Dacheng Xiu : Citation Profile


Are you Dacheng Xiu?

University of Chicago

14

H index

15

i10 index

746

Citations

RESEARCH PRODUCTION:

24

Articles

17

Papers

1

Chapters

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 67
   Journals where Dacheng Xiu has often published
   Relations with other researchers
   Recent citing documents: 344.    Total self citations: 15 (1.97 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pxi68
   Updated: 2022-05-14    RAS profile: 2022-01-06    
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Relations with other researchers


Works with:

Ait-Sahalia, Yacine (8)

Giglio, Stefano (6)

Holzmeister, Felix (2)

Moinas, Sophie (2)

Menkveld, Albert (2)

Foucault, Thierry (2)

Lof, Matthijs (2)

Davies, Ryan (2)

Wilhelmsson, Anders (2)

Sarno, Lucio (2)

Jalkh, Naji (2)

Smales, Lee (2)

Ferrara, Gerardo (2)

Putnins, Talis (2)

Abudy, Menachem (2)

Kassner, Bernhard (2)

Schwarz, Marco (2)

Jurkatis, Simon (2)

Liew, Chee (2)

Deev, Oleg (2)

Bouri, Elie (2)

PASCUAL, ROBERTO (2)

Xia, Shuo (2)

Pastor, Lubos (2)

Rinne, Kalle (2)

Gorbenko, Arseny (2)

Horenstein, Alex (2)

Harris, Jeffrey (2)

Johannesson, Magnus (2)

Park, Andreas (2)

Lopez-Lira, Alejandro (2)

Walther, Thomas (2)

Alexeev, Vitali (2)

Zhou, Chen (2)

Lajaunie, Quentin (2)

van Kervel, Vincent (2)

Dimpfl, Thomas (2)

Theissen, Erik (2)

Regis, Luca (2)

Hautsch, Nikolaus (2)

Stefanova, Denitsa (2)

Nielsson, Ulf (2)

Pasquariello, Paolo (2)

Ranaldo, Angelo (2)

Dumitrescu, Ariadna (2)

Pelizzon, Loriana (2)

CAPELLE-BLANCARD, Gunther (2)

Palan, Stefan (2)

Caporin, Massimiliano (2)

Adrian, Tobias (2)

Dreber, Anna (2)

Wong, Wing-Keung (2)

Patel, Vinay (2)

Reitz, Stefan (2)

Patton, Andrew (2)

Vilkov, Grigory (2)

Gehrig, Thomas (2)

Rakowski, David (2)

Bos, Charles (2)

Verousis, Thanos (2)

Bohorquez Correa, Santiago (2)

FERROUHI, EL MEHDI (2)

Schenk-Hoppé, Klaus (2)

Talavera, Oleksandr (2)

Wolff, Christian (2)

Hurlin, Christophe (2)

Gerritsen, Dirk (2)

Colliard, Jean-Edouard (2)

Scaillet, Olivier (2)

Frijns, Bart (2)

Kalnina, Ilze (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Dacheng Xiu.

Is cited by:

Fan, Jianqing (15)

Potiron, Yoann (11)

Fiorentini, Gabriele (9)

Sentana, Enrique (9)

Pelger, Markus (9)

Quaedvlieg, Rogier (9)

Baruník, Jozef (8)

De-Losso, Rodrigo (8)

GUPTA, RANGAN (7)

Bollerslev, Tim (7)

Santucci de Magistris, Paolo (7)

Cites to:

Ait-Sahalia, Yacine (34)

Shephard, Neil (28)

Fan, Jianqing (26)

Bollerslev, Tim (25)

Hansen, Peter (22)

Reichlin, Lucrezia (20)

Andersen, Torben (17)

Bai, Jushan (17)

Lunde, Asger (16)

Diebold, Francis (16)

Podolskij, Mark (16)

Main data


Where Dacheng Xiu has published?


Journals with more than one article published# docs
Journal of Econometrics11
Econometrica3
Journal of Business & Economic Statistics3
Journal of the American Statistical Association2

Recent works citing Dacheng Xiu (2021 and 2020)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2022The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05.

