Dacheng Xiu : Citation Profile

University of Chicago

21

H index

27

i10 index

2087

Citations

RESEARCH PRODUCTION:

28

Articles

23

Papers

1

Chapters

RESEARCH ACTIVITY:

   15 years (2010 - 2025). See details.
   Cites by year: 139
   Journals where Dacheng Xiu has often published
   Relations with other researchers
   Recent citing documents: 467.    Total self citations: 15 (0.71 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pxi68
   Updated: 2025-07-05    RAS profile: 2025-02-06    
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Relations with other researchers

Works with:

Ødegaard, Bernt (6)

Gerritsen, Dirk (6)

Gehrig, Thomas (6)

Jurkatis, Simon (6)

Nielsson, Ulf (6)

FERROUHI, EL MEHDI (6)

Schwarz, Marco (6)

Johannesson, Magnus (6)

Roy, Saurabh (6)

Frömmel, Michael (6)

Park, Andreas (6)

Lof, Matthijs (6)

Ait-Sahalia, Yacine (6)

Sarno, Lucio (6)

Hurlin, Christophe (6)

Schuerhoff, Norman (6)

Pasquariello, Paolo (6)

Harris, Jeffrey (6)

Tonks, Ian (6)

Zhang, S. Sarah (6)

Palan, Stefan (6)

Deev, Oleg (6)

Degryse, Hans (6)

Wolff, Christian (6)

LINTON, OLIVER (6)

Vilkov, Grigory (6)

Holzmeister, Felix (6)

Smales, Lee (6)

Shachar, Or (6)

Pastor, Lubos (6)

Korajczyk, Robert (6)

Bos, Charles (6)

Stefanova, Denitsa (6)

Reitz, Stefan (6)

Caporin, Massimiliano (6)

Foucault, Thierry (6)

Brownlees, Christian (6)

Scaillet, Olivier (6)

Füllbrunn, Sascha (6)

Dreber, Anna (6)

Chernov, Mikhail (6)

Liew, Chee (6)

Rinne, Kalle (6)

Sojli, Elvira (6)

Frijns, Bart (6)

Alexeev, Vitali (6)

Ferrara, Gerardo (6)

Ranaldo, Angelo (6)

Xia, Shuo (6)

Talavera, Oleksandr (6)

Wilhelmsson, Anders (6)

Renault, Thomas (6)

Verousis, Thanos (5)

Jalkh, Naji (5)

Koetter, Michael (5)

Bohorquez Correa, Santiago (5)

Walther, Thomas (5)

Hautsch, Nikolaus (5)

Dimpfl, Thomas (5)

Giglio, Stefano (5)

Davies, Ryan (5)

Horenstein, Alex (5)

Schenk-Hoppé, Klaus (5)

Deku, Solomon (5)

CAPELLE-BLANCARD, Gunther (5)

Neszveda, Gabor (5)

Eugster, Nicolas (5)

Menkveld, Albert (5)

Huang, Wenqian (5)

van Kervel, Vincent (4)

Aloosh, Arash (4)

Güçbilmez, Ufuk (4)

Colliard, Jean-Edouard (4)

Voigt, Stefan (3)

Mihet, Roxana (3)

Abudy, Menachem (3)

Taylor, Nick (3)

Chow, Nikolai Sheung-Chi (3)

He, Xuezhong (Tony) (3)

Gil-Bazo, Javier (3)

Kearney, Fearghal (2)

Dumitrescu, Ariadna (2)

Adrian, Tobias (2)

Hasse, Jean-Baptiste (2)

Gorbenko, Arseny (2)

Putnins, Talis (2)

Wong, Wing-Keung (2)

Rakowski, David (2)

Lajaunie, Quentin (2)

Vogel, Sebastian (2)

Söderlind, Paul (2)

Bouri, Elie (2)

PASCUAL, ROBERTO (2)

Roy, Saurabh (2)

Prokopczuk, Marcel (2)

