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 1 2 96
Business News and Business Cycles 0 2 13 62 2 11 54 242
Can Machines Learn Weak Signals? 0 0 36 36 1 3 42 42
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 0 4 5 150
Empirical Asset Pricing via Machine Learning 0 2 11 149 6 24 69 614
Empirical Asset Pricing via Machine Learning 1 6 11 187 4 17 30 493
Financial Machine Learning 0 1 6 68 2 7 23 134
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 21 1 1 6 49
Inference on Risk Premia in the Presence of Omitted Factors 0 0 0 58 1 2 8 142
Non-Standard Errors 0 0 2 44 2 6 34 446
Non-Standard Errors 0 0 1 27 2 4 30 154
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 1 8 0 1 3 29
Nonstandard Errors 0 0 3 3 3 3 23 23
Nonstandard errors 1 1 2 12 4 9 28 56
Predicting Returns With Text Data 2 6 15 164 3 19 66 496
Principal Component Analysis of High Frequency Data 0 0 1 122 0 0 8 177
Taming the Factor Zoo: A Test of New Factors 0 0 2 35 1 2 10 124
Taming the Factor Zoo: A Test of New Factors 0 0 0 105 1 4 15 444
Test Assets and Weak Factors 0 0 1 8 0 2 12 43
Test Assets and Weak Factors 0 0 3 18 0 1 5 44
The Statistical Limit of Arbitrage 1 1 6 6 1 2 18 18
The Structure of Economic News 0 0 3 100 4 4 28 384
Total Working Papers 5 19 118 1,360 38 127 519 4,429
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 3 19 2 4 10 67
A tale of two option markets: Pricing kernels and volatility risk 0 0 1 24 0 1 4 131
Asset Pricing with Omitted Factors 3 7 18 173 4 16 55 542
Autoencoder asset pricing models 9 24 73 513 19 55 178 1,183
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 5 17 56 344 26 100 297 1,675
Factor Models, Machine Learning, and Asset Pricing 3 5 20 103 7 16 66 276
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 6 0 2 4 52
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 1 1 0 2 3 10
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 0 1 5 135
High-frequency factor models and regressions 0 0 3 33 0 7 16 164
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 1 4 19 0 1 9 58
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 1 21 1 2 9 115
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data 0 0 2 11 1 3 10 67
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency 0 0 1 3 0 2 4 33
Nonstandard Errors 1 1 23 39 4 11 88 138
Principal Component Analysis of High-Frequency Data 0 0 1 14 0 1 10 53
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 0 19 0 1 5 104
Quasi-maximum likelihood estimation of volatility with high frequency data 0 0 1 48 1 3 9 214
Rejoinder 0 0 0 0 0 0 1 24
Resolution of policy uncertainty and sudden declines in volatility 0 0 2 28 2 2 7 103
Taming the Factor Zoo: A Test of New Factors 0 0 7 49 2 14 58 322
Test Assets and Weak Factors 0 2 7 7 3 8 32 32
Thousands of Alpha Tests 0 0 1 13 1 3 5 48
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 1 2 8 72 2 6 23 241
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility 0 0 1 8 1 1 8 40
Total Journal Articles 23 61 234 1,615 76 263 922 6,054

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

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Statistics updated 2025-10-06