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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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Essays in financial econometrics
Xiu, Dacheng - 2011
Persistent link: https://www.econbiz.de/10011950727
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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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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
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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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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
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A tale of two option markets : pricing kernels and volatility risk
Song, Zhaogang; Xiu, Dacheng - 2014
Persistent link: https://www.econbiz.de/10010434036
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Thousands of alpha tests
Giglio, Stefano; Liao, Yuan; Xiu, Dacheng - In: The review of financial studies 34 (2021) 7, pp. 3456-3496
Persistent link: https://www.econbiz.de/10012546389
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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