Publications

by members of

Bendheim Center for Finance
Department of Economics
Princeton University
Princeton, New Jersey (United States)

Working papers

2009

1. Markus K. Brunnermeier & Motohiro Yogo, 2009. "A Note on Liquidity Risk Management," NBER Working Papers 14727, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

2008

1. Markus K. Brunnermeier & Filippos Papakonstantinou & Jonathan A. Parker, 2008. "An Economic Model of the Planning Fallacy," NBER Working Papers 14228, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Patrick Bolton & Markus K. Brunnermeier & Laura Veldkamp, 2008. "Leadership, Coordination and Mission-Driven Management," NBER Working Papers 14339, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York. [Downloadable!]
4. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
5. Markus K. Brunnermeier, 2008. "Deciphering the Liquidity and Credit Crunch 2007-08," NBER Working Papers 14612, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
6. Yacine Ait-Sahalia & Jialin Yu, 2008. "High Frequency Market Microstructure Noise Estimates and Liquidity Measures," NBER Working Papers 13825, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
7. Yacine Aït-Sahalia & Michael W. Brandt, 2008. "Consumption and Portfolio Choice with Option-Implied State Prices," NBER Working Papers 13854, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
8. Ait-Sahalia, Yacine & Kimmel, Robert L., 2008. "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," Working Paper Series 2008-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]

2007

1. Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market Liquidity and Funding Liquidity," NBER Working Papers 12939, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Brunnermeier, Markus K & Julliard, Christian, 2007. "Money Illusion and Housing Frenzies," CEPR Discussion Papers 6183, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
3. Brunnermeier, Markus K & Pedersen, Lasse Heje, 2007. "Market Liquidity and Funding Liquidity," CEPR Discussion Papers 6179, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
4. Lasse Heje Pederson & Markus K Brunnermeier, 2007. "Market Liquidity and Funding Liquidity," FMG Discussion Papers dp580, Financial Markets Group. [Downloadable!] (restricted)
5. Brunnermeier, Markus K & Gollier, Christian & Parker, Jonathan A, 2007. "Optimal Beliefs, Asset Prices and the Preference for Skewed Returns," CEPR Discussion Papers 6181, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
6. Markus K. Brunnermeier & Christian Gollier & Jonathan A. Parker, 2007. "Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns," NBER Working Papers 12940, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
7. Brunnermeier, Markus & Gollier, Christian & Parker, Jonathan, 2007. "Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns," IDEI Working Papers 429, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]

2006

1. Markus K. Brunnermeier & Stefan Nagel, 2006. "Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation," NBER Working Papers 12809, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Markus K. Brunnermeier & Christian Julliard, 2006. "Money Illusion and Housing Frenzies," NBER Working Papers 12810, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Markus K Brunnermeier & Christian Julliard, 2006. "Money Illusion and Housing Frenzies," FMG Discussion Papers dp579, Financial Markets Group. [Downloadable!] (restricted)

2005

1. Yacine Ait-Sahalia & Per A. Mykland & Lan Zhang, 2005. "Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise," NBER Working Papers 11380, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2005. "Edgeworth Expansions for Realized Volatility and Related Estimators," NBER Technical Working Papers 0319, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2005. "Ultra high frequency volatility estimation with dependent microstructure noise," Discussion Paper Series 1: Economic Studies 2005,30, Deutsche Bundesbank, Research Centre. [Downloadable!]

