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 0 2 96
Business News and Business Cycles 1 1 9 63 6 9 48 249
Can Machines Learn Weak Signals? 0 0 36 36 4 7 48 48
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 1 1 6 151
Empirical Asset Pricing via Machine Learning 1 3 13 152 10 31 86 639
Empirical Asset Pricing via Machine Learning 0 2 11 188 8 15 40 504
Financial Machine Learning 0 0 4 68 2 8 22 140
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 21 1 4 9 52
Inference on Risk Premia in the Presence of Omitted Factors 1 1 1 59 2 3 8 144
Non-Standard Errors 0 0 1 27 2 5 30 157
Non-Standard Errors 0 0 2 44 6 8 32 452
Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency 0 0 0 13 3 3 3 32
Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency 0 1 2 9 0 1 3 30
Nonstandard Errors 0 0 3 3 2 9 26 29
Nonstandard errors 0 1 2 12 3 8 28 60
Predicting Returns With Text Data 1 5 15 167 2 12 61 505
Principal Component Analysis of High Frequency Data 0 0 1 122 3 6 10 183
Taming the Factor Zoo: A Test of New Factors 0 0 0 105 2 8 19 451
Taming the Factor Zoo: A Test of New Factors 0 0 2 35 3 6 13 129
Test Assets and Weak Factors 1 1 4 19 2 4 8 48
Test Assets and Weak Factors 0 0 1 8 2 2 14 45
The Statistical Limit of Arbitrage 0 1 3 6 0 4 11 21
The Structure of Economic News 1 1 2 101 5 9 25 389
Total Working Papers 6 17 113 1,372 69 163 552 4,554
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 1 3 19 3 8 15 73
A tale of two option markets: Pricing kernels and volatility risk 0 0 1 24 1 2 6 133
Asset Pricing with Omitted Factors 3 10 22 180 6 16 58 554
Autoencoder asset pricing models 4 25 69 529 12 68 187 1,232
Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* 0 0 0 3 1 3 3 11
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading 0 0 0 9 8 10 12 146
Empirical Asset Pricing via Machine Learning 9 23 62 362 44 108 333 1,757
Factor Models, Machine Learning, and Asset Pricing 1 5 17 105 4 18 59 287
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 6 2 2 6 54
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 1 1 0 2 5 12
Hermite polynomial based expansion of European option prices 0 0 0 13 1 3 5 86
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 1 1 6 136
High-frequency factor models and regressions 0 2 4 35 3 9 21 173
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 0 3 19 1 3 10 61
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 1 21 4 7 14 121
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data 0 0 2 11 0 3 10 69
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency 0 0 0 3 3 3 6 36
Nonstandard Errors 0 3 17 41 3 17 69 151
Principal Component Analysis of High-Frequency Data 0 0 0 14 0 2 9 55
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 0 19 2 4 8 108
Quasi-maximum likelihood estimation of volatility with high frequency data 0 0 1 48 2 5 11 218
Rejoinder 0 0 0 0 0 0 1 24
Resolution of policy uncertainty and sudden declines in volatility 0 0 1 28 4 8 10 109
Taming the Factor Zoo: A Test of New Factors 2 3 10 52 4 15 60 335
Test Assets and Weak Factors 1 1 8 8 5 8 37 37
Thousands of Alpha Tests 0 0 1 13 2 6 10 53
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 1 3 9 74 4 8 24 247
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility 0 1 2 9 0 4 9 43
Total Journal Articles 21 77 234 1,669 120 343 1,004 6,321

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 3 5 66
Total Chapters 0 0 0 0 0 3 5 66

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Statistics updated 2025-12-06