Access Statistics for Dacheng Xiu

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Tale of Two Option Markets: Pricing Kernels and Volatility Risk 0 0 0 85 0 1 1 95
Business News and Business Cycles 3 3 13 59 8 17 66 223
Can Machines Learn Weak Signals? 0 31 31 31 1 28 28 28
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 0 1 1 146
Empirical Asset Pricing via Machine Learning 2 5 11 146 6 20 53 578
Empirical Asset Pricing via Machine Learning 0 2 5 179 3 6 19 471
Financial Machine Learning 0 1 12 66 0 2 46 123
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 20 0 1 3 45
Inference on Risk Premia in the Presence of Omitted Factors 0 0 2 58 0 2 6 138
Non-Standard Errors 2 2 3 44 5 12 52 438
Non-Standard Errors 0 0 4 27 0 6 76 145
Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency 0 0 0 13 0 0 0 29
Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency 0 0 0 7 0 0 1 27
Nonstandard Errors 0 0 2 2 5 5 19 19
Nonstandard errors 0 0 11 11 0 5 44 44
Predicting Returns With Text Data 1 3 10 157 3 13 76 469
Principal Component Analysis of High Frequency Data 0 0 0 121 1 2 10 176
Taming the Factor Zoo: A Test of New Factors 0 0 1 105 0 3 13 436
Taming the Factor Zoo: A Test of New Factors 0 2 2 35 1 3 10 120
Test Assets and Weak Factors 0 0 1 16 0 0 5 41
Test Assets and Weak Factors 0 0 1 8 2 2 7 37
The Statistical Limit of Arbitrage 0 0 4 4 0 0 13 13
The Structure of Economic News 0 1 3 100 1 9 30 375
Total Working Papers 8 50 117 1,323 36 138 579 4,216
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Hausman test for the presence of market microstructure noise in high frequency data 0 0 0 16 0 3 6 61
A tale of two option markets: Pricing kernels and volatility risk 0 0 1 24 1 1 3 129
Asset Pricing with Omitted Factors 1 1 17 163 8 12 55 515
Autoencoder asset pricing models 7 11 104 481 12 31 236 1,104
Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* 0 0 0 3 0 0 0 8
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading 0 0 0 9 0 0 2 135
Empirical Asset Pricing via Machine Learning 6 10 51 316 29 59 270 1,521
Factor Models, Machine Learning, and Asset Pricing 0 4 15 94 0 7 64 247
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 1 1 0 0 1 8
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 6 0 0 2 50
Hermite polynomial based expansion of European option prices 0 0 0 13 1 1 3 83
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 0 1 3 133
High-frequency factor models and regressions 1 1 2 32 3 4 13 156
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 1 2 17 0 2 6 54
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 2 21 1 3 7 112
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data 0 1 1 10 1 3 8 63
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency 0 0 1 3 0 0 2 31
Nonstandard Errors 5 7 36 36 8 20 118 118
Principal Component Analysis of High-Frequency Data 0 0 3 14 0 1 14 49
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 2 19 0 0 12 102
Quasi-maximum likelihood estimation of volatility with high frequency data 0 0 1 48 0 2 6 211
Rejoinder 0 0 0 0 0 1 2 24
Resolution of policy uncertainty and sudden declines in volatility 0 0 2 27 0 1 5 100
Taming the Factor Zoo: A Test of New Factors 1 3 9 47 5 17 48 299
Test Assets and Weak Factors 0 1 1 1 0 3 12 12
Thousands of Alpha Tests 0 0 3 12 0 1 10 44
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 2 4 68 0 4 23 232
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility 0 0 2 7 2 3 10 37
Total Journal Articles 21 42 260 1,511 71 180 941 5,638

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Thousands of Alpha Tests 0 0 0 0 0 0 2 61
Total Chapters 0 0 0 0 0 0 2 61

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Statistics updated 2025-05-12