Details about Dacheng Xiu
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
- Business News and Business Cycles
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
- Non-Standard Errors
Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz View citations (1)
Also in Working Papers, Faculty of Economics and Statistics, University of Innsbruck (2021) View citations (1)
- Test Assets and Weak Factors
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (3)
2020
- Inference on Risk Premia in Continuous-Time Asset Pricing Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
- Taming the Factor Zoo: A Test of New Factors
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (71)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (55)
See also Journal Article in Journal of Finance (2020)
- The Structure of Economic News
NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
2019
- Predicting Returns With Text Data
NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
2018
- Empirical Asset Pricing via Machine Learning
NBER Working Papers, National Bureau of Economic Research, Inc View citations (63)
Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2018) View citations (70)
See also Journal Article in Review of Financial Studies (2020)
2017
- Inference on Risk Premia in the Presence of Omitted Factors
NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
2015
- Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2015) View citations (1)
See also Journal Article in Journal of the American Statistical Association (2017)
- Principal Component Analysis of High Frequency Data
NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
See also Journal Article in Journal of the American Statistical Association (2019)
2014
- 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.) View citations (7)
See also Journal Article in Journal of Econometrics (2016)
2012
- 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 View citations (6)
Journal Articles
2022
- Factor Models, Machine Learning, and Asset Pricing
Annual Review of Financial Economics, 2022, 14, (1), 337-368 View citations (1)
2021
- Asset Pricing with Omitted Factors
Journal of Political Economy, 2021, 129, (7), 1947 - 1990 View citations (16)
- Autoencoder asset pricing models
Journal of Econometrics, 2021, 222, (1), 429-450 View citations (28)
- Thousands of Alpha Tests
(The performance of hedge funds: Risk, return, and incentives)
Review of Financial Studies, 2021, 34, (7), 3456-3496 View citations (4)
See also Chapter (2021)
- When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
Econometrica, 2021, 89, (6), 2787-2825 View citations (1)
2020
- Empirical Asset Pricing via Machine Learning
Review of Financial Studies, 2020, 33, (5), 2223-2273 View citations (146)
See also Working Paper (2018)
- High-frequency factor models and regressions
Journal of Econometrics, 2020, 216, (1), 86-105 View citations (4)
- Taming the Factor Zoo: A Test of New Factors
Journal of Finance, 2020, 75, (3), 1327-1370 View citations (71)
See also Working Paper (2020)
2019
- A Hausman test for the presence of market microstructure noise in high frequency data
Journal of Econometrics, 2019, 211, (1), 176-205 View citations (13)
- 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 View citations (7)
- Principal Component Analysis of High-Frequency Data
Journal of the American Statistical Association, 2019, 114, (525), 287-303 View citations (19)
See also Working Paper (2015)
2018
- Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale*
The Journal of Financial Econometrics, 2018, 16, (4), 570-582
- Resolution of policy uncertainty and sudden declines in volatility
Journal of Econometrics, 2018, 203, (2), 297-315 View citations (40)
2017
- Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
Journal of Econometrics, 2017, 201, (1), 19-42 View citations (4)
- Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
Journal of the American Statistical Association, 2017, 112, (517), 384-396 View citations (16)
See also Working Paper (2015)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Journal of Econometrics, 2017, 201, (2), 384-399 View citations (60)
2016
- A tale of two option markets: Pricing kernels and volatility risk
Journal of Econometrics, 2016, 190, (1), 176-196 View citations (41)
See also Working Paper (2014)
- Generalized Method of Integrated Moments for High‐Frequency Data
Econometrica, 2016, 84, 1613-1633 View citations (15)
Also in Econometrica, 2016, 84, (4), 1613-1633 (2016) View citations (6)
- 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 View citations (37)
- Increased correlation among asset classes: Are volatility or jumps to blame, or both?
Journal of Econometrics, 2016, 194, (2), 205-219 View citations (29)
2014
- Hermite polynomial based expansion of European option prices
Journal of Econometrics, 2014, 179, (2), 158-177 View citations (33)
- Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods
Journal of Business & Economic Statistics, 2014, 32, (2), 178-191 View citations (66)
- Rejoinder
Journal of Business & Economic Statistics, 2014, 32, (2), 204-205
2010
- High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Journal of the American Statistical Association, 2010, 105, (492), 1504-1517 View citations (98)
- Quasi-maximum likelihood estimation of volatility with high frequency data
Journal of Econometrics, 2010, 159, (1), 235-250 View citations (105)
Chapters
2021
- 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)
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