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2020Dynamic portfolio selection with sector-specific regularization. (2020). Hafner, Christian ; Wang, Linqi. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020032.

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2020Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2020State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248.

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2020Factor Investing: Hierarchical Ensemble Learning. (2019). Feng, Guanhao ; He, Jingyu. In: Papers. RePEc:arx:papers:1902.01015.

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2020Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

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2021Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745.

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2021A Deep Learning Framework for Pricing Financial Instruments. (2019). Liu, Zhenming ; Cucuringu, Mihai ; Pizzoferrato, Andrea ; Zhang, Zheng ; Wu, Qiong. In: Papers. RePEc:arx:papers:1909.04497.

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2020Unveiling the relation between herding and liquidity with trader lead-lag networks. (2019). Tantari, Daniele ; Lillo, Fabrizio ; Campajola, Carlo. In: Papers. RePEc:arx:papers:1909.10807.

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2021Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637.

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2021Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307.

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2020Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio. (2020). Roberts, Stephen ; Zohren, Stefan ; Lim, Bryan. In: Papers. RePEc:arx:papers:2002.02008.

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2020Deep Learning for Asset Bubbles Detection. (2020). Marchal, Alexis ; Bashchenko, Oksana. In: Papers. RePEc:arx:papers:2002.06405.

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2021Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656.

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2021Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062.

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2020Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip. In: Papers. RePEc:arx:papers:2004.01504.

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2022Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging. (2020). Wu, Bei ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:2004.01865.

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2021Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013.

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2020Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2021Denise: Deep Learning based Robust PCA for Positive Semidefinite Matrices. (2020). Teichmann, Josef ; Krach, Florian ; Herrera, Calypso . In: Papers. RePEc:arx:papers:2004.13612.

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2021Using the Epps effect to detect discrete data generating processes. (2020). Gebbie, Tim ; Pienaar, Etienne ; Chang, Patrick. In: Papers. RePEc:arx:papers:2005.10568.

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2020False (and Missed) Discoveries in Financial Economics. (2020). Liu, Yan ; Harvey, Campbell R. In: Papers. RePEc:arx:papers:2006.04269.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2020Unified Discrete-Time Factor Stochastic Volatility and Continuous-Time Ito Models for Combining Inference Based on Low-Frequency and High-Frequency. (2020). Song, Xinyu ; Kim, Donggyu ; Wang, Yazhen. In: Papers. RePEc:arx:papers:2006.12039.

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2020Optimal Asset Allocation For Outperforming A Stochastic Benchmark Target. (2020). Li, Yuying ; Ni, Chendi ; Carroll, Ray ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2006.15384.

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2020Crowd, Lending, Machine, and Bias. (2020). Singh, Paramvir ; Huang, Yan ; Fu, Runshan. In: Papers. RePEc:arx:papers:2008.04068.

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2020Image Processing Tools for Financial Time Series Classification. (2020). Barucca, Paolo ; Fernandez-Reyes, Delmiro ; Du, Bairui. In: Papers. RePEc:arx:papers:2008.06042.

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2020Neural Network-based Automatic Factor Construction. (2020). Liu, Xiang ; Xia, Zhikang ; Jiang, Yong ; Lin, Jianwu ; Fang, Jie. In: Papers. RePEc:arx:papers:2008.06225.

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2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

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2021Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2020Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategies. (2020). Elendner, Hermann ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Petukhina, Alla. In: Papers. RePEc:arx:papers:2009.04461.

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2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103.

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2021Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices. (2020). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Papers. RePEc:arx:papers:2010.01844.

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2020Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai. In: Papers. RePEc:arx:papers:2010.07659.

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2020High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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2021Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2020Asset Allocation via Machine Learning and Applications to Equity Portfolio Management. (2020). Hong, Zhenning ; Yang, Qing ; Zhang, Liangliang ; Ye, Tingting ; Tian, Ruyan. In: Papers. RePEc:arx:papers:2011.00572.

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2021Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

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2020Portfolio Risk Measurement Using a Mixture Simulation Approach. (2020). Sharifi, Azin ; Sina, Seyed Mohammad ; Arian, Hamidreza. In: Papers. RePEc:arx:papers:2011.07994.

