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Details about Dacheng Xiu

E-mail:
Homepage:http://faculty.chicagobooth.edu/dacheng.xiu/
Workplace:Booth School of Business, University of Chicago, (more information at EDIRC)

Access statistics for papers by Dacheng Xiu.

Last updated 2013-10-30. Update your information in the RePEc Author Service.

Short-id: pxi68


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Working Papers

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)

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

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 (72)
  2. Quasi-maximum likelihood estimation of volatility with high frequency data
    Journal of Econometrics, 2010, 159, (1), 235-250 Downloads View citations (79)
 
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