Dacheng Xiu : Citation Profile

Are you Dacheng Xiu?

University of Chicago

19

H index

23

i10 index

1686

Citations

RESEARCH PRODUCTION:

23

Articles

20

Papers

1

Chapters

RESEARCH ACTIVITY:

   14 years (2010 - 2024). See details.
   Cites by year: 120
   Journals where Dacheng Xiu has often published
   Relations with other researchers
   Recent citing documents: 530.    Total self citations: 15 (0.88 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pxi68
   Updated: 2024-12-03    RAS profile: 2024-04-17    
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Relations with other researchers

Works with:

Ait-Sahalia, Yacine (7)

Giglio, Stefano (6)

CAPELLE-BLANCARD, Gunther (3)

Gehrig, Thomas (3)

Dreber, Anna (3)

Korajczyk, Robert (3)

Pastor, Lubos (3)

Bohorquez Correa, Santiago (3)

FERROUHI, EL MEHDI (3)

Wolff, Christian (3)

Deev, Oleg (3)

Voigt, Stefan (3)

Degryse, Hans (3)

Jurkatis, Simon (3)

Renault, Thomas (3)

Liew, Chee (3)

Deku, Solomon (3)

Alexeev, Vitali (3)

Sojli, Elvira (3)

Bos, Charles (3)

Füllbrunn, Sascha (3)

Palan, Stefan (3)

Reitz, Stefan (3)

Stefanova, Denitsa (3)

Holzmeister, Felix (3)

Horenstein, Alex (3)

Talavera, Oleksandr (3)

Walther, Thomas (3)

Dimpfl, Thomas (3)

Chernov, Mikhail (3)

Roy, Saurabh (3)

Colliard, Jean-Edouard (3)

Zhang, S. Sarah (3)

Lof, Matthijs (3)

Huang, Wenqian (3)

Davies, Ryan (3)

Caporin, Massimiliano (3)

Schuerhoff, Norman (3)

Verousis, Thanos (3)

Schwarz, Marco (3)

Pasquariello, Paolo (3)

Wilhelmsson, Anders (3)

Frijns, Bart (3)

Xia, Shuo (3)

Smales, Lee (3)

Schenk-Hoppé, Klaus (3)

Mihet, Roxana (3)

Vilkov, Grigory (3)

Taylor, Nick (3)

Ødegaard, Bernt (3)

Hurlin, Christophe (3)

Hautsch, Nikolaus (3)

Brownlees, Christian (3)

Nielsson, Ulf (3)

Shachar, Or (3)

Menkveld, Albert (3)

Ranaldo, Angelo (3)

Sarno, Lucio (3)

Foucault, Thierry (3)

Rinne, Kalle (3)

Johannesson, Magnus (3)

Harris, Jeffrey (3)

Frömmel, Michael (3)

Jalkh, Naji (3)

Lajaunie, Quentin (2)

Hjalmarsson, Erik (2)

Roy, Saurabh (2)

Kassner, Bernhard (2)

Gorbenko, Arseny (2)

Koetter, Michael (2)

Putnins, Talis (2)

Wong, Wing-Keung (2)

Prokopczuk, Marcel (2)

Theissen, Erik (2)

Patton, Andrew (2)

Neszveda, Gabor (2)

Patel, Vinay (2)

Rakowski, David (2)

Bouri, Elie (2)

Pelizzon, Loriana (2)

Chow, Nikolai Sheung-Chi (2)

Gerritsen, Dirk (2)

Moinas, Sophie (2)

Bjønnes, Geir (2)

Scaillet, Olivier (2)

PASCUAL, ROBERTO (2)

Söderlind, Paul (2)

Dumitrescu, Ariadna (2)

Ferrara, Gerardo (2)

Aloosh, Arash (2)

Lopez-Lira, Alejandro (2)

van Kervel, Vincent (2)

Kearney, Fearghal (2)

Heath, Davidson (2)

Eugster, Nicolas (2)

LINTON, OLIVER (2)

Abudy, Menachem (2)

He, Xuezhong (Tony) (2)

Regis, Luca (2)

Güçbilmez, Ufuk (2)

Adrian, Tobias (2)

Tonks, Ian (2)

Park, Andreas (2)

Vogel, Sebastian (2)

Zhou, Chen (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 (69)

Scaillet, Olivier (22)

Fan, Jianqing (17)

Baruník, Jozef (16)

Wang, Yudong (13)

GUPTA, RANGAN (13)

LINTON, OLIVER (12)

Yang, Xiye (12)

Potiron, Yoann (12)

Pelger, Markus (12)

Sentana, Enrique (12)

Cites to:

Shephard, Neil (33)

Ait-Sahalia, Yacine (31)

Bollerslev, Tim (28)

Fan, Jianqing (28)

Hansen, Peter (25)

Reichlin, Lucrezia (23)

Andersen, Torben (20)

Bai, Jushan (19)

Lunde, Asger (18)

Diebold, Francis (17)

Tauchen, George (17)

Main data

Where Dacheng Xiu has published?

