14
H index
15
i10 index
746
Citations
University of Chicago | 14 H index 15 i10 index 746 Citations RESEARCH PRODUCTION: 24 Articles 17 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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 |
Journal of the American Statistical Association | 2 |
Year | Title of citing document | |
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2020 | Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09. Full description at Econpapers || Download paper | |
2022 | The Prior Adaptive Group Lasso and the Factor Zoo. (2022). Bertelsen, Kristoffer Pons. In: CREATES Research Papers. RePEc:aah:create:2022-05. Full description at Econpapers || Download paper | |
2020 | Dynamic portfolio selection with sector-specific regularization. (2020). Hafner, Christian ; Wang, Linqi. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020032. Full description at Econpapers || Download paper | |
2020 | Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479. Full description at Econpapers || Download paper | |
2020 | State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248. Full description at Econpapers || Download paper | |
2020 | Factor Investing: Hierarchical Ensemble Learning. (2019). Feng, Guanhao ; He, Jingyu. In: Papers. RePEc:arx:papers:1902.01015. Full description at Econpapers || Download paper | |
2020 | Time 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. Full description at Econpapers || Download paper | |
2021 | Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2020 | Unveiling 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. Full description at Econpapers || Download paper | |
2021 | 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 | |
2021 | Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307. Full description at Econpapers || Download paper | |
2020 | Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio. (2020). Roberts, Stephen ; Zohren, Stefan ; Lim, Bryan. In: Papers. RePEc:arx:papers:2002.02008. Full description at Econpapers || Download paper | |
2020 | Deep Learning for Asset Bubbles Detection. (2020). Marchal, Alexis ; Bashchenko, Oksana. In: Papers. RePEc:arx:papers:2002.06405. Full description at Econpapers || Download paper | |
2021 | Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656. Full description at Econpapers || Download paper | |
2021 | Streaming Perspective in Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data. (2020). Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2003.13062. Full description at Econpapers || Download paper | |
2020 | Machine Learning Algorithms for Financial Asset Price Forecasting. (2020). Ndikum, Philip. In: Papers. RePEc:arx:papers:2004.01504. Full description at Econpapers || Download paper | |
2022 | Kernel 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. Full description at Econpapers || Download paper | |
2021 | Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013. Full description at Econpapers || Download paper | |
2020 | Is 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. Full description at Econpapers || Download paper | |
2020 | A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400. Full description at Econpapers || Download paper | |
2021 | 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 | |
2021 | Using the Epps effect to detect discrete data generating processes. (2020). Gebbie, Tim ; Pienaar, Etienne ; Chang, Patrick. In: Papers. RePEc:arx:papers:2005.10568. Full description at Econpapers || Download paper | |
2020 | False (and Missed) Discoveries in Financial Economics. (2020). Liu, Yan ; Harvey, Campbell R. In: Papers. RePEc:arx:papers:2006.04269. Full description at Econpapers || Download paper | |
2020 | Dynamic Network Risk. (2020). BarunÃÂk, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639. Full description at Econpapers || Download paper | |
2020 | Unified 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. Full description at Econpapers || Download paper | |
2020 | Optimal Asset Allocation For Outperforming A Stochastic Benchmark Target. (2020). Li, Yuying ; Ni, Chendi ; Carroll, Ray ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2006.15384. Full description at Econpapers || Download paper | |
2020 | Crowd, Lending, Machine, and Bias. (2020). Singh, Paramvir ; Huang, Yan ; Fu, Runshan. In: Papers. RePEc:arx:papers:2008.04068. Full description at Econpapers || Download paper | |
2020 | Image Processing Tools for Financial Time Series Classification. (2020). Barucca, Paolo ; Fernandez-Reyes, Delmiro ; Du, Bairui. In: Papers. RePEc:arx:papers:2008.06042. Full description at Econpapers || Download paper | |
2020 | Neural Network-based Automatic Factor Construction. (2020). Liu, Xiang ; Xia, Zhikang ; Jiang, Yong ; Lin, Jianwu ; Fang, Jie. In: Papers. RePEc:arx:papers:2008.06225. Full description at Econpapers || Download paper | |
2020 | How 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. Full description at Econpapers || Download paper | |
2021 | Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). BarunÃÂk, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394. Full description at Econpapers || Download paper | |
2020 | Investing 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. Full description at Econpapers || Download paper | |
2020 | Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103. Full description at Econpapers || Download paper | |
2021 | Deep 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. Full description at Econpapers || Download paper | |
2020 | Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai. In: Papers. RePEc:arx:papers:2010.07659. Full description at Econpapers || Download paper | |
2020 | High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477. Full description at Econpapers || Download paper | |
2021 | 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 | |
2020 | Asset 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. Full description at Econpapers || Download paper | |
2021 | Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077. Full description at Econpapers || Download paper | |
