Details about Dacheng Xiu

Access statistics for papers by Dacheng Xiu.

Last updated 2025-02-06. Update your information in the RePEc Author Service.

Short-id: pxi68

Working Papers

2025

1. Can Machines Learn Weak Signals?
   NBER Working Papers, National Bureau of Economic Research, Inc

2024

2. Nonstandard Errors
   Post-Print, HAL
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024)
   Working Papers, Lund University, Department of Economics (2021)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)
3. The Statistical Limit of Arbitrage
   NBER Working Papers, National Bureau of Economic Research, Inc

2023

4. Financial Machine Learning
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2021

5. Business News and Business Cycles
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
6. Test Assets and Weak Factors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
   See also Journal Article Test Assets and Weak Factors, Journal of Finance, American Finance Association (2025) (2025)

2020

7. Inference on Risk Premia in Continuous-Time Asset Pricing Models
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
8. Taming the Factor Zoo: A Test of New Factors
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (161)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (60)
   See also Journal Article Taming the Factor Zoo: A Test of New Factors, Journal of Finance, American Finance Association (2020) View citations (160) (2020)
9. The Structure of Economic News
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (32)

2019

10. Predicting Returns With Text Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (46)

2018

11. Empirical Asset Pricing via Machine Learning
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (80)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (72)
    See also Journal Article Empirical Asset Pricing via Machine Learning, The Review of Financial Studies, Society for Financial Studies (2020) View citations (460) (2020)

2017

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

2015

13. 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 Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency, Journal of the American Statistical Association, Taylor & Francis Journals (2017) View citations (21) (2017)
14. Principal Component Analysis of High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article Principal Component Analysis of High-Frequency Data, Journal of the American Statistical Association, Taylor & Francis Journals (2019) View citations (34) (2019)

2014

15. 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 A tale of two option markets: Pricing kernels and volatility risk, Journal of Econometrics, Elsevier (2016) View citations (48) (2016)

2012

16. 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

2025

1. Test Assets and Weak Factors
   Journal of Finance, 2025, 80, (1), 259-319
   See also Working Paper Test Assets and Weak Factors, NBER Working Papers (2021) View citations (11) (2021)

2024

2. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard Errors, Post-Print (2024) (2024)

2022

3. Factor Models, Machine Learning, and Asset Pricing
   Annual Review of Financial Economics, 2022, 14, (1), 337-368 View citations (26)

2021

4. Asset Pricing with Omitted Factors
   Journal of Political Economy, 2021, 129, (7), 1947 - 1990 View citations (58)
5. Autoencoder asset pricing models
   Journal of Econometrics, 2021, 222, (1), 429-450 View citations (99)
6. Thousands of Alpha Tests
   (The performance of hedge funds: Risk, return, and incentives)
   The Review of Financial Studies, 2021, 34, (7), 3456-3496 View citations (19)
   See also Chapter Thousands of Alpha Tests, NBER Chapters, 2021, 3456 (2021) View citations (22) (2021)
7. When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
   Econometrica, 2021, 89, (6), 2787-2825 View citations (4)

2020

8. Empirical Asset Pricing via Machine Learning
   The Review of Financial Studies, 2020, 33, (5), 2223-2273 View citations (460)
   See also Working Paper Empirical Asset Pricing via Machine Learning, Swiss Finance Institute Research Paper Series (2018) View citations (80) (2018)
9. High-frequency factor models and regressions
   Journal of Econometrics, 2020, 216, (1), 86-105 View citations (22)
10. Taming the Factor Zoo: A Test of New Factors
    Journal of Finance, 2020, 75, (3), 1327-1370 View citations (160)
    See also Working Paper Taming the Factor Zoo: A Test of New Factors, CEPR Discussion Papers (2020) View citations (161) (2020)

2019

11. A Hausman test for the presence of market microstructure noise in high frequency data
    Journal of Econometrics, 2019, 211, (1), 176-205 View citations (24)
12. 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 (22)
13. Principal Component Analysis of High-Frequency Data
    Journal of the American Statistical Association, 2019, 114, (525), 287-303 View citations (34)
    See also Working Paper Principal Component Analysis of High Frequency Data, NBER Working Papers (2015) View citations (6) (2015)

2018

14. Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale*
    Journal of Financial Econometrics, 2018, 16, (4), 570-582
15. Resolution of policy uncertainty and sudden declines in volatility
    Journal of Econometrics, 2018, 203, (2), 297-315 View citations (62)

2017

16. 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 (5)
17. 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 (21)
    See also Working Paper Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency, Cahiers de recherche (2015) (2015)
18. 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 (87)

2016

19. A tale of two option markets: Pricing kernels and volatility risk
    Journal of Econometrics, 2016, 190, (1), 176-196 View citations (48)
    See also Working Paper A Tale of Two Option Markets: Pricing Kernels and Volatility Risk, Finance and Economics Discussion Series (2014) View citations (7) (2014)
20. Generalized Method of Integrated Moments for High‐Frequency Data
    Econometrica, 2016, 84, (4), 1613-1633 View citations (9)
    Also in Econometrica, 2016, 84, 1613-1633 (2016) View citations (18)
21. 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 (70)
22. Increased correlation among asset classes: Are volatility or jumps to blame, or both?
    Journal of Econometrics, 2016, 194, (2), 205-219 View citations (50)

2014

23. Hermite polynomial based expansion of European option prices
    Journal of Econometrics, 2014, 179, (2), 158-177 View citations (39)
24. Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods
    Journal of Business & Economic Statistics, 2014, 32, (2), 178-191 View citations (73)
25. Rejoinder
    Journal of Business & Economic Statistics, 2014, 32, (2), 204-205

2010

26. High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
    Journal of the American Statistical Association, 2010, 105, (492), 1504-1517 View citations (130)
27. Quasi-maximum likelihood estimation of volatility with high frequency data
    Journal of Econometrics, 2010, 159, (1), 235-250 View citations (137)

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 (22)
   See also Journal Article Thousands of Alpha Tests, Society for Financial Studies (2021) View citations (19) (2021)