Journals with more than one article published# docs
Journal of Econometrics11
Journal of Business & Economic Statistics3
Journal of 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, Inc11

Recent works citing Dacheng Xiu (2024 and 2023)

YearTitle of citing document
2023Sustainable Investing and the Cross-Section of Maximum Drawdown. (2019). Mouti, Saad ; Goldberg, Lisa R. In: Papers. RePEc:arx:papers:1905.05237.

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

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

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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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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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2024Option 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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2023Likelihood 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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2024Most 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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2024Stochastic 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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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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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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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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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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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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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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2024On 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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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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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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2024Quasi 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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2024The 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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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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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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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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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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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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2024Bloated 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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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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2023FinGPT: Democratizing Internet-scale Data for Financial Large Language Models. (2023). Zha, Daochen ; Wang, Guoxuan ; Liu, Xiao-Yang. In: Papers. RePEc:arx:papers:2307.10485.

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2023Graph Neural Networks for Forecasting Multivariate Realized Volatility with Spillover Effects. (2023). Dong, Xiaowen ; Cucuringu, Mihai ; Pu, Xingyue ; Zhang, Chao. In: Papers. RePEc:arx:papers:2308.01419.

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2023Econometrics of Machine Learning Methods in Economic Forecasting. (2023). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:2308.10993.

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2023High Dimensional Time Series Regression Models: Applications to Statistical Learning Methods. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.16192.

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2023New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025.

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2023On statistical arbitrage under a conditional factor model of equity returns. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2309.02205.

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2023Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968.

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2023Learning Probability Distributions of Day-Ahead Electricity Prices. (2023). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2310.02867.

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2023Integrating Stock Features and Global Information via Large Language Models for Enhanced Stock Return Prediction. (2023). Han, Dongming ; Li, Liuliu ; Zhou, Xiuze ; Mao, Bingcheng ; Jia, Shuai ; Ding, Yujie. In: Papers. RePEc:arx:papers:2310.05627.

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2023Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511.

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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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2023Economic Forecasts Using Many Noises. (2023). Neuhierl, Andreas ; Liao, Yuan ; Shi, Zhentao ; Ma, Xinjie. In: Papers. RePEc:arx:papers:2312.05593.

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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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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]		article18
2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article114
2020Taming the Factor Zoo: A Test of New Factors In: Journal of Finance.
[Full Text][Citation analysis]		article167
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: 167		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: 167		paper
2018Empirical Asset Pricing via Machine Learning In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper473
2018Empirical Asset Pricing via Machine Learning.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 473		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: 473		article
2010Quasi-maximum likelihood estimation of volatility with high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article122
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]		article50
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: 50		paper
2016Increased correlation among asset classes: Are volatility or jumps to blame, or both? In: Journal of Econometrics.
[Full Text][Citation analysis]		article43
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]		article75
2018Resolution of policy uncertainty and sudden declines in volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article66
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]		article18
2019A Hausman test for the presence of market microstructure noise in high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article21
2020High-frequency factor models and regressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
2021Autoencoder asset pricing models In: Journal of Econometrics.
[Full Text][Citation analysis]		article84
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2021Non-Standard Errors In: Working Papers.
[Full Text][Citation analysis]		paper9
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2015Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency In: Cahiers de recherche.
[Full Text][Citation analysis]		paper19
2015Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency.(2015) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2017Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency.(2017) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
2021Thousands of Alpha Tests In: NBER Chapters.
[Citation analysis]		chapter20
2021Thousands of Alpha Tests.(2021) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		article
2015Principal Component Analysis of High Frequency Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper35
2019Principal Component Analysis of High-Frequency Data.(2019) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 35		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]		paper42
2020The Structure of Economic News In: NBER Working Papers.
[Full Text][Citation analysis]		paper30
2020Inference on Risk Premia in Continuous-Time Asset Pricing Models In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
2021Test Assets and Weak Factors In: NBER Working Papers.
[Full Text][Citation analysis]		paper9
2021Business News and Business Cycles In: NBER Working Papers.
[Full Text][Citation analysis]		paper8
2023Financial Machine Learning In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2024The Statistical Limit of Arbitrage In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2018Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2012Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices In: Economics Series Working Papers.
[Full Text][Citation analysis]		paper6
2014Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article73
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]		article56
2021Asset Pricing with Omitted Factors In: Journal of Political Economy.
[Full Text][Citation analysis]		article49

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