Selected Bibliography for Dacheng Xiu

Professor of Econometrics and Statistics

Home page of Dacheng Xiu

Published Works

Autoencoder Asset Pricing Models." Shihao Gu, Bryan Kelly and Dacheng Xiu; Journal of Econometrics, 2020.
https://doi.org/10.1016/j.jeconom.2020.07.009

"High-Frequency Factor Models and Regressions." Yacine Aït-Sahalia, Ilze Kalnina and Dacheng Xiu; Journal of Econometrics, 2020, 216(1), pp. 86-105.
https://doi.org/10.1016/j.jeconom.2020.01.007

"Empirical Asset Pricing Via Machine Learning." Shihao Gu, Bryan Kelly and Dacheng Xiu; The Review of Financial Studies, 2020, 33(5), pp. 2223-73.
https://doi.org/10.1093/rfs/hhaa009

"Taming the Factor Zoo: A Test of New Factors." Guanhao Feng, Stefano Giglio and Dacheng Xiu; The Journal of Finance, 2020, 75(3), pp. 1327-70.
https://doi.org/10.1111/jofi.12883

"Knowing Factors or Factor Loadings, or Neither? Evaluating Estimators of Large Covariance Matrices with Noisy and Asynchronous Data." Chaoxing Dai, Kun Lu and Dacheng Xiu; Journal of Econometrics, 2019, 208(1), pp. 43-79.
https://doi.org/10.1016/j.jeconom.2018.09.005

"Principal Component Analysis of High-Frequency Data." Yacine Aït-Sahalia and Dacheng Xiu; Journal of the American Statistical Association, 2019, 114(525), pp. 287-303.
https://doi.org/10.1080/01621459.2017.1401542

"Efficient Estimation of Integrated Volatility Functionals Via Multiscale Jackknife." Li Jia, Liu Yunxiao and Xiu Dacheng; The Annals of Statistics, 2019, 47(1), pp. 156-76.
https://doi.org/10.1214/18-AOS1684

"A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data." Yacine Aït-Sahalia and Dacheng Xiu; Journal of Econometrics, 2019, 211(1), pp. 176-205.
https://doi.org/10.1016/j.jeconom.2018.12.013

"Resolution of Policy Uncertainty and Sudden Declines in Volatility." Dante Amengual and Dacheng Xiu; Journal of Econometrics, 2018, 203(2), pp. 297-315.
https://doi.org/10.1016/j.jeconom.2017.12.003

"Comment On: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale*." Jia Li and Dacheng Xiu; Journal of Financial Econometrics, 2018, 16(4), pp. 570-82.
https://doi.org/10.1093/jjfinec/nbx034

"Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data." Yacine Aït-Sahalia and Dacheng Xiu; Journal of Econometrics, 2017, 201(2), pp. 384-99.
https://doi.org/10.1016/j.jeconom.2017.08.015

"Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading." Neil Shephard and Dacheng Xiu; Journal of Econometrics, 2017, 201(1), pp. 19-42.
https://doi.org/10.1016/j.jeconom.2017.04.003

"Nonparametric Estimation of the Leverage Effect: A Trade-Off between Robustness and Efficiency." Ilze Kalnina and Dacheng Xiu; Journal of the American Statistical Association, 2017, 112(517), pp. 384-96.
https://doi.org/10.1080/01621459.2016.1141687

"Increased Correlation among Asset Classes: Are Volatility or Jumps to Blame, or Both?" Yacine Aït-Sahalia and Dacheng Xiu; Journal of Econometrics, 2016, 194(2), pp. 205-19.
https://doi.org/10.1016/j.jeconom.2016.05.002

"Incorporating Global Industrial Classification Standard into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator with High-Frequency Data." Jianqing Fan, Alex Furger and Dacheng Xiu; Journal of Business & Economic Statistics, 2016, 34(4), pp. 489-503.
https://doi.org/10.1080/07350015.2015.1052458

"Generalized Method of Integrated Moments for High-Frequency Data." Jia Li and Dacheng Xiu; Econometrica, 2016, 84(4), pp. 1613-33.
https://onlinelibrary.wiley.com/doi/abs/10.3982/ECTA12306

"A Tale of Two Option Markets: Pricing Kernels and Volatility Risk." Zhaogang Song and Dacheng Xiu; Journal of Econometrics, 2016, 190(1), pp. 176-96.
https://doi.org/10.1016/j.jeconom.2015.06.024

"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