17
H index
23
i10 index
1359
Citations
University of Chicago | 17 H index 23 i10 index 1359 Citations RESEARCH PRODUCTION: 26 Articles 17 Papers 1 Chapters RESEARCH ACTIVITY: 12 years (2010 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pxi68 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Dacheng Xiu. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 11 |
Econometrica | 3 |
Journal of Business & Economic Statistics | 3 |
Review of Financial Studies | 2 |
Journal of the American Statistical Association | 2 |
Working Papers Series with more than one paper published | # docs |
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NBER Working Papers / National Bureau of Economic Research, Inc | 9 |
Year | Title of citing document | |
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2023 | Sustainable Investing and the Cross-Section of Maximum Drawdown. (2019). Mouti, Saad ; Goldberg, Lisa R. In: Papers. RePEc:arx:papers:1905.05237. Full description at Econpapers || Download paper | |
2023 | Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637. Full description at Econpapers || Download paper | |
2023 | Denise: Deep Learning based Robust PCA for Positive Semidefinite Matrices. (2020). Teichmann, Josef ; Krach, Florian ; Herrera, Calypso . In: Papers. RePEc:arx:papers:2004.13612. Full description at Econpapers || Download paper | |
2023 | Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435. Full description at Econpapers || Download paper | |
2023 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper | |
2023 | Trade When Opportunity Comes: Price Movement Forecasting via Locality-Aware Attention and Adaptive Refined Labeling. (2021). Wang, Ling ; Zhu, Dewei ; Dai, Zhonghao ; Zhang, Ruchen ; Li, Jian ; Niu, Hui ; Zeng, Liang. In: Papers. RePEc:arx:papers:2107.11972. Full description at Econpapers || Download paper | |
2023 | Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480. Full description at Econpapers || Download paper | |
2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper | |
2023 | Expert Aggregation for Financial Forecasting. (2021). Mikael, Joseph ; Cl, Alasseur ; Marie, Briere ; Remlinger, Carl. In: Papers. RePEc:arx:papers:2111.15365. Full description at Econpapers || Download paper | |
2023 | Price Impact of Order Flow Imbalance: Multi-level, Cross-sectional and Forecasting. (2021). Zhang, Chao ; Cucuringu, Mihai ; Cont, Rama. In: Papers. RePEc:arx:papers:2112.13213. Full description at Econpapers || Download paper | |
2023 | Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893. Full description at Econpapers || Download paper | |
2023 | Media Slant is Contagious. (2022). Widmer, Philine ; Ash, Elliott ; Galletta, Sergio. In: Papers. RePEc:arx:papers:2202.07269. Full description at Econpapers || Download paper | |
2023 | Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962. Full description at Econpapers || Download paper | |
2023 | Does non-linear factorization of financial returns help build better and stabler portfolios?. (2022). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2204.02757. Full description at Econpapers || Download paper | |
2023 | Do t-Statistic Hurdles Need to be Raised. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275. Full description at Econpapers || Download paper | |
2023 | Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052. Full description at Econpapers || Download paper | |
2023 | Missing Values and the Dimensionality of Expected Returns. (2022). McCoy, Jack ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2207.13071. Full description at Econpapers || Download paper | |
2023 | Bootstrap inference in the presence of bias. (2022). Cavaliere, Giuseppe ; Nielsen, Morten Orregaard ; Gonccalves, S'Ilvia. In: Papers. RePEc:arx:papers:2208.02028. Full description at Econpapers || Download paper | |
2023 | Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693. Full description at Econpapers || Download paper | |
2023 | Transfer Ranking in Finance: Applications to Cross-Sectional Momentum with Data Scarcity. (2022). Zohren, Stefan ; Roberts, Stephen ; Poh, Daniel. In: Papers. RePEc:arx:papers:2208.09968. Full description at Econpapers || Download paper | |
2023 | Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974. Full description at Econpapers || Download paper | |
2023 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2023 | Non-parametric estimates of option prices via Hermite basis functions. (2022). D'Addona, Stefano ; Marinelli, Carlo. In: Papers. RePEc:arx:papers:2209.09656. Full description at Econpapers || Download paper | |
