2026 Yacine Aït-Sahalia: Economics and Finance Researcher – H-Index, Publications & Awards

Discipline name	D-Index	World Ranking	Current World Ranking	National Ranking	Current National Ranking	Publications	Citations
Economics and Finance	65	591	534	382	338	172	25501

Research.com Recognitions

2008 - Fellow of John Simon Guggenheim Memorial Foundation
2008 - Fellow of the American Statistical Association (ASA)
2002 - Fellows of the Econometric Society
1998 - Fellow of Alfred P. Sloan Foundation

Overview

Yacine Aït-Sahalia is affiliated with Princeton University in the United States and specializes in research within Economics, Econometrics, and Finance. Their work has been published extensively, contributing to various subfields including Finance, Economics and Econometrics, Management Science and Operations Research, General Economics, Econometrics and Finance, and Statistics and Probability.

Their recent publications include the following papers:

The term structure of equity and variance risk premia, 2020, Journal of Econometrics
High-frequency factor models and regressions, 2020, Journal of Econometrics
Nonstandard Errors, 2024, The Journal of Finance
Implied Stochastic Volatility Models, 2020, Review of Financial Studies
Closed-form implied volatility surfaces for stochastic volatility models with jumps, 2020, Journal of Econometrics

Frequent co-authors in their research include Chenxu Li, Chen Xu Li, Jean Jacod, Dacheng Xiu, and Felix Matthys.

Aït-Sahalia's work appears in a variety of publication venues, with multiple contributions especially to the SSRN Electronic Journal and the Journal of Econometrics. Other notable venues include the Review of Financial Studies, The Journal of Finance, and The Annals of Applied Probability.

Their research topics cover areas such as:

Financial Markets and Investment Strategies
Financial Risk and Volatility Modeling
Stochastic processes and financial applications
Stock Market Forecasting Methods
Market Dynamics and Volatility
Complex Systems and Time Series Analysis
Monetary Policy and Economic Impact

Aït-Sahalia has received several awards, reflecting recognition within the academic community. These include:

Fellow of the American Statistical Association (ASA), 2008
Fellow of John Simon Guggenheim Memorial Foundation, 2008
Fellows of the Econometric Society, 2002
Fellow of Alfred P. Sloan Foundation, 1998

Best Publications

A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data

Lan Zhang;Per A. Mykland;Yacine Ait-Sahalia

2176
Citations
Testing Continuous-Time Models of the Spot Interest Rate

Yacine Ait-Sahalia

1557
Citations
Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices

Yacine Aït-Sahalia;Andrew W. Lo

1526
Citations
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed‐form Approximation Approach

Yacine Aït-Sahalia

1260
Citations
A Tale of Two Time Scales

Lan Zhang;Per A Mykland;Yacine Aït-Sahalia

1208
Citations
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Yacine Aït-Sahalia;Per A. Mykland;Lan Zhang

1190
Citations
Modeling financial contagion using mutually exciting jump processes

Yacine Aït-Sahalia;Julio Cacho-Diaz;Roger J.A. Laeven

1161
Citations
Nonparametric Risk Management and Implied Risk Aversion

Yacine Ait-Sahalia;Andrew Lo

1079
Citations
Nonparametric risk management and implied risk aversion

Yacine Aı̈t-Sahalia;Andrew W. Lo

1074
Citations
Nonparametric pricing of interest rate derivative securities

Yacine Ait-Sahalia

943
Citations
Maximum likelihood estimation of stochastic volatility models

Yacine Aït-Sahalia;Robert L. Kimmel

798
Citations
Variable Selection for Portfolio Choice

Yacine Ait-Sahalia;Michael W. Brandt

641
Citations
Testing for jumps in a discretely observed process

Yacine Aït-Sahalia;Jean Jacod

633
Citations
High-Frequency Financial Econometrics

Yacine Aït-Sahalia;Jean Jacod

572
Citations
Luxury Goods and the Equity Premium

Yacine Aït-Sahalia;Jonathan A. Parker;Motohiro Yogo

533
Citations
Disentangling diffusion from jumps

Yacine Aı̈t-Sahalia

492
Citations
Nonparametric option pricing under shape restrictions

Yacine Aı̈t-Sahalia;Jefferson Duarte

469
Citations
Ultra high frequency volatility estimation with dependent microstructure noise

Yacine Aït-Sahalia;Per A. Mykland;Lan Zhang

453
Citations
TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS

Yacine Aït-Sahalia

447
Citations
Transition Densities for Interest Rate and Other Nonlinear Diffusions

Yacine Ait-Sahalia

444
Citations
Market response to policy initiatives during the global financial crisis

Yacine Aït-Sahalia;Jochen Andritzky;Andreas Jobst;Sylwia Nowak

418
Citations
High-Frequency Financial Econometrics

Yacine Ait-Sahalia;Jean Jacod

400
Citations
A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

Lan Zhang;Yacine Ait-Sahalia;Yacine Ait-Sahalia;Per A. Mykland

357
Citations
Testing for jumps in a discretely observed process

Yacine Aït-Sahalia;Jean Jacod

97
Citations

Frequent Co-Authors

Per A. Mykland University of Chicago

Andrew W. Lo MIT

Lars Peter Hansen University of Chicago

Jonathan A. Parker MIT

Motohiro Yogo Princeton University

Michael W. Brandt Duke University

Thomas M. Stoker MIT

Loriana Pelizzon Ca Foscari University of Venice

Jose A. Scheinkman Columbia University

External Links

Wikipedia of Yacine Aït-Sahalia Personal website of Yacine Aït-Sahalia Google Scholar page

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