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

Working Papers

2021

1. Business News and Business Cycles
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
2. 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)
3. 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

4. Inference on Risk Premia in Continuous-Time Asset Pricing Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
5. 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)
6. The Structure of Economic News
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)

2019

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

2018

8. 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

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

2015

10. 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)
11. 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

12. 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

13. 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

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

2021

2. Asset Pricing with Omitted Factors
   Journal of Political Economy, 2021, 129, (7), 1947 - 1990 View citations (16)
3. Autoencoder asset pricing models
   Journal of Econometrics, 2021, 222, (1), 429-450 View citations (28)
4. 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)
5. When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
   Econometrica, 2021, 89, (6), 2787-2825 View citations (1)

2020

6. Empirical Asset Pricing via Machine Learning
   Review of Financial Studies, 2020, 33, (5), 2223-2273 View citations (146)
   See also Working Paper (2018)
7. High-frequency factor models and regressions
   Journal of Econometrics, 2020, 216, (1), 86-105 View citations (4)
8. 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

9. 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)
10. 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)
11. 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

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

2017

14. 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)
15. 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)
16. 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

17. 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)
18. 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)
19. 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)
20. 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

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

2010

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