Dacheng Xiu : Citation Profile

University of Chicago

21

H index

27

i10 index

1937

Citations

RESEARCH PRODUCTION:

28

Articles

23

Papers

1

Chapters

RESEARCH ACTIVITY:

   15 years (2010 - 2025). See details.
   Cites by year: 129
   Journals where Dacheng Xiu has often published
   Relations with other researchers
   Recent citing documents: 393.    Total self citations: 15 (0.77 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pxi68
   Updated: 2025-04-12    RAS profile: 2025-02-06    
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Relations with other researchers

Works with:

Lof, Matthijs (6)

Deev, Oleg (6)

Rinne, Kalle (6)

Pasquariello, Paolo (6)

Korajczyk, Robert (6)

Füllbrunn, Sascha (6)

Talavera, Oleksandr (6)

Chernov, Mikhail (6)

Sojli, Elvira (6)

Renault, Thomas (6)

Frömmel, Michael (6)

Ferrara, Gerardo (6)

Holzmeister, Felix (6)

Gerritsen, Dirk (6)

Park, Andreas (6)

Smales, Lee (6)

Jurkatis, Simon (6)

Schwarz, Marco (6)

Alexeev, Vitali (6)

Gehrig, Thomas (6)

Liew, Chee (6)

Schuerhoff, Norman (6)

Ait-Sahalia, Yacine (6)

Palan, Stefan (6)

Stefanova, Denitsa (6)

Reitz, Stefan (6)

Pastor, Lubos (6)

Dreber, Anna (6)

Shachar, Or (6)

Bos, Charles (6)

Harris, Jeffrey (6)

Wolff, Christian (6)

FERROUHI, EL MEHDI (6)

Xia, Shuo (6)

Wilhelmsson, Anders (6)

Johannesson, Magnus (6)

Zhang, S. Sarah (6)

Ranaldo, Angelo (6)

Brownlees, Christian (6)

Hurlin, Christophe (6)

Scaillet, Olivier (6)

Sarno, Lucio (6)

Foucault, Thierry (6)

Nielsson, Ulf (6)

Ødegaard, Bernt (6)

LINTON, OLIVER (6)

Koetter, Michael (5)

Caporin, Massimiliano (5)

Verousis, Thanos (5)

Dimpfl, Thomas (5)

Deku, Solomon (5)

Giglio, Stefano (5)

Jalkh, Naji (5)

CAPELLE-BLANCARD, Gunther (5)

Neszveda, Gabor (5)

Schenk-Hoppé, Klaus (5)

Davies, Ryan (5)

Frijns, Bart (5)

Vilkov, Grigory (5)

Horenstein, Alex (5)

Walther, Thomas (5)

Huang, Wenqian (5)

Menkveld, Albert (5)

Eugster, Nicolas (5)

Hautsch, Nikolaus (5)

Bohorquez Correa, Santiago (5)

Aloosh, Arash (4)

Güçbilmez, Ufuk (4)

van Kervel, Vincent (4)

Colliard, Jean-Edouard (4)

Mihet, Roxana (3)

Taylor, Nick (3)

Chow, Nikolai Sheung-Chi (3)

Voigt, Stefan (3)

Degryse, Hans (3)

Gil-Bazo, Javier (3)

Abudy, Menachem (3)

He, Xuezhong (Tony) (3)

Roy, Saurabh (3)

Dumitrescu, Ariadna (2)

Lopez-Lira, Alejandro (2)

Lajaunie, Quentin (2)

Roy, Saurabh (2)

Putnins, Talis (2)

Feng, Guanhao (2)

Hasse, Jean-Baptiste (2)

Kearney, Fearghal (2)

Regis, Luca (2)

Adrian, Tobias (2)

Vogel, Sebastian (2)

Patel, Vinay (2)

Bouri, Elie (2)

Zhou, Chen (2)

Bjønnes, Geir (2)

Heath, Davidson (2)

Hjalmarsson, Erik (2)

Prokopczuk, Marcel (2)

Gorbenko, Arseny (2)

Theissen, Erik (2)

Söderlind, Paul (2)

Rakowski, David (2)

Wong, Wing-Keung (2)

Pelizzon, Loriana (2)

PASCUAL, ROBERTO (2)

Kassner, Bernhard (2)

Patton, Andrew (2)

Moinas, Sophie (2)

Tonks, Ian (2)

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

Is cited by:

Kim, Donggyu (72)

LINTON, OLIVER (31)

Fan, Jianqing (30)

Scaillet, Olivier (23)

Baruník, Jozef (16)

GUPTA, RANGAN (15)

Wang, Yudong (14)

Yang, Xiye (14)

Bollerslev, Tim (14)

Sentana, Enrique (12)

Feng, Guanhao (12)

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

Production by document typearticlechapterpaper2010201120122013201420152016201720182019202020212022202320242025051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20102011201220132014201520162017201820192020202120222023202420250204060Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received20102011201220132014201520162017201820192020202120222023202420250200400600Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year20102011201220132014201520162017201820192020202120222023202420250250500750Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 21Most cited documents12345678910111213141516171819202122230250500750Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Dacheng Xiu has published?

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

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

Recent works citing Dacheng Xiu (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Using 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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2024Adversarial Estimation of Riesz Representers. (2020). Syrgkanis, Vasilis ; Singh, Rahul ; Newey, Whitney ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2101.00009.

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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2024Hamiltonian 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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2024Trade 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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2024Realised 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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2025Media Slant is Contagious. (2022). Widmer, Philine ; Ash, Elliott ; Galletta, Sergio. In: Papers. RePEc:arx:papers:2202.07269.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2024Do t-Statistic Hurdles Need to be Raised. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275.

