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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

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

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

Nonparametric estimation of the leverage effect : a trade-off between robustness and efficiency

Kalnina, Ilze; Xiu, Dacheng - 2015

Persistent link: https://www.econbiz.de/10011419309

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

Quasi-maximum likelihood estimation of GARCH models with heavy-tailed likelihoods

Fan, Jianqing; Qi, Lei; Xiu, Dacheng - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 2, pp. 178-205

Persistent link: https://www.econbiz.de/10010488571

Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices

Shephard, Neil G.; Xiu, Dacheng - 2012

Persistent link: https://www.econbiz.de/10009532682

Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices

Shephard, Neil G.; Xiu, Dacheng - 2012

Persistent link: https://www.econbiz.de/10009531407

The Statistical Limit of Arbitrage

Da, Rui; Nagel, Stefan; Xiu, Dacheng - National Bureau of Economic Research - 2024

We investigate the economic consequences of statistical learning for arbitrage pricing in a high-dimensional setting. Arbitrageurs learn about alphas from historical data. When alphas are weak and rare, estimation errors hinder arbitrageurs--even those employing optimal machine learning...

Persistent link: https://www.econbiz.de/10015094912

Incorporating global industrial classification standard into portfolio allocation : a simple factor-based large covariance matrix : estimator with high-frequency data

Fan, Jianqing; Furger, Alex; Xiu, Dacheng - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 489-503

Persistent link: https://www.econbiz.de/10011692389