Guofu Zhou : Citation Profile


Are you Guofu Zhou?

Washington University in St. Louis (50% share)
Central University of Finance and Economics (CUFE) (50% share)

24

H index

33

i10 index

2427

Citations

RESEARCH PRODUCTION:

37

Articles

12

Papers

1

Chapters

RESEARCH ACTIVITY:

   26 years (1990 - 2016). See details.
   Cites by year: 93
   Journals where Guofu Zhou has often published
   Relations with other researchers
   Recent citing documents: 411.    Total self citations: 23 (0.94 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh420
   Updated: 2021-11-20    RAS profile: 2020-02-11    
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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 Guofu Zhou.

Is cited by:

GUPTA, RANGAN (74)

Wang, Yudong (72)

Verona, Fabio (40)

Khalaf, Lynda (37)

Dufour, Jean-Marie (37)

Pettenuzzo, Davide (28)

Wohar, Mark (27)

Buncic, Daniel (22)

McAleer, Michael (21)

Guidolin, Massimo (21)

Yin, Libo (20)

Cites to:

Campbell, John (59)

Stambaugh, Robert (50)

Pastor, Lubos (34)

Shanken, Jay (33)

Harvey, Campbell (27)

French, Kenneth (24)

Timmermann, Allan (19)

Fama, Eugene (19)

Hansen, Lars (14)

Ferson, Wayne (13)

Shiller, Robert (12)

Main data


Where Guofu Zhou has published?


Journals with more than one article published# docs
Journal of Financial Economics8
Review of Financial Studies6
Journal of Financial and Quantitative Analysis4
Annals of Economics and Finance4
Journal of Empirical Finance3
Annual Review of Financial Economics2
Journal of Finance2

Working Papers Series with more than one paper published# docs
CEMA Working Papers / China Economics and Management Academy, Central University of Finance and Economics6
Working Papers / HAL2

Recent works citing Guofu Zhou (2021 and 2020)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2020Robust portfolio selection using sparse estimation of comoment tensors. (2020). Vrins, Frédéric ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020003.

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2021High Dimensional Estimation and Multi-Factor Models. (2019). Jarrow, Robert ; Wells, Martin T ; Basu, Sumanta ; Zhu, Liao. In: Papers. RePEc:arx:papers:1804.08472.

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2020Factor Investing: Hierarchical Ensemble Learning. (2019). Feng, Guanhao ; He, Jingyu. In: Papers. RePEc:arx:papers:1902.01015.

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2020Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

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2020Optimal portfolio choice with path dependent labor income: the infinite horizon case. (2020). Gozzi, Fausto ; Prosdocimi, Cecilia ; Biffis, Enrico. In: Papers. RePEc:arx:papers:2002.00201.

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2021Sharpe Ratio in High Dimensions: Cases of Maximum Out of Sample, Constrained Maximum, and Optimal Portfolio Choice. (2020). Vasconcelos, Gabriel ; Medeiros, Marcelo ; Caner, Mehmet. In: Papers. RePEc:arx:papers:2002.01800.

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2021Complete Subset Averaging for Quantile Regressions. (2020). Shin, Youngki ; Lee, Ji Hyung. In: Papers. RePEc:arx:papers:2003.03299.

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2020Company classification using machine learning. (2020). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven. In: Papers. RePEc:arx:papers:2004.01496.

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2020Spanning analysis of stock market anomalies under Prospect Stochastic Dominance. (2020). Scaillet, Olivier ; Topaloglou, Nikolas ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:2004.02670.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Deeply Equal-Weighted Subset Portfolios. (2020). Il, Sang. In: Papers. RePEc:arx:papers:2006.14402.

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2020How does stock market reflect the change in economic demand? A study on the industry-specific volatility spillover networks of Chinas stock market during the outbreak of COVID-19. (2020). Yan, Yan ; Qiao, FU. In: Papers. RePEc:arx:papers:2007.07487.

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2021Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2020Mean-variance portfolio selection with tracking error penalization. (2020). Pham, Huyen ; Loeper, Gregoire ; Lefebvre, William. In: Papers. RePEc:arx:papers:2009.08214.

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2021Robust Utility Maximization in a Multivariate Financial Market with Stochastic Drift. (2020). Westphal, Dorothee ; Sass, Jorn. In: Papers. RePEc:arx:papers:2009.14559.

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2020Time-varying Forecast Combination for High-Dimensional Data. (2020). Maung, Kenwin ; Chen, Bin. In: Papers. RePEc:arx:papers:2010.10435.

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2020Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis. (2020). Georgantas, A. In: Papers. RePEc:arx:papers:2010.13397.

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2021Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model. (2020). Jarrow, Robert A ; Zhu, Liao ; Wells, Martin T. In: Papers. RePEc:arx:papers:2011.04171.

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2021A Basket Half Full: Sparse Portfolios. (2020). Seregina, Ekaterina. In: Papers. RePEc:arx:papers:2011.04278.

