His work has been published at the Journal of Econometrics(7 times), Econometrica ，His research focuses on Financial Econometrics, Statistical Learning in Finance, Nonparametric Statistics, High-Dimensional Statistics, Quantitative Finance. He is ASSOCIATE EDITOR of Journal of Econometrics. Xiu got a B.A. in University of Science and Technology of China, a M.Sc. and a Ph.D. in Princeton University.