NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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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

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