Dacheng Xiu
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Identifer
Contact
Affiliations
-
University of Chicago
/ Booth School of Business
Research profile
author of:
- Factor Models, Machine Learning, and Asset Pricing
Annual Review of Financial Economics, Annual Reviews (2022)
by Stefano Giglio & Bryan Kelly & Dacheng Xiu
(ReDIF-article, anr:refeco:v:14:y:2022:p:337-368) - High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
Journal of the American Statistical Association, American Statistical Association (2010)
by Aït-Sahalia, Yacine & Fan, Jianqing & Xiu, Dacheng
(ReDIF-article, bes:jnlasa:v:105:i:492:y:2010:p:1504-1517) - Taming the Factor Zoo: A Test of New Factors
Journal of Finance, American Finance Association (2020)
by Guanhao Feng & Stefano Giglio & Dacheng Xiu
(ReDIF-article, bla:jfinan:v:75:y:2020:i:3:p:1327-1370) - Empirical Asset Pricing via Machine Learning
Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2018)
by Shihao Gu & Bryan T. Kelly & Dacheng Xiu
(ReDIF-paper, chf:rpseri:rp1871) - Taming the Factor Zoo: A Test of New Factors
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020)
by Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng
(ReDIF-paper, cpr:ceprdp:14266) - Test Assets and Weak Factors
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
by Giglio, Stefano & Xiu, Dacheng & Zhang, Dake
(ReDIF-paper, cpr:ceprdp:16307) - Quasi-maximum likelihood estimation of volatility with high frequency data
Journal of Econometrics, Elsevier (2010)
by Xiu, Dacheng
(ReDIF-article, eee:econom:v:159:y:2010:i:1:p:235-250) - Hermite polynomial based expansion of European option prices
Journal of Econometrics, Elsevier (2014)
by Xiu, Dacheng
(ReDIF-article, eee:econom:v:179:y:2014:i:2:p:158-177) - A tale of two option markets: Pricing kernels and volatility risk
Journal of Econometrics, Elsevier (2016)
by Song, Zhaogang & Xiu, Dacheng
(ReDIF-article, eee:econom:v:190:y:2016:i:1:p:176-196) - Increased correlation among asset classes: Are volatility or jumps to blame, or both?
Journal of Econometrics, Elsevier (2016)
by Aït-Sahalia, Yacine & Xiu, Dacheng
(ReDIF-article, eee:econom:v:194:y:2016:i:2:p:205-219) - Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
Journal of Econometrics, Elsevier (2017)
by Shephard, Neil & Xiu, Dacheng
(ReDIF-article, eee:econom:v:201:y:2017:i:1:p:19-42) - Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Journal of Econometrics, Elsevier (2017)
by Aït-Sahalia, Yacine & Xiu, Dacheng
(ReDIF-article, eee:econom:v:201:y:2017:i:2:p:384-399) - Resolution of policy uncertainty and sudden declines in volatility
Journal of Econometrics, Elsevier (2018)
by Amengual, Dante & Xiu, Dacheng
(ReDIF-article, eee:econom:v:203:y:2018:i:2:p:297-315) - Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
Journal of Econometrics, Elsevier (2019)
by Dai, Chaoxing & Lu, Kun & Xiu, Dacheng
(ReDIF-article, eee:econom:v:208:y:2019:i:1:p:43-79) - A Hausman test for the presence of market microstructure noise in high frequency data
Journal of Econometrics, Elsevier (2019)
by Aït-Sahalia, Yacine & Xiu, Dacheng
(ReDIF-article, eee:econom:v:211:y:2019:i:1:p:176-205) - High-frequency factor models and regressions
Journal of Econometrics, Elsevier (2020)
by Aït-Sahalia, Yacine & Kalnina, Ilze & Xiu, Dacheng
(ReDIF-article, eee:econom:v:216:y:2020:i:1:p:86-105) - Autoencoder asset pricing models
Journal of Econometrics, Elsevier (2021)
by Gu, Shihao & Kelly, Bryan & Xiu, Dacheng
(ReDIF-article, eee:econom:v:222:y:2021:i:1:p:429-450) - 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.) (2014)
by Zhaogang Song & Dacheng Xiu
(ReDIF-paper, fip:fedgfe:2014-58) - Unknown item RePEc:grz:wpsses:2021-08 (paper)
- Non-Standard Errors
Working Papers, Lund University, Department of Economics (2021)
by Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena
(ReDIF-paper, hhs:lunewp:2021_017) - Non-Standard Errors
Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi
(ReDIF-paper, inn:wpaper:2021-31) - Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2015)
by KALNINA, Ilze & XIU, Dacheng
(ReDIF-paper, mtl:montde:2015-05) - Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2015)
by Ilze KALNINA & Dacheng XIU
(ReDIF-paper, mtl:montec:09-2015) - Thousands of Alpha Tests
NBER Chapters, National Bureau of Economic Research, Inc (2021)
by Stefano Giglio & Yuan Liao & Dacheng Xiu
(ReDIF-chapter, nbr:nberch:14605) - Principal Component Analysis of High Frequency Data
NBER Working Papers, National Bureau of Economic Research, Inc (2015)
