Dacheng Xiu
Biographic Data
| ID | 5849719 |
|---|---|
| NAME | Dacheng Xiu |
| GIVEN NAMES | Dacheng |
| FAMILY NAME | Xiu |
| SIGNATURE | XIU D |
| AFFILIATIONS | University of Chicago |
| ORCID | 0000-0002-2250-0861 |
| VERIFIED | Yes |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2014 |
| LATEST PUBLICATION YEAR | 2021 |
| H-INDEX | 0 |
Asset Pricing with Omitted Factors
Standard estimators of risk premia in linear asset pricing models are biased if some priced factors are omitted. We propose a three-pass method to estimate the risk premium of an observable factor, which is valid even when not all factors in the model are specified or observed. The risk premium of the observable factor can be identified regardless of the rotation of the other control factors if together they span the true factor space. Our approa…
Incorporating Global Industrial Classification Standard Into Portfolio Allocation
We document a striking block-diagonal pattern in the factor model residual covariances of the S&P 500 Equity Index constituents, after sorting the assets by their assigned Global Industry Classification Standard (GICS) codes. Cognizant of this structure, we propose combining a location-based thresholding approach based on sector inclusion with the Fama-French and SDPR sector Exchange Traded Funds (ETF’s). We investigate the performance of our est…
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods
The non-Gaussian maximum likelihood estimator is frequently used in GARCH models with the intention of capturing heavy-tailed returns. However, unless the parametric likelihood family contains the true likelihood, the estimator is inconsistent due to density misspecification. To correct this bias, we identify an unknown scale parameter ηf that is critical to the identification for consistency and propose a three-step quasi-maximum likelihood proc…
No prominent works on this page.
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods
The non-Gaussian maximum likelihood estimator is frequently used in GARCH models with the intention of capturing heavy-tailed returns. However, unless the parametric likelihood family contains the true likelihood, the estimator is inconsistent due to density misspecification. To correct this bias, we identify an unknown scale parameter ηf that is critical to the identification for consistency and propose a three-step quasi-maximum likelihood proc…
Incorporating Global Industrial Classification Standard Into Portfolio Allocation
We document a striking block-diagonal pattern in the factor model residual covariances of the S&P 500 Equity Index constituents, after sorting the assets by their assigned Global Industry Classification Standard (GICS) codes. Cognizant of this structure, we propose combining a location-based thresholding approach based on sector inclusion with the Fama-French and SDPR sector Exchange Traded Funds (ETF’s). We investigate the performance of our est…
Asset Pricing with Omitted Factors
Standard estimators of risk premia in linear asset pricing models are biased if some priced factors are omitted. We propose a three-pass method to estimate the risk premium of an observable factor, which is valid even when not all factors in the model are specified or observed. The risk premium of the observable factor can be identified regardless of the rotation of the other control factors if together they span the true factor space. Our approa…
Econometrics (3 works) · Estimator (3 works) · Mathematics (3 works) · Statistics (3 works) · Economics (2 works) · Financial Markets and Investment Strategies (2 works) · Financial Risk and Volatility Modeling (2 works) · Stochastic processes and financial applications (2 works) · Asset (computer security (1 work) · Capital asset pricing model (1 work)