21
H index
27
i10 index
2087
Citations
University of Chicago | 21 H index 27 i10 index 2087 Citations RESEARCH PRODUCTION: 28 Articles 23 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 |
Journal of Business & Economic Statistics | 3 |
Journal of Finance | 3 |
Econometrica | 3 |
Journal of the American Statistical Association | 2 |
The 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 | 12 |
Year | Title of citing document | |
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2024 | Intangible 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. Full description at Econpapers || Download paper | |
2024 | Detecting discrete processes with the Epps effect. (2024). Gebbie, Tim ; Chang, Patrick ; Pienaar, Etienne. In: Papers. RePEc:arx:papers:2005.10568. Full description at Econpapers || Download paper | |
2025 | Deep Learning for Individual Heterogeneity. (2025). Misra, Sanjog ; Farrell, Max ; Liang, Tengyuan. In: Papers. RePEc:arx:papers:2010.14694. Full description at Econpapers || Download paper | |
2024 | Adversarial Estimation of Riesz Representers. (2024). Newey, Whitney ; Chernozhukov, Victor ; Syrgkanis, Vasilis ; Singh, Rahul. In: Papers. RePEc:arx:papers:2101.00009. Full description at Econpapers || Download paper | |
2024 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2024). Zhang, Huacheng ; Lamoureux, Christopher G. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper | |
2024 | Hamiltonian Monte Carlo for Regression with High-Dimensional Categorical Data. (2024). Sacher, Szymon ; Hansen, Stephen ; Battaglia, Laura. In: Papers. RePEc:arx:papers:2107.08112. Full description at Econpapers || Download paper | |
2024 | Trade 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. Full description at Econpapers || Download paper | |
2024 | Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2024). Zohren, Stefan ; Poon, Ser-Huang ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480. Full description at Econpapers || Download paper | |
2025 | Media Slant is Contagious. (2025). Galletta, Sergio ; Ash, Elliott ; Widmer, Philine. In: Papers. RePEc:arx:papers:2202.07269. Full description at Econpapers || Download paper | |
2025 | Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943. Full description at Econpapers || Download paper | |
2024 | Do t-Statistic Hurdles Need to be Raised?. (2024). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275. Full description at Econpapers || Download paper | |
2025 | Most claimed statistical findings in cross-sectional return predictability are likely true. (2025). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365. Full description at Econpapers || Download paper | |
2025 | Stochastic arbitrage with market index options. (2025). Beare, Brendan ; Seo, Juwon. In: Papers. RePEc:arx:papers:2207.00949. Full description at Econpapers || Download paper | |
2024 | Missing Values Handling for Machine Learning Portfolios. (2024). McCoy, Jack ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2207.13071. Full description at Econpapers || Download paper | |
2024 | Matrix Quantile Factor Model. (2024). Liu, Yong-Xin ; Kong, Xin-Bing ; Zhao, Peng ; Yu, Long. In: Papers. RePEc:arx:papers:2208.08693. Full description at Econpapers || Download paper | |
2024 | Beta-Sorted Portfolios. (2024). Crump, Richard ; Cattaneo, Matias ; Wang, Weining. In: Papers. RePEc:arx:papers:2208.10974. Full description at Econpapers || Download paper | |
2024 | Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper | |
2024 | Statistical 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. Full description at Econpapers || Download paper | |
2025 | Empirical Asset Pricing via Ensemble Gaussian Process Regression. (2025). Pasricha, Puneet ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2212.01048. Full description at Econpapers || Download paper | |
2024 | On LASSO for High Dimensional Predictive Regression. (2024). Mei, Ziwei ; Shi, Zhentao. In: Papers. RePEc:arx:papers:2212.07052. Full description at Econpapers || Download paper | |
2024 | Co-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. Full description at Econpapers || Download paper | |
2024 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper | |
2024 | The Elasticity of Quantitative Investment. (2024). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533. Full description at Econpapers || Download paper | |
2024 | Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models. (2024). Lopez-Lira, Alejandro ; Tang, Yuehua. In: Papers. RePEc:arx:papers:2304.07619. Full description at Econpapers || Download paper | |
2025 | Asymptotic Expansions for High-Frequency Option Data. (2025). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450. Full description at Econpapers || Download paper | |
2024 | The 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. Full description at Econpapers || Download paper | |
2024 | Large Global Volatility Matrix Analysis Based on Observation Structural Information. (2024). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464. Full description at Econpapers || Download paper | |
2024 | Volatility of Volatility and Leverage Effect from Options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137. Full description at Econpapers || Download paper | |
2024 | Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2024). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934. Full description at Econpapers || Download paper | |
2024 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper | |
2024 | Maximally Machine-Learnable Portfolios. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian. In: Papers. RePEc:arx:papers:2306.05568. Full description at Econpapers || Download paper | |
2024 | Localized 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. Full description at Econpapers || Download paper | |
2025 | Bloated Disclosures: Can ChatGPT Help Investors Process Information?. (2025). Nikolaev, Valeri ; Muhn, Maximilian ; Kim, Alex. In: Papers. RePEc:arx:papers:2306.10224. Full description at Econpapers || Download paper | |
2024 | Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864. Full description at Econpapers || Download paper | |
2024 | Estimation 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. Full description at Econpapers || Download paper | |
2025 | SpotV2Net: 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. Full description at Econpapers || Download paper | |
2024 | Learning 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. Full description at Econpapers || Download paper | |
2024 | Monthly GDP nowcasting with Machine Learning and Unstructured Data. (2024). TENORIO, JUAN ; Perez, Wilder. In: Papers. RePEc:arx:papers:2402.04165. Full description at Econpapers || Download paper | |
2024 | High Dimensional Factor Analysis with Weak Factors. (2024). Yuan, Ming ; Choi, Jungjun. In: Papers. RePEc:arx:papers:2402.05789. Full description at Econpapers || Download paper | |
2024 | MDGNN: 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. Full description at Econpapers || Download paper | |
2024 | End-to-End Policy Learning of a Statistical Arbitrage Autoencoder Architecture. (2024). Calliess, Jan-Peter ; Krause, Fabian. In: Papers. RePEc:arx:papers:2402.08233. Full description at Econpapers || Download paper | |
2024 | Quantifying neural network uncertainty under volatility clustering. (2024). , Steven ; Azizi, Lamiae. In: Papers. RePEc:arx:papers:2402.14476. Full description at Econpapers || Download paper | |
2025 | Inference 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. Full description at Econpapers || Download paper | |
2024 | Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Papers. RePEc:arx:papers:2403.00819. Full description at Econpapers || Download paper | |
2024 | RVRAE: 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. Full description at Econpapers || Download paper | |
2025 | Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector. (2024). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2403.02591. Full description at Econpapers || Download paper | |
2024 | From 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. Full description at Econpapers || Download paper | |
2024 | FinLlama: 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. Full description at Econpapers || Download paper | |
2024 | StockGPT: A GenAI Model for Stock Prediction and Trading. (2024). Mai, Dat. In: Papers. RePEc:arx:papers:2404.05101. Full description at Econpapers || Download paper | |
2025 | RiskLabs: 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. Full description at Econpapers || Download paper | |
2024 | One Factor to Bind the Cross-Section of Returns. (2024). Borri, Nicola ; Liu, Yukun ; Chetverikov, Denis ; Tsyvinski, Aleh. In: Papers. RePEc:arx:papers:2404.08129. Full description at Econpapers || Download paper | |
2024 | Application 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. Full description at Econpapers || Download paper | |
2024 | Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers || Download paper | |
2024 | Empirical Crypto Asset Pricing. (2024). Baybutt, Adam. In: Papers. RePEc:arx:papers:2405.15716. Full description at Econpapers || Download paper | |
2024 | Dynamic Latent-Factor Model with High-Dimensional Asset Characteristics. (2024). Baybutt, Adam. In: Papers. RePEc:arx:papers:2405.15721. Full description at Econpapers || Download paper | |
2024 | Risk-Neutral Generative Networks. (2024). Xian, Zhonghao ; Yan, Xing ; Wu, QI ; Leung, Cheuk Hang. In: Papers. RePEc:arx:papers:2405.17770. Full description at Econpapers || Download paper | |
2024 | Probabilistic models and statistics for electronic financial markets in the digital age. (2024). Bibinger, Markus. In: Papers. RePEc:arx:papers:2406.07388. Full description at Econpapers || Download paper | |
2024 | When can weak latent factors be statistically inferred?. (2024). Fan, Jianqing ; Yan, Yuling ; Zheng, Yuheng. In: Papers. RePEc:arx:papers:2407.03616. Full description at Econpapers || Download paper | |
2024 | Block-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. Full description at Econpapers || Download paper | |
2025 | Estimation 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. Full description at Econpapers || Download paper | |
2024 | NeuralBeta: Estimating Beta Using Deep Learning. (2024). Liu, Yuxin ; Lin, Jimin ; Gopal, Achintya. In: Papers. RePEc:arx:papers:2408.01387. Full description at Econpapers || Download paper | |
2024 | NeuralFactors: A Novel Factor Learning Approach to Generative Modeling of Equities. (2024). Gopal, Achintya. In: Papers. RePEc:arx:papers:2408.01499. Full description at Econpapers || Download paper | |
2024 | KAN based Autoencoders for Factor Models. (2024). Wang, Tianqi ; Singh, Shubham. In: Papers. RePEc:arx:papers:2408.02694. Full description at Econpapers || Download paper | |
2024 | A nonparametric test for diurnal variation in spot correlation processes. (2024). Liu, Zhi ; Hounyo, Ulrich ; Christensen, Kim. In: Papers. RePEc:arx:papers:2408.02757. Full description at Econpapers || Download paper | |
2024 | Predicting 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. Full description at Econpapers || Download paper | |
2024 | Counterfactual and Synthetic Control Method: Causal Inference with Instrumented Principal Component Analysis. (2024). Wang, Cong. In: Papers. RePEc:arx:papers:2408.09271. Full description at Econpapers || Download paper | |
2024 | Causality-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. Full description at Econpapers || Download paper | |
2025 | Fundamental properties of linear factor models. (2025). Schneider, Paul ; Filipovic, Damir. In: Papers. RePEc:arx:papers:2409.02521. Full description at Econpapers || Download paper | |
2025 | Macroscopic 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. Full description at Econpapers || Download paper | |
2024 | Improving Estimation of Portfolio Risk Using New Statistical Factors. (2024). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Papers. RePEc:arx:papers:2409.17182. Full description at Econpapers || Download paper | |
2024 | Shocks-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. Full description at Econpapers || Download paper | |
2025 | Mamba 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. Full description at Econpapers || Download paper | |
2025 | Statistical Properties of Deep Neural Networks with Dependent Data. (2025). Brown, Chad. In: Papers. RePEc:arx:papers:2410.11113. Full description at Econpapers || Download paper | |
2025 | Time-Series Foundation Model for Value-at-Risk Forecasting. (2025). Kanniainen, Juho ; Pasricha, Puneet ; Goel, Anubha. In: Papers. RePEc:arx:papers:2410.11773. Full description at Econpapers || Download paper | |
2025 | Multi-Task Dynamic Pricing in Credit Market with Contextual Information. (2024). Xu, Renyuan ; Ji, Jingwei ; Javanmard, Adel. In: Papers. RePEc:arx:papers:2410.14839. Full description at Econpapers || Download paper | |
2024 | A 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. Full description at Econpapers || Download paper | |
2024 | Strategic Control of Facial Expressions by the Fed Chair. (2024). Ng, Hunter. In: Papers. RePEc:arx:papers:2410.20214. Full description at Econpapers || Download paper | |
2025 | Forecasting Company Fundamentals. (2024). Dhami, Devendra Singh ; Kersting, Kristian ; Endler, Kevin ; Divo, Felix ; Endress, Eric. In: Papers. RePEc:arx:papers:2411.05791. Full description at Econpapers || Download paper | |
2024 | Sparse Interval-valued Time Series Modeling with Machine Learning. (2024). Wang, Shouyang ; Sun, Yuying ; Hong, Yongmiao ; Bao, Haowen. In: Papers. RePEc:arx:papers:2411.09452. Full description at Econpapers || Download paper | |
2024 | The Value of Information from Sell-side Analysts. (2024). Lv, Linying. In: Papers. RePEc:arx:papers:2411.13813. Full description at Econpapers || Download paper | |
2024 | Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Zhang, Lingxiang ; Storti, Giuseppe ; Gerlach, Richard ; Wang, Chao ; Zhao, Qianli. In: Papers. RePEc:arx:papers:2411.17136. Full description at Econpapers || Download paper | |
2024 | Double 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. Full description at Econpapers || Download paper | |
2024 | From 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. Full description at Econpapers || Download paper | |
2024 | A Rule-Based Methodology for Company Identification: Application to the Downstream Space Sector. (2024). Pelletier, Pierre ; Bousedra, Kenza. In: Papers. RePEc:arx:papers:2412.02342. Full description at Econpapers || Download paper | |
2025 | Cubic-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. Full description at Econpapers || Download paper | |
2024 | Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups. (2024). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2412.05664. Full description at Econpapers || Download paper | |
2025 | Diffusion on the circle and a stochastic correlation model. (2025). Laha, Arnab Kumar ; Majumdar, Sourav. In: Papers. RePEc:arx:papers:2412.06343. Full description at Econpapers || Download paper | |
2024 | AI-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. Full description at Econpapers || Download paper | |
2025 | Risk-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. Full description at Econpapers || Download paper | |
2024 | Mean--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. Full description at Econpapers || Download paper | |
2025 | LLM-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. Full description at Econpapers || Download paper | |
2025 | Risk forecasting using Long Short-Term Memory Mixture Density Networks. (2025). Herrig, Nico. In: Papers. RePEc:arx:papers:2501.01278. Full description at Econpapers || Download paper | |
2025 | Multi-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. Full description at Econpapers || Download paper | |
2025 | Multiscale 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. Full description at Econpapers || Download paper | |
2025 | Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730. Full description at Econpapers || Download paper | |
2025 | Reinforcement-Learning Portfolio Allocation with Dynamic Embedding of Market Information. (2025). Zheng, Zeyu ; Zhou, Chunyang ; Hua, Cheng. In: Papers. RePEc:arx:papers:2501.17992. Full description at Econpapers || Download paper | |
