2008 - Fellow of the American Statistical Association (ASA)
2008 - Fellow of John Simon Guggenheim Memorial Foundation
2002 - Fellows of the Econometric Society
1998 - Fellow of Alfred P. Sloan Foundation
Econometrics, Volatility, Estimator, Market microstructure and Nonparametric statistics are his primary areas of study. His Econometrics study integrates concerns from other disciplines, such as Stochastic differential equation, Mathematical economics and Portfolio. Yacine Ait-Sahalia interconnects Statistical physics, Monte Carlo method, Kurtosis and Interest rate in the investigation of issues within Volatility.
His Estimator research is multidisciplinary, relying on both Black–Scholes model, Monotonic function and Convexity. His Market microstructure research incorporates themes from Stochastic process, Empirical research, Realized variance and Noise. His Nonparametric statistics study combines topics in areas such as Representative agent, Risk management, Risk aversion and Liberian dollar.
His primary scientific interests are in Econometrics, Volatility, Estimator, Market microstructure and Applied mathematics. His work investigates the relationship between Econometrics and topics such as Portfolio that intersect with problems in Consumption. His studies deal with areas such as Market liquidity, Statistical physics and Brownian motion as well as Volatility.
His Estimator research integrates issues from Covariance, Monte Carlo method and Principal component analysis. Yacine Ait-Sahalia focuses mostly in the field of Market microstructure, narrowing it down to topics relating to Noise and, in certain cases, Sample. As a part of the same scientific study, Yacine Ait-Sahalia usually deals with the Applied mathematics, concentrating on Likelihood function and frequently concerns with Hermite polynomials and Sequence.
Yacine Ait-Sahalia focuses on Econometrics, Volatility, Estimator, Stochastic volatility and Portfolio. He mostly deals with Risk premium in his studies of Econometrics. His work carried out in the field of Volatility brings together such families of science as Market liquidity, High-frequency trading, Nonparametric statistics and Market microstructure.
His studies in Nonparametric statistics integrate themes in fields like Test statistic, Mathematical optimization and Realized variance. His Estimator research includes themes of Local time, Monte Carlo method, Principal component analysis and Applied mathematics. His Stochastic volatility study also includes fields such as
His scientific interests lie mostly in Estimator, Econometrics, Financial economics, Volatility and Market microstructure. Yacine Ait-Sahalia interconnects Nonparametric statistics, Financial crisis, Noise, Applied mathematics and Principal component analysis in the investigation of issues within Estimator. Yacine Ait-Sahalia combines subjects such as Asset allocation and Portfolio with his study of Econometrics.
His work in the fields of Financial economics, such as Stochastic volatility, Variance risk premium and Variance swap, overlaps with other areas such as Price variance. His Volatility research is multidisciplinary, incorporating elements of Liquidity crisis, Microeconomics, High-frequency trading and Pro rata. The various areas that Yacine Ait-Sahalia examines in his Market microstructure study include Leverage, Test statistic, Leverage effect, Realized variance and Monte Carlo method.
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A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data
Lan Zhang;Per A. Mykland;Yacine Ait-Sahalia.
Journal of the American Statistical Association (2005)
Testing Continuous-Time Models of the Spot Interest Rate
Review of Financial Studies (1996)
Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices
Yacine Aït-Sahalia;Andrew W. Lo.
Journal of Finance (1998)
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed‐form Approximation Approach
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Yacine Aït-Sahalia;Per A. Mykland;Lan Zhang.
Review of Financial Studies (2005)
A Tale of Two Time Scales
Lan Zhang;Per A Mykland;Yacine Aït-Sahalia.
Journal of the American Statistical Association (2012)
Modeling financial contagion using mutually exciting jump processes
Yacine Aït-Sahalia;Julio Cacho-Diaz;Roger J.A. Laeven.
Journal of Financial Economics (2015)
Nonparametric Risk Management and Implied Risk Aversion
Yacine Ait-Sahalia;Andrew Lo.
Research Papers in Economics (2000)
Nonparametric pricing of interest rate derivative securities
Maximum likelihood estimation of stochastic volatility models
Yacine Aït-Sahalia;Robert L. Kimmel.
Journal of Financial Economics (2007)
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