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 2 11 107
Business News and Business Cycles 0 1 8 70 4 13 59 299
Can Machines Learn Weak Signals? 0 0 3 39 1 3 44 85
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 2 4 13 163
Empirical Asset Pricing via Machine Learning 1 1 15 201 13 49 161 650
Empirical Asset Pricing via Machine Learning 0 5 18 167 79 147 373 981
Financial Machine Learning 1 1 6 74 10 18 77 209
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 0 21 0 3 21 69
Inference on Risk Premia in the Presence of Omitted Factors 0 1 3 61 1 3 44 185
Non-Standard Errors 1 1 1 28 2 5 21 173
Non-Standard Errors 1 1 1 45 1 4 41 485
Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency 0 0 0 13 0 0 8 37
Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency 0 0 1 9 1 2 14 43
Nonstandard Errors 0 0 1 4 1 4 28 48
Nonstandard errors 1 1 2 13 2 5 32 84
Predicting Returns With Text Data 0 0 12 174 9 21 125 618
Principal Component Analysis of High Frequency Data 0 0 0 122 1 1 27 204
Taming the Factor Zoo: A Test of New Factors 0 0 0 105 1 8 55 498
Taming the Factor Zoo: A Test of New Factors 0 0 2 37 0 2 30 153
Test Assets and Weak Factors 0 1 2 20 3 9 25 69
Test Assets and Weak Factors 0 0 0 8 0 1 14 57
The Statistical Limit of Arbitrage 1 1 2 7 1 5 24 41
The Structure of Economic News 1 2 6 106 3 6 46 426
Total Working Papers 7 16 83 1,438 137 315 1,293 5,684
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 1 19 1 6 38 103
A tale of two option markets: Pricing kernels and volatility risk 0 0 1 25 0 1 9 140
Asset Pricing with Omitted Factors 0 3 16 186 2 16 76 614
Autoencoder asset pricing models 11 30 114 618 48 127 413 1,577
Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* 0 0 0 3 0 1 6 14
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading 0 0 0 9 0 1 26 162
Empirical Asset Pricing via Machine Learning 11 17 97 436 62 192 702 2,351
Factor Models, Machine Learning, and Asset Pricing 0 2 27 127 7 30 163 432
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 6 1 4 13 65
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 1 1 1 11 21
Hermite polynomial based expansion of European option prices 0 0 1 14 0 0 13 96
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 1 1 2 25 2 6 16 151
High-frequency factor models and regressions 0 1 6 39 3 7 36 200
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 0 1 20 8 11 28 86
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 0 21 0 0 15 129
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data 0 1 2 13 0 2 11 77
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency 0 0 2 5 2 2 11 44
Nonstandard Errors 0 2 8 46 6 15 57 191
Principal Component Analysis of High-Frequency Data 0 0 0 14 3 8 23 76
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 2 21 1 2 17 121
Quasi-maximum likelihood estimation of volatility with high frequency data 0 0 0 48 1 2 26 239
Rejoinder 0 0 0 0 0 1 5 29
Resolution of policy uncertainty and sudden declines in volatility 0 0 0 28 0 3 41 142
Taming the Factor Zoo: A Test of New Factors 1 1 6 55 10 38 111 431
Test Assets and Weak Factors 0 1 10 17 2 17 73 102
Thousands of Alpha Tests 0 0 1 14 3 5 22 69
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 0 4 75 3 5 31 270
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility 0 0 2 10 0 2 17 56
Total Journal Articles 24 59 303 1,895 166 505 2,010 7,988

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 2 19 82
Total Chapters 0 0 0 0 0 2 19 82

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Statistics updated 2026-09-10