2020 | Portfolio Risk Measurement Using a Mixture Simulation Approach. (2020). Sharifi, Azin ; Sina, Seyed Mohammad ; Arian, Hamidreza. In: Papers. RePEc:arx:papers:2011.07994. Full description at Econpapers || Download paper | |
2021 | Predicting 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. Full description at Econpapers || Download paper | |
2021 | Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802. Full description at Econpapers || Download paper | |
2020 | Adversarial Estimation of Riesz Representers. (2020). Syrgkanis, Vasilis ; Singh, Rahul ; Newey, Whitney ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2101.00009. Full description at Econpapers || Download paper | |
2021 | Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options. (2021). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2101.00299. Full description at Econpapers || Download paper | |
2021 | Scared 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. Full description at Econpapers || Download paper | |
2021 | Graphical Models for Financial Time Series and Portfolio Selection. (2021). Zhan, NI ; Sun, Yijia ; Jakhar, Aman ; Liu, HE. In: Papers. RePEc:arx:papers:2101.09214. Full description at Econpapers || Download paper | |
2021 | Black-box model risk in finance. (2021). Snow, Derek ; Szpruch, Lukasz ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2102.04757. Full description at Econpapers || Download paper | |
2021 | Deep Structural Estimation: With an Application to Option Pricing. (2021). Scheidegger, Simon ; Didisheim, Antoine ; Chen, Hui. In: Papers. RePEc:arx:papers:2102.09209. Full description at Econpapers || Download paper | |
2021 | Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341. Full description at Econpapers || Download paper | |
2022 | Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783. Full description at Econpapers || Download paper | |
2021 | State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404. Full description at Econpapers || Download paper | |
2021 | Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467. Full description at Econpapers || Download paper | |
2021 | High-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. Full description at Econpapers || Download paper | |
2021 | Do Word Embeddings Really Understand Loughran-McDonalds Polarities?. (2021). Lehalle, Charles-Albert ; Li, Mengda. In: Papers. RePEc:arx:papers:2103.09813. Full description at Econpapers || Download paper | |
2021 | Statistical Arbitrage Risk Premium by Machine Learning. (2021). Tam, Yu-Man. In: Papers. RePEc:arx:papers:2103.09987. Full description at Econpapers || Download paper | |
2021 | A robust specification test in linear panel data models. (2021). Beyaztas, Beste Hamiye ; Mandal, Abhijit ; Bandyopadhyay, Soutir. In: Papers. RePEc:arx:papers:2104.07723. Full description at Econpapers || Download paper | |
2021 | Constructing 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. Full description at Econpapers || Download paper | |
2021 | 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 | |
2022 | Enhancing 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. Full description at Econpapers || Download paper | |
2021 | Deep Learning Statistical Arbitrage. (2021). Pelger, Markus ; Guijarro-Ordonez, Jorge ; Zanotti, Greg. In: Papers. RePEc:arx:papers:2106.04028. Full description at Econpapers || Download paper | |
2021 | Deep 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. Full description at Econpapers || Download paper | |
2021 | Hamiltonian Monte Carlo for Regression with High-Dimensional Categorical Data. (2021). Hansen, Stephen ; Battaglia, Laura ; Sacher, Szymon. In: Papers. RePEc:arx:papers:2107.08112. Full description at Econpapers || Download paper | |
2021 | Graph-Based Learning for Stock Movement Prediction with Textual and Relational Data. (2021). Robert, Christian-Yann ; Chen, Qinkai. In: Papers. RePEc:arx:papers:2107.10941. Full description at Econpapers || Download paper | |
2021 | Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866. Full description at Econpapers || Download paper | |
2021 | The Adaptive Multi-Factor Model and the Financial Market. (2021). Zhu, Liao. In: Papers. RePEc:arx:papers:2107.14410. Full description at Econpapers || Download paper | |
2021 | 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 | |
2022 | Text Semantics Capture Political and Economic Narratives. (2021). Widmer, Philine ; Gauthier, Germain ; Ash, Elliott. In: Papers. RePEc:arx:papers:2108.01720. Full description at Econpapers || Download paper | |
2021 | Deep 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. Full description at Econpapers || Download paper | |
2022 | 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 | |
2021 | Linear Panel Regressions with Two-Way Unobserved Heterogeneity. (2021). Weidner, Martin ; Freeman, Hugo. In: Papers. RePEc:arx:papers:2109.11911. Full description at Econpapers || Download paper | |
2021 | Reinforcement Learning for Quantitative Trading. (2021). An, BO ; Wang, Rundong ; Sun, Shuo. In: Papers. RePEc:arx:papers:2109.13851. Full description at Econpapers || Download paper | |
2021 | Media abnormal tone, earnings announcements, and the stock market. (2021). Boudt, Kris ; Bluteau, Keven ; Ardia, David. In: Papers. RePEc:arx:papers:2110.10800. Full description at Econpapers || Download paper | |
2021 | Machine Learning in Finance-Emerging Trends and Challenges. (2021). Dutta, Abhishek ; Sen, Rajdeep. In: Papers. RePEc:arx:papers:2110.11999. Full description at Econpapers || Download paper | |
2021 | Trading via Selective Classification. (2021). Savani, Rahul ; Chalkidis, Nestoras. In: Papers. RePEc:arx:papers:2110.14914. Full description at Econpapers || Download paper | |
2021 | Exponential GARCH-Ito Volatility Models. (2021). Kim, Donggyu. In: Papers. RePEc:arx:papers:2111.04267. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | Effect 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. Full description at Econpapers || Download paper | |
2021 | 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 | |
2021 | High-Dimensional Stock Portfolio Trading with Deep Reinforcement Learning. (2021). Schafer, Sebastian ; Pigorsch, Uta . In: Papers. RePEc:arx:papers:2112.04755. Full description at Econpapers || Download paper | |