2004

1. Jonathan A. Parker & Markus K. Brunnermeier, 2004. "Optimal Expectations," Econometric Society 2004 North American Winter Meetings 426, Econometric Society. [Downloadable!]
2. Lasse H. Pedersen & Markus Brunnermeier, 2004. "Predatory Trading," Econometric Society 2004 North American Winter Meetings 425, Econometric Society. [Downloadable!]
3. Markus K Brunnermeier & John Morgan, 2004. "Clock Games: Theory and Experiments," Levine's Bibliography 122247000000000401, UCLA Department of Economics. [Downloadable!]
4. Brunnermeier, Markus K & Pedersen, Lasse Heje, 2004. "Predatory Trading," CEPR Discussion Papers 4639, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
5. Brunnermeier, Markus K & Parker, Jonathan A, 2004. "Optimal Expectation," CEPR Discussion Papers 4656, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
6. Markus K. Brunnermeier & Jonathan A. Parker, 2004. "Optimal Expectations," NBER Working Papers 10707, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
7. Markus K. Brunnermeier & Lasse Heje Pedersen, 2004. "Predatory Trading," NBER Working Papers 10755, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
8. Yacine Ait-Sahalia, 2004. "Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)," Econometric Society 2004 North American Winter Meetings 575, Econometric Society. [Downloadable!]
9. Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

2003

1. Markus K Brunnermeier & Lasse Heje Pederson, 2003. "Predatory Trading," FMG Discussion Papers dp441, Financial Markets Group. [Downloadable!] (restricted)
2. Yacine Ait-Sahalia & Per A. Mykland, 2003. "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," NBER Working Papers 9611, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Yacine Ait-Sahalia, 2003. "Disentangling Volatility from Jumps," NBER Working Papers 9915, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
4. Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2003. "A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data," NBER Working Papers 10111, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

2002

1. Jonathan Parker & Markus K Brunnermeier, 2002. "Optimal Expectations," FMG Discussion Papers dp434, Financial Markets Group. [Downloadable!] (restricted)
2. Markus K Brunnermeier, 2002. "Bubbles and Crashes," FMG Discussion Papers dp401, Financial Markets Group. [Downloadable!] (restricted)
3. Markus K. Brunnermeier & Jonathan A. Parker, 2002. "Optimal Expectations," Working Papers 146, Princeton University, Woodrow Wilson School of Public and International Affairs, Discussion Papers in Economics.. [Downloadable!]
4. Yacine Ait-Sahalia & Per A. Mykland, 2002. "The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions," NBER Technical Working Papers 0276, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
5. Yacine Ait-Sahalia & Jefferson Duarte, 2002. "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers 8944, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
6. Yacine Ait-Sahalia & Robert Kimmel, 2002. "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," NBER Technical Working Papers 0286, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
7. Yacine Ait-Sahalia, 2002. "Closed-Form Likelihood Expansions for Multivariate Diffusions," NBER Working Papers 8956, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
8. Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo, 2002. "Luxury Goods and the Equity Premium," Working Papers 145, Princeton University, Woodrow Wilson School of Public and International Affairs, Discussion Papers in Economics.. [Downloadable!]

2001

1. Yacine Ait-Sahalia & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," NBER Working Papers 8127, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Ait-Sahalia, Y. & Brandt, M.W., 2001. "Variable Selection for Portfolio Choice," Papers 34, Manitoba - Department of Economics.
3. Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001. "Variable Selection for Portfolio Choice," FAME Research Paper Series rp34, International Center for Financial Asset Management and Engineering. [Downloadable!]
4. Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo, 2001. "Luxury Goods and the Equity Premium," NBER Working Papers 8417, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
5. Yacine Ait-Sahalia, 2001. "Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion," NBER Working Papers 8504, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

2000

1. Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

1999

1. Markus K Brunnermeier, 1999. "Contrasting Different Forms of Price Stickiness: An Analysis of Exchange Rate Overshooting and the Beggar Thy Neighbour Policy," FMG Discussion Papers dp329, Financial Markets Group. [Downloadable!] (restricted)

1998

1. Markus K Brunnermeier, 1998. "Buy on Rumours - Sell on News: A Manipulative Trading Strategy," FMG Discussion Papers dp309, Financial Markets Group. [Downloadable!] (restricted)
2. John S. Hughes & Steven Huddart & Markus K Brunnermeier, 1998. "Disclosure Requirements and Stock Exchange Listing Choice in an International Context," FMG Discussion Papers dp282, Financial Markets Group. [Downloadable!] (restricted)
3. Yacine Ait-Sahalia, 1998. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach," NBER Technical Working Papers 0222, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

