Details about Dacheng Xiu
Access statistics for papers by Dacheng Xiu.
Last updated 2013-10-30. Update your information in the RePEc Author Service.
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- 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)
- 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)
- High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Journal of the American Statistical Association, 2010, 105, (492), 1504-1517 View citations (72)
- Quasi-maximum likelihood estimation of volatility with high frequency data
Journal of Econometrics, 2010, 159, (1), 235-250 View citations (79)