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2021Predicting S&P500 Index direction with Transfer Learning and a Causal Graph as main Input. (2021). Romain, Djoumbissie David. In: Papers. RePEc:arx:papers:2011.13113.

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2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

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2020Adversarial Estimation of Riesz Representers. (2020). Syrgkanis, Vasilis ; Singh, Rahul ; Newey, Whitney ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2101.00009.

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2021Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options. (2021). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2101.00299.

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2021Scared into Action: How Partisanship and Fear are Associated with Reactions to Public Health Directives. (2021). Mishra, Himanshu ; Defranza, David ; Lindow, Mike. In: Papers. RePEc:arx:papers:2101.05365.

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2021Graphical Models for Financial Time Series and Portfolio Selection. (2021). Zhan, NI ; Sun, Yijia ; Jakhar, Aman ; Liu, HE. In: Papers. RePEc:arx:papers:2101.09214.

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2021Black-box model risk in finance. (2021). Snow, Derek ; Szpruch, Lukasz ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2102.04757.

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2021Deep Structural Estimation: With an Application to Option Pricing. (2021). Scheidegger, Simon ; Didisheim, Antoine ; Chen, Hui. In: Papers. RePEc:arx:papers:2102.09209.

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2021Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

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2021Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2021High-dimensional estimation of quadratic variation based on penalized realized variance. (2021). Podolskij, Mark ; Nielsen, Mikkel Slot ; Christensen, Kim. In: Papers. RePEc:arx:papers:2103.03237.

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2021Do Word Embeddings Really Understand Loughran-McDonalds Polarities?. (2021). Lehalle, Charles-Albert ; Li, Mengda. In: Papers. RePEc:arx:papers:2103.09813.

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2021Statistical Arbitrage Risk Premium by Machine Learning. (2021). Tam, Yu-Man. In: Papers. RePEc:arx:papers:2103.09987.

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2021A robust specification test in linear panel data models. (2021). Beyaztas, Beste Hamiye ; Mandal, Abhijit ; Bandyopadhyay, Soutir. In: Papers. RePEc:arx:papers:2104.07723.

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2021Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm. (2021). Zhang, Xin ; Chen, Zhixue ; Wu, Lan. In: Papers. RePEc:arx:papers:2104.12484.

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2021An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2022Enhancing Cross-Sectional Currency Strategies by Ranking Refinement with Transformer-based Architectures. (2021). Zohren, Stefan ; Lim, Bryan ; Poh, Daniel ; Roberts, Stephen. In: Papers. RePEc:arx:papers:2105.10019.

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2021Deep Learning Statistical Arbitrage. (2021). Pelger, Markus ; Guijarro-Ordonez, Jorge ; Zanotti, Greg. In: Papers. RePEc:arx:papers:2106.04028.

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2021Deep Risk Model: A Deep Learning Solution for Mining Latent Risk Factors to Improve Covariance Matrix Estimation. (2021). Bian, Jiang ; Liu, Weiqing ; Zhou, Dong ; Lin, Hengxu. In: Papers. RePEc:arx:papers:2107.05201.

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2021Hamiltonian Monte Carlo for Regression with High-Dimensional Categorical Data. (2021). Hansen, Stephen ; Battaglia, Laura ; Sacher, Szymon. In: Papers. RePEc:arx:papers:2107.08112.

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2021Graph-Based Learning for Stock Movement Prediction with Textual and Relational Data. (2021). Robert, Christian-Yann ; Chen, Qinkai. In: Papers. RePEc:arx:papers:2107.10941.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021The Adaptive Multi-Factor Model and the Financial Market. (2021). Zhu, Liao. In: Papers. RePEc:arx:papers:2107.14410.

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2021Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

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2022Text Semantics Capture Political and Economic Narratives. (2021). Widmer, Philine ; Gauthier, Germain ; Ash, Elliott. In: Papers. RePEc:arx:papers:2108.01720.

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2021Deep Sequence Modeling: Development and Applications in Asset Pricing. (2021). Zhang, Yang ; Wang, Jingyuan ; Tang, KE ; Cong, Lin William. In: Papers. RePEc:arx:papers:2108.08999.

