| . |
Xiu, Dacheng's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
2,926 |
Total
Citations
10 |
|
|
|
|
|
1.
|
|
|
Xiu, Dacheng
University of Chicago - Booth School of Business
|
| Posted: |
|
18 Sep 08
|
|
Last Revised:
|
|
28 Jun 10
|
|
826
(12,494)
|
5
|
|
| |
|
| |
Integrated volatility, Market microstructure noise, Quasi-Maximum Likelihood Estimator, Realized Kernels, Stochastic volatility
|
|
|
2.
|
|
|
Fan, Jianqing
Princeton University - Bendheim Center for Finance Qi, Lei
Princeton University - Bendheim Center for Finance Xiu, Dacheng
University of Chicago - Booth School of Business
|
| Posted: |
|
24 Jan 10
|
|
Last Revised:
|
|
06 Aug 12
|
|
708
(15,721)
|
1
|
|
| |
|
| |
quasi-likelihood, two-step estimator, heavy-tailed error
|
|
|
3.
|
|
|
Xiu, Dacheng
University of Chicago - Booth School of Business
|
| Posted: |
|
08 Nov 10
|
|
Last Revised:
|
|
03 Jan 13
|
|
506
(25,144)
|
|
|
| |
|
| |
Option Valuation, Closed-Form Expansion, Mean-Reversion, Self-Exciting Jumps, Double Exponential Jumps
|
|
|
4.
|
|
|
Ait-Sahalia, Yacine
Princeton University - Department of Economics Fan, Jianqing
Princeton University - Bendheim Center for Finance Xiu, Dacheng
University of Chicago - Booth School of Business
|
|
410
(33,004)
|
4
|
|
| |
|
| |
Market microstructure noise, Covariance, Quasi-Maximum Likelihood Estimator, Refresh Time, Generalized Synchronization
|
|
|
5.
|
|
|
Song, Zhaogang
Federal Reserve Board Xiu, Dacheng
University of Chicago - Booth School of Business
|
| Posted: |
|
01 Mar 12
|
|
Last Revised:
|
|
13 Feb 13
|
|
302
(47,738)
|
|
|
| |
|
| |
pricing kernel, state-price density, VIX option, volatility risk
|
|
|
6.
|
|
|
Shephard, Neil
University of Oxford - Oxford-Man Institute Xiu, Dacheng
University of Chicago - Booth School of Business
|
| Posted: |
|
26 Apr 12
|
|
Last Revised:
|
|
11 Nov 12
|
|
139
(104,445)
|
|
|
| |
|
| |
EM algorithm, Kalman filter, market microstructure noise, non-synchronous data, portfolio optimization, quadratic variation, quasi-likelihood, semimartingale, volatility
|
|
|
7.
|
|
|
Li, Jia
Duke University Xiu, Dacheng
University of Chicago - Booth School of Business
|
|
35
(232,896)
|
|
|
| |
|
| |
high frequency data, semimartingale, VIX, spot volatility, bias correction, GMM
|
|
Records 1 -
7
of 7 matches
[
1
]
|
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo6 in 0.359 seconds
|
