Faculty & Research

Latest Publications

1. Li, Jia, and Dacheng Xiu, 2016, Generalized Method of Integrated Moments with High Frequency Data, Econometrica

2. Yacine, Aït-Sahalia, and Dacheng Xiu, 2016, Increased Correlation Among Asset Classes: Are Volatility or Jumps to Blame, or Both? , Journal of Econometrics

3. Fan, Jianqing, Alex Furger, and Dacheng Xiu, 2016, Incorporating Global Industrial Classification Standard into Portfolio Allocation: A Simple Factor- Based Large Covariance Matrix Estimator with High Frequency Data, Journal of Business and Economic Statistics

4. Song, Zhaogang, and Dacheng Xiu, 2016, A Tale of Two Option Markets: Pricing Kernels and Volatility Risk, Journal of Econometrics

5. Drapeau, Samuel, and Christoph Mainberger, 2016, Stability and Markov Property of Forward Backward Minimal Supersolutions, Electronic Journal of Probability

6. Harvey, Campbell R., Yan Liu, and Heqing Zhu, 2016, … and the Cross-Section of Expected Returns, The Review of Financial Studies

7. Da, Zhi, Wei Yang, and Hayong Yun, 2016, Household Production and Asset Prices, Management Science

8. Chen, Long, Zhi Da, and Borja Larrain, 2016, What Moves Investment Growth?, Journal of Money, Credit and Banking

9. Da, Zhi, Keejae Hong and Sangwoo Lee, 2016, What Drives Target Price Forecasts and Their Investment Value?, Journal of Business Finance & Accounting

10. Chen, Huaizhi, Lauren Cohen, and Dong Lou, 2016, Industry Window Dressing, The Review of Financial Studies