1. Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale. (14th November 2017) Authors: Li, Jia; Xiu, Dacheng Journal: Journal of financial econometrics Issue: Volume 16:Number 4(2018:Autumn) Page Start: 570 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
2. Empirical Asset Pricing via Machine Learning. (26th February 2020) Authors: Gu, Shihao; Kelly, Bryan; Xiu, Dacheng Editors: Karolyi, Andrew Journal: Review of financial studies Issue: Volume 33:Number 5(2020) Page Start: 2223 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
3. Generalized Method of Integrated Moments for High‐Frequency Data. Issue 4 (21st July 2016) Authors: Li, Jia; Xiu, Dacheng Journal: Econometrica Issue: Volume 84:Issue 4(2016:Jul.) Page Start: 1613 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
4. Generalized Method of Integrated Moments for High‐Frequency Data. Issue 4 (July 2016) Authors: Li, Jia; Xiu, Dacheng Journal: Econometrica Issue: Volume 84:Issue 4(2016:Jul.) Page Start: 1613 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
5. Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data. Issue 4 (1st October 2016) Authors: Fan, Jianqing; Furger, Alex; Xiu, Dacheng Journal: Journal of business & economic statistics Issue: Volume 34:Issue 4(2016) Page Start: 489 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
6. Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency. Issue 517 (2nd January 2017) Authors: Kalnina, Ilze; Xiu, Dacheng Journal: Journal of the American Statistical Association Issue: Volume 112:Issue 517(2017) Page Start: 384 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
7. Principal Component Analysis of High-Frequency Data. Issue 525 (2nd January 2019) Authors: Aït-Sahalia, Yacine; Xiu, Dacheng Journal: Journal of the American Statistical Association Issue: Volume 114:Issue 525(2019) Page Start: 287 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
8. Thousands of Alpha Tests. (24th September 2020) Authors: Giglio, Stefano; Liao, Yuan; Xiu, Dacheng Editors: Jiang, Wei Journal: Review of financial studies Issue: Volume 34:Number 7(2021) Page Start: 3456 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗
9. When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility. Issue 6 (11th November 2021) Authors: Da, Rui; Xiu, Dacheng Journal: Econometrica Issue: Volume 89:Issue 6(2021) Page Start: 2787 Record Type: Journal Article View Content: Available online (eLD content is only available in our Reading Rooms) ↗