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 3 10 105
Business News and Business Cycles 1 2 10 70 7 20 62 293
Can Machines Learn Weak Signals? 0 1 3 39 1 8 44 83
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 2 4 15 161
Empirical Asset Pricing via Machine Learning 2 6 17 164 46 126 290 880
Empirical Asset Pricing via Machine Learning 0 3 19 200 11 38 136 612
Financial Machine Learning 0 2 6 73 3 23 67 194
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 0 21 1 5 19 67
Inference on Risk Premia in the Presence of Omitted Factors 1 2 3 61 2 7 44 184
Non-Standard Errors 0 0 0 44 2 12 43 483
Non-Standard Errors 0 0 0 27 3 5 21 171
Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency 0 0 0 13 0 1 8 37
Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency 0 0 1 9 1 1 14 42
Nonstandard Errors 0 0 1 4 1 4 25 45
Nonstandard errors 0 0 1 12 2 5 34 81
Predicting Returns With Text Data 0 4 16 174 6 36 126 603
Principal Component Analysis of High Frequency Data 0 0 0 122 0 3 26 203
Taming the Factor Zoo: A Test of New Factors 0 0 0 105 2 11 52 492
Taming the Factor Zoo: A Test of New Factors 0 1 2 37 2 7 31 153
Test Assets and Weak Factors 1 1 2 20 4 7 21 64
Test Assets and Weak Factors 0 0 0 8 1 3 16 57
The Statistical Limit of Arbitrage 0 0 1 6 4 7 24 40
The Structure of Economic News 1 2 5 105 2 9 42 422
Total Working Papers 6 24 87 1,428 103 345 1,170 5,472
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 2 19 0 5 34 97
A tale of two option markets: Pricing kernels and volatility risk 0 0 1 25 0 1 9 139
Asset Pricing with Omitted Factors 0 0 17 183 7 20 79 605
Autoencoder asset pricing models 13 31 112 601 50 123 372 1,500
Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* 0 0 0 3 0 1 5 13
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading 0 0 0 9 1 6 27 162
Empirical Asset Pricing via Machine Learning 3 19 95 422 89 258 673 2,248
Factor Models, Machine Learning, and Asset Pricing 2 10 29 127 17 48 159 419
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 6 2 4 13 63
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 1 0 2 12 20
Hermite polynomial based expansion of European option prices 0 0 1 14 0 2 13 96
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 1 1 24 2 5 13 147
High-frequency factor models and regressions 1 3 6 39 3 12 39 196
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 0 2 20 1 5 19 76
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 0 21 0 3 16 129
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data 1 1 2 13 1 4 12 76
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency 0 0 2 5 0 2 11 42
Nonstandard Errors 1 1 7 45 4 8 53 180
Principal Component Analysis of High-Frequency Data 0 0 0 14 2 5 18 70
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 1 2 21 0 6 16 119
Quasi-maximum likelihood estimation of volatility with high frequency data 0 0 0 48 1 7 27 238
Rejoinder 0 0 0 0 0 1 4 28
Resolution of policy uncertainty and sudden declines in volatility 0 0 0 28 2 6 40 141
Taming the Factor Zoo: A Test of New Factors 0 2 5 54 14 38 99 407
Test Assets and Weak Factors 1 2 12 17 9 23 70 94
Thousands of Alpha Tests 0 0 1 14 0 2 19 64
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 0 5 75 0 6 30 265
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility 0 0 2 10 2 4 17 56
Total Journal Articles 22 71 304 1,858 207 607 1,899 7,690

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 9 20 81
Total Chapters 0 0 0 0 1 9 20 81

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Statistics updated 2026-07-10