Books by Yacine Aït-Sahalia
High frequency market microstr
High frequency market microstructure noise estimates and liquidity measures
Ultra high frequency volatilit
Ultra high frequency volatility estimation with dependent microstructure noise
Disentangling volatility from
Disentangling volatility from jumps
How often to sample a continuo
How often to sample a continuous-time process in the presence of market microstructure noise
Maximum likelihood estimation
Maximum likelihood estimation of stochastic volatility models