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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
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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
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Principal component analysis of high frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - 2015
Persistent link: https://www.econbiz.de/10011372555
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Business News and Business Cycles
Bybee, Leland; Kelly, Bryan T.; Manela, Asaf; Xiu, Dacheng - National Bureau of Economic Research - 2021
We propose an approach to measuring the state of the economy via textual analysis of business news. From the full text of 800,000 Wall Street Journal articles for 1984-2017, we estimate a topic model that summarizes business news into interpretable topical themes and quantifies the proportion of...
Persistent link: https://www.econbiz.de/10012660022
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Asset pricing with omitted factors
Giglio, Stefano; Xiu, Dacheng - In: Journal of political economy 129 (2021) 7, pp. 1947-1990
Persistent link: https://www.econbiz.de/10012610477
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Empirical asset pricing via machine learning
Gu, Shihao; Kelly, Bryan T.; Xiu, Dacheng - In: The review of financial studies 33 (2020) 5, pp. 2223-2273
Persistent link: https://www.econbiz.de/10012244733
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Predicting returns with text data
Ke, Zheng Tracy; Kelly, Bryan T.; Xiu, Dacheng - 2019
Persistent link: https://www.econbiz.de/10012110918
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The structure of economic news
Bybee, Leland; Kelly, Bryan T.; Manela, Asaf; Xiu, Dacheng - 2020
Persistent link: https://www.econbiz.de/10012179333