1997

1. Markus K Brunnermeier, 1997. "On Bounded Rationality and Risk Aversion," FMG Discussion Papers dp255, Financial Markets Group. [Downloadable!] (restricted)
2. Markus K Brunnermeier, 1997. "Prices, Price Processes, Volume and Their Information: A Literature Survey," FMG Discussion Papers dp270, Financial Markets Group. [Downloadable!] (restricted)

1996

1. Yacine Ait-Sahalia, 1996. "Dynamic Equilibrium and Volatility in Financial Asset Markets," NBER Working Papers 5479, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

1995

1. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Yacine Ait-Sahalia & Andrew W. Lo, 1995. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," NBER Working Papers 5351, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

1994

1. Aït-Sahalia, Yacine. & Bickel, Peter J. & Stoker, Thomas M., 1994. "Goodness-of-fit tests for regression using kernel methods," Working papers 3747-94., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]

Undated

1. Yacine Aït-Sahalia & Andrew W. Lo, . "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," CRSP working papers 332, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
2. Yacine Aït-Sahalia, . "Dynamic Equilibrium and Volatility in Financial Asset Markets," CRSP working papers 331, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
3. Carroll, R.J. & Fan, Jianqing. & Gijbels, Irene. & Wand, M.P., . "Generalized Partially Linear Single-Index Models," Statistics Working Paper 95010, Australian Graduate School of Management.
4. J. Fan & W. H"Ardle & E. Mammen, . "Direct estimation of low dimensional components in additive models," Sonderforschungsbereich 373 1996-17, Humboldt Universitaet Berlin.
5. J. Fan & M. M"Uller, . "Density and Regression Smoothing," Sonderforschungsbereich 373 1995-1, Humboldt Universitaet Berlin.

Journal articles

2009

1. Markus K. Brunnermeier & Lasse Heje Pedersen, 2009. "Market Liquidity and Funding Liquidity," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(6), pages 2201-2238, June. [Downloadable!] (restricted)
2. Markus K. Brunnermeier & Motohiro Yogo, 2009. "A Note on Liquidity Risk Management," American Economic Review, American Economic Association, vol. 99(2), pages 578-83, May. [Downloadable!]
3. Markus K. Brunnermeier, 2009. "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 77-100, Winter.

2008

1. Markus K. Brunnermeier & Stefan Nagel, 2008. "Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals," American Economic Review, American Economic Association, vol. 98(3), pages 713-36, June. [Downloadable!]
2. Markus K. Brunnermeier & Christian Julliard, 2008. "Money Illusion and Housing Frenzies," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(1), pages 135-180, January. [Downloadable!] (restricted)
3. Aït-Sahalia, Yacine & Mancini, Loriano, 2008. "Out of sample forecasts of quadratic variation," Journal of Econometrics, Elsevier, vol. 147(1), pages 17-33, November. [Downloadable!] (restricted)
4. Aït-Sahalia, Yacine & Mykland, Per A., 2008. "An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions," Journal of Econometrics, Elsevier, vol. 144(1), pages 1-26, May. [Downloadable!] (restricted)
5. Yacine Aït-Sahalia & Jean Jacod, 2008. "Fisher's Information for Discretely Sampled Lévy Processes," Econometrica, Econometric Society, vol. 76(4), pages 727-761, 07. [Downloadable!] (restricted)
6. Jianwen Cai & Jianqing Fan & Jiancheng Jiang & Haibo Zhou, 2008. "Partially linear hazard regression with varying coefficients for multivariate survival data," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 70(1), pages 141-158. [Downloadable!] (restricted)
7. Jianqing Fan & Jinchi Lv, 2008. "Sure independence screening for ultrahigh dimensional feature space," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 70(5), pages 849-911. [Downloadable!] (restricted)
8. Jianqing Fan & Mingjin Wang & Qiwei Yao, 2008. "Modelling multivariate volatilities via conditionally uncorrelated components," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 70(4), pages 679-702. [Downloadable!] (restricted)
9. Fan, Jianqing & Fan, Yingying & Lv, Jinchi, 2008. "High dimensional covariance matrix estimation using a factor model," Journal of Econometrics, Elsevier, vol. 147(1), pages 186-197, November. [Downloadable!] (restricted)

