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Factor investing : a Bayesian hierarchical approach
Feng, Guanhao; He, Jingyu - In: Journal of econometrics 230 (2022) 1, pp. 183-200
Persistent link: https://www.econbiz.de/10013441934
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Quasi-maximum likelihood estimation of volatility with high frequency data
Xiu, Dacheng - In: Journal of econometrics 159 (2010) 1, pp. 235-250
Persistent link: https://www.econbiz.de/10008839925
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Hermite polynomial based expansion of European option prices
Xiu, Dacheng - In: Journal of econometrics 179 (2014) 2, pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
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Autoencoder asset pricing models
Gu, Shihao; Kelly, Bryan T.; Xiu, Dacheng - In: Journal of econometrics 222 (2021) 1,2, pp. 429-450
Persistent link: https://www.econbiz.de/10012619654
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High-frequency factor models and regressions
Aït-Sahalia, Yacine; Kalnina, Ilze; Xiu, Dacheng - In: Journal of econometrics 216 (2020) 1, pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
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A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 211 (2019) 1, pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
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A tale of two option markets : pricing kernels and volatility risk
Song, Zhaogang; Xiu, Dacheng - In: Journal of econometrics 190 (2016) 1, pp. 176-196
Persistent link: https://www.econbiz.de/10011591632
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Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
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Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 2, pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
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Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing; Lu, Kun; Xiu, Dacheng - In: Journal of econometrics 208 (2019) 1, pp. 43-79
Persistent link: https://www.econbiz.de/10012139780