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 1 95
Business News and Business Cycles 0 1 12 60 4 12 54 235
Can Machines Learn Weak Signals? 0 5 36 36 0 11 39 39
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 1 1 2 147
Empirical Asset Pricing via Machine Learning 2 3 12 149 7 19 57 597
Empirical Asset Pricing via Machine Learning 3 5 9 184 4 9 21 480
Financial Machine Learning 1 2 8 68 4 8 35 131
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 1 1 21 0 3 5 48
Inference on Risk Premia in the Presence of Omitted Factors 0 0 1 58 0 2 7 140
Non-Standard Errors 0 0 3 44 0 2 37 440
Non-Standard Errors 0 0 1 27 1 6 29 151
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 1 1 8 0 1 2 28
Nonstandard Errors 0 1 3 3 0 1 20 20
Nonstandard errors 0 0 5 11 4 7 33 51
Predicting Returns With Text Data 3 4 13 161 14 22 73 491
Principal Component Analysis of High Frequency Data 0 1 1 122 0 1 9 177
Taming the Factor Zoo: A Test of New Factors 0 0 1 105 1 5 15 441
Taming the Factor Zoo: A Test of New Factors 0 0 2 35 1 3 10 123
Test Assets and Weak Factors 0 2 3 18 0 2 5 43
Test Assets and Weak Factors 0 0 1 8 1 5 12 42
The Statistical Limit of Arbitrage 0 1 5 5 1 4 17 17
The Structure of Economic News 0 0 3 100 0 5 29 380
Total Working Papers 9 27 121 1,350 43 129 512 4,345
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 1 17 0 2 6 63
A tale of two option markets: Pricing kernels and volatility risk 0 0 1 24 1 2 4 131
Asset Pricing with Omitted Factors 4 7 19 170 7 18 57 533
Autoencoder asset pricing models 7 15 88 496 20 44 200 1,148
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 1 1 3 136
Empirical Asset Pricing via Machine Learning 9 20 53 336 43 97 288 1,618
Factor Models, Machine Learning, and Asset Pricing 1 5 19 99 4 17 71 264
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 1 1 2 2 3 10
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 6 2 2 4 52
Hermite polynomial based expansion of European option prices 0 0 0 13 0 0 3 83
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 0 1 4 134
High-frequency factor models and regressions 0 1 3 33 3 4 13 160
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 1 3 18 0 3 9 57
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 1 21 1 2 8 114
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data 0 1 2 11 2 3 11 66
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency 0 0 1 3 1 1 3 32
Nonstandard Errors 0 2 26 38 5 14 102 132
Principal Component Analysis of High-Frequency Data 0 0 1 14 0 3 10 52
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 2 19 1 2 8 104
Quasi-maximum likelihood estimation of volatility with high frequency data 0 0 1 48 1 1 7 212
Rejoinder 0 0 0 0 0 0 2 24
Resolution of policy uncertainty and sudden declines in volatility 0 1 3 28 0 1 6 101
Taming the Factor Zoo: A Test of New Factors 0 2 9 49 6 15 56 314
Test Assets and Weak Factors 1 5 6 6 4 16 28 28
Thousands of Alpha Tests 0 1 4 13 0 1 8 45
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 1 3 7 71 2 5 23 237
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility 0 1 3 8 0 2 10 39
Total Journal Articles 23 66 254 1,577 106 259 947 5,897

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 1 1 3 62
Total Chapters 0 0 0 0 1 1 3 62

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Statistics updated 2025-08-05