Dacheng Xiu

University of Chicago - Booth School of Business

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

SCHOLARLY PAPERS

20

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CITATIONS
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Top 18,718

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17

Scholarly Papers (20)

1.

Quasi Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods

Number of pages: 36 Posted: 24 Jan 2010 Last Revised: 06 Aug 2012
Jianqing Fan, Lei Qi and Dacheng Xiu
Princeton University - Bendheim Center for Finance, Princeton University - Bendheim Center for Finance and University of Chicago - Booth School of Business
Downloads 1,184 (11,042)
Citation 1

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quasi-likelihood, two-step estimator, heavy-tailed error

2.

Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data

Number of pages: 44 Posted: 18 Sep 2008 Last Revised: 28 Jun 2010
Dacheng Xiu
University of Chicago - Booth School of Business
Downloads 872 (21,110)
Citation 8

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Integrated volatility, Market microstructure noise, Quasi-Maximum Likelihood Estimator, Realized Kernels, Stochastic volatility

Principal Component Analysis of High Frequency Data

Chicago Booth Research Paper No. 15-39
Number of pages: 64 Posted: 19 Aug 2015 Last Revised: 22 Aug 2017
Yacine Ait-Sahalia and Dacheng Xiu
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 749 (26,920)

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Ito Semimartingale, High Frequency, Spectral Function, Eigenvalue, Eigenvector, Principal Components, Three Factor Model

Principal Component Analysis of High Frequency Data

NBER Working Paper No. w21584
Number of pages: 53 Posted: 28 Sep 2015
Yacine Ait-Sahalia and Dacheng Xiu
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 10 (531,670)
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A Tale of Two Option Markets: Pricing Kernels and Volatility Risk

Fama-Miller Working Paper, Forthcoming, Chicago Booth Research Paper No. 12-10
Number of pages: 48 Posted: 01 Mar 2012 Last Revised: 02 Oct 2017
Zhaogang Song and Dacheng Xiu
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business
Downloads 529 (42,979)
Citation 1

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Multi-Factor Volatility Model, Pricing Kernel, Variance Swaps, VIX Options

A Tale of Two Option Markets: Pricing Kernels and Volatility Risk

FEDS Working Paper No. 2014-58
Number of pages: 44 Posted: 31 May 2017
Zhaogang Song and Dacheng Xiu
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business
Downloads 55 (328,333)
Citation 1

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Pricing kernel, volatility risk, VIX option, state-price density

5.

Hermite Polynomial Based Expansion of European Option Prices

Chicago Booth Research Paper No. 11-40
Number of pages: 49 Posted: 08 Nov 2010 Last Revised: 20 Dec 2013
Dacheng Xiu
University of Chicago - Booth School of Business
Downloads 566 (37,638)

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Option Valuation, Closed-Form Expansion, Mean-Reversion, Self-Exciting Jumps, Double Exponential Jumps

6.

High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data

Number of pages: 37 Posted: 28 Jun 2010
Yacine Ait-Sahalia, Jianqing Fan and Dacheng Xiu
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance and University of Chicago - Booth School of Business
Downloads 474 (46,307)
Citation 4

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Market microstructure noise, Covariance, Quasi-Maximum Likelihood Estimator, Refresh Time, Generalized Synchronization

Inference on Risk Premia in the Presence of Omitted Factors

Chicago Booth Research Paper No. 16-21
Number of pages: 53 Posted: 08 Nov 2016 Last Revised: 20 May 2017
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 303 (84,475)

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Three-Pass Estimator, Empirical Asset Pricing Models, PCA, Latent Factors, Omitted Factors, Fama-MacBeth Regression

Inference on Risk Premia in the Presence of Omitted Factors

NBER Working Paper No. w23527
Number of pages: 76 Posted: 19 Jun 2017
Stefano Giglio and Dacheng Xiu
Yale School of Management and University of Chicago - Booth School of Business
Downloads 13 (514,313)
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8.

Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading

Chicago Booth Research Paper No. 12-14
Number of pages: 53 Posted: 26 Apr 2012 Last Revised: 05 Dec 2016
Neil Shephard and Dacheng Xiu
Harvard University and University of Chicago - Booth School of Business
Downloads 222 (90,287)

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EM algorithm, Kalman filter, market microstructure noise, non-synchronous data, quasi-likelihood, semimartingale

9.

Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both?

Chicago Booth Research Paper No. 14-11, Fama-Miller Working Paper
Number of pages: 39 Posted: 16 Apr 2014
Yacine Ait-Sahalia and Dacheng Xiu
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 203 (97,204)

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Quadratic covariation, continuous and jump components, overnight jumps, news surprises, financial crisis

10.

