Dacheng Xiu : Citation Profile

Are you Dacheng Xiu?

University of Chicago

17

H index

22

i10 index

1234

Citations

RESEARCH PRODUCTION:

26

Articles

17

Papers

1

Chapters

RESEARCH ACTIVITY:

   12 years (2010 - 2022). See details.
   Cites by year: 102
   Journals where Dacheng Xiu has often published
   Relations with other researchers
   Recent citing documents: 570.    Total self citations: 15 (1.2 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pxi68
   Updated: 2023-08-19    RAS profile: 2022-12-03    
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Relations with other researchers

Works with:

Ait-Sahalia, Yacine (7)

Giglio, Stefano (7)

Adrian, Tobias (2)

Stefanova, Denitsa (2)

Liew, Chee (2)

Gehrig, Thomas (2)

Taylor, Nick (2)

Lopez-Lira, Alejandro (2)

He, Xuezhong (Tony) (2)

Rakowski, David (2)

Ferrara, Gerardo (2)

Patton, Andrew (2)

Heath, Davidson (2)

Kearney, Fearghal (2)

Frijns, Bart (2)

Schwarz, Marco (2)

Talavera, Oleksandr (2)

Menkveld, Albert (2)

Prokopczuk, Marcel (2)

Gerritsen, Dirk (2)

Hurlin, Christophe (2)

Pelizzon, Loriana (2)

Korajczyk, Robert (2)

Moinas, Sophie (2)

Caporin, Massimiliano (2)

Abudy, Menachem (2)

Tonks, Ian (2)

Wolff, Christian (2)

Frömmel, Michael (2)

LINTON, OLIVER (2)

van Kervel, Vincent (2)

Bos, Charles (2)

Dimpfl, Thomas (2)

Schenk-Hoppé, Klaus (2)

Ødegaard, Bernt (2)

Kalnina, Ilze (2)

Xia, Shuo (2)

Colliard, Jean-Edouard (2)

Schuerhoff, Norman (2)

Lajaunie, Quentin (2)

Alexeev, Vitali (2)

Park, Andreas (2)

Wong, Wing-Keung (2)

Holzmeister, Felix (2)

Hautsch, Nikolaus (2)

Deev, Oleg (2)

FERROUHI, EL MEHDI (2)

CAPELLE-BLANCARD, Gunther (2)

Dumitrescu, Ariadna (2)

Deku, Solomon (2)

Jurkatis, Simon (2)

Rinne, Kalle (2)

Pasquariello, Paolo (2)

Smales, Lee (2)

Harris, Jeffrey (2)

Brownlees, Christian (2)

Jalkh, Naji (2)

PASCUAL, ROBERTO (2)

Palan, Stefan (2)

Sojli, Elvira (2)

Zhou, Chen (2)

Foucault, Thierry (2)

Scaillet, Olivier (2)

Vilkov, Grigory (2)

Putnins, Talis (2)

Mihet, Roxana (2)

Regis, Luca (2)

Patel, Vinay (2)

Vogel, Sebastian (2)

Reitz, Stefan (2)

Sarno, Lucio (2)

Chernov, Mikhail (2)

Ranaldo, Angelo (2)

Johannesson, Magnus (2)

Lof, Matthijs (2)

Davies, Ryan (2)

Walther, Thomas (2)

Renault, Thomas (2)

Nielsson, Ulf (2)

Theissen, Erik (2)

Roy, Saurabh (2)

Wilhelmsson, Anders (2)

Chow, Nikolai Sheung-Chi (2)

Pastor, Lubos (2)

Verousis, Thanos (2)

Horenstein, Alex (2)

Kassner, Bernhard (2)

Dreber, Anna (2)

Bouri, Elie (2)

Gorbenko, Arseny (2)

Bohorquez Correa, Santiago (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:

Fan, Jianqing (17)

Baruník, Jozef (12)

GUPTA, RANGAN (12)

Potiron, Yoann (12)

LINTON, OLIVER (12)

Scaillet, Olivier (12)

Quaedvlieg, Rogier (10)

Pelger, Markus (10)

Fiorentini, Gabriele (9)

Santucci de Magistris, Paolo (9)

Sentana, Enrique (9)

Cites to:

Ait-Sahalia, Yacine (36)

Shephard, Neil (35)

Bollerslev, Tim (30)

Hansen, Peter (29)

Fan, Jianqing (28)

Reichlin, Lucrezia (23)

Lunde, Asger (22)

Andersen, Torben (21)

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
Econometrica3
Journal of Business & Economic Statistics3
Journal of the American Statistical Association2
Review of Financial Studies2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc9

Recent works citing Dacheng Xiu (2022 and 2021)

YearTitle of citing document
2021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Christensen, Kim ; Siggaard, Mathias. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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

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2022A Neural Network Approach to the Environmental Kuznets Curve. (2022). Bennedsen, Mikkel ; Jensen, Sebastian ; Hillebrand, Eric. In: CREATES Research Papers. RePEc:aah:create:2022-09.