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2025Most claimed statistical findings in cross-sectional return predictability are likely true. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2206.15365.

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2025Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2024Missing Values and the Dimensionality of Expected Returns. (2022). McCoy, Jack ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2207.13071.

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2024Matrix 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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2024Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

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2024Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2024Statistical 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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2025Empirical Asset Pricing via Ensemble Gaussian Process Regression. (2022). Pasricha, Puneet ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2212.01048.

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2024On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2024The Elasticity of Quantitative Investment. (2023). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

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2024Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models. (2023). Tang, Yuehua ; Lopez-Lira, Alejandro. In: Papers. RePEc:arx:papers:2304.07619.

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2025Asymptotic Expansions for High-Frequency Option Data. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450.

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2024The cross-sectional stock return predictions via quantum neural network and tensor network. (2023). Mitarai, Kosuke ; Miyamoto, Koichi ; Suimon, Yoshiyuki ; Kobayashi, Nozomu. In: Papers. RePEc:arx:papers:2304.12501.

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2024Large 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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2024Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137.

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2024Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2023). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Maximally Machine-Learnable Portfolios. (2023). Goebel, Maximilian ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2306.05568.

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2024A 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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2025Bloated 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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2024Asymptotic 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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2024Estimation of Semiparametric Multi-Index Models Using Deep Neural Networks. (2023). GAO, Jiti ; Dong, Chaohua ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2311.02789.

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

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2024Inference for Regression with Variables Generated from Unstructured Data. (2024). Sacher, Szymon ; Hansen, Stephen ; Christensen, Timothy ; Battaglia, Laura. In: Papers. RePEc:arx:papers:2402.15585.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2025Diffusion on the circle and a stochastic correlation model. (2024). Laha, Arnab Kumar ; Majumdar, Sourav. In: Papers. RePEc:arx:papers:2412.06343.

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

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2025Assessing the Impact of Technical Indicators on Machine Learning Models for Stock Price Prediction. (2024). Fabozzi, Frank J ; Rachev, Svetlozar ; Shirvani, Abootaleb ; Monico, Chris ; Deep, Akash. In: Papers. RePEc:arx:papers:2412.15448.

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

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

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

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

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

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

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

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

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

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

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

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

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2025Do Sell-side Analyst Reports Have Investment Value?. (2025). Lv, Linying. In: Papers. RePEc:arx:papers:2502.20489.

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

Works by Dacheng Xiu:

Year  ↓Title  ↓Type  ↓Cited  ↓
2022Factor Models, Machine Learning, and Asset Pricing In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article26
2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article126
2020Taming the Factor Zoo: A Test of New Factors In: Journal of Finance.
[Full Text][Citation analysis]		article188
2020Taming the Factor Zoo: A Test of New Factors.(2020) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 188		paper
2019Taming the Factor Zoo: A Test of New Factors.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 188		paper
2024Nonstandard Errors In: Journal of Finance.
[Full Text][Citation analysis]		article14
2024Nonstandard errors.(2024) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2024Nonstandard Errors.(2024) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2025Test Assets and Weak Factors In: Journal of Finance.
[Full Text][Citation analysis]		article11
2021Test Assets and Weak Factors.(2021) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2018Empirical Asset Pricing via Machine Learning In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper550
2018Empirical Asset Pricing via Machine Learning.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 550		paper
2020Empirical Asset Pricing via Machine Learning.(2020) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 550		article
2010Quasi-maximum likelihood estimation of volatility with high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article135
2014Hermite polynomial based expansion of European option prices In: Journal of Econometrics.
[Full Text][Citation analysis]		article39
2016A tale of two option markets: Pricing kernels and volatility risk In: Journal of Econometrics.
[Full Text][Citation analysis]		article51
2014A Tale of Two Option Markets: Pricing Kernels and Volatility Risk.(2014) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2016Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics.
[Full Text][Citation analysis]		article48
2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading In: Journal of Econometrics.
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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data In: Journal of Econometrics.
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2018Resolution of policy uncertainty and sudden declines in volatility In: Journal of Econometrics.
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2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data In: Journal of Econometrics.
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2019A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics.
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2020High-frequency factor models and regressions In: Journal of Econometrics.
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2021Autoencoder asset pricing models In: Journal of Econometrics.
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2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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2015Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency In: Cahiers de recherche.
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2015Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency.(2015) In: Cahiers de recherche.
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2017Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency.(2017) In: Journal of the American Statistical Association.
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2021Thousands of Alpha Tests In: NBER Chapters.
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2021Thousands of Alpha Tests.(2021) In: The Review of Financial Studies.
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2015Principal Component Analysis of High Frequency Data In: NBER Working Papers.
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2019Principal Component Analysis of High-Frequency Data.(2019) In: Journal of the American Statistical Association.
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2017Inference on Risk Premia in the Presence of Omitted Factors In: NBER Working Papers.
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2019Predicting Returns With Text Data In: NBER Working Papers.
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2020The Structure of Economic News In: NBER Working Papers.
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2020Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers.
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2023Financial Machine Learning In: NBER Working Papers.
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2024The Statistical Limit of Arbitrage In: NBER Working Papers.
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2025Can Machines Learn Weak Signals? In: NBER Working Papers.
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2018Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* In: Journal of Financial Econometrics.
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2012Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices In: Economics Series Working Papers.
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2014Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods In: Journal of Business & Economic Statistics.
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2014Rejoinder In: Journal of Business & Economic Statistics.
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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.
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2021Asset Pricing with Omitted Factors In: Journal of Political Economy.
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2016Generalized Method of Integrated Moments for High‐Frequency Data In: Econometrica.
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2016Generalized Method of Integrated Moments for High‐Frequency Data.(2016) In: Econometrica.
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2021When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility In: Econometrica.
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