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

Chicago Booth Research Paper No. 15-01
Number of pages: 34 Posted: 13 Jan 2015 Last Revised: 22 Apr 2015
Jianqing Fan, Alex Furger and Dacheng Xiu
Princeton University - Bendheim Center for Finance, Princeton University and University of Chicago - Booth School of Business
Downloads 165 (69,728)

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big data, high-frequency factor model, GICS, location-based thresholding, low rank plus sparse, precision matrix, positive-definite, concentration inequality, SDPR sector ETF’s

11.

Resolution of Policy Uncertainty and Sudden Declines in Volatility

Chicago Booth Research Paper No. 13-78, Fama-Miller Working Paper
Number of pages: 56 Posted: 02 Nov 2013 Last Revised: 22 Aug 2017
Dante Amengual and Dacheng Xiu
Centre for Monetary and Financial Studies (CEMFI) and University of Chicago - Booth School of Business
Downloads 150 (100,321)
Citation 2

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Non-Affine Derivative Pricing Models, Log Volatility Models, Quadratic Volatility Models, Downward Volatility Jumps, Variance Swaps

12.

Spot Variance Regressions

Chicago Booth Research Paper No. 13-07
Number of pages: 35 Posted: 12 Feb 2013
Jia Li and Dacheng Xiu
Duke University and University of Chicago - Booth School of Business
Downloads 123 (163,816)

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high frequency data, semimartingale, VIX, spot volatility, bias correction, GMM

13.

Generalized Method of Integrated Moments for High-Frequency Data

Chicago Booth Research Paper No. 15-05
Number of pages: 61 Posted: 06 Feb 2015
Jia Li and Dacheng Xiu
Duke University and University of Chicago - Booth School of Business
Downloads 122 (73,847)

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high frequency data, semimartingale, spot volatility, nonlinearity bias, GMM

14.

Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency

Chicago Booth Research Paper No. 13-83
Number of pages: 62 Posted: 26 Nov 2013 Last Revised: 24 Nov 2015
Ilze Kalnina and Dacheng Xiu
North Carolina State University - Department of Economics and University of Chicago - Booth School of Business
Downloads 106 (167,548)

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semimartingale, spot correlation, VIX, implied volatility, high frequency data

15.

When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility

Chicago Booth Research Paper No. 17-27, Fama-Miller Working Paper
Number of pages: 115 Posted: 29 Sep 2017
Rui Da and Dacheng Xiu
Univeristy of Chicago Booth School of Business and University of Chicago - Booth School of Business
Downloads 0 (359,867)

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QMLE, Dependent Noise, Small Noise, Model Selection, Uniformity

16.

Efficient Estimation of Integrated Volatility Functionals via Multiscale Jacknife

Chicago Booth Research Paper No. 17-05
Number of pages: 31 Posted: 28 Mar 2017 Last Revised: 05 Apr 2017
Jia Li, Yunxiao Liu and Dacheng Xiu
Duke University, University of North Carolina (UNC) at Chapel Hill and University of Chicago - Booth School of Business
Downloads 0 (392,190)

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17.

Taming the Factor Zoo

Fama-Miller Working Paper Forthcoming, Chicago Booth Research Paper No. 17-04
Number of pages: 69 Posted: 20 Mar 2017 Last Revised: 08 Sep 2017
Guanhao Feng, Stefano Giglio and Dacheng Xiu
City University of Hong Kong - College of Business, Yale School of Management and University of Chicago - Booth School of Business
Downloads 0 (16,262)

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Factors, Risk Price, Post-Selection Inference, Regularized Two-Pass Estimation, Machine Learning, LASSO, Elastic Net

18.

Knowing Factors or Factor Loadings, or Neither? Evaluating Estimators of Large Covariance Matrices with Noisy and Asynchronous Data

Chicago Booth Research Paper No. 17-02
Number of pages: 61 Posted: 23 Feb 2017 Last Revised: 01 Nov 2017
Chaoxing Dai, Kun Lu and Dacheng Xiu
University of Chicago - Booth School of Business, Princeton University and University of Chicago - Booth School of Business
Downloads 0 (197,619)

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high-dimensional data, high-frequency data, factor model, pre-averaging estimator, portfolio allocation, low-rank plus sparse covariance matrix, Barra covariance matrix estimator

19.

A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

Chicago Booth Research Paper No. 16-06
Number of pages: 55 Posted: 07 Mar 2016 Last Revised: 21 Feb 2017
Yacine Ait-Sahalia and Dacheng Xiu
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 0 (82,808)

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Hausman test, market microstructure noise, realized volatility, QMLE, TSRV, preaveraging, super-efficiency, local power

20.

Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data

Chicago Booth Research Paper No. 15-43
Number of pages: 43 Posted: 07 Oct 2015 Last Revised: 11 Oct 2016
Yacine Ait-Sahalia and Dacheng Xiu
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 0 (44,147)

Abstract:

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High-dimensional data, high-frequency, latent factor model, principal components, portfolio optimization