591 citations · 1.4k across the 10 of their papers we have counts for
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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…
Testing for jumps in a discretely observed process
Yacine Aït-Sahalia, Jean Jacod
We propose a new test to determine whether jumps are present in asset returns or other discretely sampled processes. As the sampling interval tends to 0, our test statistic converg…