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 1 1 2 96
Business News and Business Cycles 2 2 14 62 5 14 57 240
Can Machines Learn Weak Signals? 0 4 36 36 2 6 41 41
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 3 4 5 150
Empirical Asset Pricing via Machine Learning 0 3 12 149 11 23 68 608
Empirical Asset Pricing via Machine Learning 2 7 10 186 9 18 29 489
Financial Machine Learning 0 2 7 68 1 8 29 132
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 21 0 0 5 48
Inference on Risk Premia in the Presence of Omitted Factors 0 0 0 58 1 3 7 141
Non-Standard Errors 0 0 3 44 4 6 36 444
Non-Standard Errors 0 0 1 27 1 5 29 152
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 1 2 3 29
Nonstandard Errors 0 0 3 3 0 0 20 20
Nonstandard errors 0 0 3 11 1 7 31 52
Predicting Returns With Text Data 1 4 13 162 2 19 70 493
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 2 35 0 3 10 123
Taming the Factor Zoo: A Test of New Factors 0 0 1 105 2 4 16 443
Test Assets and Weak Factors 0 2 3 18 1 3 5 44
Test Assets and Weak Factors 0 0 1 8 1 5 13 43
The Statistical Limit of Arbitrage 0 0 5 5 0 3 17 17
The Structure of Economic News 0 0 3 100 0 3 28 380
Total Working Papers 5 26 120 1,355 46 138 530 4,391
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 1 2 2 18 2 4 8 65
A tale of two option markets: Pricing kernels and volatility risk 0 0 1 24 0 2 4 131
Asset Pricing with Omitted Factors 0 6 18 170 5 17 56 538
Autoencoder asset pricing models 8 19 77 504 16 46 181 1,164
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 0 1 3 136
Empirical Asset Pricing via Machine Learning 3 19 55 339 31 103 298 1,649
Factor Models, Machine Learning, and Asset Pricing 1 5 17 100 5 17 69 269
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 1 1 0 2 3 10
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 6 0 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 1 1 5 135
High-frequency factor models and regressions 0 1 3 33 4 8 17 164
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 1 1 4 19 1 2 9 58
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 1 21 0 1 8 114
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data 0 1 2 11 0 3 11 66
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency 0 0 1 3 1 2 4 33
Nonstandard Errors 0 1 22 38 2 11 94 134
Principal Component Analysis of High-Frequency Data 0 0 1 14 1 2 11 53
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 0 19 0 1 6 104
Quasi-maximum likelihood estimation of volatility with high frequency data 0 0 1 48 1 2 8 213
Rejoinder 0 0 0 0 0 0 2 24
Resolution of policy uncertainty and sudden declines in volatility 0 1 2 28 0 1 5 101
Taming the Factor Zoo: A Test of New Factors 0 0 7 49 6 16 58 320
Test Assets and Weak Factors 1 6 7 7 1 13 29 29
Thousands of Alpha Tests 0 0 3 13 2 2 8 47
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 3 7 71 2 7 24 239
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility 0 0 2 8 0 0 8 39
Total Journal Articles 15 65 234 1,592 81 266 936 5,978

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 2 3 63
Total Chapters 0 0 0 0 1 2 3 63

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Statistics updated 2025-09-05