Patel, Vinay (2)

Kassner, Bernhard (2)

Regis, Luca (2)

Pelizzon, Loriana (2)

Theissen, Erik (2)

Bjønnes, Geir (2)

Heath, Davidson (2)

Moinas, Sophie (2)

Zhou, Chen (2)

Patton, Andrew (2)

Lopez-Lira, Alejandro (2)

Feng, Guanhao (2)

Hjalmarsson, Erik (2)

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

Is cited by:

Kim, Donggyu (72)

LINTON, OLIVER (31)

Fan, Jianqing (30)

Scaillet, Olivier (23)

Baruník, Jozef (17)

GUPTA, RANGAN (16)

Wang, Yudong (14)

Yang, Xiye (14)

Bollerslev, Tim (14)

Feng, Guanhao (14)

Pelger, Markus (12)

Cites to:

Shephard, Neil (36)

Ait-Sahalia, Yacine (36)

Bollerslev, Tim (30)

Hansen, Peter (29)

Fan, Jianqing (28)

Reichlin, Lucrezia (23)

Andersen, Torben (23)

Lunde, Asger (22)

Bai, Jushan (19)

Diebold, Francis (18)

Tauchen, George (17)

Main data

Where Dacheng Xiu has published?

Journals with more than one article published# docs
Journal of Econometrics11
Journal of Business & Economic Statistics3
Journal of Finance3
Econometrica3
Journal of the American Statistical Association2
The Review of Financial Studies2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc12

Recent works citing Dacheng Xiu (2025 and 2024)

YearTitle of citing document
2024Intangible Assets and US Stock Returns: An analysis using the Index Method, Panel Regression, and Machine Learning. (2024). Haniev, Adil. In: Journal of Applied Economic Research. RePEc:aiy:jnjaer:v:23:y:2024:i:3:p:833-854.

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2024Detecting discrete processes with the Epps effect. (2024). Gebbie, Tim ; Chang, Patrick ; Pienaar, Etienne. In: Papers. RePEc:arx:papers:2005.10568.

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2025Deep Learning for Individual Heterogeneity. (2025). Misra, Sanjog ; Farrell, Max ; Liang, Tengyuan. In: Papers. RePEc:arx:papers:2010.14694.

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2024Adversarial Estimation of Riesz Representers. (2024). Newey, Whitney ; Chernozhukov, Victor ; Syrgkanis, Vasilis ; Singh, Rahul. In: Papers. RePEc:arx:papers:2101.00009.

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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2024). Zhang, Huacheng ; Lamoureux, Christopher G. In: Papers. RePEc:arx:papers:2104.12975.

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2024Hamiltonian Monte Carlo for Regression with High-Dimensional Categorical Data. (2024). Sacher, Szymon ; Hansen, Stephen ; Battaglia, Laura. In: Papers. RePEc:arx:papers:2107.08112.

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2024Trade When Opportunity Comes: Price Movement Forecasting via Locality-Aware Attention and Iterative Refinement Labeling. (2024). Dai, Zhonghao ; Zhang, Ruchen ; Wang, Ling ; Zeng, Liang ; Li, Jian ; Niu, Hui ; Zhu, Dewei. In: Papers. RePEc:arx:papers:2107.11972.

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2024Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2024). Zohren, Stefan ; Poon, Ser-Huang ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

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2025Media Slant is Contagious. (2025). Galletta, Sergio ; Ash, Elliott ; Widmer, Philine. In: Papers. RePEc:arx:papers:2202.07269.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2024Do t-Statistic Hurdles Need to be Raised?. (2024). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275.

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2025Most claimed statistical findings in cross-sectional return predictability are likely true. (2025). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365.

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2025Stochastic arbitrage with market index options. (2025). Beare, Brendan ; Seo, Juwon. In: Papers. RePEc:arx:papers:2207.00949.

