Dacheng Xiu

Best Publications

• Empirical Asset Pricing via Machine Learning

  Unknown

  1888
  Citations

• Empirical Asset Pricing via Machine Learning

  Shihao Gu;Bryan Kelly;Dacheng Xiu

  1215
  Citations

• Taming the Factor Zoo: A Test of New Factors

  Guanhao Feng;Stefano Giglio;Stefano Giglio;Stefano Giglio;Dacheng Xiu

  679
  Citations

• Empirical Asset Pricing via Machine Learning

  Shihao Gu;Bryan T. Kelly;Bryan T. Kelly;Dacheng Xiu

  464
  Citations

• Autoencoder asset pricing models

  Shihao Gu;Bryan Kelly;Dacheng Xiu

  457
  Citations

• High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

  Yacine Aït-Sahalia;Jianqing Fan;Dacheng Xiu

  354
  Citations

• Quasi-maximum likelihood estimation of volatility with high frequency data

  Dacheng Xiu

  342
  Citations

• Principal Component Analysis of High-Frequency Data

  Yacine Aït-Sahalia;Dacheng Xiu

  321
  Citations

• Asset Pricing with Omitted Factors

  Stefano Giglio;Dacheng Xiu

  267
  Citations

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

  Yacine Aït-Sahalia;Dacheng Xiu

  249
  Citations

• Resolution of policy uncertainty and sudden declines in volatility

  Dante Amengual;Dacheng Xiu

  196
  Citations

• Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data

  Jianqing Fan;Alex Furger;Dacheng Xiu

  172
  Citations

• Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods

  Jianqing Fan;Lei Qi;Dacheng Xiu

  171
  Citations

• Factor Models, Machine Learning, and Asset Pricing

  Unknown

  162
  Citations

• Predicting Returns With Text Data

  Zheng Tracy Ke;Bryan T. Kelly;Dacheng Xiu

  140
  Citations

• A tale of two option markets: Pricing kernels and volatility risk ☆

  Zhaogang Song;Dacheng Xiu

  140
  Citations

• The Structure of Economic News

  Leland Bybee;Bryan T. Kelly;Asaf Manela;Dacheng Xiu

  126
  Citations

• Business News and Business Cycles

  Unknown

  112
  Citations

• (Re‐)Imag(in)ing Price Trends

  Unknown

  111
  Citations

• Predicting Returns with Text Data

  Unknown

  105
  Citations