591 citations · 1.4k across the 10 of their papers we have counts for
10 papers
Testing whether jumps have finite or infinite activity
Yacine Aït-Sahalia, Jean Jacod
We propose statistical tests to discriminate between the finite and infinite activity of jumps in a semimartingale discretely observed at high frequency. The two statistics allow f…
Portfolio Choice in Markets with Contagion
Yacine Aït-Sahalia, T. R. Hurd
We consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump proce…
Identifying the successive Blumenthal-Getoor indices of a discretely observed process
Yacine Aït-Sahalia, Jean Jacod
This paper studies the identification of the Lévy jump measure of a discretely-sampled semimartingale. We define successive Blumenthal-Getoor indices of jump activity, and show tha…
Estimating the degree of activity of jumps in high frequency data
Yacine Aït-Sahalia, Jean Jacod
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 applic…
Portfolio choice with jumps: A closed-form solution
Yacine Aït-Sahalia, Julio Cacho-Diaz, T. R. Hurd
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…
High frequency market microstructure noise estimates and liquidity measures
Yacine Aït-Sahalia, Jialin Yu
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 compo…