What is he best known for?
The fields of study he is best known for:
- Statistics
- Normal distribution
- Finance
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 most cited work include:
- A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data (1251 citations)
- Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (805 citations)
- Testing Continuous-Time Models of the Spot Interest Rate (788 citations)
What are the main themes of his work throughout his whole career to date?
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.
He most often published in these fields:
- Econometrics (80.89%)
- Volatility (55.28%)
- Estimator (38.21%)
What were the highlights of his more recent work (between 2014-2021)?
- Econometrics (80.89%)
- Volatility (55.28%)
- Estimator (38.21%)
In recent papers he was focusing on the following fields of study:
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
- Implied volatility which is related to area like Volatility smile,
- Equity, which have a strong connection to Risk aversion.
Between 2014 and 2021, his most popular works were:
- Modeling financial contagion using mutually exciting jump processes (249 citations)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (78 citations)
- Principal Component Analysis of High-Frequency Data (77 citations)
In his most recent research, the most cited papers focused on:
- Statistics
- Normal distribution
- Mathematical analysis
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.
This overview was generated by a machine learning system which analysed the scientist’s
body of work. If you have any feedback, you can
contact us
here.