2007

1. Markus K. Brunnermeier & Christian Gollier & Jonathan A. Parker, 2007. "Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns," American Economic Review, American Economic Association, vol. 97(2), pages 159-165, May. [Downloadable!]
2. Jianqing Fan & Jiancheng Jiang, 2007. "Rejoinder on: Nonparametric inference with generalized likelihood ratio tests," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 16(3), pages 471-478, December. [Downloadable!] (restricted)
3. Jianqing Fan & Jiancheng Jiang, 2007. "Nonparametric inference with generalized likelihood ratio tests," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 16(3), pages 409-444, December. [Downloadable!] (restricted)
4. Fan, Jianqing & Hall, Peter & Yao, Qiwei, 2007. "To How Many Simultaneous Hypothesis Tests Can Normal, Student's t or Bootstrap Calibration Be Applied?," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1282-1288, December. [Downloadable!] (restricted)
5. Cai, Jianwen & Fan, Jianqing & Jiang, Jiancheng & Zhou, Haibo, 2007. "Partially Linear Hazard Regression for Multivariate Survival Data," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 538-551, June. [Downloadable!] (restricted)
6. Fan, Jianqing & Wang, Yazhen, 2007. "Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1349-1362, December. [Downloadable!] (restricted)
7. Fan, Jianqing & Fan, Yingying & Jiang, Jiancheng, 2007. "Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 618-631, June. [Downloadable!] (restricted)
8. Fan, Jianqing & Huang, Tao & Li, Runze, 2007. "Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 632-641, June. [Downloadable!] (restricted)

2006

1. Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 162-167, April. [Downloadable!] (restricted)
2. Peter Bickel & Bo Li & Alexandre Tsybakov & Sara Geer & Bin Yu & Teófilo Valdés & Carlos Rivero & Jianqing Fan & Aad Vaart, 2006. "Regularization in statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 15(2), pages 271-344, September. [Downloadable!] (restricted)
3. Fan, Jianqing & Fan, Yingying, 2006. "Comment," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 991-994, September. [Downloadable!] (restricted)

2005

1. Markus K. Brunnermeier, 2005. "Information Leakage and Market Efficiency," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 18(2), pages 417-457. [Downloadable!] (restricted)
2. Markus K. Brunnermeier & Lasse Heje Pedersen, 2005. "Predatory Trading," Journal of Finance, American Finance Association, vol. 60(4), pages 1825-1863, 08. [Downloadable!] (restricted)
3. Markus K. Brunnermeier & Jonathan A. Parker, 2005. "Optimal Expectations," American Economic Review, American Economic Association, vol. 95(4), pages 1092-1118, September. [Downloadable!]
4. Yacine Aït-Sahalia, 2005. "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 18(2), pages 351-416. [Downloadable!] (restricted)
5. Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine, 2005. "A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1394-1411, December. [Downloadable!] (restricted)
6. Fan, Jianqing & Peng, Heng & Huang, Tao & Ren, Yi, 2005. "Rejoinder," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 808-813, September. [Downloadable!] (restricted)
7. Fan, Jianqing & Peng, Heng & Huang, Tao, 2005. "Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 781-796, September. [Downloadable!] (restricted)
8. Fan, Jianqing & Jiang, Jiancheng, 2005. "Nonparametric Inferences for Additive Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 890-907, September. [Downloadable!] (restricted)
9. Jianwen Cai & Jianqing Fan & Runze Li & Haibo Zhou, 2005. "Variable selection for multivariate failure time data," Biometrika, Oxford University Press for Biometrika Trust, vol. 92(2), pages 303-316, June. [Downloadable!] (restricted)

