Dacheng Xiu

8.0k total citations · 3 hit papers
72 papers, 3.7k citations indexed

About

Dacheng Xiu is a scholar working on Finance, Economics and Econometrics and General Economics, Econometrics and Finance. According to data from OpenAlex, Dacheng Xiu has authored 72 papers receiving a total of 3.7k indexed citations (citations by other indexed papers that have themselves been cited), including 55 papers in Finance, 33 papers in Economics and Econometrics and 21 papers in General Economics, Econometrics and Finance. Recurrent topics in Dacheng Xiu's work include Financial Markets and Investment Strategies (33 papers), Financial Risk and Volatility Modeling (31 papers) and Stochastic processes and financial applications (23 papers). Dacheng Xiu is often cited by papers focused on Financial Markets and Investment Strategies (33 papers), Financial Risk and Volatility Modeling (31 papers) and Stochastic processes and financial applications (23 papers). Dacheng Xiu collaborates with scholars based in United States, United Kingdom and France. Dacheng Xiu's co-authors include Bryan Kelly, Shihao Gu, Yacine Aı̈t-Sahalia, Stefano Giglio, Jianqing Fan, Guanhao Feng, Dante Amengual, Zhaogang Song, Bryan T. Kelly and Jia Li and has published in prestigious journals such as The Journal of Finance, Journal of the American Statistical Association and Econometrica.

In The Last Decade

Dacheng Xiu

68 papers receiving 3.6k citations

Hit Papers

Empirical Asset Pricing via Machine Learning 2020 2026 2022 2024 2020 2020 2020 250 500 750 1000
What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

  1. Empirical Asset Pricing via Machine Learning
    2020 1.1k citations Shihao Gu, Bryan Kelly et al. Review of Financial Studies profile →
  2. Taming the Factor Zoo: A Test of New Factors
    2020 327 citations Stefano Giglio, Dacheng Xiu et al. The Journal of Finance profile →
  3. Autoencoder asset pricing models
    2020 197 citations Shihao Gu, Bryan Kelly et al. profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Dacheng Xiu United States 27 2.7k 2.0k 1.1k 540 364 72 3.7k
Victor DeMiguel United Kingdom 22 3.1k 1.1× 1.8k 0.9× 1.9k 1.8× 715 1.3× 433 1.2× 44 4.3k
Rama Cont United Kingdom 37 4.9k 1.8× 3.7k 1.8× 1.4k 1.3× 410 0.8× 189 0.5× 138 6.6k
Stephen Satchell United Kingdom 28 2.4k 0.9× 2.2k 1.1× 649 0.6× 677 1.3× 544 1.5× 204 3.5k
André Lucas Netherlands 33 3.0k 1.1× 2.3k 1.1× 387 0.4× 1.2k 2.2× 628 1.7× 200 4.1k
Ramazan Gençay Canada 34 2.5k 0.9× 3.4k 1.7× 1.3k 1.2× 905 1.7× 235 0.6× 116 5.0k
Carol Alexander United Kingdom 33 2.9k 1.1× 2.4k 1.2× 469 0.4× 956 1.8× 335 0.9× 175 4.2k
Kris Boudt Belgium 26 1.4k 0.5× 1.4k 0.7× 421 0.4× 396 0.7× 361 1.0× 129 2.5k
Asger Lunde Denmark 27 4.7k 1.7× 3.9k 1.9× 542 0.5× 1.5k 2.8× 225 0.6× 70 5.5k
Mark Broadie United States 35 4.7k 1.7× 1.5k 0.7× 909 0.8× 494 0.9× 270 0.7× 80 5.6k
Dick van Dijk Netherlands 39 3.4k 1.3× 4.0k 2.0× 830 0.8× 2.7k 5.1× 397 1.1× 172 6.1k

Countries citing papers authored by Dacheng Xiu

Since Specialization
Citations

This map shows the geographic impact of Dacheng Xiu's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Dacheng Xiu with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Dacheng Xiu more than expected).

