Dacheng Xiu studies financial econometrics with an emphases on the statistical inference and the economic implication from high-frequency financial data, including transaction-level equity prices, commodities and EX futures, and index option quotes. His most recent interest includes empirical and mathematical pricing of volatility derivatives.
His work has appeared in the Journal of Econometrics, Journal of the American Statistical Association, and he has been invited to publish in the Journal of Business Statistics and Econometrics. Xiu has presented his work at various conferences and university seminars. He also serves as a referee for many journals in econometrics, statistics, and finance.
Xiu earned his PhD and MA in applied mathematics from Princeton University, where he studied at the Bendheim Center for Finance. Before that, he obtained a BS in mathematics from the University of Science and Technology of China in Hefei, China. Additionally, Xiu’s professional experience includes work with TYKHE Capital LLC in New York and Citigroup in their capital markets and banking division.
Outside of academia, Xiu enjoys a variety of sports as well as photography.
2013 - 2014 Course Schedule
||Applied Regression Analysis
Skiing, swimming, diving, basketball, and photography
Financial econometrics, asset pricing, and time series.
"Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data," Journal of Econometrics (2010).
With Yacine Ait-Sahalia and Jianqing Fan, "High-Frequency Covariance Estimates with Noisy and Asynchronous Data," Journal of the American Statistical Association (2010).
For a listing of research publications please visit
’s university library listing