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