2023 | Statistical inference for rough volatility: Central limit theorems. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216. Full description at Econpapers || Download paper | |
2023 | Inference on Time Series Nonparametric Conditional Moment Restrictions Using General Sieves. (2023). Wang, Weichen ; Liao, Yuan ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:2301.00092. Full description at Econpapers || Download paper | |
2023 | Long-Term Modeling of Financial Machine Learning for Active Portfolio Management. (2023). Suzuki, Tomoya ; Amagai, Kazuki. In: Papers. RePEc:arx:papers:2301.12346. Full description at Econpapers || Download paper | |
2023 | View fusion vis-\`a-vis a Bayesian interpretation of Black-Litterman for portfolio allocation. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2301.13594. Full description at Econpapers || Download paper | |
2023 | Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382. Full description at Econpapers || Download paper | |
2023 | Form 10-K Itemization. (2023). Dai, Rui ; Ye, Jinlin ; Lan, Yupeng ; Lu, Yutong ; Mao, Haitao ; Li, Mingyang ; Xia, Mengjia ; Zhang, Yanci. In: Papers. RePEc:arx:papers:2303.04688. Full description at Econpapers || Download paper | |
2023 | Stock Price Prediction Using Temporal Graph Model with Value Chain Data. (2023). Paterlini, Sandra ; Liu, Chang. In: Papers. RePEc:arx:papers:2303.09406. Full description at Econpapers || Download paper | |
2023 | Style Miner: Find Significant and Stable Explanatory Factors in Time Series with Constrained Reinforcement Learning. (2023). Fan, Guoliang ; Tu, Dandan ; Xu, Zhiwei ; He, Jia ; Pan, Feiyang ; Li, Dapeng. In: Papers. RePEc:arx:papers:2303.11716. Full description at Econpapers || Download paper | |
2023 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper | |
2023 | A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751. Full description at Econpapers || Download paper | |
2023 | Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications. (2023). Shi, Shuping ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2303.13406. Full description at Econpapers || Download paper | |
2023 | The Elasticity of Quantitative Investment. (2023). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533. Full description at Econpapers || Download paper | |
2023 | Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151. Full description at Econpapers || Download paper | |
2023 | Quantum Deep Hedging. (2023). Chen, Richard ; Chakrabarti, Shouvanik ; Dee, Jon ; Wood, Ben ; Pistoia, Marco ; Shekhar, Abhishek ; Yalovetzky, Romina ; Kerenidis, Iordanis ; Sun, Yue ; Raj, Snehal ; Shaydulin, Ruslan ; Cherrat, El Amine ; Minssen, Pierre ; Hu, Shaohan ; Herman, Dylan. In: Papers. RePEc:arx:papers:2303.16585. Full description at Econpapers || Download paper | |
2023 | Machine Learning for Economics Research: When What and How?. (2023). Desai, Ajit. In: Papers. RePEc:arx:papers:2304.00086. Full description at Econpapers || Download paper | |
2023 | Towards systematic intraday news screening: a liquidity-focused approach. (2023). Rosenbaum, Mathieu ; Zhang, Jianfei. In: Papers. RePEc:arx:papers:2304.05115. Full description at Econpapers || Download paper | |
2023 | Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models. (2023). Tang, Yuehua ; Lopez-Lira, Alejandro. In: Papers. RePEc:arx:papers:2304.07619. Full description at Econpapers || Download paper | |
2023 | Stock Price Predictability and the Business Cycle via Machine Learning. (2023). Fan, Xiuyi ; Fu, Hsuan ; Wang, Lirong. In: Papers. RePEc:arx:papers:2304.09937. Full description at Econpapers || Download paper | |
2023 | Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy. (2023). Polak, Pawel ; Miao, Jiaju. In: Papers. RePEc:arx:papers:2304.09947. Full description at Econpapers || Download paper | |
2023 | Asymptotic Expansions for High-Frequency Option Data. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450. Full description at Econpapers || Download paper | |
2023 | The cross-sectional stock return predictions via quantum neural network and tensor network. (2023). Mitarai, Kosuke ; Miyamoto, Koichi ; Suimon, Yoshiyuki ; Kobayashi, Nozomu. In: Papers. RePEc:arx:papers:2304.12501. Full description at Econpapers || Download paper | |
2023 | Large Global Volatility Matrix Analysis Based on Structural Information. (2023). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464. Full description at Econpapers || Download paper | |
2023 | Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137. Full description at Econpapers || Download paper | |
