Dacheng Xiu, Ph.D.
Affiliations: | 2011 | Princeton University, Princeton, NJ |
Area:
Financial Economics, EconometricsGoogle:
"Dacheng Xiu"Parents
Sign in to add mentor| Yacine Ait-sahalia | grad student | 2011 | Princeton | |
| (Essays in financial econometrics.) | ||||
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Publications
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| Bybee L, Kelly BT, Manela A, et al. (2020) The Structure of Economic News National Bureau of Economic Research |
| Gu S, Kelly BT, Xiu D. (2020) Autoencoder Asset Pricing Models Journal of Econometrics |
| Feng G, Giglio S, Xiu D. (2020) Taming the Factor Zoo: A Test of New Factors Journal of Finance. 75: 1327-1370 |
| Aït-Sahalia Y, Kalnina I, Xiu D. (2020) High-frequency factor models and regressions Journal of Econometrics. 216: 86-105 |
| Ke ZT, Kelly BT, Xiu D. (2019) Predicting Returns with Text Data National Bureau of Economic Research |
| Li J, Liu Y, Xiu D. (2019) Efficient estimation of integrated volatility functionals via multiscale jackknife Annals of Statistics. 47: 156-176 |
| Ait-Sahalia Y, Xiu D. (2019) Principal Component Analysis of High Frequency Data Journal of the American Statistical Association. 114: 287-303 |
| Ait-Sahalia Y, Xiu D. (2019) A Hausman test for the presence of market microstructure noise in high frequency data Journal of Econometrics. 211: 176-205 |
| Dai C, Lu K, Xiu D. (2019) Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data Journal of Econometrics. 208: 43-79 |
| Giglio S, Xiu D. (2017) Inference on Risk Premia in the Presence of Omitted Factors National Bureau of Economic Research |