| Year |
Citation |
Score |
| 2020 |
Bybee L, Kelly BT, Manela A, Xiu D. The Structure of Economic News National Bureau of Economic Research. DOI: 10.2139/Ssrn.3446225 |
0.394 |
|
| 2020 |
Gu S, Kelly BT, Xiu D. Autoencoder Asset Pricing Models Journal of Econometrics. DOI: 10.2139/Ssrn.3335536 |
0.439 |
|
| 2020 |
Feng G, Giglio S, Xiu D. Taming the Factor Zoo: A Test of New Factors Journal of Finance. 75: 1327-1370. DOI: 10.1111/Jofi.12883 |
0.436 |
|
| 2020 |
Aït-Sahalia Y, Kalnina I, Xiu D. High-frequency factor models and regressions Journal of Econometrics. 216: 86-105. DOI: 10.1016/J.Jeconom.2020.01.007 |
0.7 |
|
| 2019 |
Ke ZT, Kelly BT, Xiu D. Predicting Returns with Text Data National Bureau of Economic Research. DOI: 10.2139/Ssrn.3489226 |
0.337 |
|
| 2019 |
Li J, Liu Y, Xiu D. Efficient estimation of integrated volatility functionals via multiscale jackknife Annals of Statistics. 47: 156-176. DOI: 10.1214/18-Aos1684 |
0.486 |
|
| 2019 |
Ait-Sahalia Y, Xiu D. Principal Component Analysis of High Frequency Data Journal of the American Statistical Association. 114: 287-303. DOI: 10.1080/01621459.2017.1401542 |
0.671 |
|
| 2019 |
Ait-Sahalia Y, Xiu D. A Hausman test for the presence of market microstructure noise in high frequency data Journal of Econometrics. 211: 176-205. DOI: 10.1016/J.Jeconom.2018.12.013 |
0.688 |
|
| 2019 |
Dai C, Lu K, Xiu D. Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data Journal of Econometrics. 208: 43-79. DOI: 10.1016/J.Jeconom.2018.09.005 |
0.532 |
|
| 2017 |
Giglio S, Xiu D. Inference on Risk Premia in the Presence of Omitted Factors National Bureau of Economic Research. DOI: 10.2139/Ssrn.2865922 |
0.482 |
|
| 2017 |
Amengual D, Xiu D. Resolution of Policy Uncertainty and Sudden Declines in Volatility Journal of Econometrics. 203: 297-315. DOI: 10.2139/Ssrn.2348137 |
0.664 |
|
| 2017 |
Kalnina I, Xiu D. Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency Journal of the American Statistical Association. 112: 384-396. DOI: 10.1080/01621459.2016.1141687 |
0.55 |
|
| 2017 |
Ait-Sahalia Y, Xiu D. Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data Journal of Econometrics. 201: 384-399. DOI: 10.1016/J.Jeconom.2017.08.015 |
0.702 |
|
| 2017 |
Shephard N, Xiu D. Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading Journal of Econometrics. 201: 19-42. DOI: 10.1016/J.Jeconom.2017.04.003 |
0.56 |
|
| 2016 |
Li J, Xiu D. Generalized Method of Integrated Moments for High‐Frequency Data Econometrica. 84: 1613-1633. DOI: 10.3982/Ecta12306 |
0.454 |
|
| 2016 |
Fan J, Furger A, Xiu D. Incorporating Global Industrial Classification Standard into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator with High Frequency Data Journal of Business & Economic Statistics. 34: 489-503. DOI: 10.2139/Ssrn.2548613 |
0.543 |
|
| 2016 |
Song Z, Xiu D. A tale of two option markets: Pricing kernels and volatility risk Journal of Econometrics. 190: 176-196. DOI: 10.17016/Feds.2014.58 |
0.475 |
|
| 2016 |
Ait-Sahalia Y, Xiu D. Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both? Journal of Econometrics. 194: 205-219. DOI: 10.1016/J.Jeconom.2016.05.002 |
0.675 |
|
| 2014 |
Xiu D. Hermite polynomial based expansion of European option prices Journal of Econometrics. 179: 158-177. DOI: 10.2139/Ssrn.1704588 |
0.412 |
|
| 2014 |
Fan J, Qi L, Xiu D. Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods Journal of Business and Economic Statistics. 32: 178-191. DOI: 10.1080/07350015.2013.840239 |
0.475 |
|
| 2012 |
Aït-Sahalia Y, Xiu D. Likelihood-Based Volatility Estimators in the Presence of Market Microstructure Noise Handbook of Volatility Models and Their Applications. 347-361. DOI: 10.1002/9781118272039.ch14 |
0.361 |
|
| 2010 |
Xiu D. Quasi-maximum likelihood estimation of volatility with high frequency data Journal of Econometrics. 159: 235-250. DOI: 10.2139/Ssrn.1269810 |
0.531 |
|
| 2010 |
Aït-Sahalia Y, Fan J, Xiu D. High-frequency covariance estimates with noisy and asynchronous financial data Journal of the American Statistical Association. 105: 1504-1517. DOI: 10.1198/Jasa.2010.Tm10163 |
0.708 |
|
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