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 2 3 9 104
Business News and Business Cycles 0 4 9 68 8 20 58 281
Can Machines Learn Weak Signals? 0 0 7 38 3 16 50 78
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 1 2 12 158
Empirical Asset Pricing via Machine Learning 2 9 20 199 16 49 119 590
Empirical Asset Pricing via Machine Learning 1 3 13 159 51 100 227 805
Financial Machine Learning 1 4 6 72 14 25 62 185
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 21 3 6 20 65
Inference on Risk Premia in the Presence of Omitted Factors 1 1 2 60 3 5 42 180
Non-Standard Errors 0 0 0 27 2 5 23 168
Non-Standard Errors 0 0 0 44 5 10 38 476
Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency 0 0 0 13 1 1 8 37
Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency 0 0 2 9 0 3 14 41
Nonstandard Errors 0 0 2 4 2 5 24 43
Nonstandard errors 0 0 1 12 3 10 35 79
Predicting Returns With Text Data 2 3 15 172 13 55 111 580
Principal Component Analysis of High Frequency Data 0 0 1 122 3 11 27 203
Taming the Factor Zoo: A Test of New Factors 0 0 0 105 7 21 52 488
Taming the Factor Zoo: A Test of New Factors 0 1 1 36 4 13 30 150
Test Assets and Weak Factors 0 0 0 8 2 3 19 56
Test Assets and Weak Factors 0 0 3 19 3 6 19 60
The Statistical Limit of Arbitrage 0 0 2 6 3 8 23 36
The Structure of Economic News 1 2 4 104 4 18 42 417
Total Working Papers 8 27 89 1,412 153 395 1,064 5,280
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 3 19 4 9 35 96
A tale of two option markets: Pricing kernels and volatility risk 0 0 1 25 1 4 10 139
Asset Pricing with Omitted Factors 0 1 20 183 8 25 78 593
Autoencoder asset pricing models 11 38 100 581 44 128 317 1,421
Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* 0 0 0 3 1 1 5 13
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading 0 0 0 9 4 9 25 160
Empirical Asset Pricing via Machine Learning 8 31 95 411 76 195 545 2,066
Factor Models, Machine Learning, and Asset Pricing 5 15 28 122 19 62 143 390
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 1 2 5 12 20
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 6 1 1 10 60
Hermite polynomial based expansion of European option prices 0 0 1 14 2 4 13 96
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 0 1 9 142
High-frequency factor models and regressions 1 1 5 37 2 3 30 186
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 0 3 20 4 8 21 75
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 0 21 2 3 16 128
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data 0 0 2 12 2 2 11 74
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency 0 1 2 5 2 3 11 42
Nonstandard Errors 0 2 8 44 4 15 58 176
Principal Component Analysis of High-Frequency Data 0 0 0 14 2 5 18 67
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 1 1 20 4 7 15 117
Quasi-maximum likelihood estimation of volatility with high frequency data 0 0 0 48 5 12 25 236
Rejoinder 0 0 0 0 1 1 4 28
Resolution of policy uncertainty and sudden declines in volatility 0 0 1 28 3 11 38 138
Taming the Factor Zoo: A Test of New Factors 2 2 7 54 13 31 83 382
Test Assets and Weak Factors 1 7 15 16 10 27 69 81
Thousands of Alpha Tests 0 1 2 14 1 4 19 63
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 0 7 75 3 4 30 262
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility 0 1 3 10 2 6 17 54
Total Journal Articles 28 101 304 1,815 222 586 1,667 7,305

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 4 6 15 76
Total Chapters 0 0 0 0 4 6 15 76

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Statistics updated 2026-05-06