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2022Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2021Linear Panel Regressions with Two-Way Unobserved Heterogeneity. (2021). Weidner, Martin ; Freeman, Hugo. In: Papers. RePEc:arx:papers:2109.11911.

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2021Reinforcement Learning for Quantitative Trading. (2021). An, BO ; Wang, Rundong ; Sun, Shuo. In: Papers. RePEc:arx:papers:2109.13851.

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2021Media abnormal tone, earnings announcements, and the stock market. (2021). Boudt, Kris ; Bluteau, Keven ; Ardia, David. In: Papers. RePEc:arx:papers:2110.10800.

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2021Machine Learning in Finance-Emerging Trends and Challenges. (2021). Dutta, Abhishek ; Sen, Rajdeep. In: Papers. RePEc:arx:papers:2110.11999.

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2021Trading via Selective Classification. (2021). Savani, Rahul ; Chalkidis, Nestoras. In: Papers. RePEc:arx:papers:2110.14914.

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2021Exponential GARCH-Ito Volatility Models. (2021). Kim, Donggyu. In: Papers. RePEc:arx:papers:2111.04267.

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2021The Evolving Causal Structure of Equity Risk Factors. (2021). BONCHI, FRANCESCO ; Bajardi, Paolo ; D'Acunto, Gabriele ; de Francisci, Gianmarco. In: Papers. RePEc:arx:papers:2111.05072.

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2021Effect of the U.S.--China Trade War on Stock Markets: A Financial Contagion Perspective. (2021). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2111.09655.

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2021Expert Aggregation for Financial Forecasting. (2021). Mikael, Joseph ; Cl, Alasseur ; Marie, Briere ; Remlinger, Carl. In: Papers. RePEc:arx:papers:2111.15365.

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2021High-Dimensional Stock Portfolio Trading with Deep Reinforcement Learning. (2021). Schafer, Sebastian ; Pigorsch, Uta . In: Papers. RePEc:arx:papers:2112.04755.

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2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302.

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2022Price 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.

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2022Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. (2022). Mancino, Maria Elvira ; Marmi, Stefano ; Livieri, Giulia ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2112.14529.

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2022A Survey of Quantum Computing for Finance. (2022). Liu, Xiao Yuan ; Googin, Cody ; Herman, Dylan ; Alexeev, Yuri ; Pistoia, Marco ; Sun, Yue ; Safro, Ilya ; Galda, Alexey. In: Papers. RePEc:arx:papers:2201.02773.

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2022Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893.

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2022Deep Learning Macroeconomics. (2022). , Rafael ; Rafael, . In: Papers. RePEc:arx:papers:2201.13380.

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2022Media Slant is Contagious. (2022). Widmer, Philine ; Ash, Elliott ; Galletta, Sergio. In: Papers. RePEc:arx:papers:2202.07269.

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2022Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2022Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865.

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2022Learning Probability Distributions in Macroeconomics and Finance. (2022). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2204.06848.

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2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2022Do t-Statistic Hurdles Need to be Raised. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275.

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2020The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News. (2020). Jin, Jianjian ; Ellwanger, Reinhard ; Alquist, Ron. In: Staff Working Papers. RePEc:bca:bocawp:20-8.

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2021Transfer Learning for Business Cycle Identification. (2021). , Rafael ; Rafael, ; Chauvet, Marcelle. In: Working Papers Series. RePEc:bcb:wpaper:545.

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2021The power of text-based indicators in forecasting the Italian economic activity. (2021). Monteforte, Libero ; Marcucci, Juri ; aprigliano, valentina ; Luciani, Andrea ; Guaitoli, Gabriele ; Emiliozzi, Simone. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1321_21.

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2020Firm-Level Risk Exposures and Stock Returns in the Wake of COVID-19. (2020). Hansen, Stephen ; Davis, Steven J ; Seminario-Amez, Cristhian. In: Working Papers. RePEc:bfi:wpaper:2020-139.

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2021Do Words Hurt More Than Actions? The Impact of Trade Tensions on Financial Markets. (2021). Pagliari, Maria Sole ; Ferrari, Massimo ; Kurcz, Frederik. In: Working papers. RePEc:bfr:banfra:802.

