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2. Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations. (2009). Lubrano, Michel ; Hadri, Kaddour ; Bu, Ruijun ; Giet, Ludovic.
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3. Parametric inference for discretely sampled stochastic differential equations. (2008). Sørensen, Michael ; Sorensen, Michael.
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4. Modelling International Bond Markets with Affine Term Structure Models. (2005). Schneider, Paul ; Mosburger, Georg.
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5. Likelihood based inference for diffusion driven models. (2004). Shephard, Neil ; Chib, Siddhartha ; Pitt, Michael K.
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6. Maximum Likelihood Estimation of Stochastic Volatility Models. (2004). Ait-Sahalia, Yacine ; Kimmel, Robert.
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7. Market Price of Risk Specifications for Affine Models: Theory and Evidence. (2004). Cheridito, Patrick ; Filipovic, Damir.
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8. Term Structure Dynamics in Theory and Reality. (2003). Singleton, Kenneth ; Dai, Qiang.
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9. Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions. (2003). Ghysels, Eric ; Florens, Jean-Pierre ; Chernov, Mikhail ; Carrasco, Marine.
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10. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2002). Ait-Sahalia, Yacine ; Kimmel, Robert.
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1. Maximum likelihood estimation of latent Markov models using closed-form approximations. (2024). Ait-Sahalia, Yacine ; Xu, Chen.
   In: Journal of Econometrics.
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2. Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y.
   In: Janeway Institute Working Papers.
   RePEc:cam:camjip:2423.

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3. Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y.
   In: Cambridge Working Papers in Economics.
   RePEc:cam:camdae:2449.

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4. Random discretization of stationary continuous time processes. (2021). Viano, Marie-Claude ; Robet, Caroline ; Philippe, Anne.
   In: Metrika: International Journal for Theoretical and Applied Statistics.
   RePEc:spr:metrik:v:84:y:2021:i:3:d:10.1007_s00184-020-00783-1.

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5. Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments. (2020). Kim, Jihyun ; Park, Joon ; Wang, Bin.
   In: TSE Working Papers.
   RePEc:tse:wpaper:124234.

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6. Ordinal-response models for irregularly spaced transactions: A forecasting exercise. (2020). Tsionas, Mike ; Dimitrakopoulos, Stefanos ; Aknouche, Abdelhakim.
   In: MPRA Paper.
   RePEc:pra:mprapa:103250.

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7. The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Karaman, Mustafa ; Mancini, Loriano.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:219:y:2020:i:2:p:204-230.

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8. Estimation of volatility in a high-frequency setting: a short review. (2019). Jacod, Jean.
   In: Decisions in Economics and Finance.
   RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00253-y.

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9. Bond and option prices with permanent shocks. (2019). Al-Zoubi, Haitham A.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:53:y:2019:i:c:p:272-290.

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10. A new delta expansion for multivariate diffusions via the Itô-Taylor expansion. (2019). Wan, Xiangwei ; Yang, Nian ; Chen, Nan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:209:y:2019:i:2:p:256-288.

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11. Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments. (2018). Ekaputra, Irwan ; Husodo, Zaafri Ananto ; Purwono, Yogo.
    In: Computational Economics.
    RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-017-9692-6.

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12. Estimating the integrated volatility using high-frequency data with zero durations. (2018). Liu, Zhi ; Kong, Xin-Bing ; Jing, Bing-Yi.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:204:y:2018:i:1:p:18-32.

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13. Spectral estimation for diffusions with random sampling times. (2016). Trabs, Mathias ; Chorowski, Jakub .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:126:y:2016:i:10:p:2976-3008.

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14. Estimating jump–diffusions using closed-form likelihood expansions. (2016). Chen, Dachuan ; Li, Chenxu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:195:y:2016:i:1:p:51-70.

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15. Efficient computation of the quasi likelihood function for discretely observed diffusion processes. (2016). Hook, Lars Josef ; Lindstrom, Erik.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:103:y:2016:i:c:p:426-437.

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16. Modeling financial contagion using mutually exciting jump processes. (2015). Laeven, Roger ; Ait-Sahalia, Yacine ; Cacho-Diaz, Julio .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:117:y:2015:i:3:p:585-606.

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17. Efficient Computation of the Quasi Likelihood function for Discretely Observed Diffusion Processes. (2015). Hook, Lars Josef ; Lindstrom, Erik.
    In: Papers.
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18. Volatility inference in the presence of both endogenous time and microstructure noise. (2013). Zhang, Zhiyuan ; Li, Yingying ; Zheng, Xinghua.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:7:p:2696-2727.

