17
H index
22
i10 index
1234
Citations
University of Chicago | 17 H index 22 i10 index 1234 Citations RESEARCH PRODUCTION: 26 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 |
Review of Financial Studies | 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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2021 | A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03. 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 | |
2022 | A Neural Network Approach to the Environmental Kuznets Curve. (2022). Bennedsen, Mikkel ; Jensen, Sebastian ; Hillebrand, Eric. In: CREATES Research Papers. RePEc:aah:create:2022-09. Full description at Econpapers || Download paper | |
2021 | Machine Learning Time Series Regressions With an Application to Nowcasting. (2021). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021004. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2022 | Medición de Incertidumbre Económica en Redes Sociales en Base a Modelos de Procesamiento de Lenguaje Natural. (2022). Aromi, Daniel J. In: Working Papers. RePEc:aoz:wpaper:179. 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 | |
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 | |
2022 | High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing. (2019). Chen, Mingli ; Madrid, Oscar Hernan ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1912.02151. 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 | |
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 | |
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 | |
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 | |
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 | |
2022 | High-frequency Estimation of the L\evy-driven Graph Ornstein-Uhlenbeck process. (2020). , Almut ; Courgeau, Valentin. In: Papers. RePEc:arx:papers:2008.10930. 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 | |
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 | |
2021 | Binary Choice with Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Racial Justice. (2020). Babii, Andrii ; Chen, XI ; Kumar, Rohit ; Ghysels, Eric. In: Papers. RePEc:arx:papers:2010.08463. Full description at Econpapers || Download paper | |
2022 | 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 | Deep Learning for Individual Heterogeneity. (2020). Misra, Sanjog ; Liang, Tengyuan ; Farrell, Max H. In: Papers. RePEc:arx:papers:2010.14694. 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 | |
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 | |
2022 | 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 | |
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 | |
2022 | 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 | |
2022 | 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 | Confronting Machine Learning With Financial Research. (2021). Kim, Jack ; el Harzli, Ouns ; Lommers, Kristof. In: Papers. RePEc:arx:papers:2103.00366. 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 | |
2022 | 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 | Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection. (2021). Zohren, Stefan ; Roberts, Stephen ; Wood, Kieran. In: Papers. RePEc:arx:papers:2105.13727. Full description at Econpapers || Download paper | |
2022 | 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 | Stock Movement Prediction with Financial News using Contextualized Embedding from BERT. (2021). Chen, Qinkai. In: Papers. RePEc:arx:papers:2107.08721. 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 | |
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 | |
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 | |
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 | |
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 | |
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 | |
2022 | 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 | |
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 | |
2022 | Deep differentiable reinforcement learning and optimal trading. (2021). Jaisson, Thibault. In: Papers. RePEc:arx:papers:2112.02944. 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 | |
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 | |
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 | |
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 | |
2022 | Deep Learning Macroeconomics. (2022). , Rafael ; Rafael, . In: Papers. RePEc:arx:papers:2201.13380. Full description at Econpapers || Download paper | |
2022 | Managers versus Machines: Do Algorithms Replicate Human Intuition in Credit Ratings?. (2022). Harding, Matthew. In: Papers. RePEc:arx:papers:2202.04218. 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 | |
2022 | Characteristics-driven returns in equilibrium. (2022). Coqueret, Guillaume. In: Papers. RePEc:arx:papers:2203.07865. 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 | |
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 | |
2022 | Modeling dynamic volatility under uncertain environment with fuzziness and randomness. (2022). Zhou, Yan ; Sun, Baiqing ; Hui, Xianfei. In: Papers. RePEc:arx:papers:2204.12657. Full description at Econpapers || Download paper | |
2022 | High-Frequency-Based Volatility Model with Network Structure. (2022). Wang, Junhui ; Li, Guodong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:2204.12933. Full description at Econpapers || Download paper | |
2022 | Modeling Multivariate Positive-Valued Time Series Using R-INLA. (2022). Basu, Sumanta ; Ravishanker, Nalini ; Dutta, Chiranjit. In: Papers. RePEc:arx:papers:2206.05374. Full description at Econpapers || Download paper | |
2022 | Robust Knockoffs for Controlling False Discoveries With an Application to Bond Recovery Rates. (2022). Schienle, Melanie ; Nazemi, Abdolreza ; Gorgen, Konstantin. In: Papers. RePEc:arx:papers:2206.06026. Full description at Econpapers || Download paper | |
2022 | 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 | |
2022 | Deep Partial Least Squares for Empirical Asset Pricing. (2022). Goicoechea, Kemen ; Polson, Nicholas G ; Dixon, Matthew F. In: Papers. RePEc:arx:papers:2206.10014. Full description at Econpapers || Download paper | |
2022 | Misspecification and Weak Identification in Asset Pricing. (2022). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2206.13600. Full description at Econpapers || Download paper | |
2022 | Most claimed statistical findings in cross-sectional return predictability are likely true. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365. Full description at Econpapers || Download paper | |
2022 | Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949. 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 | |
2022 | A penalized two-pass regression to predict stock returns with time-varying risk premia. (2022). Scaillet, Olivier ; Guerrier, St'Ephane ; Bakalli, Gaetan. In: Papers. RePEc:arx:papers:2208.00972. 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 | |
2022 | Estimation of growth in fund models. (2022). Ruf, Johannes ; Koo, Hyeng Keun ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:2208.02573. Full description at Econpapers || Download paper | |
2022 | The Efficient Market Hypothesis for Bitcoin in the context of neural networks. (2022). Osterrieder, Joerg ; Kraehenbuehl, Mike. In: Papers. RePEc:arx:papers:2208.07254. 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 | |
2022 | Large Volatility Matrix Analysis Using Global and National Factor Models. (2022). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2208.12323. Full description at Econpapers || Download paper | |
2022 | Quantifying the Role of Interest Rates, the Dollar and Covid in Oil Prices. (2022). Kohlscheen, Emanuel. In: Papers. RePEc:arx:papers:2208.14254. 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 | 4 |
2010 | High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 100 |
2020 | Taming the Factor Zoo: A Test of New Factors In: Journal of Finance. [Full Text][Citation analysis] | article | 115 |
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: 115 | 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: 115 | paper | |
2018 | Empirical Asset Pricing via Machine Learning In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 297 |
2018 | Empirical Asset Pricing via Machine Learning.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 297 | 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: 297 | article | |
2010 | Quasi-maximum likelihood estimation of volatility with high frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 108 |
2014 | Hermite polynomial based expansion of European option prices In: Journal of Econometrics. [Full Text][Citation analysis] | article | 34 |
2016 | A tale of two option markets: Pricing kernels and volatility risk In: Journal of Econometrics. [Full Text][Citation analysis] | article | 45 |
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: 45 | paper | |
2016 | Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 33 |
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 | 68 |
2018 | Resolution of policy uncertainty and sudden declines in volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 55 |
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 | 10 |
2019 | A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 15 |
2020 | High-frequency factor models and regressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
2021 | Autoencoder asset pricing models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 50 |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 2 |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | 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 another 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 another version. Agregated cites: 17 | article | |
2021 | Thousands of Alpha Tests In: NBER Chapters. [Citation analysis] | chapter | 12 |
2021 | Thousands of Alpha Tests.(2021) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | 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 another 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 | 33 |
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 | 2 |
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 | 68 |
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 | 42 |
2021 | Asset Pricing with Omitted Factors In: Journal of Political Economy. [Full Text][Citation analysis] | article | 21 |
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 another 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 | 2 |
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