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 2 94
Business News and Business Cycles 1 6 19 54 7 18 95 201
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 1 7 177 0 4 23 464
Empirical Asset Pricing via Machine Learning 0 2 7 139 4 13 40 553
Financial Machine Learning 0 3 13 64 1 15 59 118
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 20 0 0 2 43
Inference on Risk Premia in the Presence of Omitted Factors 0 0 2 58 1 2 4 136
Non-Standard Errors 0 0 3 26 1 4 68 127
Non-Standard Errors 0 1 1 42 5 12 50 420
Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency 0 0 0 13 0 0 1 29
Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency 0 0 0 7 0 1 2 27
Predicting Returns With Text Data 1 3 10 152 7 21 80 444
Principal Component Analysis of High Frequency Data 0 0 2 121 1 5 13 173
Taming the Factor Zoo: A Test of New Factors 0 0 1 33 2 3 10 116
Taming the Factor Zoo: A Test of New Factors 0 1 3 105 2 5 19 432
Test Assets and Weak Factors 0 0 0 15 0 1 6 40
Test Assets and Weak Factors 0 0 0 7 0 1 7 31
The Statistical Limit of Arbitrage 1 3 3 3 3 10 10 10
The Structure of Economic News 0 2 4 99 4 12 30 364
Total Working Papers 3 22 76 1,249 38 127 521 3,967
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 2 16 0 1 6 58
A tale of two option markets: Pricing kernels and volatility risk 0 0 0 23 0 0 3 127
Asset Pricing with Omitted Factors 2 6 27 158 4 14 71 496
Autoencoder asset pricing models 8 33 147 460 17 62 304 1,045
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 3 134
Empirical Asset Pricing via Machine Learning 5 16 48 300 24 73 268 1,424
Factor Models, Machine Learning, and Asset Pricing 1 5 16 88 7 28 65 228
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 6 0 0 1 48
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 0 0 0 1 7
Hermite polynomial based expansion of European option prices 0 0 1 13 0 1 3 81
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 0 0 2 130
High-frequency factor models and regressions 0 1 3 31 0 5 13 152
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 1 2 16 0 2 9 51
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 1 20 0 1 4 107
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data 0 0 0 9 1 4 4 59
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency 0 1 1 3 0 1 2 30
Principal Component Analysis of High-Frequency Data 0 1 4 14 1 4 16 46
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 2 19 0 2 12 100
Quasi-maximum likelihood estimation of volatility with high frequency data 0 0 0 47 1 2 2 207
Rejoinder 0 0 0 0 0 1 2 23
Resolution of policy uncertainty and sudden declines in volatility 1 1 4 27 1 3 8 99
Taming the Factor Zoo: A Test of New Factors 0 0 9 42 5 13 43 275
Thousands of Alpha Tests 0 2 5 12 0 4 13 43
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 1 1 1 65 3 8 17 223
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility 0 1 2 7 0 3 9 34
Total Journal Articles 18 69 275 1,411 64 233 881 5,235

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 1 6 61
Total Chapters 0 0 0 0 0 1 6 61

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Statistics updated 2024-12-04