2023 | Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2023). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934. Full description at Econpapers || Download paper | |
2023 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper | |
2023 | Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991. Full description at Econpapers || Download paper | |
2023 | Deep Neural Network Estimation in Panel Data Models. (2023). Raftapostolos, Aristeidis ; Mitchell, James ; Kapetanios, George ; Chrysikou, Katerina ; Chronopoulos, Ilias. In: Papers. RePEc:arx:papers:2305.19921. Full description at Econpapers || Download paper | |
2023 | HireVAE: An Online and Adaptive Factor Model Based on Hierarchical and Regime-Switch VAE. (2023). Lin, Dahua ; Dai, BO ; Rao, Anyi ; Wei, Zikai. In: Papers. RePEc:arx:papers:2306.02848. Full description at Econpapers || Download paper | |
2023 | Permutation invariant Gaussian matrix models for financial correlation matrices. (2023). Stephanou, Michael ; Ramgoolam, Sanjaye ; Barnes, George. In: Papers. RePEc:arx:papers:2306.04569. Full description at Econpapers || Download paper | |
2023 | Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568. Full description at Econpapers || Download paper | |
2023 | A Localized Neural Network with Dependent Data: Estimation and Inference. (2023). GAO, Jiti ; Yang, Yanrong ; Peng, Bin. In: Papers. RePEc:arx:papers:2306.05593. Full description at Econpapers || Download paper | |
2023 | Bloated Disclosures: Can ChatGPT Help Investors Process Financial Information?. (2023). Nikolaev, Valeri ; Muhn, Maximilian ; Kim, Alex. In: Papers. RePEc:arx:papers:2306.10224. Full description at Econpapers || Download paper | |
2023 | Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. (2023). Wang, Hanchao ; Linton, Oliver ; Bu, Ruijun. In: Papers. RePEc:arx:papers:2307.01348. Full description at Econpapers || Download paper | |
2023 | Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors. (2023). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2307.07689. Full description at Econpapers || Download paper | |
2023 | Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864. Full description at Econpapers || Download paper | |
2023 | FinGPT: Democratizing Internet-scale Data for Financial Large Language Models. (2023). Zha, Daochen ; Wang, Guoxuan ; Liu, Xiao-Yang. In: Papers. RePEc:arx:papers:2307.10485. Full description at Econpapers || Download paper | |
2023 | Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419. Full description at Econpapers || Download paper | |
2023 | Econometrics of Machine Learning Methods in Economic Forecasting. (2023). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2308.10993. Full description at Econpapers || Download paper | |
2023 | High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192. Full description at Econpapers || Download paper | |
2023 | New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025. Full description at Econpapers || Download paper | |
2023 | On statistical arbitrage under a conditional factor model of equity returns. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2309.02205. Full description at Econpapers || Download paper | |
2023 | Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968. Full description at Econpapers || Download paper | |
2023 | Learning Probability Distributions of Day-Ahead Electricity Prices. (2023). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2310.02867. Full description at Econpapers || Download paper | |
2023 | Integrating Stock Features and Global Information via Large Language Models for Enhanced Stock Return Prediction. (2023). Han, Dongming ; Li, Liuliu ; Zhou, Xiuze ; Mao, Bingcheng ; Jia, Shuai ; Ding, Yujie. In: Papers. RePEc:arx:papers:2310.05627. Full description at Econpapers || Download paper | |
2023 | Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511. Full description at Econpapers || Download paper | |
2023 | Estimation of Semiparametric Multi-Index Models Using Deep Neural Networks. (2023). GAO, Jiti ; Dong, Chaohua ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2311.02789. Full description at Econpapers || Download paper | |
2023 | Economic Forecasts Using Many Noises. (2023). Neuhierl, Andreas ; Liao, Yuan ; Shi, Zhentao ; Ma, Xinjie. In: Papers. RePEc:arx:papers:2312.05593. Full description at Econpapers || Download paper | |
2023 | The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul. (2023). Alshiqi, Sevdie ; Demirel, Bilge Leyli ; Dogan, Mesut ; Altinay, Aysenur Tarakcioglu. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:4:p:3-21. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Turning Words into Numbers: Measuring News Media Coverage of Shortages. (2023). Houle, Stephanie ; Chen, Lin. In: Discussion Papers. RePEc:bca:bocadp:23-8. Full description at Econpapers || Download paper | |
