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Details about 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


  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)


  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


  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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