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 0 0 94
Business News and Business Cycles 0 2 18 56 7 12 81 213
Can Machines Learn Weak Signals? 26 26 26 26 23 23 23 23
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 0 0 0 145
Empirical Asset Pricing via Machine Learning 0 0 6 177 1 2 18 466
Empirical Asset Pricing via Machine Learning 2 4 9 143 7 12 46 565
Financial Machine Learning 1 2 13 66 1 4 48 122
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 20 0 1 2 44
Inference on Risk Premia in the Presence of Omitted Factors 0 0 2 58 1 1 5 137
Non-Standard Errors 0 1 4 27 4 16 81 143
Non-Standard Errors 0 0 1 42 6 12 56 432
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 0 0 7 0 0 2 27
Nonstandard Errors 0 2 2 2 0 11 14 14
Nonstandard errors 0 1 11 11 4 11 43 43
Predicting Returns With Text Data 0 2 11 154 3 15 83 459
Principal Component Analysis of High Frequency Data 0 0 0 121 0 1 10 174
Taming the Factor Zoo: A Test of New Factors 0 0 2 105 1 2 15 434
Taming the Factor Zoo: A Test of New Factors 0 0 1 33 0 1 11 117
Test Assets and Weak Factors 0 1 1 8 0 4 5 35
Test Assets and Weak Factors 0 1 1 16 0 1 5 41
The Statistical Limit of Arbitrage 0 1 4 4 0 3 13 13
The Structure of Economic News 1 1 4 100 5 7 33 371
Total Working Papers 30 44 117 1,303 63 139 594 4,141
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 0 16 2 2 5 60
A tale of two option markets: Pricing kernels and volatility risk 0 1 1 24 0 1 3 128
Asset Pricing with Omitted Factors 0 4 24 162 2 9 60 505
Autoencoder asset pricing models 1 11 126 471 11 39 279 1,084
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 3 135
Empirical Asset Pricing via Machine Learning 2 8 47 308 15 53 261 1,477
Factor Models, Machine Learning, and Asset Pricing 1 3 15 91 3 15 70 243
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 6 0 2 2 50
Generalized Method of Integrated Moments for High‐Frequency Data 0 1 1 1 0 1 1 8
Hermite polynomial based expansion of European option prices 0 0 0 13 0 1 2 82
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 1 3 3 133
High-frequency factor models and regressions 0 0 1 31 0 0 9 152
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 0 2 16 0 1 6 52
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 1 2 21 1 3 7 110
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data 1 1 1 10 1 2 6 61
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency 0 0 1 3 0 1 2 31
Nonstandard Errors 2 7 31 31 8 24 106 106
Principal Component Analysis of High-Frequency Data 0 0 3 14 0 2 14 48
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 2 19 0 2 12 102
Quasi-maximum likelihood estimation of volatility with high frequency data 0 1 1 48 2 4 6 211
Rejoinder 0 0 0 0 0 0 1 23
Resolution of policy uncertainty and sudden declines in volatility 0 0 2 27 1 1 6 100
Taming the Factor Zoo: A Test of New Factors 2 4 10 46 2 9 41 284
Test Assets and Weak Factors 1 1 1 1 2 11 11 11
Thousands of Alpha Tests 0 0 4 12 1 1 12 44
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 1 2 66 0 5 22 228
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility 0 0 2 7 1 1 8 35
Total Journal Articles 10 44 279 1,479 53 194 958 5,511

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 0 3 61
Total Chapters 0 0 0 0 0 0 3 61

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Statistics updated 2025-03-03