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Publications by Dacheng Xiu

Efficient Estimation of Integrated Volatility Functionals via Multiscale Jackknife

Annals of Statistics

English

A Tale of Two Option Markets: Pricing Kernels and Volatility Risk

SSRN Electronic Journal

English

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Split-Panel Jackknife Estimation of Fixed-Effect Models

Review of Economic Studies

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Estimation of Different Entropies via Lidstone Polynomial Using Jensen-Type Functionals

Arabian Journal of Mathematics

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Non-Parametric Estimation of Econometric Functionals

Canadian Journal of Economics

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Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

Journal of Empirical Finance

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Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility

SSRN Electronic Journal

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Estimation of Linear Functionals in Emission Tomography

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Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise

Multiscale Modeling and Simulation

Computer Science Applications

Ecological Modeling

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Predictive Inference for Integrated Volatility

SSRN Electronic Journal

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Estimation of Integrated Volatility in Continuous-Time Financial Models With Applications to Goodness-Of-Fit Testing

Scandinavian Journal of Statistics

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