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2021Dirichlet policies for reinforced factor portfolios. (2020). Coqueret, Guillaume ; Andr, Eric. In: Papers. RePEc:arx:papers:2011.05381.

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2020Bayesian Quantile-Based Portfolio Selection. (2020). Lindholm, Mathias ; Bodnar, Taras ; Thors, Erik ; Niklasson, Vilhelm. In: Papers. RePEc:arx:papers:2012.01819.

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2021Quantum-accelerated multilevel Monte Carlo methods for stochastic differential equations in mathematical finance. (2020). Linden, Noah ; An, Dong ; Wang, Jiasu ; Shao, Changpeng ; Montanaro, Ashley ; Liu, Jin-Peng. In: Papers. RePEc:arx:papers:2012.06283.

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2020Deep Portfolio Optimization via Distributional Prediction of Residual Factors. (2020). Minami, Kentaro ; Imajo, Kentaro ; Nakagawa, Kei ; Ito, Katsuya. In: Papers. RePEc:arx:papers:2012.07245.

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2021CRPS Learning. (2021). Berrisch, Jonathan ; Ziel, Florian. In: Papers. RePEc:arx:papers:2102.00968.

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2021General Bayesian time-varying parameter VARs for predicting government bond yields. (2021). Pfarrhofer, Michael ; Huber, Florian ; Hauzenberger, Niko ; Fischer, Manfred M. In: Papers. RePEc:arx:papers:2102.13393.

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2021The Success of AdaBoost and Its Application in Portfolio Management. (2021). Wu, Lan ; He, Zhenrui ; ZHAO, Chaoyi ; Chuan, Yijian. In: Papers. RePEc:arx:papers:2103.12345.

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2021Robust Portfolio Selection Problems: A Comprehensive Review. (2021). Ghasemi, Alireza ; Saif, Ahmed ; Ghahtarani, Alireza . In: Papers. RePEc:arx:papers:2103.13806.

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2021Robustifying Conditional Portfolio Decisions via Optimal Transport. (2021). Ye, Yinyu ; Delage, Erick ; Blanchet, Jose ; Zhang, Fan ; Nguyen, Viet Anh. In: Papers. RePEc:arx:papers:2103.16451.

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2021A q-binomial extension of the CRR asset pricing model. (2021). Privault, Nicolas ; El-Khatib, Youssef ; Fan, Jun ; Breton, Jean-Christophe. In: Papers. RePEc:arx:papers:2104.10163.

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2021An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2021The efficient frontiers of mean-variance portfolio rules under distribution misspecification. (2021). van Zyl, Terence ; Gebbie, Tim ; Paskaramoorthy, Andrew. In: Papers. RePEc:arx:papers:2106.10491.

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2021Portfolio Allocation under Asymmetric Dependence in Asset Returns using Local Gaussian Correlations. (2021). Tjostheim, Dag ; Berentsen, Geir Drage ; Otneim, Haakon ; Stove, Baard ; Sleire, Anders D ; Haugen, Sverre Hauso. In: Papers. RePEc:arx:papers:2106.12425.

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2021The insider problem in the trinomial model: a discrete-time jump process approach. (2021). Halconruy, H'Elene. In: Papers. RePEc:arx:papers:2106.15208.

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2021Geometric insights into robust portfolio construction with gearing. (2021). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194.

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2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

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2021Optimum Risk Portfolio and Eigen Portfolio: A Comparative Analysis Using Selected Stocks from the Indian Stock Market. (2021). Mehtab, Sidra ; Sen, Jaydip. In: Papers. RePEc:arx:papers:2107.11371.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2021The Adaptive Multi-Factor Model and the Financial Market. (2021). Zhu, Liao. In: Papers. RePEc:arx:papers:2107.14410.

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2021Identification in Bayesian Estimation of the Skewness Matrix in a Multivariate Skew-Elliptical Distribution. (2021). Nakatsuma, Teruo ; Oya, Sakae. In: Papers. RePEc:arx:papers:2108.04019.

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2020Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets. (2020). Pedio, Manuela ; Guidolin, Massimo ; Bianchi, Daniele. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20143.

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20154.

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2021Do Bankruptcy Protection Levels Affect Households Demand for Stocks?. (2021). Dal Borgo, Mariela. In: Working Papers. RePEc:bdm:wpaper:2021-03.

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2021Can Machine Learning Help to Select Portfolios of Mutual Funds?. (2021). , Andre ; Nogales, Francisco J ; Gil-Bazo, Javier ; Demiguel, Victor ; de Miguel, Victor . In: Working Papers. RePEc:bge:wpaper:1245.

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2020FISS – A Factor-based Index of Systemic Stress in the Financial System. (2020). Varga, Katalin ; Szendrei, Tibor . In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:79:y:2020:i:1:p:3-34.

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2021Is the ex?ante equity risk premium always positive? Evidence from a new conditional expectations model. (2021). faff, robert ; Hoang, Khoa. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:1:p:95-124.

