Browsing by Author Ait-Sahalia, Yacine
Showing results 1 to 5 of 5
| Publication Date | Article Title | Author(s) |
|---|---|---|
| Dec-2012 | Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data | Ait-Sahalia, Yacine; Jacod, Jean |
| May-2016 | Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models | Ait-Sahalia, Yacine; Park, Joon Y. |
| Jun-2012 | Identifying the successive Blumenthal–Getoor indices of a discretely observed process | Ait-Sahalia, Yacine; Jacod, Jean |
| Aug-2015 | Market-based estimation of stochastic volatility models | Ait-Sahalia, Yacine; Amengual, Dante; Manresa, Elena |
| Sep-2015 | Modeling financial contagion using mutually exciting jump processes | Ait-Sahalia, Yacine; Cacho-Diaz, Julio; Laeven, Roger J.A. |