Yacine Atsahalia

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Year: 2003
Journal: Review of Financial Studies
Authors: Yacine Atsahalia; Per A. Mykland

Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise

Year: 2005
Journal: Journal of Econometrics
Authors: Yacine Atsahalia; Per A. Mykland; Lan Zhang

Consumption and Portfolio Choice with Option-Implied State Prices

Year: 2008
Journal: No Journal Matched
Authors: Yacine Atsahalia; Michael W. Brandt

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

Year: 2010
Journal: Journal of Economic Literature
Authors: Yacine Atsahalia; Jean Jacod

Market Response to Policy Initiatives During the Global Financial Crisis

Year: 2010
Journal: Journal of International Economics
Authors: Yacine Atsahalia; Jochen Andritzky; Andreas Jobst; Sylwia Nowak; Natalia Tamirisa

Modeling Financial Contagion Using Mutually Exciting Jump Processes

Year: 2010
Journal: Journal of Financial Economics
Authors: Yacine Atsahalia; Julio Cachodiaz; Roger J.A. Laeven

High Frequency Traders Taking Advantage of Speed

Year: 2013
Journal: No Journal Matched
Authors: Yacine Atsahalia; Mehmet Saglam

Principal Component Analysis of High Frequency Data

Year: 2015
Journal: No Journal Matched
Authors: Yacine Atsahalia; Dacheng Xiu

When Uncertainty and Volatility are Disconnected: Implications for Asset Pricing and Portfolio Performance

Year: 2021
Journal: Journal of Econometrics
Authors: Yacine Atsahalia; Felix Matthys; Emilio Osambela; Ronnie Sircar

How and When Are High-Frequency Stock Returns Predictable

Year: 2022
Journal: No Journal Matched
Authors: Yacine Atsahalia; Jianqing Fan; Lirong Xue; Yifeng Zhou