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(Re-)imag(in)ing price trends
Jiang, Jingwen; Kelly, Bryan T.; Xiu, Dacheng - In: The journal of finance : the journal of the American … 78 (2023) 6, pp. 3193-3249
Persistent link: https://www.econbiz.de/10014437694
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Principal component analysis of high frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - 2015
Persistent link: https://www.econbiz.de/10011372555
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Comment on: limit of random measures associated with the increments of a Brownian Semimartingale
Li, Jia; Xiu, Dacheng - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 570-582
Persistent link: https://www.econbiz.de/10011987959
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Resolution of policy uncertainty and sudden declines in volatility
Amengual, Dante; Xiu, Dacheng - In: Journal of econometrics 203 (2018) 2, pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
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Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
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Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 2, pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
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Incorporating global industrial classification standard into portfolio allocation : a simple factor-based large covariance matrix : estimator with high-frequency data
Fan, Jianqing; Furger, Alex; Xiu, Dacheng - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 489-503
Persistent link: https://www.econbiz.de/10011692389
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Increased correlation among asset classes : Are volatility or jumps to blame, or both?
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 194 (2016) 2, pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
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A tale of two option markets : pricing kernels and volatility risk
Song, Zhaogang; Xiu, Dacheng - In: Journal of econometrics 190 (2016) 1, pp. 176-196
Persistent link: https://www.econbiz.de/10011591632
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Generalized method of integrated moments for high-frequency data
Li, Jia; Xiu, Dacheng - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1613-1633
Persistent link: https://www.econbiz.de/10011611168