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 5 7 101
Business News and Business Cycles 1 2 9 65 5 17 53 266
Can Machines Learn Weak Signals? 0 2 12 38 2 16 41 64
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 1 6 12 157
Empirical Asset Pricing via Machine Learning 5 7 18 195 13 50 88 554
Empirical Asset Pricing via Machine Learning 1 5 14 157 23 89 163 728
Financial Machine Learning 1 1 3 69 2 22 40 162
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 21 1 8 16 60
Inference on Risk Premia in the Presence of Omitted Factors 0 0 1 59 2 33 40 177
Non-Standard Errors 0 0 0 27 0 6 20 163
Non-Standard Errors 0 0 2 44 4 18 38 470
Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency 0 0 0 13 0 4 7 36
Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency 0 0 2 9 2 10 13 40
Nonstandard Errors 0 1 2 4 1 10 25 39
Nonstandard errors 0 0 1 12 2 11 28 71
Predicting Returns With Text Data 0 2 15 169 7 27 73 532
Principal Component Analysis of High Frequency Data 0 0 1 122 5 14 23 197
Taming the Factor Zoo: A Test of New Factors 0 0 2 35 5 13 25 142
Taming the Factor Zoo: A Test of New Factors 0 0 0 105 8 24 41 475
Test Assets and Weak Factors 0 0 0 8 1 9 19 54
Test Assets and Weak Factors 0 0 3 19 0 6 13 54
The Statistical Limit of Arbitrage 0 0 2 6 2 9 17 30
The Structure of Economic News 0 1 2 102 8 18 36 407
Total Working Papers 8 21 90 1,393 94 425 838 4,979
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 3 17 30 90
A tale of two option markets: Pricing kernels and volatility risk 0 1 1 25 1 3 8 136
Asset Pricing with Omitted Factors 0 2 20 182 5 19 68 573
Autoencoder asset pricing models 14 28 86 557 31 92 240 1,324
Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* 0 0 0 3 0 1 4 12
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading 0 0 0 9 1 6 17 152
Empirical Asset Pricing via Machine Learning 7 25 79 387 42 156 436 1,913
Factor Models, Machine Learning, and Asset Pricing 3 5 19 110 16 57 101 344
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 6 0 5 9 59
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 1 1 4 8 16
Hermite polynomial based expansion of European option prices 0 1 1 14 0 6 10 92
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 1 6 9 142
High-frequency factor models and regressions 0 1 5 36 1 11 32 184
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 1 4 20 2 8 17 69
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 0 21 1 5 16 126
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data 0 1 2 12 0 3 11 72
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency 1 2 2 5 1 4 9 40
Nonstandard Errors 0 1 11 42 6 16 61 167
Principal Component Analysis of High-Frequency Data 0 0 0 14 0 7 14 62
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 1 1 1 20 2 4 10 112
Quasi-maximum likelihood estimation of volatility with high frequency data 0 0 0 48 3 9 16 227
Rejoinder 0 0 0 0 0 3 4 27
Resolution of policy uncertainty and sudden declines in volatility 0 0 1 28 5 23 32 132
Taming the Factor Zoo: A Test of New Factors 0 0 6 52 4 20 71 355
Test Assets and Weak Factors 5 6 13 14 12 29 55 66
Thousands of Alpha Tests 1 1 2 14 2 8 17 61
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 1 9 75 1 12 31 259
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility 0 0 2 9 2 7 15 50
Total Journal Articles 32 77 267 1,746 143 541 1,351 6,862

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 2026-03-04