Следене
Dacheng Xiu (修大成)
Dacheng Xiu (修大成)
University of Chicago Booth School of Business
Потвърден имейл адрес: chicagobooth.edu - Начална страница
Заглавие
Позовавания
Позовавания
Година
Empirical Asset Pricing via Machine Learning
S Gu, B Kelly, D Xiu
Review of Financial Studies 33 (5), 2223-2273, 2020
18482020
Taming the factor zoo: A test of new factors
G Feng, S Giglio, D Xiu
Journal of Finance 75 (3), 1327-1370, 2020
761*2020
Autoencoder asset pricing models
S Gu, B Kelly, D Xiu
Journal of Econometrics 222 (1), 429-450, 2021
3892021
High-frequency covariance estimates with noisy and asynchronous financial data
Y Aït-Sahalia, J Fan, D Xiu
Journal of the American Statistical Association 105 (492), 1504-1517, 2010
3352010
Asset pricing with omitted factors
S Giglio, D Xiu
Journal of Political Economy 129 (7), 1947-1990, 2021
326*2021
Quasi-maximum likelihood estimation of volatility with high frequency data
D Xiu
Journal of Econometrics 159 (1), 235-250, 2010
2892010
Principal component analysis of high frequency data
Y Aït-Sahalia, D Xiu
Journal of the American Statistical Association 114 (525), 287-303, 2019
2792019
Business news and business cycles
L Bybee, BT Kelly, A Manela, D Xiu
Forthcoming in the Journal of Finance, 2021
235*2021
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Y Ait-Sahalia, D Xiu
Journal of Econometrics 201, 384-399, 2017
2302017
Predicting returns with text data
ZT Ke, BT Kelly, D Xiu
National Bureau of Economic Research, 2019
1842019
A tale of two option markets: Pricing kernels and volatility risk
Z Song, D Xiu
Journal of Econometrics 190, 176-196, 2016
169*2016
Resolution of Policy Uncertainty and Sudden Declines in Volatility
D Amengual, D Xiu
Journal of Econometrics 203, 297-315, 2018
1672018
Quasi-maximum likelihood estimation of GARCH models with heavy-tailed likelihoods
J Fan, L Qi, D Xiu
Journal of Business & Economic Statistics 32 (2), 178-191, 2014
1602014
Incorporating Global Industrial Classification Standard into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator with High Frequency Data
J Fan, A Furger, D Xiu
Journal of Business & Economics Statistics 34 (4), 489-503, 2016
1482016
Thousands of Alpha Tests
S Giglio, Y Liao, D Xiu
Review of Financial Studies 34 (7), 3456-3496, 2021
1112021
Factor Models, Machine Learning, and Asset Pricing
S Giglio, BT Kelly, D Xiu
Annual Review of Financial Economics 14, 337-368, 2022
932022
A hausman test for the presence of market microstructure noise in high frequency data
Y Ait-Sahalia, D Xiu
Journal of Econometrics 211, 176-205, 2019
902019
Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both?
Y Ait-Sahalia, D Xiu
Journal of Econometrics 194, 205-219, 2016
902016
Generalized Methods of Integrated Moments for High-Frequency Data
J Li, D Xiu
Econometrica 84 (4), 1613-1633, 2016
83*2016
Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
N Shephard, D Xiu
Journal of Econometrics 201 (1), 19-42, 2017
81*2017
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