Dacheng Xiu

University of Chicago - Booth School of Business

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

SCHOLARLY PAPERS

15

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6,358

CITATIONS
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Top 21,901

in Total Papers Citations

13

Scholarly Papers (15)

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 (10,625)
Citation 1

Abstract:

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 (19,404)
Citation 8

Abstract:

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: 61 Posted: 19 Aug 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 612 (32,400)

Abstract:

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 (496,787)

Abstract:

4.

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 (35,059)

Abstract:

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

5.

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 (43,666)
Citation 4

Abstract:

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

6.

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 (87,046)

Abstract:

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

7.

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 (96,029)

Abstract:

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

8.

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 (73,529)

Abstract:

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

9.

Resolution of Policy Uncertainty and Sudden Declines in Volatility

Chicago Booth Research Paper No. 13-78, Fama-Miller Working Paper
Number of pages: 58 Posted: 02 Nov 2013 Last Revised: 13 Feb 2017
Dante Amengual and Dacheng Xiu
Centre for Monetary and Financial Studies (CEMFI) and University of Chicago - Booth School of Business
Downloads 150 (114,552)

Abstract:

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

10.

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 (159,124)

Abstract:

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

11.

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 (70,514)

Abstract:

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

12.

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
University of Montreal and University of Chicago - Booth School of Business
Downloads 106 (163,747)

Abstract:

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

13.

Inference on Risk Premia in the Presence of Omitted Factors

Chicago Booth Research Paper No. 16-21
Number of pages: 46 Posted: 08 Nov 2016 Last Revised: 24 Jan 2017
Stefano Giglio and Dacheng Xiu
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 0 (147,017)

Abstract:

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

14.

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 (101,954)

Abstract:

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

15.

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 (57,627)

Abstract:

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