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Selected Bibliography for Dacheng Xiu
Assistant Professor of Econometrics and Statistics


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Published Works

"Hermite Polynomial Based Expansion of European Option Prices." Dacheng Xiu; Journal of Econometrics, 2014, 179(2), pp. 158-77.
http://dx.doi.org/10.1016/j.jeconom.2014.01.003
"Quasi-Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods." Jianqing Fan, Lei Qi and Dacheng Xiu; Journal of Business & Economic Statistics, 2013, 32(2), pp. 178-91.
http://dx.doi.org/10.1080/07350015.2013.840239
"Likelihood-Based Volatility Estimators in the Presence of Market Microstructure Noise," Yacine Aït-Sahalia and Dacheng Xiu, in L. Bauwens, C. Hafner and S. Laurent: Handbook of Volatility Models and Their Applications. Hoboken, New Jersey: John Wiley & Sons, Inc., 2012, pp. 347-61
http://dx.doi.org/10.1002/9781118272039.ch14

Essays in Financial Econometrics; Dacheng Xiu; Ph.D Dissertation, Princeton University, 2011.
http://search.proquest.com/docview/872190092?accountid=14657

"Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data." Dacheng Xiu; Journal of Econometrics, 2010, 159(1), pp. 235-50.
http://dx.doi.org/10.1016/j.jeconom.2010.07.002

"High-Frequency Covariance Estimates with Noisy and Asynchronous Financial Data." Yacine Aït-Sahalia, Jianqing Fan and Dacheng Xiu; Journal of the American Statistical Association, 2010, 105(492), pp. 1504-17.
http://dx.doi.org/10.1198/jasa.2010.tm10163

 

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