and Chen Xu Li, Journal of Econometrics, 2024, 240, 105008.
- High Frequency Market Making: The Role of Speed, with Mehmet Saglam, Journal of Econometrics, 2024, 239, 105421.
- Closed-form Implied Volatility Surfaces for Stochastic Volatility Models with Jumps, with Chenxu Li and Chen Xu Li, Journal of Econometrics, 2021, 222, 364-392.
- Implied Stochastic Volatility Models, with Chenxu Li and Chen Xu Li, The Review of Financial Studies, 2021, 34, 394-450.
- From Tick Data to Semimartingales, with Jean Jacod, Annals of Applied Probability, 2020, 30, 2740-2768.
- The Term Structure of Variance Swaps, Risk Premia and the Expectations Hypothesis, with Mustafa Karaman and Loriano Mancini, Journal of Econometrics, 2020, 219, 204-230.
- High-Frequency Traders and the Price Process, with Celso Brunetti, Journal of Econometrics, 2020, 217, 20-45.
- High-Frequency Factor Models and Regressions, with Ilze Kalnina and Dacheng Xiu, Journal of Econometrics, 2020, 216, 86-105.
- Robust Consumption and Portfolio Policies When Asset Prices Can Jump, with Felix Matthys, Journal of Economic Theory, 2019, 179, 1-56.
- Principal Component Analysis
of High Frequency Data, with Dacheng Xiu,
Journal of the American Statistical Association,
2019, 114, 287-303.
- A Hausman Test for the Presence of Noise in
High Frequency Data, with Dacheng Xiu,
Journal of Econometrics,
2019, 211, 176-205.
- Semimartingale: Ito or Not?,
with Jean Jacod,
Stochastic Processes and their Applications, 2018, 128,
233-254.
- Estimation of the Continuous and Discontinuous Leverage Effects, with Jianqing Fan, Roger J.A. Laeven, Christina Dan Wang and Xiye Yang, Journal of the American Statistical Association, 2017, 112, 1744-1758.
- Using Principal Component Analysis
to Estimate a High Dimensional Factor Model with High Frequency Data,
with Dacheng Xiu,
Journal of Econometrics,
2017, 201, 388-399.
- Increased Correlation Among Asset Classes: Are
Volatility or Jumps to Blame, or Both?, with Dacheng Xiu,
Journal of Econometrics, 2016, 194, 205-219.
- Bandwidth Selection and Asymptotic Properties of Local Nonparametric Estimators in Possibly Nonstationary Continuous-Time Models, with Joon Y. Park, Journal of Econometrics, 2016, 192, 119-138.
- Portfolio Choice in Markets with Contagion, with Tom Hurd, Journal of Financial Econometrics, 2016, 14, 1-28.
- Modeling Financial Contagion
Using Mutually Exciting Jump Processes,
with Julio Cacho-Diaz and Roger J.A. Laeven,
Journal of Financial Economics, 2015, 117, 585-606.
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Market-Based Estimation of Stochastic Volatility Models, with Dante Amengual and Elena Manresa, Journal of Econometrics, 2015, 187, 418-435.
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Mutual Excitation in Eurozone Sovereign CDS, with Roger J.A. Laeven and Loriana Pelizzon, Journal of Econometrics, 2014, 183, 151-167.
- The Leverage Effect Puzzle: Disentangling
Sources of Bias at High Frequency,
with Jianqing Fan and Yingying Li,
Journal of Financial Economics,
2013, 109, 224-249.
- 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.
- 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.
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Portfolio Choice with 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 Jose A. Scheinkman, in
Handbook of Financial Econometrics, edited by Y. Ait-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 Levy 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
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Volatility Estimators for Discretely Sampled
Levy Processes,
with Jean Jacod,
Annals of
Statistics,
2007, 35, 355-392.
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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.
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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
- Inference on Risk Premia in Continuous-Time Asset Pricing Models, with Jean Jacod and Dacheng Xiu.
- How and When are High Frequency Stock Returns Predictable?, with Jianqing Fan, Lirong Xue and Yifeng Zhou.
- High Frequency Market Making: Implications for Liquidity, with Mehmet Saglam.
- Consumption and Portfolio Choice with Option-Implied State Prices, with Michael Brandt.
Reprints
- Some reprints and working papers can be obtained from
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