2004

1. Markus K. Brunnermeier, 2004. "Learning to Reoptimize Consumption at New Income Levels: A Rationale for Prospect Theory," Journal of the European Economic Association, MIT Press, vol. 2(1), pages 98-114, 03. [Downloadable!] (restricted)
2. Markus K. Brunnermeier & Stefan Nagel, 2004. "Hedge Funds and the Technology Bubble," Journal of Finance, American Finance Association, vol. 59(5), pages 2013-2040, October. [Downloadable!] (restricted)
3. Ait-Sahalia, Yacine, 2004. "Disentangling diffusion from jumps," Journal of Financial Economics, Elsevier, vol. 74(3), pages 487-528, December. [Downloadable!] (restricted)
4. Jianqing Fan & Runze Li, 2004. "New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 710-723, January. [Downloadable!] (restricted)
5. Jianqing Fan & Tsz Ho Yim, 2004. "A crossvalidation method for estimating conditional densities," Biometrika, Oxford University Press for Biometrika Trust, vol. 91(4), pages 819-834, December. [Downloadable!] (restricted)
6. Jianqing Fan, 2004. "Generalised likelihood ratio tests for spectral density," Biometrika, Oxford University Press for Biometrika Trust, vol. 91(1), pages 195-209, March.

2003

1. Dilip Abreu & Markus K. Brunnermeier, 2003. "Bubbles and Crashes," Econometrica, Econometric Society, vol. 71(1), pages 173-204, January. [Downloadable!] (restricted)
2. Yacine Ait--Sahalia & Per A. Mykland, 2003. "The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions," Econometrica, Econometric Society, vol. 71(2), pages 483-549, March. [Downloadable!] (restricted)
3. Ait-Sahalia, Yacine & Duarte, Jefferson, 2003. "Nonparametric option pricing under shape restrictions," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 9-47. [Downloadable!] (restricted)
4. Jianqing Fan & Juan Gu, 2003. "Semiparametric estimation of Value at Risk," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 261-290, December. [Downloadable!] (restricted)
5. Jianqing Fan & Qiwei Yao & Zongwu Cai, 2003. "Adaptive varying-coefficient linear models," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 57-80. [Downloadable!] (restricted)
6. Fan J. & Zhang C., 2003. "A Reexamination of Diffusion Estimators With Applications to Financial Model Validation," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 118-134, January. [Downloadable!] (restricted)

2002

1. Abreu, Dilip & Brunnermeier, Markus K., 2002. "Synchronization risk and delayed arbitrage," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 341-360. [Downloadable!] (restricted)
2. Yacine Ait-Sahalia, 2002. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach," Econometrica, Econometric Society, vol. 70(1), pages 223-262, January. [Downloadable!] (restricted)
3. Yacine Aït-Sahalia, 2002. "Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion," Journal of Finance, American Finance Association, vol. 57(5), pages 2075-2112, October. [Downloadable!] (restricted)
4. Ait-Sahalia, Yacine, 2002. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 317-21, July.

2001

1. Yacine Aït-Sahalia, 2001. "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, 08. [Downloadable!] (restricted)
2. Ait-Sahalia, Yacine & Bickel, Peter J. & Stoker, Thomas M., 2001. "Goodness-of-fit tests for kernel regression with an application to option implied volatilities," Journal of Econometrics, Elsevier, vol. 105(2), pages 363-412, December. [Downloadable!] (restricted)
3. Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis, 2001. "Do option markets correctly price the probabilities of movement of the underlying asset?," Journal of Econometrics, Elsevier, vol. 102(1), pages 67-110, May. [Downloadable!] (restricted)
4. Antoniadis A. & Fan J., 2001. "Regularization of Wavelet Approximations," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 939-967, September. [Downloadable!] (restricted)
5. Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December. [Downloadable!] (restricted)
6. Fan J. & Huang L-S., 2001. "Goodness-of-Fit Tests for Parametric Regression Models," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 640-652, June. [Downloadable!] (restricted)

