Misplaced Pages

Yacine Aït-Sahalia

Article snapshot taken from Wikipedia with creative commons attribution-sharealike license. Give it a read and then ask your questions in the chat. We can research this topic together.
American economist
Yacine Aït-Sahalia
Born1966 (age 57–58)
Algeria
Academic career
FieldFinancial econometrics Mathematical statistics
InstitutionPrinceton University
Alma materLycée Louis-le-Grand (1983-85), École Polytechnique (1987), ENSAE ParisTech (1989), Massachusetts Institute of Technology (1993)
Doctoral
advisor		Whitney K. Newey
Jerry A. Hausman
Information at IDEAS / RePEc

Yacine Aït-Sahalia (born 1966 in Algeria) is the Otto Hack 1903 Professor of Finance and Economics at Princeton University. His primary areas of research are financial econometrics and mathematical statistics. He served as the inaugural director of the Bendheim Center for Finance at Princeton University from 1998 until 2014.

Prior to joining Princeton University, he was an assistant professor (1993–96), associate professor (1996–98) and professor of finance (1998) at the University of Chicago Booth School of Business.

He has served as editor of the Review of Financial Studies (2003–2006), co-managing editor of the Journal of Econometrics (2012-2018), and associate editor of the Annals of Statistics (2003–2006), Econometrica (2007–2013), the Journal of Finance (2007–2010), Finance and Stochastics (1996–2011), the Journal of Econometrics (1999–2012) and the Journal of Financial Econometrics (2001–2011). He served as director of the Western Finance Association (2003–2006).

He has been a research associate at the National Bureau of Economic Research since 1995.

Education

Aït-Sahalia studied in classe préparatoire aux grandes écoles at Lycée Louis-le-Grand in Paris (1983-85), received his undergraduate degree from École Polytechnique in 1987, his master's degree from ENSAE ParisTech in 1989, and his Ph.D. in economics from the Massachusetts Institute of Technology in 1993.

Research

Aït-Sahalia has made fundamental contributions to the estimation and testing of continuous-time models in financial economics.

His primary contributions include the development of nonparametric methods for estimating and testing these models, of Hermite expansions to implement maximum-likelihood estimation of arbitrary continuous-time diffusion models using discretely sampled data, and numerous advances in the estimation and testing of models using high frequency data with a particular focus on understanding the role and importance of jumps and distinguishing jumps from volatility.

Awards

Yacine Aït-Sahalia received fellowships from the Alfred P. Sloan Foundation (1998–1999) and the John Simon Guggenheim Memorial Foundation (2008–2009).

He was elected a Fellow of the Econometric Society in 2002, of the Institute of Mathematical Statistics in 2004, of the American Statistical Association in 2008, of the Society for Financial Econometrics in 2013, of the Institut Louis Bachelier in 2016, and of the International Association for Applied Econometrics in 2020. He is also a Fellow of the Journal of Econometrics (1998).

He has received awards for research excellence, including the Dennis J. Aigner Award (2003), the FAME Annual Research Prize (2001), the Cornerstone Research Award (1998), the Michael J. Brennan Award (1997) and the Review of Economic Studies Tour (1993).

He also received the University of Chicago’s Booth School Emory Williams Award for teaching excellence.

References

  1. ^ Nonparametric functional estimation with applications to financial models
  2. "Yacine Ait-Sahalia's Bio Page". Retrieved 2013-10-06.
  3. "NBER".
  4. "Yacine Ait-Sahalia's research page".
  5. "Sloan Foundation Fellows".
  6. "Guggenheim Fellowship".
  7. "Econometric Society Fellows". The Econometric Society.
  8. "IMS Fellows". Institute of Mathematical Statistics.
  9. "ASA Fellows". American Statistical Association.
  10. "ILB Fellows".
  11. "IAAE Fellows".
  12. "Emory Williams Award".

External links

Categories: