Dacheng Xiu : Citation Profile

Are you Dacheng Xiu?

University of Chicago

17

H index

23

i10 index

1302

Citations

RESEARCH PRODUCTION:

26

Articles

17

Papers

1

Chapters

RESEARCH ACTIVITY:

   12 years (2010 - 2022). See details.
   Cites by year: 108
   Journals where Dacheng Xiu has often published
   Relations with other researchers
   Recent citing documents: 425.    Total self citations: 15 (1.14 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pxi68
   Updated: 2023-11-04    RAS profile: 2022-12-03    
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Relations with other researchers

Works with:

Ait-Sahalia, Yacine (6)

Giglio, Stefano (6)

Harris, Jeffrey (2)

Moinas, Sophie (2)

Bohorquez Correa, Santiago (2)

Theissen, Erik (2)

Ødegaard, Bernt (2)

Horenstein, Alex (2)

Smales, Lee (2)

Patton, Andrew (2)

Heath, Davidson (2)

Wong, Wing-Keung (2)

Prokopczuk, Marcel (2)

Gorbenko, Arseny (2)

Lopez-Lira, Alejandro (2)

Gerritsen, Dirk (2)

Abudy, Menachem (2)

Menkveld, Albert (2)

Bouri, Elie (2)

Scaillet, Olivier (2)

Schuerhoff, Norman (2)

Hjalmarsson, Erik (2)

Adrian, Tobias (2)

Regis, Luca (2)

Patel, Vinay (2)

Dreber, Anna (2)

Walther, Thomas (2)

CAPELLE-BLANCARD, Gunther (2)

Jalkh, Naji (2)

Alexeev, Vitali (2)

Deku, Solomon (2)

Talavera, Oleksandr (2)

Pasquariello, Paolo (2)

Vogel, Sebastian (2)

Johannesson, Magnus (2)

Gehrig, Thomas (2)

Schenk-Hoppé, Klaus (2)

Wilhelmsson, Anders (2)

Kearney, Fearghal (2)

Schwarz, Marco (2)

Chow, Nikolai Sheung-Chi (2)

Roy, Saurabh (2)

Frömmel, Michael (2)

Stefanova, Denitsa (2)

Davies, Ryan (2)

Korajczyk, Robert (2)

Ferrara, Gerardo (2)

van Kervel, Vincent (2)

Pastor, Lubos (2)

Wolff, Christian (2)

Reitz, Stefan (2)

Deev, Oleg (2)

Sarno, Lucio (2)

Dimpfl, Thomas (2)

Holzmeister, Felix (2)

Ranaldo, Angelo (2)

Lajaunie, Quentin (2)

Lof, Matthijs (2)

Liew, Chee (2)

Sojli, Elvira (2)

Verousis, Thanos (2)

Colliard, Jean-Edouard (2)

Putnins, Talis (2)

Nielsson, Ulf (2)

Vilkov, Grigory (2)

He, Xuezhong (Tony) (2)

Hautsch, Nikolaus (2)

FERROUHI, EL MEHDI (2)

Foucault, Thierry (2)

Bos, Charles (2)

Renault, Thomas (2)

PASCUAL, ROBERTO (2)

Brownlees, Christian (2)

Hurlin, Christophe (2)

Caporin, Massimiliano (2)

Rakowski, David (2)

Xia, Shuo (2)

Jurkatis, Simon (2)

Zhou, Chen (2)

Palan, Stefan (2)

LINTON, OLIVER (2)

Frijns, Bart (2)

Dumitrescu, Ariadna (2)

Kassner, Bernhard (2)

Tonks, Ian (2)

Mihet, Roxana (2)

Chernov, Mikhail (2)

Park, Andreas (2)

Taylor, Nick (2)

Pelizzon, Loriana (2)

Rinne, Kalle (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 (13)

Potiron, Yoann (12)

Scaillet, Olivier (12)

LINTON, OLIVER (12)

GUPTA, RANGAN (12)

Pelger, Markus (10)

Quaedvlieg, Rogier (10)

Santucci de Magistris, Paolo (9)

Fiorentini, Gabriele (9)

Sentana, Enrique (9)

Cites to:

Shephard, Neil (36)

Ait-Sahalia, Yacine (36)

Bollerslev, Tim (30)

Hansen, Peter (29)

Fan, Jianqing (28)

Andersen, Torben (23)

Reichlin, Lucrezia (23)

Lunde, Asger (22)

Bai, Jushan (19)

Diebold, Francis (18)

Podolskij, Mark (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
Review of Financial Studies2
Journal of the American Statistical Association2

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

Recent works citing Dacheng Xiu (2023 and 2022)

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

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

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2023An 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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2022Deep Learning Statistical Arbitrage. (2021). Pelger, Markus ; Guijarro-Ordonez, Jorge ; Zanotti, Greg. In: Papers. RePEc:arx:papers:2106.04028.

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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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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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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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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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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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2023Do 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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2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2022A Unified Framework for Estimation of High-dimensional Conditional Factor Models. (2022). Chen, Qihui. In: Papers. RePEc:arx:papers:2209.00391.

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2022Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira. In: Papers. RePEc:arx:papers:2209.08967.

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2023Non-parametric estimates of option prices via Hermite basis functions. (2022). D'Addona, Stefano ; Marinelli, Carlo. In: Papers. RePEc:arx:papers:2209.09656.

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2022Model-Free Reinforcement Learning for Asset Allocation. (2022). Mbaka, Timothy ; Kamashazi, Peruth ; Ajiboye, Eniola ; Oshingbesan, Adebayo. In: Papers. RePEc:arx:papers:2209.10458.

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2022Asset Pricing and Deep Learning. (2022). Zhang, Chen. In: Papers. RePEc:arx:papers:2209.12014.

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2023Statistical inference for rough volatility: Central limit theorems. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216.

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2022Multiresolution Signal Processing of Financial Market Objects. (2022). Boier, Ioana. In: Papers. RePEc:arx:papers:2210.15934.

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2022Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2210.16042.

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2022Empirical Asset Pricing via Ensemble Gaussian Process Regression. (2022). Pasricha, Puneet ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2212.01048.

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2022On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052.

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2023Inference on Time Series Nonparametric Conditional Moment Restrictions Using General Sieves. (2023). Wang, Weichen ; Liao, Yuan ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:2301.00092.

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2023Long-Term Modeling of Financial Machine Learning for Active Portfolio Management. (2023). Suzuki, Tomoya ; Amagai, Kazuki. In: Papers. RePEc:arx:papers:2301.12346.

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2023View fusion vis-\`a-vis a Bayesian interpretation of Black-Litterman for portfolio allocation. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2301.13594.

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2023Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2023Form 10-K Itemization. (2023). Dai, Rui ; Ye, Jinlin ; Lan, Yupeng ; Lu, Yutong ; Mao, Haitao ; Li, Mingyang ; Xia, Mengjia ; Zhang, Yanci. In: Papers. RePEc:arx:papers:2303.04688.

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2023Stock Price Prediction Using Temporal Graph Model with Value Chain Data. (2023). Paterlini, Sandra ; Liu, Chang. In: Papers. RePEc:arx:papers:2303.09406.

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2023Style Miner: Find Significant and Stable Explanatory Factors in Time Series with Constrained Reinforcement Learning. (2023). Fan, Guoliang ; Tu, Dandan ; Xu, Zhiwei ; He, Jia ; Pan, Feiyang ; Li, Dapeng. In: Papers. RePEc:arx:papers:2303.11716.

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2023Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2023A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751.

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2023Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications. (2023). Shi, Shuping ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2303.13406.

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2023The Elasticity of Quantitative Investment. (2023). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

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2023Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. (2023). Ribeiro, Ruy M ; Medeiros, Marcelo C ; de Brito, Diego S ; Alves, Rafael. In: Papers. RePEc:arx:papers:2303.16151.

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2023Quantum Deep Hedging. (2023). Chen, Richard ; Chakrabarti, Shouvanik ; Dee, Jon ; Wood, Ben ; Pistoia, Marco ; Shekhar, Abhishek ; Yalovetzky, Romina ; Kerenidis, Iordanis ; Sun, Yue ; Raj, Snehal ; Shaydulin, Ruslan ; Cherrat, El Amine ; Minssen, Pierre ; Hu, Shaohan ; Herman, Dylan. In: Papers. RePEc:arx:papers:2303.16585.

