Estimating the degree of activity of jumps in high frequency data (2009)
Aït-Sahalia, Yacine, Jacod, Jean
We define a generalized index of jump activity, propose estimators of that index for a discretely sampled process and derive the estimators' properties. These estimators are applicable despite the...
Ultra high frequency volatility estimation with dependent microstructure noise (2009)
Yacine Aït-sahalia, Per A. Mykland, Lan Zhang
We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high...
Portfolio choice with jumps: A closed-form solution (2009)
Aït-Sahalia, Yacine, Cacho-Diaz, Julio, Hurd, T. R.
We analyze the consumption-portfolio selection problem of an investor facing both Brownian and jump risks. We bring new tools, in the form of orthogonal decompositions, to bear on the problem in...
High frequency market microstructure noise estimates and liquidity measures (2009)
Aït-Sahalia, Yacine, Yu, Jialin
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a...
Testing for jumps in a discretely observed process (2009)
Aït-Sahalia, Yacine, Jacod, Jean
We propose a new test to determine whether jumps are present in asset returns or other discretely sampled processes. As the sampling interval tends to 0, our test statistic converges to 1 if there...
Yacine Aït-sahalia, Michael W. Brandt
We study asset allocation when the conditional moments of returns are partly predictable. Rather than first model the return distribution and subsequently characterize the portfolio choice, we...
1.1 High-Frequency Financial Data With Noise (2008)
Lan Zhang, Per A. Mykland, Yacine Aït-sahalia
It is a common practice in finance to estimate volatility from the sum of frequently sampled squared returns. However, market microstructure poses challenges to this estimation approach, as evidenced...
Volatility Estmators for Discretely Sampled Lévy Processses (2005)
Aït-Sahalia, Yacine, Jacod, Jean
This paper provides rate-efficient estimators of the volatility parameter in the presence of Lévy jumps
Volatility Estmators for Discretely Sampled Lévy Processses (2005)
Aït-Sahalia, Yacine, Jacod, Jean
This paper provides rate-efficient estimators of the volatility parameter in the presence of Lévy jumps
How often to sample a continuous-time process in the presence of market microstructure noise (2005)
Yacine Aït-sahalia, Per A. Mykland, Lan Zhang
In theory, the sum of squares of log returns sampled at high frequency estimates their variance. When market microstructure noise is present but unaccounted for, however, we show that the optimal...
Yacine Aït-sahalia, Per A. Mykland, Lan Zhang
We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high...
Comment on “Realized variance and market microstructure noise" (2005)
Peter Hansen, Asger Lunde, Yacine Aït-sahalia, Per A. Mykl, Lan Zhang, Contributesomecomments Weraisesomeissueswhichwefeelareimportant Someofthemare
We enjoyed reading the Hansen-Lunde paper (HL thereafter), and are pleased to be able to
Lan Zhang, Yacine Aït-sahalia, Per A. Mykland, Jel Codes
This paper shows that the asymptotic normal approximation is often insufficiently accurate for volatility estimators based on high frequency data. To remedy this, we compute Edgeworth expansions for...
Yacine Aït-sahalia, Per A. Mykland
We derive closed form expansions for the asymptotic distribution of Hansen and Scheinkman (1995) moment estimators for discretely, and possibly randomly, sampled diffusions. This result makes it...
Edgeworth expansions for realized volatility and related estimators (2005)
Lan Zhang, Per A. Mykland, Yacine Aït-sahalia
This paper shows that the asymptotic normal approximation is often insufficiently accurate for volatility estimators based on high frequency data. To remedy this, we derive Edgeworth expansions for...
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)
Aït-Sahalia, Yacine, Mykland, Per A., Zhang, Lan
In theory, the sum of squares of log returns sampled at high frequency estimates their variance. When market microstructure noise is present but unaccounted for, however, we show that the optimal...
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise* (2005)
Aït-Sahalia, Yacine, Mykland, Per A., Zhang, Lan
In theory, the sum of squares of log returns sampled at high frequency estimates their variance. When market microstructure noise is present but unaccounted for, however, we show that the optimal...
FISHER'S INFORMATION FOR DISCRETELY SAMPLED LEVY PROCESSES (2004)
Aït-Sahalia, Yacine, Jacod, Jean
This paper studies the asymptotic behavior of the Fisher information for a Lévy process discretely sampled at an increasing frequency. We show that it is possible to distinguish not only the...
FISHER'S INFORMATION FOR DISCRETELY SAMPLED LEVY PROCESSES (2004)
Aït-Sahalia, Yacine, Jacod, Jean
This paper studies the asymptotic behavior of the Fisher information for a Lévy process discretely sampled at an increasing frequency. We show that it is possible to distinguish not only the...
The effects of random and discrete sampling when estimating continuous-time diffusions (2003)
Yacine Aït-sahalia, Per A. Mykl
High-frequency financial data are not only discretely sampled in time but the time separating successive observations is often random. We analyze the consequences of this dual feature of the data...
Do Interest Rates Really Follow ContinuousTime Markov Diusions?", Working Paper (1997)
Interest rates have traditionally been modeled in the literature as following continuous-time Markov processes, and more specifically diffusions. By contrast, recent term structure models often imply...
Testing Continuous-Time Models of the Spot Interest Rate (1996)
Yacine Aït-sahalia, Lars Hansen, Mahesh Maheswaran, José Scheinkman, Rob Vishny
Different continuous-time models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically....
Goodness-of-fit tests for regression using kernel methods (1994)
Aït-Sahalia, Yacine., Bickel, Peter J., Stoker, Thomas M.
Cover title.
Goodness-of-fit tests for regression using kernel methods (1994)
Aït-Sahalia, Yacine., Bickel, Peter J., Stoker, Thomas M.
Cover title.
Nonparametric functional estimation with applications to financial models (1993)
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1993.
Nonparametric functional estimation with applications to financial models (1993)
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Economics, 1993.
Goodness-of-fit tests for regression using kernel methods
Aït-Sahalia, Yacine., Bickel, Peter J., Stoker, Thomas M.
HD28 .M414 no.3747-94,
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions
Aït-Sahalia, Yacine, Mykland, Per A.
We derive closed-form expansions for the asymptotic distribution of Hansen and Scheinkman [1995. Back to the future: generating moment implications for continuous-time Markov processes. Econometrica...
Fisher's Information for Discretely Sampled Lévy Processes
Yacine Aït-Sahalia, Jean Jacod
This paper studies the asymptotic behavior of Fisher's information for a Lévy process discretely sampled at an increasing frequency. As a result, we derive the optimal rates of convergence of...
Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine, Mancini, Loriano
We compare the forecasts of Quadratic Variation given by the Realized Volatility (RV) and the Two Scales Realized Volatility (TSRV)Â computed from high frequency data in the presence of market...