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 1 95
Business News and Business Cycles 1 4 13 60 3 13 56 226
Can Machines Learn Weak Signals? 1 6 32 32 7 12 35 35
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices 0 0 0 29 0 1 1 146
Empirical Asset Pricing via Machine Learning 0 2 5 179 0 5 18 471
Empirical Asset Pricing via Machine Learning 0 3 9 146 7 20 55 585
Financial Machine Learning 0 0 12 66 1 2 44 124
Inference on Risk Premia in Continuous-Time Asset Pricing Models 1 1 2 21 3 4 6 48
Inference on Risk Premia in the Presence of Omitted Factors 0 0 2 58 0 1 6 138
Non-Standard Errors 0 0 3 27 2 4 30 147
Non-Standard Errors 0 2 3 44 0 6 46 438
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 1 27
Nonstandard Errors 1 1 3 3 1 6 20 20
Nonstandard errors 0 0 8 11 1 2 40 45
Predicting Returns With Text Data 1 4 11 158 5 15 71 474
Principal Component Analysis of High Frequency Data 0 0 0 121 0 2 9 176
Taming the Factor Zoo: A Test of New Factors 0 0 1 105 3 5 13 439
Taming the Factor Zoo: A Test of New Factors 0 2 2 35 0 3 9 120
Test Assets and Weak Factors 0 0 1 8 1 3 8 38
Test Assets and Weak Factors 0 0 1 16 0 0 3 41
The Statistical Limit of Arbitrage 1 1 5 5 1 1 14 14
The Structure of Economic News 0 0 3 100 2 6 30 377
Total Working Papers 6 26 116 1,329 37 112 516 4,253
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 0 1 5 61
A tale of two option markets: Pricing kernels and volatility risk 0 0 1 24 0 1 3 129
Asset Pricing with Omitted Factors 1 2 17 164 6 16 57 521
Autoencoder asset pricing models 4 14 100 485 14 34 221 1,118
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 0 2 135
Empirical Asset Pricing via Machine Learning 4 12 48 320 25 69 267 1,546
Factor Models, Machine Learning, and Asset Pricing 1 4 16 95 5 9 66 252
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 1 1 0 0 1 8
Generalized Method of Integrated Moments for High‐Frequency Data 0 0 0 6 0 0 2 50
Hermite polynomial based expansion of European option prices 0 0 0 13 0 1 3 83
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 1 1 4 134
High-frequency factor models and regressions 0 1 2 32 0 4 12 156
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 1 2 3 18 2 4 8 56
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 2 21 1 3 8 113
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data 0 0 1 10 0 2 8 63
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency 0 0 1 3 0 0 2 31
Nonstandard Errors 1 6 33 37 5 17 118 123
Principal Component Analysis of High-Frequency Data 0 0 3 14 2 3 14 51
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 2 19 1 1 12 103
Quasi-maximum likelihood estimation of volatility with high frequency data 0 0 1 48 0 0 6 211
Rejoinder 0 0 0 0 0 1 2 24
Resolution of policy uncertainty and sudden declines in volatility 0 0 2 27 0 0 5 100
Taming the Factor Zoo: A Test of New Factors 2 3 11 49 5 20 52 304
Test Assets and Weak Factors 0 0 1 1 4 5 16 16
Thousands of Alpha Tests 1 1 4 13 1 1 10 45
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 2 4 68 0 4 21 232
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility 1 1 3 8 2 4 10 39
Total Journal Articles 16 48 256 1,527 74 201 935 5,712

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 2 61
Total Chapters 0 0 0 0 0 0 2 61

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Statistics updated 2025-06-06