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2021Machine 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.

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2021.

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2022Medición 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.

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

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

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2023Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637.

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2022High 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.

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

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

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

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

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

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2023Denise: Deep Learning based Robust PCA for Positive Semidefinite Matrices. (2020). Teichmann, Josef ; Krach, Florian ; Herrera, Calypso . In: Papers. RePEc:arx:papers:2004.13612.

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

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2022High-frequency Estimation of the L\evy-driven Graph Ornstein-Uhlenbeck process. (2020). , Almut ; Courgeau, Valentin. In: Papers. RePEc:arx:papers:2008.10930.

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

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

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2021Binary 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.

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2022High Dimensional Forecast Combinations Under Latent Structures. (2020). Su, Liangjun ; Shi, Zhentao ; Xie, Tian. In: Papers. RePEc:arx:papers:2010.09477.

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2021Deep Learning for Individual Heterogeneity. (2020). Misra, Sanjog ; Liang, Tengyuan ; Farrell, Max H. In: Papers. RePEc:arx:papers:2010.14694.

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2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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

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2022Predicting S&P500 Index direction with Transfer Learning and a Causal Graph as main Input. (2021). Romain, Djoumbissie David. In: Papers. RePEc:arx:papers:2011.13113.

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

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

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

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

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

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

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2022Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

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

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

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2022Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2021Confronting Machine Learning With Financial Research. (2021). Kim, Jack ; el Harzli, Ouns ; Lommers, Kristof. In: Papers. RePEc:arx:papers:2103.00366.

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

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

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

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

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

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2022An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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

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2021Slow 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.

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2022Deep Learning Statistical Arbitrage. (2021). Pelger, Markus ; Guijarro-Ordonez, Jorge ; Zanotti, Greg. In: Papers. RePEc:arx:papers:2106.04028.

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

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

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2021Stock Movement Prediction with Financial News using Contextualized Embedding from BERT. (2021). Chen, Qinkai. In: Papers. RePEc:arx:papers:2107.08721.

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

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2023Trade 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.

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

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

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2023Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

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

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

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2023Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567.

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2022Linear Panel Regressions with Two-Way Unobserved Heterogeneity. (2021). Weidner, Martin ; Freeman, Hugo. In: Papers. RePEc:arx:papers:2109.11911.

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

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

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

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

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

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

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

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2023Expert Aggregation for Financial Forecasting. (2021). Mikael, Joseph ; Cl, Alasseur ; Marie, Briere ; Remlinger, Carl. In: Papers. RePEc:arx:papers:2111.15365.

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2022Deep differentiable reinforcement learning and optimal trading. (2021). Jaisson, Thibault. In: Papers. RePEc:arx:papers:2112.02944.

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

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

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2023Price Impact of Order Flow Imbalance: Multi-level, Cross-sectional and Forecasting. (2021). Zhang, Chao ; Cucuringu, Mihai ; Cont, Rama. In: Papers. RePEc:arx:papers:2112.13213.

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

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

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2023Cryptocurrency Valuation: An Explainable AI Approach. (2022). Zhang, Luyao ; Liu, Yulin. In: Papers. RePEc:arx:papers:2201.12893.

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

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2022Managers versus Machines: Do Algorithms Replicate Human Intuition in Credit Ratings?. (2022). Harding, Matthew. In: Papers. RePEc:arx:papers:2202.04218.

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2023Media Slant is Contagious. (2022). Widmer, Philine ; Ash, Elliott ; Galletta, Sergio. In: Papers. RePEc:arx:papers:2202.07269.

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2023Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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

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2023Does 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.

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

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

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

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2022Modeling dynamic volatility under uncertain environment with fuzziness and randomness. (2022). Zhou, Yan ; Sun, Baiqing ; Hui, Xianfei. In: Papers. RePEc:arx:papers:2204.12657.

