Dacheng Xiu

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods	2025-01-20	Paper
Rejoinder	2025-01-20	Paper
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data	2025-01-20	Paper
When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility	2022-03-24	Paper
Autoencoder asset pricing models	2021-03-24	Paper
High-frequency factor models and regressions	2020-03-20	Paper
Principal Component Analysis of High-Frequency Data	2019-08-19	Paper
A Hausman test for the presence of market microstructure noise in high frequency data	2019-07-01	Paper
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data	2019-04-26	Paper
Efficient estimation of integrated volatility functionals via multiscale jackknife	2019-03-14	Paper
Generalized Method of Integrated Moments for High-Frequency Data	2019-01-31	Paper
Resolution of policy uncertainty and sudden declines in volatility	2018-03-22	Paper
Using principal component analysis to estimate a high dimensional factor model with high-frequency data	2017-11-07	Paper
Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading	2017-09-28	Paper
Increased correlation among asset classes: are volatility or jumps to blame, or both?	2016-09-06	Paper
Quasi-maximum likelihood estimation of volatility with high frequency data	2016-08-04	Paper
A tale of two option markets: pricing kernels and volatility risk	2015-12-02	Paper
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data	2015-06-17	Paper
Hermite polynomial based expansion of European option prices	2014-11-11	Paper

Research outcomes over time

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