2023 | Currency risk premiums redux?. (2023). Sarno, Lucio ; Nucera, Federico C ; Zinna, Gabriele. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1415_23. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Excess Asset Returns Predictability in an Emerging Economy: The Case of Colombia. (2023). Sarmiento, Eduardo ; López, Martha. In: Borradores de Economia. RePEc:bdr:borrec:1243. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Timing the factor zoo via deep learning: Evidence from China. (2023). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:485-505. Full description at Econpapers || Download paper | |
2023 | The trend premium around the world: Evidence from the stock market. (2023). Zhang, Cheng ; Liu, Pengfei ; Lin, Hai. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:317-358. Full description at Econpapers || Download paper | |
2023 | Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111. Full description at Econpapers || Download paper | |
2023 | Principal Portfolios. (2023). Pedersen, Lasse Heje ; Malamud, Semyon ; Kelly, Bryan. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:347-387. Full description at Econpapers || Download paper | |
2023 | Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models. (2023). Julliard, Christian ; Huang, Jiantao ; Bryzgalova, Svetlana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:487-557. Full description at Econpapers || Download paper | |
2023 | Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Integrating Factor Models. (2023). Voigt, Stefan ; Metzker, Lior ; Cheng, SI ; Avramov, Doron. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1593-1646. Full description at Econpapers || Download paper | |
2023 | Model Comparison with Transaction Costs. (2023). Velikov, Mihail ; Novymarx, Robert ; Detzel, Andrew. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1743-1775. Full description at Econpapers || Download paper | |
2023 | Relative Valuation with Machine Learning. (2023). Lu, Helen ; Geertsema, Paul. In: Journal of Accounting Research. RePEc:bla:joares:v:61:y:2023:i:1:p:329-376. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Macroeconomic Expectations and State-Dependent Factor Returns. (2023). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10720. Full description at Econpapers || Download paper | |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper | |
2023 | Reasons Behind Words: OPEC Narratives and the Oil Market. (2023). Joets, Marc ; Brunetti, Celso ; Mignon, Valerie. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-24. Full description at Econpapers || Download paper | |
2023 | Regional financial technology and shadow banking activities of non-financial firms: Evidence from China. (2023). Que, Jiangjing ; Zhang, Qiuyue ; Qin, Xiuting. In: Journal of Asian Economics. RePEc:eee:asieco:v:86:y:2023:i:c:s104900782300026x. Full description at Econpapers || Download paper | |
2023 | Stable versus fragile community structures in the correlation dynamics of Chinese industry indices. (2023). Song, Fu-Tie ; Nie, Chun-Xiao. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:167:y:2023:i:c:s0960077922012231. Full description at Econpapers || Download paper | |
2023 | Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models. (2023). Li, Muyi ; Wang, Xuqin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:184:y:2023:i:c:s0167947323000555. Full description at Econpapers || Download paper | |
2023 | Analysts’ underreaction and momentum strategies. (2023). Azevedo, Vitor. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002639. Full description at Econpapers || Download paper | |
2023 | Trade competitiveness and the aggregate returns in global stock markets. (2023). Umar, Zaghum ; Zaremba, Adam ; Long, Huaigang ; Chiah, Mardy. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:148:y:2023:i:c:s0165188923000246. Full description at Econpapers || Download paper | |
2023 | Employee sentiment and stock returns. (2023). Zhou, Guofu ; Yao, Jiaquan ; Tang, Guohao ; Chen, Jian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000428. Full description at Econpapers || Download paper | |
2023 | Economic policy uncertainty and information intermediary: The case of short seller. (2023). Wang, Xiaoming. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003984. Full description at Econpapers || Download paper | |
