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Details about Dacheng Xiu

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Homepage:https://dachxiu.chicagobooth.edu
Workplace:Booth School of Business, University of Chicago, (more information at EDIRC)

Access statistics for papers by Dacheng Xiu.

Last updated 2022-12-03. Update your information in the RePEc Author Service.

Short-id: pxi68


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Working Papers

2021

  1. Business News and Business Cycles
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  2. Non-Standard Errors
    Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz Downloads View citations (1)
    Also in Working Papers, Faculty of Economics and Statistics, University of Innsbruck (2021) Downloads View citations (1)
  3. Test Assets and Weak Factors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) Downloads View citations (3)

2020

  1. Inference on Risk Premia in Continuous-Time Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
  2. Taming the Factor Zoo: A Test of New Factors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (71)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) Downloads View citations (55)

    See also Journal Article in Journal of Finance (2020)
  3. The Structure of Economic News
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)

2019

  1. Predicting Returns With Text Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)

2018

  1. Empirical Asset Pricing via Machine Learning
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (63)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2018) Downloads View citations (70)

    See also Journal Article in Review of Financial Studies (2020)

2017

  1. Inference on Risk Premia in the Presence of Omitted Factors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)

2015

  1. Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2015) Downloads View citations (1)

    See also Journal Article in Journal of the American Statistical Association (2017)
  2. Principal Component Analysis of High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article in Journal of the American Statistical Association (2019)

2014

  1. A Tale of Two Option Markets: Pricing Kernels and Volatility Risk
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2016)

2012

  1. Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (6)

Journal Articles

2022

  1. Factor Models, Machine Learning, and Asset Pricing
    Annual Review of Financial Economics, 2022, 14, (1), 337-368 Downloads View citations (1)

2021

  1. Asset Pricing with Omitted Factors
    Journal of Political Economy, 2021, 129, (7), 1947 - 1990 Downloads View citations (16)
  2. Autoencoder asset pricing models
    Journal of Econometrics, 2021, 222, (1), 429-450 Downloads View citations (28)
  3. Thousands of Alpha Tests
    (The performance of hedge funds: Risk, return, and incentives)
    Review of Financial Studies, 2021, 34, (7), 3456-3496 Downloads View citations (4)
    See also Chapter (2021)
  4. When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
    Econometrica, 2021, 89, (6), 2787-2825 Downloads View citations (1)

2020

  1. Empirical Asset Pricing via Machine Learning
    Review of Financial Studies, 2020, 33, (5), 2223-2273 Downloads View citations (146)
    See also Working Paper (2018)
  2. High-frequency factor models and regressions
    Journal of Econometrics, 2020, 216, (1), 86-105 Downloads View citations (4)
  3. Taming the Factor Zoo: A Test of New Factors
    Journal of Finance, 2020, 75, (3), 1327-1370 Downloads View citations (71)
    See also Working Paper (2020)

2019

  1. A Hausman test for the presence of market microstructure noise in high frequency data
    Journal of Econometrics, 2019, 211, (1), 176-205 Downloads View citations (13)
  2. Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
    Journal of Econometrics, 2019, 208, (1), 43-79 Downloads View citations (7)
  3. Principal Component Analysis of High-Frequency Data
    Journal of the American Statistical Association, 2019, 114, (525), 287-303 Downloads View citations (19)
    See also Working Paper (2015)

2018

  1. Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale*
    The Journal of Financial Econometrics, 2018, 16, (4), 570-582 Downloads
  2. Resolution of policy uncertainty and sudden declines in volatility
    Journal of Econometrics, 2018, 203, (2), 297-315 Downloads View citations (40)

2017

  1. Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
    Journal of Econometrics, 2017, 201, (1), 19-42 Downloads View citations (4)
  2. Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
    Journal of the American Statistical Association, 2017, 112, (517), 384-396 Downloads View citations (16)
    See also Working Paper (2015)
  3. Using principal component analysis to estimate a high dimensional factor model with high-frequency data
    Journal of Econometrics, 2017, 201, (2), 384-399 Downloads View citations (60)

2016

  1. A tale of two option markets: Pricing kernels and volatility risk
    Journal of Econometrics, 2016, 190, (1), 176-196 Downloads View citations (41)
    See also Working Paper (2014)
  2. Generalized Method of Integrated Moments for High‐Frequency Data
    Econometrica, 2016, 84, 1613-1633 Downloads View citations (15)
    Also in Econometrica, 2016, 84, (4), 1613-1633 (2016) Downloads View citations (6)
  3. Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data
    Journal of Business & Economic Statistics, 2016, 34, (4), 489-503 Downloads View citations (37)
  4. Increased correlation among asset classes: Are volatility or jumps to blame, or both?
    Journal of Econometrics, 2016, 194, (2), 205-219 Downloads View citations (29)

2014

  1. Hermite polynomial based expansion of European option prices
    Journal of Econometrics, 2014, 179, (2), 158-177 Downloads View citations (33)
  2. Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods
    Journal of Business & Economic Statistics, 2014, 32, (2), 178-191 Downloads View citations (66)
  3. Rejoinder
    Journal of Business & Economic Statistics, 2014, 32, (2), 204-205 Downloads

2010

  1. High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
    Journal of the American Statistical Association, 2010, 105, (492), 1504-1517 Downloads View citations (98)
  2. Quasi-maximum likelihood estimation of volatility with high frequency data
    Journal of Econometrics, 2010, 159, (1), 235-250 Downloads View citations (105)

Chapters

2021

  1. Thousands of Alpha Tests
    A chapter in Big Data: Long-Term Implications for Financial Markets and Firms, 2021, pp 3456 View citations (7)
    See also Journal Article in Review of Financial Studies (2021)
 
Page updated 2023-02-03