2025 | Decision-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. Full description at Econpapers || Download paper | |
2025 | Panel Data Estimation and Inference: Homogeneity versus Heterogeneity. (2025). GAO, Jiti ; Peng, Bin ; Liu, Fei ; Yan, Yayi. In: Papers. RePEc:arx:papers:2502.03019. Full description at Econpapers || Download paper | |
2025 | Quasi 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. Full description at Econpapers || Download paper | |
2025 | FactorGCL: 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. Full description at Econpapers || Download paper | |
2025 | Pursuing Top Growth with Novel Loss Function. (2025). Qiu, Haochen ; Guo, Ruoyu. In: Papers. RePEc:arx:papers:2502.17493. 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 | 33 |
2010 | High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 126 |
2020 | Taming the Factor Zoo: A Test of New Factors In: Journal of Finance. [Full Text][Citation analysis] | article | 213 |
2020 | Taming 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 | |
2019 | Taming 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 | |
2024 | Nonstandard Errors In: Journal of Finance. [Full Text][Citation analysis] | article | 14 |
2024 | Nonstandard errors.(2024) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2024 | Nonstandard Errors.(2024) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2025 | Test Assets and Weak Factors In: Journal of Finance. [Full Text][Citation analysis] | article | 12 |
2021 | Test Assets and Weak Factors.(2021) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2018 | Empirical Asset Pricing via Machine Learning In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 612 |
2018 | Empirical Asset Pricing via Machine Learning.(2018) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 612 | paper | |
2020 | Empirical 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 | |
2010 | Quasi-maximum likelihood estimation of volatility with high frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 135 |
2014 | Hermite polynomial based expansion of European option prices In: Journal of Econometrics. [Full Text][Citation analysis] | article | 40 |
2016 | A tale of two option markets: Pricing kernels and volatility risk In: Journal of Econometrics. [Full Text][Citation analysis] | article | 55 |
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 nother version. Agregated cites: 55 | paper | |
2016 | Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 49 |
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 | 4 |
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 | 92 |
2018 | Resolution of policy uncertainty and sudden declines in volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 68 |
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 | 23 |
2019 | A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 24 |
2020 | High-frequency factor models and regressions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 25 |
2021 | Autoencoder asset pricing models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 118 |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 5 |
2015 | Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 20 |
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 nother version. Agregated cites: 20 | 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 nother version. Agregated cites: 20 | article | |
2021 | Thousands of Alpha Tests In: NBER Chapters. [Citation analysis] | chapter | 22 |
2021 | Thousands of Alpha Tests.(2021) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
2015 | Principal Component Analysis of High Frequency Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 43 |
2019 | Principal 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 | |
2017 | Inference on Risk Premia in the Presence of Omitted Factors In: NBER Working Papers. [Full Text][Citation analysis] | paper | 12 |
2019 | Predicting Returns With Text Data In: NBER Working Papers. [Full Text][Citation analysis] | paper | 50 |
2020 | The Structure of Economic News In: NBER Working Papers. [Full Text][Citation analysis] | paper | 33 |
2020 | Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2021 | Business News and Business Cycles In: NBER Working Papers. [Full Text][Citation analysis] | paper | 10 |
2023 | Financial Machine Learning In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
2024 | The Statistical Limit of Arbitrage In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2025 | Can Machines Learn Weak Signals? In: NBER Working Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2012 | Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices In: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 6 |
2014 | Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 76 |
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 | 70 |
2021 | Asset Pricing with Omitted Factors In: Journal of Political Economy. [Full Text][Citation analysis] | article | 62 |
2016 | Generalized Method of Integrated Moments for High‐Frequency Data In: Econometrica. [Full Text][Citation analysis] | article | 17 |
2016 | Generalized Method of Integrated Moments for High‐Frequency Data.(2016) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
2021 | When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility In: Econometrica. [Full Text][Citation analysis] | article | 8 |
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