Jun Tu : Citation Profile


Are you Jun Tu?

Singapore Management University

7

H index

4

i10 index

140

Citations

RESEARCH PRODUCTION:

6

Articles

1

Papers

RESEARCH ACTIVITY:

   9 years (2004 - 2013). See details.
   Cites by year: 15
   Journals where Jun Tu has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 3 (2.1 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ptu130
   Updated: 2017-09-23    RAS profile: 2015-02-11    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Jun Tu.

Is cited by:

Zhou, Guofu (5)

Verona, Fabio (4)

Faria, Gonçalo (4)

Tokpavi, Sessi (3)

Yu, Jun (3)

Schröder, Michael (3)

Lo, Andrew (3)

Wohar, Mark (3)

Li, Yong (3)

Markellos, Raphael (2)

Ang, Andrew (2)

Cites to:

Stambaugh, Robert (18)

Zhou, Guofu (15)

Pastor, Lubos (14)

Campbell, John (14)

Timmermann, Allan (10)

French, Kenneth (10)

Fama, Eugene (8)

Harvey, Campbell (8)

Schwert, G. (6)

Nelson, Charles (6)

McCracken, Michael (5)

Main data


Where Jun Tu has published?


Journals with more than one article published# docs
Journal of Financial Economics2

Recent works citing Jun Tu (2017 and 2016)


YearTitle of citing document
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

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2016Optimal Shrinkage Estimator for High-Dimensional Mean Vector. (2016). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Ostap . In: Papers. RePEc:arx:papers:1610.09292.

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2016Naive Diversification Preferences and their Representation. (2016). Mahmoud, Ola ; De Giorgi, Enrico. In: Papers. RePEc:arx:papers:1611.01285.

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2016The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach. (2016). Warin, Xavier . In: Papers. RePEc:arx:papers:1611.04877.

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2016Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2016_029.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2017On the estimation of regime-switching Lévy models. (2017). Chevallier, Julien ; Stephane, Goutte ; Julien, Chevallier . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:3-29:n:4.

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2016Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonçalo. In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:052016.

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2016Forecasting the equity risk premium with frequency-decomposed predictors. (2016). Verona, Fabio ; Faria, Gonçalo. In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:062016.

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2016Durable consumption and asset returns: Cointegration analysis. (2016). Ren, Yu ; Chen, Guojin ; Hong, Zhiwu . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:231-244.

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2017Bayesian estimation of the global minimum variance portfolio. (2017). Bodnar, Taras ; Okhrin, Yarema ; Mazur, Stepan . In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:292-307.

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2016Intraday return predictability, portfolio maximisation, and hedging. (2016). Sharma, Susan ; Narayan, Paresh Kumar . In: Emerging Markets Review. RePEc:eee:ememar:v:28:y:2016:i:c:p:105-116.

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2016Predicting the oil prices: Do technical indicators help?. (2016). Yang, Qingyuan ; Yin, Libo . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:338-350.

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2017FX technical trading rules can be profitable sometimes!. (2017). Snaith, Stuart ; Coakley, Jerry ; Zarrabi, Nima . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:113-127.

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2017Predictability and diversification benefits of investing in commodity and currency futures. (2017). cotter, john ; Poti, Valerio ; Eyiah-Donkor, Emmanuel . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:52-66.

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2016The Sharpe ratio of estimated efficient portfolios. (2016). Kourtis, Apostolos . In: Finance Research Letters. RePEc:eee:finlet:v:17:y:2016:i:c:p:72-78.

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2016The role of information uncertainty in moving-average technical analysis: A study of individual stock-option issuance in Taiwan. (2016). Chen, Chien-Hua ; Lin, Jun-Biao ; Su, Xuan-Qi . In: Finance Research Letters. RePEc:eee:finlet:v:18:y:2016:i:c:p:263-272.

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2016Technical trading: Is it still beating the foreign exchange market?. (2016). HSU, Po-Hsuan ; Wang, Zigan ; Taylor, Mark P. In: Journal of International Economics. RePEc:eee:inecon:v:102:y:2016:i:c:p:188-208.

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2016On the estimation and testing of predictive panel regressions. (2016). , Joakimwesterlund ; Karabiyik, Hande ; Narayan, Paresh ; Westerlund, Joakim . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:45:y:2016:i:c:p:115-125.

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2017Can investors gain from investing in certain sectors?. (2017). Narayan, Paresh Kumar ; Ahmed, Huson Ali . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:160-177.

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2017Mean-variance versus naïve diversification: The role of mispricing. (2017). Yan, Cheng ; Zhang, Huazhu . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:61-81.

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2016Equity premium prediction: Are economic and technical indicators unstable?. (2016). Menkhoff, Lukas ; Baetje, Fabian . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1193-1207.

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2016Global equity market volatility spillovers: A broader role for the United States. (2016). Buncic, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1317-1339.

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2017Forecasting market returns: bagging or combining?. (2017). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:102-120.

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2016Forecasting realized volatility in a changing world: A dynamic model averaging approach. (2016). Wang, Yudong ; Wu, Chongfeng ; Wei, YU ; Ma, Feng . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:64:y:2016:i:c:p:136-149.