2021 | Realized 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. Full description at Econpapers || Download paper | |
2022 | 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 | |
2022 | Volatility 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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2022 | Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893. Full description at Econpapers || Download paper | |
2022 | Deep Learning Macroeconomics. (2022). , Rafael ; Rafael, . In: Papers. RePEc:arx:papers:2201.13380. Full description at Econpapers || Download paper | |
2022 | Media Slant is Contagious. (2022). Widmer, Philine ; Ash, Elliott ; Galletta, Sergio. In: Papers. RePEc:arx:papers:2202.07269. Full description at Econpapers || Download paper | |
2022 | 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 | |
2022 | Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865. Full description at Econpapers || Download paper | |
2022 | Learning Probability Distributions in Macroeconomics and Finance. (2022). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2204.06848. Full description at Econpapers || Download paper | |
2022 | Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper | |
2022 | 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 | |
2020 | The 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. Full description at Econpapers || Download paper | |
2021 | Transfer Learning for Business Cycle Identification. (2021). , Rafael ; Rafael, ; Chauvet, Marcelle. In: Working Papers Series. RePEc:bcb:wpaper:545. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2020 | Firm-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. Full description at Econpapers || Download paper | |
2021 | Do 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. Full description at Econpapers || Download paper | |
2021 | Can 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. Full description at Econpapers || Download paper | |
2021 | Using 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. Full description at Econpapers || Download paper | |
2022 | Does 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. Full description at Econpapers || Download paper | |
2020 | Understanding Systematic Risk: A Highâ€Frequency Approach. (2020). Pelger, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2010 | High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 83 |
2020 | Taming the Factor Zoo: A Test of New Factors In: Journal of Finance. [Full Text][Citation analysis] | article | 67 |
2020 | Taming the Factor Zoo: A Test of New Factors.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 67 | paper | |
2019 | Taming the Factor Zoo: A Test of New Factors.(2019) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 67 | paper | |
2018 | Empirical Asset Pricing via Machine Learning In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 126 |
2018 | Empirical Asset Pricing via Machine Learning.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 126 | paper | |
2020 | Empirical Asset Pricing via Machine Learning.(2020) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 126 | article | |
2010 | Quasi-maximum likelihood estimation of volatility with high frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 88 |
2014 | Hermite polynomial based expansion of European option prices In: Journal of Econometrics. [Full Text][Citation analysis] | article | 29 |
2016 | A tale of two option markets: Pricing kernels and volatility risk In: Journal of Econometrics. [Full Text][Citation analysis] | article | 41 |
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 another version. Agregated cites: 41 | paper | |
2016 | Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 26 |
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 | 2 |
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 | 47 |
2018 | Resolution of policy uncertainty and sudden declines in volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 26 |
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 | 7 |
2019 | A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
2020 | High-frequency factor models and regressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
2021 | Autoencoder asset pricing models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 16 |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 0 |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2015 | Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 9 |
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 another version. Agregated cites: 9 | 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 another version. Agregated cites: 9 | article | |
2021 | Thousands of Alpha Tests In: NBER Chapters. [Citation analysis] | chapter | 3 |
2015 | Principal Component Analysis of High Frequency Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 20 |
2019 | Principal Component Analysis of High-Frequency Data.(2019) In: Journal of the American Statistical Association. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
2017 | Inference on Risk Premia in the Presence of Omitted Factors In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
2019 | Predicting Returns With Text Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 14 |
2020 | The Structure of Economic News In: NBER Working Papers. [Full Text][Citation analysis] | paper | 7 |
2020 | Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Test Assets and Weak Factors In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Business News and Business Cycles In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* In: 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 | 60 |
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 | 29 |
2021 | Asset Pricing with Omitted Factors In: Journal of Political Economy. [Full Text][Citation analysis] | article | 8 |
2016 | Generalized Method of Integrated Moments for High?Frequency Data In: Econometrica. [Full Text][Citation analysis] | article | 11 |
2016 | Generalized Method of Integrated Moments for High?Frequency Data.(2016) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
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