Dacheng Xiu’s research interests include developing statistical methodologies and applying them to financial data, while exploring their economic implications. His earlier research involved risk measurement and portfolio management with high-frequency data and econometric modeling of derivatives. His current work focuses on developing machine learning solutions to big-data problems in empirical asset pricing.
Xiu’s work has appeared in Econometrica, the Journal of Econometrics, the Journal of the American Statistical Association, and the Annals of Statistics. Additionally, he was invited to publish in the Journal of Business and Economic Statistics. He is an Associate Editor for the Journal of Econometrics and Statistica Sinica, and also referees for several journals in the fields of econometrics, statistics, and finance. He has received several recognitions for his research, including the Dennis J. Aigner 2017 Honorable Mention for the best paper in empirical econometrics published by the Journal of Econometrics in 2015 or 2016, and the Best Conference Paper Prize at the 2017 Annual Meeting of the European Finance Association.
In 2017, Xiu launched a website that provides up-to-date realized volatilities of individual stocks. These daily volatilities are calculated from the stocks’ intraday transactions and the methodologies are based on his research of high-frequency data.
Xiu earned his PhD and MA in applied mathematics from Princeton University, where he was also a researcher at the Bendheim Center for Finance. Prior to his graduate studies, he obtained a BS in mathematics from the University of Science and Technology of China.
2017 - 2018 Course Schedule
||Applied Regression Analysis
||Econometrics and Statistics Colloquium
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 the university library listing