by Yacine Aït-Sahalia & Dacheng Xiu
(ReDIF-paper, nbr:nberwo:21584) - Inference on Risk Premia in the Presence of Omitted Factors
NBER Working Papers, National Bureau of Economic Research, Inc (2017)
by Stefano Giglio & Dacheng Xiu
(ReDIF-paper, nbr:nberwo:23527) - Empirical Asset Pricing via Machine Learning
NBER Working Papers, National Bureau of Economic Research, Inc (2018)
by Shihao Gu & Bryan Kelly & Dacheng Xiu
(ReDIF-paper, nbr:nberwo:25398) - Taming the Factor Zoo: A Test of New Factors
NBER Working Papers, National Bureau of Economic Research, Inc (2019)
by Guanhao Feng & Stefano Giglio & Dacheng Xiu
(ReDIF-paper, nbr:nberwo:25481) - Predicting Returns With Text Data
NBER Working Papers, National Bureau of Economic Research, Inc (2019)
by Zheng Tracy Ke & Bryan T. Kelly & Dacheng Xiu
(ReDIF-paper, nbr:nberwo:26186) - The Structure of Economic News
NBER Working Papers, National Bureau of Economic Research, Inc (2020)
by Leland Bybee & Bryan T. Kelly & Asaf Manela & Dacheng Xiu
(ReDIF-paper, nbr:nberwo:26648) - Inference on Risk Premia in Continuous-Time Asset Pricing Models
NBER Working Papers, National Bureau of Economic Research, Inc (2020)
by Yacine Aït-Sahalia & Jean Jacod & Dacheng Xiu
(ReDIF-paper, nbr:nberwo:28140) - Test Assets and Weak Factors
NBER Working Papers, National Bureau of Economic Research, Inc (2021)
by Stefano Giglio & Dacheng Xiu & Dake Zhang
(ReDIF-paper, nbr:nberwo:29002) - Business News and Business Cycles
NBER Working Papers, National Bureau of Economic Research, Inc (2021)
by Leland Bybee & Bryan T. Kelly & Asaf Manela & Dacheng Xiu
(ReDIF-paper, nbr:nberwo:29344) - Financial Machine Learning
NBER Working Papers, National Bureau of Economic Research, Inc (2023)
by Bryan T. Kelly & Dacheng Xiu
(ReDIF-paper, nbr:nberwo:31502) - The Statistical Limit of Arbitrage
NBER Working Papers, National Bureau of Economic Research, Inc (2024)
by Rui Da & Stefan Nagel & Dacheng Xiu
(ReDIF-paper, nbr:nberwo:33070) - Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale
Journal of Financial Econometrics, Oxford University Press (2018)
by Jia Li & Dacheng Xiu
(ReDIF-article, oup:jfinec:v:16:y:2018:i:4:p:570-582.) - Empirical Asset Pricing via Machine Learning
The Review of Financial Studies, Society for Financial Studies (2020)
by Shihao Gu & Bryan Kelly & Dacheng Xiu
(ReDIF-article, oup:rfinst:v:33:y:2020:i:5:p:2223-2273.) - Thousands of Alpha Tests
[The performance of hedge funds: Risk, return, and incentives]
The Review of Financial Studies, Society for Financial Studies (2021)
by Stefano Giglio & Yuan Liao & Dacheng Xiu & Wei Jiang
(ReDIF-article, oup:rfinst:v:34:y:2021:i:7:p:3456-3496.) - 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 (2012)
by Neil Shephard & Dacheng Xiu
(ReDIF-paper, oxf:wpaper:604) - Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
Journal of the American Statistical Association, Taylor & Francis Journals (2017)
by Ilze Kalnina & Dacheng Xiu
(ReDIF-article, taf:jnlasa:v:112:y:2017:i:517:p:384-396) - Principal Component Analysis of High-Frequency Data
Journal of the American Statistical Association, Taylor & Francis Journals (2019)
by Yacine Aït-Sahalia & Dacheng Xiu
(ReDIF-article, taf:jnlasa:v:114:y:2019:i:525:p:287-303) - Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods
Journal of Business & Economic Statistics, Taylor & Francis Journals (2014)
by Jianqing Fan & Lei Qi & Dacheng Xiu
(ReDIF-article, taf:jnlbes:v:32:y:2014:i:2:p:178-191) - Rejoinder
Journal of Business & Economic Statistics, Taylor & Francis Journals (2014)
by Jianqing Fan & Lei Qi & Dacheng Xiu
(ReDIF-article, taf:jnlbes:v:32:y:2014:i:2:p:204-205) - 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, Taylor & Francis Journals (2016)
by Jianqing Fan & Alex Furger & Dacheng Xiu
(ReDIF-article, taf:jnlbes:v:34:y:2016:i:4:p:489-503) - Asset Pricing with Omitted Factors
Journal of Political Economy, University of Chicago Press (2021)
by Stefano Giglio & Dacheng Xiu
(ReDIF-article, ucp:jpolec:doi:10.1086/714090) - Generalized Method of Integrated Moments for High‐Frequency Data
Econometrica, Econometric Society (2016)
by Jia Li & Dacheng Xiu
(ReDIF-article, wly:emetrp:v:84:y:2016:i::p:1613-1633) - Generalized Method of Integrated Moments for High‐Frequency Data
Econometrica, Econometric Society (2016)
by Jia Li & Dacheng Xiu
(ReDIF-article, wly:emetrp:v:84:y:2016:i:4:p:1613-1633) - When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
Econometrica, Econometric Society (2021)
by Rui Da & Dacheng Xiu
(ReDIF-article, wly:emetrp:v:89:y:2021:i:6:p:2787-2825)