Details about Dacheng Xiu

Access statistics for papers by Dacheng Xiu.

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

Short-id: pxi68

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.) View citations (7)

2012

2. 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

2010

1. High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
   Journal of the American Statistical Association, 2010, 105, (492), 1504-1517 View citations (72)
2. Quasi-maximum likelihood estimation of volatility with high frequency data
   Journal of Econometrics, 2010, 159, (1), 235-250 View citations (79)