Booth School of Business
University of Chicago
5807 South Woodlaswn Avenue
Chicago, IL 60637
Institutional Affiliation: University of Chicago
NBER Working Papers and Publications
|January 2020||The Structure of Economic News|
with Leland Bybee, Bryan T. Kelly, Asaf Manela: w26648
|August 2019||Predicting Returns With Text Data|
with Zheng Tracy Ke, Bryan T. Kelly: w26186
|January 2019||Taming 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 2018||Empirical 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 2017||Inference on Risk Premia in the Presence of Omitted Factors|
with Stefano Giglio: w23527
|September 2015||Principal 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.