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2023Machine Learning for Economics Research: When What and How?. (2023). Desai, Ajit. In: Papers. RePEc:arx:papers:2304.00086.

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2023Towards systematic intraday news screening: a liquidity-focused approach. (2023). Rosenbaum, Mathieu ; Zhang, Jianfei. In: Papers. RePEc:arx:papers:2304.05115.

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2023Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models. (2023). Tang, Yuehua ; Lopez-Lira, Alejandro. In: Papers. RePEc:arx:papers:2304.07619.

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2023Stock Price Predictability and the Business Cycle via Machine Learning. (2023). Fan, Xiuyi ; Fu, Hsuan ; Wang, Lirong. In: Papers. RePEc:arx:papers:2304.09937.

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2023Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy. (2023). Polak, Pawel ; Miao, Jiaju. In: Papers. RePEc:arx:papers:2304.09947.

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2023Asymptotic Expansions for High-Frequency Option Data. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450.

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2023The cross-sectional stock return predictions via quantum neural network and tensor network. (2023). Mitarai, Kosuke ; Miyamoto, Koichi ; Suimon, Yoshiyuki ; Kobayashi, Nozomu. In: Papers. RePEc:arx:papers:2304.12501.

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2023Large Global Volatility Matrix Analysis Based on Structural Information. (2023). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464.

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2023Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137.

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2023Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2023). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934.

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2023Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023Deep Neural Network Estimation in Panel Data Models. (2023). Raftapostolos, Aristeidis ; Mitchell, James ; Kapetanios, George ; Chrysikou, Katerina ; Chronopoulos, Ilias. In: Papers. RePEc:arx:papers:2305.19921.

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2023HireVAE: An Online and Adaptive Factor Model Based on Hierarchical and Regime-Switch VAE. (2023). Lin, Dahua ; Dai, BO ; Rao, Anyi ; Wei, Zikai. In: Papers. RePEc:arx:papers:2306.02848.

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2023Permutation invariant Gaussian matrix models for financial correlation matrices. (2023). Stephanou, Michael ; Ramgoolam, Sanjaye ; Barnes, George. In: Papers. RePEc:arx:papers:2306.04569.

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2023Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568.

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2023A Localized Neural Network with Dependent Data: Estimation and Inference. (2023). GAO, Jiti ; Yang, Yanrong ; Peng, Bin. In: Papers. RePEc:arx:papers:2306.05593.

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2023Bloated Disclosures: Can ChatGPT Help Investors Process Financial Information?. (2023). Nikolaev, Valeri ; Muhn, Maximilian ; Kim, Alex. In: Papers. RePEc:arx:papers:2306.10224.

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2023Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. (2023). Wang, Hanchao ; Linton, Oliver ; Bu, Ruijun. In: Papers. RePEc:arx:papers:2307.01348.

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2023Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors. (2023). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2307.07689.

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2023Asymptotic equivalence of Principal Component and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

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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]		article5
2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article101
2020Taming the Factor Zoo: A Test of New Factors In: Journal of Finance.
[Full Text][Citation analysis]		article123
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: 123		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: 123		paper
2018Empirical Asset Pricing via Machine Learning In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper321
2018Empirical Asset Pricing via Machine Learning.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 321		paper
2020Empirical Asset Pricing via Machine Learning.(2020) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 321		article
2010Quasi-maximum likelihood estimation of volatility with high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article110
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]		article46
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: 46		paper
2016Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics.
[Full Text][Citation analysis]		article37
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]		article70
2018Resolution of policy uncertainty and sudden declines in volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article57
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]		article11
2019A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article18
2020High-frequency factor models and regressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article11
2021Autoencoder asset pricing models In: Journal of Econometrics.
[Full Text][Citation analysis]		article55
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]		chapter13
2021Thousands of Alpha Tests.(2021) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		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]		paper34
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]		article70
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]		article43
2021Asset Pricing with Omitted Factors In: Journal of Political Economy.
[Full Text][Citation analysis]		article26
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]		article3

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