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2024Missing Values Handling for Machine Learning Portfolios. (2024). McCoy, Jack ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2207.13071.

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2024Matrix Quantile Factor Model. (2024). Liu, Yong-Xin ; Kong, Xin-Bing ; Zhao, Peng ; Yu, Long. In: Papers. RePEc:arx:papers:2208.08693.

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2024Beta-Sorted Portfolios. (2024). Crump, Richard ; Cattaneo, Matias ; Wang, Weining. In: Papers. RePEc:arx:papers:2208.10974.

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2024Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2024Statistical inference for rough volatility: Central limit theorems. (2024). Liu, Yanghui ; Rosenbaum, Mathieu ; Hoffmann, Marc ; Szymanski, Gr'Egoire ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216.

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2025Empirical Asset Pricing via Ensemble Gaussian Process Regression. (2025). Pasricha, Puneet ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2212.01048.

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2024On LASSO for High Dimensional Predictive Regression. (2024). Mei, Ziwei ; Shi, Zhentao. In: Papers. RePEc:arx:papers:2212.07052.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2024). Lu, Yutong ; Cucuringu, Mihai ; Reinert, Gesine. In: Papers. RePEc:arx:papers:2302.09382.

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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2024The Elasticity of Quantitative Investment. (2024). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

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2024Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models. (2024). Lopez-Lira, Alejandro ; Tang, Yuehua. In: Papers. RePEc:arx:papers:2304.07619.

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2025Asymptotic Expansions for High-Frequency Option Data. (2025). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450.

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2024The cross-sectional stock return predictions via quantum neural network and tensor network. (2024). Suimon, Yoshiyuki ; Kobayashi, Nozomu ; Mitarai, Kosuke ; Miyamoto, Koichi. In: Papers. RePEc:arx:papers:2304.12501.

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2024Large Global Volatility Matrix Analysis Based on Observation Structural Information. (2024). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464.

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2024Volatility of Volatility and Leverage Effect from Options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137.

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2024Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2024). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Maximally Machine-Learnable Portfolios. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian. In: Papers. RePEc:arx:papers:2306.05568.

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2024Localized Neural Network Modelling of Time Series: A Case Study on US Monetary Policy. (2024). GAO, Jiti ; Yang, Yanrong ; Peng, Bin. In: Papers. RePEc:arx:papers:2306.05593.

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2025Bloated Disclosures: Can ChatGPT Help Investors Process Information?. (2025). Nikolaev, Valeri ; Muhn, Maximilian ; Kim, Alex. In: Papers. RePEc:arx:papers:2306.10224.

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2024Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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2024Estimation and Inference for a Class of Generalized Hierarchical Models. (2024). GAO, Jiti ; Yan, Yayi ; Dong, Chaohua ; Peng, Bin. In: Papers. RePEc:arx:papers:2311.02789.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2024Learning to Generate Explainable Stock Predictions using Self-Reflective Large Language Models. (2024). Ma, Yunshan ; Chua, Tat-Seng ; Ng, Ritchie. In: Papers. RePEc:arx:papers:2402.03659.

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2024Monthly GDP nowcasting with Machine Learning and Unstructured Data. (2024). TENORIO, JUAN ; Perez, Wilder. In: Papers. RePEc:arx:papers:2402.04165.

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2024High Dimensional Factor Analysis with Weak Factors. (2024). Yuan, Ming ; Choi, Jungjun. In: Papers. RePEc:arx:papers:2402.05789.

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2024MDGNN: Multi-Relational Dynamic Graph Neural Network for Comprehensive and Dynamic Stock Investment Prediction. (2024). Zhao, Qian ; Zhou, Jun ; Wang, Jingwei ; Yao, Hongxiang ; Qian, Hao ; Chen, Hao ; Yu, Fei ; Liu, Ziqi ; Zhang, Zhiqiang. In: Papers. RePEc:arx:papers:2402.06633.