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19. Intraday dynamics of volatility and duration: Evidence from Chinese stocks. (2012). Maheu, John ; Liu, Chun.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:20:y:2012:i:3:p:329-348.

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20. Functional data analysis for volatility. (2011). Stadtmller, Ulrich ; Sen, Rituparna.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:165:y:2011:i:2:p:233-245.

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21. Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market. (2010). Maheu, John ; Liu, Chun.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-401.

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22. Quasi-maximum likelihood estimation of volatility with high frequency data. (2010). Xiu, Dacheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:1:p:235-250.

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23. Maximum likelihood estimation for integrated diffusion processes. (2010). Sørensen, Michael ; Sorensen, Michael ; Baltazar-Larios, Fernando.
    In: CREATES Research Papers.
    RePEc:aah:create:2010-33.

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24. Forecast Evaluation of Explanatory Models of Financial Variability. (2009). Sucarrat, Genaro.
    In: Economics - The Open-Access, Open-Assessment E-Journal (2007-2020).
    RePEc:zbw:ifweej:7594.

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25. How Duration Between Trades of Underlying Securities Affects Option Prices. (2009). Cartea, Álvaro ; Meyer-Brandis, Thilo.
    In: MPRA Paper.
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26. Nonparametric Transition-Based Tests for Jump Diffusions. (2009). Fan, Jianqing ; At-Sahalia, Yacine ; Peng, Heng.
    In: Journal of the American Statistical Association.
    RePEc:bes:jnlasa:v:104:i:487:y:2009:p:1102-1116.

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27. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2008). Ait-Sahalia, Yacine ; Kimmel, Robert L..
    In: Working Paper Series.
    RePEc:ecl:ohidic:2008-19.

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28. Parametric inference for discretely sampled stochastic differential equations. (2008). Sørensen, Michael ; Sorensen, Michael.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-18.

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29. Efficient estimation for ergodic diffusions sampled at high frequency. (2008). Sørensen, Michael ; Sorensen, Michael.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-46.

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30. How Does Duration Between Trades of Underlying Securities Affect Option Prices. (2007). Cartea, Álvaro ; Meyer-Brandis, Thilo.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0721.

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31. A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates. (2006). Mahieu, Ronald ; Tims, Ben.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:25:y:2006:i:2-3:p:409-424.

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32. Ultra high frequency volatility estimation with dependent microstructure noise. (2005). Ait-Sahalia, Yacine ; Mykland, Per A. ; Zhang, Lan.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4224.

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33. Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise. (2005). Ait-Sahalia, Yacine ; Mykland, Per A. ; Zhang, Lan.
    In: NBER Working Papers.
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34. Weak and Semi-Strong Form Stock Return Predictability Revisited. (2005). Ferson, Wayne ; Su, Tie ; Heuson, Andrea.
    In: NBER Working Papers.
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35. Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited. (2005). Ferson, Wayne E. ; Su, Tie ; Heuson, Andrea.
    In: Management Science.
    RePEc:inm:ormnsc:v:51:y:2005:i:10:p:1582-1592.

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36. On the Statistical Estimation of Diffusion Processes: A Partial Survey. (2004). Cysne, Rubens.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:24:y:2004:i:2:a:2713.

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37. Maximum Likelihood Estimation of Stochastic Volatility Models. (2004). Ait-Sahalia, Yacine ; Kimmel, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10579.

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38. On the statistical estimation of diffusion processes - a partial survey. (2004). Cysne, Rubens.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:570.

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39. Integrated volatility measuring from unevenly sampled observations. (2004). .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2004:i:36:p:1-8.

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40. A selective overview of nonparametric methods in financial econometrics. (2004). Fan, Jianqing.
    In: Papers.
    RePEc:arx:papers:math/0411034.

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41. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9915.

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42. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise. (2003). Ait-Sahalia, Yacine ; Mykland, Per A..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9611.

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43. Closed-Form Likelihood Expansions for Multivariate Diffusions. (2002). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8956.

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44. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. (2002). Ait-Sahalia, Yacine ; Kimmel, Robert.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0286.

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45. Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market. (2002). Rust, John ; Hall, George.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0278.

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46. Econometric Methods for Endogenously Sampled Time Series: The Case of Commodity Price Speculation in the Steel Market. (2002). Rust, John ; Hall, George.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1376.

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47. Aggregation of Nonparametric Estimators for Volatility Matrix. (). Fan, Jianqing ; Lv, Jinchi.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:5:y::i:3:p:321-357.

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