2000

1. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51. [Downloadable!] (restricted)
2. J. Fan & J.-T. Zhang, 2000. "Two-step estimation of functional linear models with applications to longitudinal data," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 303-322. [Downloadable!] (restricted)
3. Jianqing Fan, 2000. "Simultaneous Confidence Bands and Hypothesis Testing in Varying-coefficient Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association and Swedish Statistical Association, vol. 27(4), pages 715-731. [Downloadable!] (restricted)
4. J. Fan & R. L. Prentice & L. Hsu, 2000. "A class of weighted dependence measures for bivariate failure time data," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 181-190. [Downloadable!] (restricted)
5. Cai, Zongwu & Fan, Jianqing, 2000. "Average Regression Surface for Dependent Data," Journal of Multivariate Analysis, Elsevier, vol. 75(1), pages 112-142, October. [Downloadable!] (restricted)

1999

1. Huddart, Steven & Hughes, John S. & Brunnermeier, Markus, 1999. "Disclosure requirements and stock exchange listing choice in an international context," Journal of Accounting and Economics, Elsevier, vol. 26(1-3), pages 237-269, January. [Downloadable!] (restricted)
2. Yacine Aït-Sahalia, 1999. "Transition Densities for Interest Rate and Other Nonlinear Diffusions," Journal of Finance, American Finance Association, vol. 54(4), pages 1361-1395, 08. [Downloadable!] (restricted)
3. J. Fan & J. Chen, 1999. "One-step local quasi-likelihood estimation," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 61(4), pages 927-943. [Downloadable!] (restricted)
4. N. Locantore & J. Marron & D. Simpson & N. Tripoli & J. Zhang & K. Cohen & Graciela Boente & Ricardo Fraiman & Babette Brumback & Christophe Croux & Jianqing Fan & Alois Kneip & John Marden & Daniel P, 1999. "Robust principal component analysis for functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 8(1), pages 1-73, June. [Downloadable!] (restricted)
5. Fan, Jianqing & Huang, Li-Shan, 1999. "Rates of convergence for the pre-asymptotic substitution bandwidth selector," Statistics & Probability Letters, Elsevier, vol. 43(3), pages 309-316, July. [Downloadable!] (restricted)

1998

1. Yacine Aït-Sahalia & Andrew W. Lo, 1998. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," Journal of Finance, American Finance Association, vol. 53(2), pages 499-547, 04. [Downloadable!] (restricted)
2. Ait-Sahalia, Yacine, 1998. "Dynamic equilibrium and volatility in financial asset markets," Journal of Econometrics, Elsevier, vol. 84(1), pages 93-127, May. [Downloadable!] (restricted)

1997

1. Jianqing Fan & Theo Gasser & Irène Gijbels & Michael Brockmann & Joachim Engel, 1997. "Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency," Annals of the Institute of Statistical Mathematics, Springer, vol. 49(1), pages 79-99, March. [Downloadable!] (restricted)

1996

1. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-60, May. [Downloadable!] (restricted)
2. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 9(2), pages 385-426. [Downloadable!] (restricted)

1994

1. Yacine Ait-sahalia, 1994. "Entry-Exit Decisions of Foreign Firms and Import Prices," Annales d'Economie et de Statistique, ADRES, issue 34, pages 09, Avril-Jui. [Downloadable!]

1992

1. Fan, Jianqing & Masry, Elias, 1992. "Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes," Journal of Multivariate Analysis, Elsevier, vol. 43(2), pages 237-271, November. [Downloadable!] (restricted)
2. Fan, Jianqing & Hu, Tien-Chung, 1992. "Bias correction and higher order kernel functions," Statistics & Probability Letters, Elsevier, vol. 13(3), pages 235-243, February. [Downloadable!] (restricted)
3. Fan, Jianqing & Gijbels, Irène, 1992. "Minimax estimation of a bounded squared mean," Statistics & Probability Letters, Elsevier, vol. 13(5), pages 383-390, April. [Downloadable!] (restricted)

Chapters

2008

1. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2008 National Bureau of Economic Research, Inc. [Downloadable!]

This page was last updated on 2009-12-2.