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2024End-to-End Policy Learning of a Statistical Arbitrage Autoencoder Architecture. (2024). Calliess, Jan-Peter ; Krause, Fabian. In: Papers. RePEc:arx:papers:2402.08233.

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2024Quantifying neural network uncertainty under volatility clustering. (2024). , Steven ; Azizi, Lamiae. In: Papers. RePEc:arx:papers:2402.14476.

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2025Inference for Regression with Variables Generated by AI or Machine Learning. (2024). Sacher, Szymon ; Hansen, Stephen ; Christensen, Timothy ; Battaglia, Laura. In: Papers. RePEc:arx:papers:2402.15585.

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2024Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Papers. RePEc:arx:papers:2403.00819.

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2024RVRAE: A Dynamic Factor Model Based on Variational Recurrent Autoencoder for Stock Returns Prediction. (2024). Wang, Yilun ; Guo, Shengjie. In: Papers. RePEc:arx:papers:2403.02500.

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2025Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector. (2024). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2403.02591.

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2024From Factor Models to Deep Learning: Machine Learning in Reshaping Empirical Asset Pricing. (2024). Ye, Junyi ; Gu, Jingyi ; Wang, Guiling ; Goswami, Bhaskar ; Uddin, Ajim. In: Papers. RePEc:arx:papers:2403.06779.

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2024FinLlama: Financial Sentiment Classification for Algorithmic Trading Applications. (2024). Constantinides, Tony G ; Konstantinidis, Thanos ; Xu, Mingxue ; Iacovides, Giorgos ; Mandic, Danilo. In: Papers. RePEc:arx:papers:2403.12285.

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2024StockGPT: A GenAI Model for Stock Prediction and Trading. (2024). Mai, Dat. In: Papers. RePEc:arx:papers:2404.05101.

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2025RiskLabs: Predicting Financial Risk Using Large Language Model Based on Multi-Sources Data. (2024). Chen, Zhi ; Cao, Yupeng ; Pei, Qingyun ; Kumar, Prashant ; Ndiaye, Papa Momar ; Ausiello, Lorenzo ; Subbalakshmi, K P ; Dimino, Fabrizio. In: Papers. RePEc:arx:papers:2404.07452.

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2024One Factor to Bind the Cross-Section of Returns. (2024). Borri, Nicola ; Liu, Yukun ; Chetverikov, Denis ; Tsyvinski, Aleh. In: Papers. RePEc:arx:papers:2404.08129.

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2024Application of Deep Learning for Factor Timing in Asset Management. (2024). Chen, Xilin ; Panda, Prabhu Prasad ; Gharanchaei, Maysam Khodayari ; Lyu, Haoshu. In: Papers. RePEc:arx:papers:2404.18017.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012.

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2024Empirical Crypto Asset Pricing. (2024). Baybutt, Adam. In: Papers. RePEc:arx:papers:2405.15716.

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2024Dynamic Latent-Factor Model with High-Dimensional Asset Characteristics. (2024). Baybutt, Adam. In: Papers. RePEc:arx:papers:2405.15721.

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2024Risk-Neutral Generative Networks. (2024). Xian, Zhonghao ; Yan, Xing ; Wu, QI ; Leung, Cheuk Hang. In: Papers. RePEc:arx:papers:2405.17770.

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2024Probabilistic models and statistics for electronic financial markets in the digital age. (2024). Bibinger, Markus. In: Papers. RePEc:arx:papers:2406.07388.

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2024When can weak latent factors be statistically inferred?. (2024). Fan, Jianqing ; Yan, Yuling ; Zheng, Yuheng. In: Papers. RePEc:arx:papers:2407.03616.

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2024Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series. (2024). Kostanjvcar, Zvonko ; Beguvsi, Stjepan ; Vzigni, Lucija. In: Papers. RePEc:arx:papers:2407.03781.

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2025Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators. (2025). Jos'e E. Figueroa-L'opez, ; Pang, Jincheng ; Wu, Bei. In: Papers. RePEc:arx:papers:2407.09759.

