- Variable Selection for Portfolio Choice YACINE AT-SAHALIA and MICHAEL W. BRANDT*
- High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
- How Often to Sample a Continuous-Time Process in the Presence of Market
- The Annals of Statistics 2010, Vol. 38, No. 5, 30933128
- User's Guide for the Matlab Library Implementing Closed Form MLE for Diffusions
- SUPPLEMENT TO "TESTING WHETHER JUMPS HAVE FINITE OR INFINITE ACTIVITY"
- Journal of Financial Economics 74 (2004) 487528 Disentangling diffusion from jumps$
- Supplementary materials for this article are available at http://pubs.amstat.org/toc/jasa/104/487. Nonparametric Transition-Based Tests
- The Annals of Statistics 2008, Vol. 36, No. 2, 906937
- Journal of Econometrics 134 (2006) 507551 Saddlepoint approximations for continuous-time
- The Annals of Statistics 2010, Vol. 38, No. 5, 31293163
- A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data
- The Annals of Statistics 2007, Vol. 35, No. 1, 355392
- The Annals of Statistics 2004, Vol. 32, No. 5, 21862222
- THE JOURNAL OF FINANCE VOL. LIX, NO. 6 DECEMBER 2004 Luxury Goods and the Equity Premium
- Author's personal copy Journal of Econometrics 147 (2008) 1733
- Author's personal copy Estimating affine multifactor term structure models using
- TESTING WHETHER JUMPS HAVE FINITE OR INFINITE ACTIVITY
- The Annals of Statistics 2009, Vol. 37, No. 5A, 22022244
- The Annals of Applied Statistics 2009, Vol. 3, No. 1, 422457
- http://www.econometricsociety.org/ Econometrica, Vol. 76, No. 4 (July, 2008), 727761
- Journal of Econometrics 144 (2008) 126 An analysis of HansenScheinkman moment estimators
- Journal of Financial Economics 83 (2007) 413452 Maximum likelihood estimation of stochastic
- Journal of Econometrics 116 (2003) 947 www.elsevier.com/locate/econbase
- Telling from Discrete Data Whether the Underlying Continuous-Time
- Journal of Econometrics 105 (2001) 363412 www.elsevier.com/locate/econbase
- * Corresponding author. Tel.: #1-609-258-4015; fax: #1-609-258-0719. E-mail address: yacine@princeton.edu (Y. AmKt-Sahalia).
- Market Response to Policy Initiatives during the Global Financial Crisis YACINE AT-SAHALIA, JOCHEN ANDRITZKY, ANDREAS JOBST,
- The Annals of Statistics 2009, Vol. 37, No. 1, 184222
- The Annals of Applied Probability 2009, Vol. 19, No. 2, 556584