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2016Are there exploitable trends in commodity futures prices?. (2016). Yang, Jian ; Han, Yufeng ; Hu, Ting . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:70:y:2016:i:c:p:214-234.

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2016Short interest and aggregate stock returns. (2016). Zhou, Guofu ; Ringgenberg, Matthew ; Rapach, David E. In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:1:p:46-65.

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2016A trend factor: Any economic gains from using information over investment horizons?. (2016). Han, Yufeng ; Zhu, Yingzi ; Zhou, Guofu . In: Journal of Financial Economics. RePEc:eee:jfinec:v:122:y:2016:i:2:p:352-375.

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2017International volatility risk and Chinese stock return predictability. (2017). Jiang, Fuwei ; Chen, Jian ; Tu, Jun ; Liu, Yangshu . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:183-203.

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2016Singular inverse Wishart distribution and its application to portfolio theory. (2016). Bodnar, Taras ; Podgorski, Krzysztof ; Mazur, Stepan . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:143:y:2016:i:c:p:314-326.

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2016Exact and asymptotic tests on a factor model in low and large dimensions with applications. (2016). Bodnar, Taras ; Reiss, Markus . In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:150:y:2016:i:c:p:125-151.

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2016On the correlation between commodity and equity returns: Implications for portfolio allocation. (2016). Ravazzolo, Francesco ; Lombardi, Marco. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:2:y:2016:i:1:p:45-57.

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2016Chinese stock market volatility and the role of U.S. economic variables. (2016). Jiang, Fuwei ; Xu, Weidong ; Li, Hongyi ; Chen, Jian . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:39:y:2016:i:c:p:70-83.

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2016Do socially (ir)responsible investments pay? New evidence from international ESG data. (2016). Auer, Benjamin R ; Schuhmacher, Frank . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:59:y:2016:i:c:p:51-62.

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2017Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH. (2017). Vortelinos, Dimitrios I. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:824-839.

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2017Can (unusual) weather conditions in New York predict South African stock returns?. (2017). GUPTA, RANGAN ; Apergis, Nicholas. In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:377-386.

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2016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Scholtes, Nicolas ; Braione, Manuela . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3-:d:61992.

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2016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3:d:61992.

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2017“Resolution of optimization problems and construction of efficient portfolios: An application to the Euro Stoxx 50 index. (2017). Sosvilla-Rivero, Simon ; Adame-Garcia, Victor ; Fernandez-Rodriguez, Fernando . In: IREA Working Papers. RePEc:ira:wpaper:201702.

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2017K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?. (2017). Haley, Ryan M. In: Annals of Finance. RePEc:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0301-4.

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2016Monetary Policy and Risk-Based Asset Allocation. (2016). Bahaji, Hamza ; Flageollet, Alexis . In: Open Economies Review. RePEc:kap:openec:v:27:y:2016:i:5:d:10.1007_s11079-016-9404-1.

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2017Financial investor sentiment and the boom/bust in oil prices during 2003–2008. (2017). Du, Ding ; Zhao, Xiaobing . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:2:d:10.1007_s11156-016-0553-5.

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2016Stock Return Prediction with Fully Flexible Models and Coefficients. (2016). Fu, Rong ; Byrne, Joseph. In: MPRA Paper. RePEc:pra:mprapa:75366.

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2016A New Approach to Modelling Sector Stock Returns in China. (2016). CHONG, Terence Tai Leung ; ZOU, LIN ; Li, Nasha . In: MPRA Paper. RePEc:pra:mprapa:80554.

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2016Do Terror Attacks Predict Gold Returns? Evidence from a Quantile-Predictive-Regression Approach. (2016). Wohar, Mark ; Pierdzioch, Christian ; GUPTA, RANGAN ; Majumdar, Anandamayee . In: Working Papers. RePEc:pre:wpaper:201626.

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2017Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels. (2017). Correia, Pedro ; Henrique, Pedro . In: Computational Management Science. RePEc:spr:comgts:v:14:y:2017:i:2:d:10.1007_s10287-016-0267-0.

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2017Baidu index and predictability of Chinese stock returns. (2017). Shen, Dehua ; Zhang, Wei ; Xiong, Xiong . In: Financial Innovation. RePEc:spr:fininn:v:3:y:2017:i:1:d:10.1186_s40854-017-0053-1.

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2016Forecasting the realized volatility in the Chinese stock market: further evidence. (2016). Pu, Wang ; Ma, Feng ; Chen, Yixiang . In: Applied Economics. RePEc:taf:applec:v:48:y:2016:i:33:p:3116-3130.

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2016Predicting the equity premium via its components. (2016). Menkhoff, Lukas ; Batje, Fabian . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145789.

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Works by Jun Tu:


YearTitleTypeCited
2010Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article9
2004Data-generating process uncertainty: What difference does it make in portfolio decisions? In: Journal of Financial Economics.
[Full Text][Citation analysis]
article23
2011Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies In: Journal of Financial Economics.
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article42
2013Can US economic variables predict the Chinese stock market? In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]
article8
2010Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules In: Working Papers.
[Full Text][Citation analysis]
paper32
2010Is Regime Switching in Stock Returns Important in Portfolio Decisions? In: Management Science.
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article17
2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation In: Review of Financial Studies.
[Full Text][Citation analysis]
article9

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