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2021Can Machine Learning Help to Select Portfolios of Mutual Funds?. (2021). , Andre ; Nogales, Francisco J ; Gil-Bazo, Javier ; Demiguel, Victor ; de Miguel, Victor . In: Working Papers. RePEc:bge:wpaper:1245.

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2021Using abnormal analyst coverage to unlock new evidence on stock price crash risk. (2021). faff, robert ; Hoang, Khoa ; Chowdhury, Hasibul. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1557-1588.

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2022Does the Federal Open Market Committee cycle affect credit risk?. (2022). Zhong, Zhaodong ; Wang, Xinjie ; Li, Yubin ; Huang, Difang. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:143-167.

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2020Understanding Systematic Risk: A High‐Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220.

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More than 100 citations found, this list is not complete...

Works by Dacheng Xiu:


YearTitleTypeCited
2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data In: Journal of the American Statistical Association.
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article83
2020Taming the Factor Zoo: A Test of New Factors In: Journal of Finance.
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article67
2020Taming the Factor Zoo: A Test of New Factors.(2020) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 67
paper
2019Taming the Factor Zoo: A Test of New Factors.(2019) In: NBER Working Papers.
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This paper has another version. Agregated cites: 67
paper
2018Empirical Asset Pricing via Machine Learning In: Swiss Finance Institute Research Paper Series.
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paper126
2018Empirical Asset Pricing via Machine Learning.(2018) In: NBER Working Papers.
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This paper has another version. Agregated cites: 126
paper
2020Empirical Asset Pricing via Machine Learning.(2020) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 126
article
2010Quasi-maximum likelihood estimation of volatility with high frequency data In: Journal of Econometrics.
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article88
2014Hermite polynomial based expansion of European option prices In: Journal of Econometrics.
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article29
2016A tale of two option markets: Pricing kernels and volatility risk In: Journal of Econometrics.
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article41
2014A Tale of Two Option Markets: Pricing Kernels and Volatility Risk.(2014) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 41
paper
2016Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics.
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article26
2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading In: Journal of Econometrics.
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article2
2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data In: Journal of Econometrics.
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article47
2018Resolution of policy uncertainty and sudden declines in volatility In: Journal of Econometrics.
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article26
2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data In: Journal of Econometrics.
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article7
2019A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics.
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article9
2020High-frequency factor models and regressions In: Journal of Econometrics.
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article4
2021Autoencoder asset pricing models In: Journal of Econometrics.
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article16
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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paper0
2021Non-Standard Errors.(2021) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2015Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency In: Cahiers de recherche.
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paper9
2015Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency.(2015) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 9
paper
2017Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency.(2017) In: Journal of the American Statistical Association.
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This paper has another version. Agregated cites: 9
article
2021Thousands of Alpha Tests In: NBER Chapters.
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chapter3
2015Principal Component Analysis of High Frequency Data In: NBER Working Papers.
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paper20
2019Principal Component Analysis of High-Frequency Data.(2019) In: Journal of the American Statistical Association.
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This paper has another version. Agregated cites: 20
article
2017Inference on Risk Premia in the Presence of Omitted Factors In: NBER Working Papers.
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paper8
2019Predicting Returns With Text Data In: NBER Working Papers.
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paper14
2020The Structure of Economic News In: NBER Working Papers.
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paper7
2020Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers.
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paper0
2021Test Assets and Weak Factors In: NBER Working Papers.
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paper0
2021Business News and Business Cycles In: NBER Working Papers.
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paper0
2018Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* In: Journal of Financial Econometrics.
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article0
2012Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices In: Economics Series Working Papers.
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paper6
2014Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods In: Journal of Business & Economic Statistics.
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article60
2014Rejoinder In: Journal of Business & Economic Statistics.
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article0
2016Incorporating 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.
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article29
2021Asset Pricing with Omitted Factors In: Journal of Political Economy.
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article8
2016Generalized Method of Integrated Moments for High?Frequency Data In: Econometrica.
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article11
2016Generalized Method of Integrated Moments for High?Frequency Data.(2016) In: Econometrica.
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This paper has another version. Agregated cites: 11
article
2021When Moving?Average Models Meet High?Frequency Data: Uniform Inference on Volatility In: Econometrica.
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article0

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