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 5 7 101
Business News and Business Cycles 0 2 8 64 4 18 55 261
Can Machines Learn Weak Signals? 1 2 38 38 7 18 62 62
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 4 6 11 156
Empirical Asset Pricing via Machine Learning 1 2 13 190 17 45 76 541
Empirical Asset Pricing via Machine Learning 3 5 15 156 42 76 147 705
Financial Machine Learning 0 0 3 68 11 22 39 160
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 21 5 8 15 59
Inference on Risk Premia in the Presence of Omitted Factors 0 1 1 59 11 33 39 175
Non-Standard Errors 0 0 2 44 8 20 40 466
Non-Standard Errors 0 0 0 27 2 8 24 163
Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency 0 0 0 13 3 7 7 36
Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency 0 0 2 9 4 8 11 38
Nonstandard Errors 0 1 2 4 5 11 24 38
Nonstandard errors 0 0 1 12 6 12 30 69
Predicting Returns With Text Data 1 3 15 169 13 22 69 525
Principal Component Analysis of High Frequency Data 0 0 1 122 8 12 18 192
Taming the Factor Zoo: A Test of New Factors 0 0 2 35 7 11 20 137
Taming the Factor Zoo: A Test of New Factors 0 0 0 105 13 18 34 467
Test Assets and Weak Factors 0 1 3 19 4 8 13 54
Test Assets and Weak Factors 0 0 0 8 5 10 18 53
The Statistical Limit of Arbitrage 0 0 2 6 4 7 15 28
The Structure of Economic News 1 2 3 102 6 15 33 399
Total Working Papers 7 19 112 1,385 191 400 807 4,885
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 6 17 29 87
A tale of two option markets: Pricing kernels and volatility risk 1 1 1 25 2 3 7 135
Asset Pricing with Omitted Factors 2 5 20 182 10 20 65 568
Autoencoder asset pricing models 7 18 73 543 27 73 220 1,293
Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* 0 0 0 3 0 2 4 12
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading 0 0 0 9 2 13 16 151
Empirical Asset Pricing via Machine Learning 6 27 74 380 42 158 409 1,871
Factor Models, Machine Learning, and Asset Pricing 1 3 17 107 15 45 88 328
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 6 2 7 9 59
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 1 2 3 7 15
Hermite polynomial based expansion of European option prices 1 1 1 14 5 7 10 92
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 2 6 9 141
High-frequency factor models and regressions 1 1 5 36 8 13 31 183
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 1 1 4 20 5 7 15 67
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 0 21 2 8 16 125
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data 0 1 3 12 1 3 12 72
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency 1 1 1 4 3 6 8 39
Nonstandard Errors 0 1 13 42 5 13 63 161
Principal Component Analysis of High-Frequency Data 0 0 0 14 3 7 14 62
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 0 19 1 4 8 110
Quasi-maximum likelihood estimation of volatility with high frequency data 0 0 0 48 6 8 15 224
Rejoinder 0 0 0 0 3 3 4 27
Resolution of policy uncertainty and sudden declines in volatility 0 0 1 28 13 22 28 127
Taming the Factor Zoo: A Test of New Factors 0 2 8 52 9 20 69 351
Test Assets and Weak Factors 1 2 9 9 12 22 45 54
Thousands of Alpha Tests 0 0 1 13 3 8 16 59
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 1 2 9 75 3 15 30 258
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility 0 0 2 9 4 5 14 48
Total Journal Articles 23 66 245 1,714 196 518 1,261 6,719

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 4 9 70
Total Chapters 0 0 0 0 0 4 9 70

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Statistics updated 2026-02-12