Fields of papers citing papers by Dacheng Xiu

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Dacheng Xiu. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Dacheng Xiu. The network helps show where Dacheng Xiu may publish in the future.

Co-authorship network of co-authors of Dacheng Xiu

This figure shows the co-authorship network connecting the top 25 collaborators of Dacheng Xiu. A scholar is included among the top collaborators of Dacheng Xiu based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Dacheng Xiu. Dacheng Xiu is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Aı̈t-Sahalia, Yacine, Jean Jacod, & Dacheng Xiu. (2025). Continuous-Time Fama-MacBeth Regressions. Review of Financial Studies. 38(12). 3542–3579.
2.
Kelly, Bryan & Dacheng Xiu. (2023). Financial Machine Learning. 13(3-4). 205–363.
3.
Giglio, Stefano, Dacheng Xiu, & Dake Zhang. (2023). Prediction When Factors are Weak. SSRN Electronic Journal. 3 indexed citations
4.
Kelly, Bryan T. & Dacheng Xiu. (2023). Financial Machine Learning. SSRN Electronic Journal. 2 indexed citations
5.
Kelly, Bryan, et al.. (2023). (Re‐)Imag(in)ing Price Trends. The Journal of Finance. 78(6). 3193–3249. 45 indexed citations
6.
Giglio, Stefano, Dacheng Xiu, & Dake Zhang. (2023). Prediction When Factors are Weak. SSRN Electronic Journal. 1 indexed citations
7.
Kelly, Bryan T. & Dacheng Xiu. (2023). Financial Machine Learning. SSRN Electronic Journal. 8 indexed citations
8.
Bybee, Leland, Bryan T. Kelly, Asaf Manela, & Dacheng Xiu. (2021). Business News and Business Cycles. SSRN Electronic Journal. 6 indexed citations
9.
Gu, Shihao, Bryan Kelly, & Dacheng Xiu. (2020). Empirical Asset Pricing via Machine Learning. Review of Financial Studies. 33(5). 2223–2273. 1051 indexed citations breakdown →
10.
Aı̈t-Sahalia, Yacine, Jean Jacod, & Dacheng Xiu. (2020). Inference on Risk Premia in Continuous-Time Asset Pricing Models. SSRN Electronic Journal. 1 indexed citations
11.
Kelly, Bryan T., et al.. (2019). Predicting Returns With Text Data. SSRN Electronic Journal. 14 indexed citations
12.
Li, Jia, Yunxiao Liu, & Dacheng Xiu. (2018). Efficient estimation of integrated volatility functionals via multiscale jackknife. The Annals of Statistics. 47(1). 19 indexed citations
13.
Gu, Shihao, Bryan T. Kelly, & Dacheng Xiu. (2018). Empirical Asset Pricing via Machine Learning. SSRN Electronic Journal. 23 indexed citations
14.
Li, Jia, Yunxiao Liu, & Dacheng Xiu. (2017). Efficient Estimation of Integrated Volatility Functionals via Multiscale Jacknife. SSRN Electronic Journal. 1 indexed citations
15.
Xiu, Dacheng, et al.. (2017). When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility. SSRN Electronic Journal. 20 indexed citations
16.
Xiu, Dacheng, et al.. (2016). Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency. Journal of the American Statistical Association. 112(517). 384–396. 10 indexed citations
17.
Fan, Jianqing, et al.. (2015). 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. 34(4). 489–503. 99 indexed citations
18.
Li, Jia & Dacheng Xiu. (2013). Spot Variance Regressions. SSRN Electronic Journal. 6 indexed citations
19.
Xiu, Dacheng, et al.. (2013). Model-Free Leverage Effect Estimators at High Frequency. SSRN Electronic Journal. 2 indexed citations
20.
Fan, Jianqing, et al.. (2010). Quasi Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods. SSRN Electronic Journal. 7 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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