Dacheng Xiu

16 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0002-2250-0861

University of Chicago

Publications

• Continuous-Time Fama-MacBeth Regressions — The Review of Financial Studies 2025
• Test Assets and Weak Factors — The Journal of Finance 2025
• Business News and Business Cycles — The Journal of Finance 2024
• (Re-)Imag(in)ing Price Trends — The Journal of Finance 2023
• Asset Pricing with Omitted Factors — Journal of Political Economy 2021
• When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility — Econometrica 2021
• Thousands of Alpha Tests — The Review of Financial Studies 2021
• Taming the Factor Zoo: A Test of New Factors — The Journal of Finance 2020
• Empirical Asset Pricing via Machine Learning — The Review of Financial Studies 2020
• Principal Component Analysis of High-Frequency Data — Journal of the American Statistical Association 2019
• Efficient estimation of integrated volatility functionals via multiscale jackknife — The Annals of Statistics 2019
• Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency — Journal of the American Statistical Association 2017
• Generalized Method of Integrated Moments for High-Frequency Data — Econometrica 2016
• High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data — Journal of the American Statistical Association 2010
• Prediction When Factors are Weak — Journal of the American Statistical Association
• Enhancing Investment Decisions with Sentiment Analysis: A Probabilistic Ranking Framework* — Journal of the American Statistical Association (name-matched, not ORCID-linked)