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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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Empirical asset pricing via machine learning
Gu, Shihao; Kelly, Bryan T.; Xiu, Dacheng - 2018
Persistent link: https://www.econbiz.de/10011981663
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Taming the factor zoo : a test of new factors
Feng, Guanhao; Giglio, Stefano; Xiu, Dacheng - 2019
Persistent link: https://www.econbiz.de/10011983365
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Comment on: limit of random measures associated with the increments of a Brownian Semimartingale
Li, Jia; Xiu, Dacheng - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 570-582
Persistent link: https://www.econbiz.de/10011987959
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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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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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The structure of economic news
Bybee, Leland; Kelly, Bryan T.; Manela, Asaf; Xiu, Dacheng - 2020
Persistent link: https://www.econbiz.de/10012179333
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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
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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