Dacheng Xiu

Booth School of Business
University of Chicago
5807 South Woodlaswn Avenue
Chicago, IL 60637

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: University of Chicago

NBER Working Papers and Publications

January 2020The Structure of Economic News
with Leland Bybee, Bryan T. Kelly, Asaf Manela: w26648
August 2019Predicting Returns With Text Data
with Zheng Tracy Ke, Bryan T. Kelly: w26186
January 2019Taming the Factor Zoo: A Test of New Factors
with Guanhao Feng, Stefano Giglio: w25481

Published: GUANHAO FENG & STEFANO GIGLIO & DACHENG XIU, 2020. "Taming the Factor Zoo: A Test of New Factors," The Journal of Finance, vol 75(3), pages 1327-1370.

December 2018Empirical Asset Pricing via Machine Learning
with Shihao Gu, Bryan Kelly: w25398

Published: Shihao Gu & Bryan Kelly & Dacheng Xiu, 2020. "Empirical Asset Pricing via Machine Learning," The Review of Financial Studies, vol 33(5), pages 2223-2273.

June 2017Inference on Risk Premia in the Presence of Omitted Factors
with Stefano Giglio: w23527
September 2015Principal Component Analysis of High Frequency Data
with Yacine Aït-Sahalia: w21584

Published: Yacine Aït-Sahalia & Dacheng Xiu, 2019. "Principal Component Analysis of High-Frequency Data," Journal of the American Statistical Association, vol 114(525), pages 287-303.

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