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Dacheng Xiu

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This is information that was supplied by Dacheng Xiu in registering through RePEc. If you are Dacheng Xiu , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Dacheng
Middle Name:
Last Name: Xiu
Suffix:

RePEc Short-ID: pxi68

Email:
Homepage: http://faculty.chicagobooth.edu/dacheng.xiu/
Postal Address:
Phone:

Affiliation

Booth School of Business
University of Chicago
Location: Chicago, Illinois (United States)
Homepage: http://www.chicagobooth.edu/
Email:
Phone:
Fax:
Postal: :1101 East 58th Street, Chicago, Illinois 60637
Handle: RePEc:edi:sbuchus (more details at EDIRC)

Works

as in new window

Working papers

  1. Neil Shephard & Dacheng Xiu, 2012. "Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices," Economics Series Working Papers 604, University of Oxford, Department of Economics.

Articles

  1. Aït-Sahalia, Yacine & Fan, Jianqing & Xiu, Dacheng, 2010. "High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1504-1517.
  2. Xiu, Dacheng, 2010. "Quasi-maximum likelihood estimation of volatility with high frequency data," Journal of Econometrics, Elsevier, vol. 159(1), pages 235-250, November.

NEP Fields

1 paper by this author was announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (1) 2012-05-02. Author is listed
  2. NEP-ETS: Econometric Time Series (1) 2012-05-02. Author is listed
  3. NEP-MST: Market Microstructure (1) 2012-05-02. Author is listed
  4. NEP-ORE: Operations Research (1) 2012-05-02. Author is listed

Statistics

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Co-authorship network on CollEc

Corrections

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