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2024NeuralBeta: Estimating Beta Using Deep Learning. (2024). Liu, Yuxin ; Lin, Jimin ; Gopal, Achintya. In: Papers. RePEc:arx:papers:2408.01387.

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2024NeuralFactors: A Novel Factor Learning Approach to Generative Modeling of Equities. (2024). Gopal, Achintya. In: Papers. RePEc:arx:papers:2408.01499.

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2024KAN based Autoencoders for Factor Models. (2024). Wang, Tianqi ; Singh, Shubham. In: Papers. RePEc:arx:papers:2408.02694.

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2024A nonparametric test for diurnal variation in spot correlation processes. (2024). Liu, Zhi ; Hounyo, Ulrich ; Christensen, Kim. In: Papers. RePEc:arx:papers:2408.02757.

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2024Predicting the distributions of stock returns around the globe in the era of big data and learning. (2024). Baruník, Jozef ; Tobek, Ondrej ; Hronec, Martin. In: Papers. RePEc:arx:papers:2408.07497.

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2024Counterfactual and Synthetic Control Method: Causal Inference with Instrumented Principal Component Analysis. (2024). Wang, Cong. In: Papers. RePEc:arx:papers:2408.09271.

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2024Causality-Inspired Models for Financial Time Series Forecasting. (2024). Lu, Yutong ; Lin, XI ; Cucuringu, Mihai ; Oliveira, Daniel Cunha ; Fujita, Andre. In: Papers. RePEc:arx:papers:2408.09960.

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2025Fundamental properties of linear factor models. (2025). Schneider, Paul ; Filipovic, Damir. In: Papers. RePEc:arx:papers:2409.02521.

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2025Macroscopic properties of equity markets: stylized facts and portfolio performance. (2025). Wong, Ting-Kam Leonard ; Campbell, Steven ; Song, Qien. In: Papers. RePEc:arx:papers:2409.10859.

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2024Improving Estimation of Portfolio Risk Using New Statistical Factors. (2024). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Papers. RePEc:arx:papers:2409.17182.

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2024Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets. (2024). Yang, Yanrong ; Wu, Ruike ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2410.01826.

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2025Mamba Meets Financial Markets: A Graph-Mamba Approach for Stock Price Prediction. (2025). Chen, Xiaohong ; Mazloum, Mahdi ; Hoseinzade, Ehsan ; Mehrabian, Ali. In: Papers. RePEc:arx:papers:2410.03707.

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2025Statistical Properties of Deep Neural Networks with Dependent Data. (2025). Brown, Chad. In: Papers. RePEc:arx:papers:2410.11113.

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2025Time-Series Foundation Model for Value-at-Risk Forecasting. (2025). Kanniainen, Juho ; Pasricha, Puneet ; Goel, Anubha. In: Papers. RePEc:arx:papers:2410.11773.

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2025Multi-Task Dynamic Pricing in Credit Market with Contextual Information. (2024). Xu, Renyuan ; Ji, Jingwei ; Javanmard, Adel. In: Papers. RePEc:arx:papers:2410.14839.

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2024A Stock Price Prediction Approach Based on Time Series Decomposition and Multi-Scale CNN using OHLCT Images. (2024). Yan, Jianqi ; Pei, Zhiyuan ; Yang, Bailing ; Zhang, Yang ; Liu, Xin. In: Papers. RePEc:arx:papers:2410.19291.

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2024Strategic Control of Facial Expressions by the Fed Chair. (2024). Ng, Hunter. In: Papers. RePEc:arx:papers:2410.20214.

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2025Forecasting Company Fundamentals. (2024). Dhami, Devendra Singh ; Kersting, Kristian ; Endler, Kevin ; Divo, Felix ; Endress, Eric. In: Papers. RePEc:arx:papers:2411.05791.