2023 | Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2022 | Factor Models, Machine Learning, and Asset Pricing In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 6 |
2010 | High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 102 |
2020 | Taming the Factor Zoo: A Test of New Factors In: Journal of Finance. [Full Text][Citation analysis] | article | 129 |
2020 | Taming the Factor Zoo: A Test of New Factors.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 129 | paper | |
2019 | Taming the Factor Zoo: A Test of New Factors.(2019) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 129 | paper | |
2018 | Empirical Asset Pricing via Machine Learning In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 341 |
2018 | Empirical Asset Pricing via Machine Learning.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 341 | paper | |
2020 | Empirical Asset Pricing via Machine Learning.(2020) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 341 | article | |
2010 | Quasi-maximum likelihood estimation of volatility with high frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 110 |
2014 | Hermite polynomial based expansion of European option prices In: Journal of Econometrics. [Full Text][Citation analysis] | article | 35 |
2016 | A tale of two option markets: Pricing kernels and volatility risk In: Journal of Econometrics. [Full Text][Citation analysis] | article | 47 |
2014 | A Tale of Two Option Markets: Pricing Kernels and Volatility Risk.(2014) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
2016 | Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 38 |
2017 | Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading In: Journal of Econometrics. [Full Text][Citation analysis] | article | 3 |
2017 | Using principal component analysis to estimate a high dimensional factor model with high-frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 71 |
2018 | Resolution of policy uncertainty and sudden declines in volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 57 |
2019 | Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 11 |
2019 | A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 19 |
2020 | High-frequency factor models and regressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 12 |
2021 | Autoencoder asset pricing models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 59 |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 4 |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2015 | Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 17 |
2015 | Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency.(2015) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2017 | Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency.(2017) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
2021 | Thousands of Alpha Tests In: NBER Chapters. [Citation analysis] | chapter | 15 |
2021 | Thousands of Alpha Tests.(2021) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
2015 | Principal Component Analysis of High Frequency Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 27 |
2019 | Principal Component Analysis of High-Frequency Data.(2019) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
2017 | Inference on Risk Premia in the Presence of Omitted Factors In: NBER Working Papers. [Full Text][Citation analysis] | paper | 11 |
2019 | Predicting Returns With Text Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 36 |
2020 | The Structure of Economic News In: NBER Working Papers. [Full Text][Citation analysis] | paper | 24 |
2020 | Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 3 |
2021 | Test Assets and Weak Factors In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2021 | Business News and Business Cycles In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2018 | Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2012 | Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 6 |
2014 | Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 70 |
2014 | Rejoinder In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2016 | Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 47 |
2021 | Asset Pricing with Omitted Factors In: Journal of Political Economy. [Full Text][Citation analysis] | article | 33 |
2016 | Generalized Method of Integrated Moments for High?Frequency Data In: Econometrica. [Full Text][Citation analysis] | article | 14 |
2016 | Generalized Method of Integrated Moments for High?Frequency Data.(2016) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2021 | When Moving?Average Models Meet High?Frequency Data: Uniform Inference on Volatility In: Econometrica. [Full Text][Citation analysis] | article | 4 |
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