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  4. Ait-Sahalia, Yacine [Author] ; Kalnina, Ilze [Other]; Xiu, Dacheng [Other]

    High-Frequency Factor Models and Regressions

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    [S.l.]: SSRN, [2019]

    Published in: Chicago Booth Research Paper ; No. 19-04

  6. Aït-Sahalia, Yacine [Author] ; Jacod, Jean [Other]; Xiu, Dacheng [Other] National Bureau of Economic Research

    Inference on Risk Premia in Continuous-Time Asset Pricing Models

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    Cambridge, Mass: National Bureau of Economic Research, 2020

    Published in: NBER working paper series ; no. w28140

  7. Ait-Sahalia, Yacine [Author] ; Jacod, Jean [Other]; Xiu, Dacheng [Other]

    Inference on Risk Premia in Continuous-Time Asset Pricing Models

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    [S.l.]: SSRN, [2020]

    Published in: Chicago Booth Research Paper ; No. 20-30

  12. Ait-Sahalia, Yacine [Author] ; Xiu, Dacheng [Other]

    A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

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    [S.l.]: SSRN, [2017]

    Published in: Chicago Booth Research Paper ; No. 16-06

  16. Ait-Sahalia, Yacine [Author] ; Fan, Jianqing [Other]; Laeven, Roger J. A. [Other]; Wang, Christina Dan [Other]; Yang, Xiye [Other]

    Estimation of the Continuous and Discontinuous Leverage Effects

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    [S.l.]: SSRN, [2015]

  18. Ait-Sahalia, Yacine [Author] ; Xiu, Dacheng [Other]

    Increased Correlation Among Asset Classes : Are Volatility or Jumps to Blame, or Both?

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    [S.l.]: SSRN, [2014]

    Published in: Chicago Booth Research Paper ; No. 14-11

  20. Aït-Sahalia, Yacine [Author] ; Xiu, Dacheng [Other] National Bureau of Economic Research

    Principal Component Analysis of High Frequency Data

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    Cambridge, Mass: National Bureau of Economic Research, September 2015

    Published in: NBER working paper series ; no. w21584