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2024Sparse Interval-valued Time Series Modeling with Machine Learning. (2024). Wang, Shouyang ; Sun, Yuying ; Hong, Yongmiao ; Bao, Haowen. In: Papers. RePEc:arx:papers:2411.09452.

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2024The Value of Information from Sell-side Analysts. (2024). Lv, Linying. In: Papers. RePEc:arx:papers:2411.13813.

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2024Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Zhang, Lingxiang ; Storti, Giuseppe ; Gerlach, Richard ; Wang, Chao ; Zhao, Qianli. In: Papers. RePEc:arx:papers:2411.17136.

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2024Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy. (2024). Zhang, Terry ; Yang, Yanrong ; Lu, Yonghe. In: Papers. RePEc:arx:papers:2411.18830.

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2024From rotational to scalar invariance: Enhancing identifiability in score-driven factor models. (2024). Dzuverovic, Emilija ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Papers. RePEc:arx:papers:2412.01367.

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2024A Rule-Based Methodology for Company Identification: Application to the Downstream Space Sector. (2024). Pelletier, Pierre ; Bousedra, Kenza. In: Papers. RePEc:arx:papers:2412.02342.

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2025Cubic-based Prediction Approach for Large Volatility Matrix using High-Frequency Financial Data. (2024). Choi, Sung Hoon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2412.04293.

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2024Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups. (2024). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2412.05664.

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2025Diffusion on the circle and a stochastic correlation model. (2025). Laha, Arnab Kumar ; Majumdar, Sourav. In: Papers. RePEc:arx:papers:2412.06343.

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2024AI-Enhanced Factor Analysis for Predicting S&P 500 Stock Dynamics. (2024). Lu, Yuting ; Chen, Sixun ; Lin, Xintong ; Yang, Zichen ; Gu, Jiajun. In: Papers. RePEc:arx:papers:2412.12438.

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2025Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading. (2025). Fabozzi, Frank J ; Rachev, Svetlozar ; Shirvani, Abootaleb ; Monico, Chris ; Deep, Akash. In: Papers. RePEc:arx:papers:2412.15448.

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2024Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study. (2024). Yu, Xun ; Jia, Yanwei ; Huang, Yilie. In: Papers. RePEc:arx:papers:2412.16175.

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2025LLM-Powered Multi-Agent System for Automated Crypto Portfolio Management. (2025). Xu, Jiahua ; Liu, Yang ; Tasca, Paolo ; Feng, Yebo ; Luo, Yichen. In: Papers. RePEc:arx:papers:2501.00826.

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2025Risk forecasting using Long Short-Term Memory Mixture Density Networks. (2025). Herrig, Nico. In: Papers. RePEc:arx:papers:2501.01278.

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2025Multi-Hypothesis Prediction for Portfolio Optimization: A Structured Ensemble Learning Approach to Risk Diversification. (2025). Hong, Xia ; Shahzad, Muhammad ; Dominguez, Alejandro Rodriguez. In: Papers. RePEc:arx:papers:2501.03919.

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2025Multiscale risk spillovers and external driving factors: Evidence from the global futures and spot markets of staple foods. (2025). Zhou, Wei-Xing ; Nguyen, Duc Khuong ; Goutte, St'Ephane ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2501.15173.

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2025Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

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2025Reinforcement-Learning Portfolio Allocation with Dynamic Embedding of Market Information. (2025). Zheng, Zeyu ; Zhou, Chunyang ; Hua, Cheng. In: Papers. RePEc:arx:papers:2501.17992.

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2025Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization. (2025). Lee, Yongjae ; Zohren, Stefan ; Kong, Yaxuan ; Hwang, Yoontae. In: Papers. RePEc:arx:papers:2502.00828.

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2025Panel Data Estimation and Inference: Homogeneity versus Heterogeneity. (2025). GAO, Jiti ; Peng, Bin ; Liu, Fei ; Yan, Yayi. In: Papers. RePEc:arx:papers:2502.03019.