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2022High-Frequency-Based Volatility Model with Network Structure. (2022). Wang, Junhui ; Li, Guodong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:2204.12933.

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2022Modeling Multivariate Positive-Valued Time Series Using R-INLA. (2022). Basu, Sumanta ; Ravishanker, Nalini ; Dutta, Chiranjit. In: Papers. RePEc:arx:papers:2206.05374.

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2022Robust 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.

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2022Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052.

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2022Deep Partial Least Squares for Empirical Asset Pricing. (2022). Goicoechea, Kemen ; Polson, Nicholas G ; Dixon, Matthew F. In: Papers. RePEc:arx:papers:2206.10014.

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2022Misspecification and Weak Identification in Asset Pricing. (2022). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2206.13600.

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2022Most claimed statistical findings in cross-sectional return predictability are likely true. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365.

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2022Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2023Missing Values and the Dimensionality of Expected Returns. (2022). McCoy, Jack ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2207.13071.

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2022A 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.

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2023Bootstrap inference in the presence of bias. (2022). Cavaliere, Giuseppe ; Nielsen, Morten Orregaard ; Gonccalves, S'Ilvia. In: Papers. RePEc:arx:papers:2208.02028.

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2022Estimation of growth in fund models. (2022). Ruf, Johannes ; Koo, Hyeng Keun ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:2208.02573.

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2022The Efficient Market Hypothesis for Bitcoin in the context of neural networks. (2022). Osterrieder, Joerg ; Kraehenbuehl, Mike. In: Papers. RePEc:arx:papers:2208.07254.

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2023Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693.

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2023Transfer 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.

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2023Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

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2022Large Volatility Matrix Analysis Using Global and National Factor Models. (2022). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2208.12323.

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2022Quantifying the Role of Interest Rates, the Dollar and Covid in Oil Prices. (2022). Kohlscheen, Emanuel. In: Papers. RePEc:arx:papers:2208.14254.

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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]		article4
2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article100
2020Taming the Factor Zoo: A Test of New Factors In: Journal of Finance.
[Full Text][Citation analysis]		article115
2020Taming the Factor Zoo: A Test of New Factors.(2020) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 115		paper
2019Taming the Factor Zoo: A Test of New Factors.(2019) In: NBER Working Papers.
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This paper has another version. Agregated cites: 115		paper
2018Empirical Asset Pricing via Machine Learning In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper297
2018Empirical Asset Pricing via Machine Learning.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 297		paper
2020Empirical Asset Pricing via Machine Learning.(2020) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 297		article
2010Quasi-maximum likelihood estimation of volatility with high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article108
2014Hermite polynomial based expansion of European option prices In: Journal of Econometrics.
[Full Text][Citation analysis]		article34
2016A tale of two option markets: Pricing kernels and volatility risk In: Journal of Econometrics.
[Full Text][Citation analysis]		article45
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 another version. Agregated cites: 45		paper
2016Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics.
[Full Text][Citation analysis]		article33
2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article68
2018Resolution of policy uncertainty and sudden declines in volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article55
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]		article10
2019A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
2020High-frequency factor models and regressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2021Autoencoder asset pricing models In: Journal of Econometrics.
[Full Text][Citation analysis]		article50
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2015Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency In: Cahiers de recherche.
[Full Text][Citation analysis]		paper17
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 another version. Agregated cites: 17		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 another version. Agregated cites: 17		article
2021Thousands of Alpha Tests In: NBER Chapters.
[Citation analysis]		chapter12
2021Thousands of Alpha Tests.(2021) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		article
2015Principal Component Analysis of High Frequency Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper27
2019Principal 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
2017Inference on Risk Premia in the Presence of Omitted Factors In: NBER Working Papers.
[Full Text][Citation analysis]		paper11
2019Predicting Returns With Text Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper33
2020The Structure of Economic News In: NBER Working Papers.
[Full Text][Citation analysis]		paper24
2020Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2021Test Assets and Weak Factors In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2021Business News and Business Cycles In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2018Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* In: The 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]		article68
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]		article42
2021Asset Pricing with Omitted Factors In: Journal of Political Economy.
[Full Text][Citation analysis]		article21
2016Generalized Method of Integrated Moments for High?Frequency Data In: Econometrica.
[Full Text][Citation analysis]		article14
2016Generalized Method of Integrated Moments for High?Frequency Data.(2016) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		article
2021When Moving?Average Models Meet High?Frequency Data: Uniform Inference on Volatility In: Econometrica.
[Full Text][Citation analysis]		article2

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