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 Economic Statistics. 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.
2014 - 2015 Course Schedule
||Applied Regression Analysis
Skiing, swimming, diving, basketball, and photography
Financial Econometrics, Statistics, Empirical Asset Pricing, and Quantitative Finance
"Hermite Polynomial Based Expansion of European Option Prices." Dacheng Xiu; Journal of Econometrics, 2014, 179(2), pp. 158-77.
"Quasi-Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods." Jianqing Fan, Lei Qi and Dacheng Xiu; Journal of Business & Economic Statistics, 2013, 32(2), pp. 178-91.
"Likelihood-Based Volatility Estimators in the Presence of Market Microstructure Noise," Yacine Aït-Sahalia and Dacheng Xiu, in L. Bauwens, C. Hafner and S. Laurent: Handbook of Volatility Models and Their Applications. Hoboken, New Jersey: John Wiley & Sons, Inc., 2012, pp. 347-61
"Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data." Dacheng Xiu; Journal of Econometrics, 2010, 159(1), pp. 235-50.
"High-Frequency Covariance Estimates with Noisy and Asynchronous Financial Data." Yacine Aït-Sahalia, Jianqing Fan and Dacheng Xiu; Journal of the American Statistical Association, 2010, 105(492), pp. 1504-17.
For a listing of research publications please visit
’s university library listing