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2025Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm. (2025). Barigozzi, Matteo ; Trapin, Luca. In: Papers. RePEc:arx:papers:2502.04112.

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2025FactorGCL: A Hypergraph-Based Factor Model with Temporal Residual Contrastive Learning for Stock Returns Prediction. (2025). Wang, Weiran ; Duan, Yitong ; Li, Jian. In: Papers. RePEc:arx:papers:2502.05218.

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2025Pursuing Top Growth with Novel Loss Function. (2025). Qiu, Haochen ; Guo, Ruoyu. In: Papers. RePEc:arx:papers:2502.17493.

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

Works by Dacheng Xiu:

YearTitleTypeCited
2022Factor Models, Machine Learning, and Asset Pricing In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article33
2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article126
2020Taming the Factor Zoo: A Test of New Factors In: Journal of Finance.
[Full Text][Citation analysis]		article213
2020Taming the Factor Zoo: A Test of New Factors.(2020) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 213		paper
2019Taming the Factor Zoo: A Test of New Factors.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 213		paper
2024Nonstandard Errors In: Journal of Finance.
[Full Text][Citation analysis]		article14
2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2024Nonstandard Errors.(2024) In: Post-Print.
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This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2025Test Assets and Weak Factors In: Journal of Finance.
[Full Text][Citation analysis]		article12
2021Test Assets and Weak Factors.(2021) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2018Empirical Asset Pricing via Machine Learning In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper612
2018Empirical Asset Pricing via Machine Learning.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 612		paper
2020Empirical Asset Pricing via Machine Learning.(2020) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 612		article
2010Quasi-maximum likelihood estimation of volatility with high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article135
2014Hermite polynomial based expansion of European option prices In: Journal of Econometrics.
[Full Text][Citation analysis]		article40
2016A tale of two option markets: Pricing kernels and volatility risk In: Journal of Econometrics.
[Full Text][Citation analysis]		article55
2014A Tale of Two Option Markets: Pricing Kernels and Volatility Risk.(2014) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		paper
2016Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics.
[Full Text][Citation analysis]		article49
2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading In: Journal of Econometrics.
[Full Text][Citation analysis]		article4
2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article92
2018Resolution of policy uncertainty and sudden declines in volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article68
2019Knowing 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]		article23
2019A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article24
2020High-frequency factor models and regressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article25
2021Autoencoder asset pricing models In: Journal of Econometrics.
[Full Text][Citation analysis]		article118
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2015Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency In: Cahiers de recherche.
[Full Text][Citation analysis]		paper20
2015Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency.(2015) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2017Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency.(2017) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		article
2021Thousands of Alpha Tests In: NBER Chapters.
[Citation analysis]		chapter22
2021Thousands of Alpha Tests.(2021) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		article
2015Principal Component Analysis of High Frequency Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper43
2019Principal Component Analysis of High-Frequency Data.(2019) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 43		article
2017Inference on Risk Premia in the Presence of Omitted Factors In: NBER Working Papers.
[Full Text][Citation analysis]		paper12
2019Predicting Returns With Text Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper50
2020The Structure of Economic News In: NBER Working Papers.
[Full Text][Citation analysis]		paper33
2020Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2021Business News and Business Cycles In: NBER Working Papers.
[Full Text][Citation analysis]		paper10
2023Financial Machine Learning In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2024The Statistical Limit of Arbitrage In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2025Can Machines Learn Weak Signals? In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2018Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2012Econometric 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]		paper6
2014Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article76
2014Rejoinder In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article70
2021Asset Pricing with Omitted Factors In: Journal of Political Economy.
[Full Text][Citation analysis]		article62
2016Generalized Method of Integrated Moments for High‐Frequency Data In: Econometrica.
[Full Text][Citation analysis]		article17
2016Generalized Method of Integrated Moments for High‐Frequency Data.(2016) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2021When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility In: Econometrica.
[Full Text][Citation analysis]		article8

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