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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

Using principal component analysis to estimate a highdimensional factor model with high-frequency data

Aït-Sahalia, Yacine; Xiu, Dacheng - 2017

Persistent link: https://www.econbiz.de/10012806600

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

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

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

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

Increased correlation among asset classes : Are volatility or jumps to blame, or both?

Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 194 (2016) 2, pp. 205-219

Persistent link: https://www.econbiz.de/10011705106

Augmented factor models with applications to validating market risk factors and forecasting bond risk premia

Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294

Persistent link: https://www.econbiz.de/10012619418

Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia

Fan, Jianqing; Ke, Yuan; Liao, Yuan - 2018

We study factor models augmented by observed covariates that have explanatory powers on the unknown factors. In financial factor models, the unknown factors can be reasonably well explained by a few observable proxies, such as the Fama-French factors. In diffusion index forecasts, identified...

Persistent link: https://www.econbiz.de/10014128414

Uniform predictive inference for factor models with instrumental and idiosyncratic betas

Cheng, Mingmian; Liao, Yuan; Yang, Xiye - In: Journal of econometrics 237 (2023) 2,3, pp. 1-28

Persistent link: https://www.econbiz.de/10014471816