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2021Do accounting information and market environment matter for cross?asset predictability?. (2021). Visaltanachoti, Nuttawat ; Nguyen, Nhut H ; Thakerngkiat, Narongdech. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4389-4434.

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2020Idiosyncratic momentum and the cross‐section of stock returns: Further evidence. (2020). Lin, QI. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:579-627.

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2020How much should portfolios shrink?. (2020). Han, Chulwoo. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:707-740.

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2020Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713.

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2020What Matters to Individual Investors? Evidence from the Horses Mouth. (2020). Choi, James ; Robertson, Adriana Z. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:1965-2020.

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2020A Bayesian multivariate factor analysis model for evaluating an intervention by using observational time series data on multiple outcomes. (2020). Seaman, Shaun R ; Samartsidis, Pantelis ; de Angelis, Daniela ; Hickman, Matthew ; Charlett, Andre ; Montagna, Silvia. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:4:p:1437-1459.

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2020Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006.

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2020Time-varying return predictability and adaptive markets hypothesis: Evidence on MIST countries from a novel wild bootstrap likelihood ratio approach. (2020). Ozkan, Oktay. In: Bogazici Journal, Review of Social, Economic and Administrative Studies. RePEc:boz:journl:v:34:y:2020:i:2:p:101-113.

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2020Can Technical Indicators Provide Information for Future Volatility: International Evidence. (2020). Xun, Peng ; Tingting, Ying ; Nenghui, Zhu ; Yanlong, Shi ; Xiangxing, Tao ; Yafeng, Shi. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:8:y:2020:i:1:p:53-66:n:4.

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2020Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts. (2020). Gooijer, Jan G. ; Dawit, Zerom ; Jan, De Gooijer. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:15:n:4.

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2020The role of uncertainty on agricultural futures markets momentum trading and volatility. (2020). Czudaj, Robert ; Robert, Czudaj. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:3:p:39:n:3.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp677.

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2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

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2021Factor Strengths, Pricing Errors, and Estimation of Risk Premia. (2021). Smith, Ronald ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8947.

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2021Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios. (2021). Smith, Ron P ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9001.

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2021Do bankruptcy protection levels affect households demand for stocks?. (2021). Dal Borgo, Mariela. In: CAGE Online Working Paper Series. RePEc:cge:wacage:564.

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2020The Power of Sentiment: Irrational Beliefs of Households and Consumer Loan Dynamics. (2020). Rakovská, Zuzana ; Hodula, Martin ; Ehrenbergerova, Dominika. In: Working Papers. RePEc:cnb:wpaper:2020/10.

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2020Nowcasting German GDP. (2020). Strohsal, Till ; Reichlin, Lucrezia ; Hasenzagl, Thomas ; Senftleben-Konig, Charlotte Charlotte ; Andreini, Paolo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14323.

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2020Uncovering regimes in out of sample forecast errors from predictive regressions. (2020). Pitarakis, Jean-Yves ; Gonzalo, Jesus ; da Silva, Anibal Emiliano. In: UC3M Working papers. Economics. RePEc:cte:werepe:31555.

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2021How to explain the cross-section of equity returns through Common Principal Components. (2021). Cueto, Jose Manuel ; Chavez, Aurea Grane ; Fernandez, Ignacio Cascos. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32258.

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2020Currency Futures Risk Premia and Risk Factors. (2020). Bernoth, Kerstin ; de Vries, Casper G ; Vonhagen, Jurgen ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1866.

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2020Daily tracker of global economic activity: a close-up of the COVID-19 pandemic. (2020). Perez Quiros, Gabriel ; Diaz, Elena Maria ; Perezquiros, Gabriel . In: Working Paper Series. RePEc:ecb:ecbwps:20202505.

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2020The Effects of External Uncertainties against Monetary Policy Uncertainty on IRANIAN Stock Return Volatility Using GARCH-MIDAS Approach. (2020). Oroumieh, Kiana Baensaf ; Javad, Seyed Mohammad ; Bajgiran, Bahareh Ramezanian ; Razmi, Seyedeh Fatemeh. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-04-35.

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2021Can the Leading US Energy Stock Prices be Predicted using the Ichimoku Cloud?. (2021). Kamalov, Firuz ; Gurrib, Ikhlaas ; Elshareif, Elgilani. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-7.

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2021The effect of suppliers corporate social responsibility concerns on customers stock price crash risk. (2021). Tao, Anqi ; Karim, Khondkar ; Chen, Huimin. In: Advances in accounting. RePEc:eee:advacc:v:52:y:2021:i:c:s0882611021000043.

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2020A new European investor sentiment index (EURsent) and its return and volatility predictability. (2020). Pinho, Carlos ; Nogueira, Pedro Manuel. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635019303041.

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2021Financial news and CDS spreads. (2021). Bannigidadmath, Deepa ; Narayan, Paresh Kumar. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303774.

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2021What determines Manager and Investor Sentiment?. (2021). Gregory, Richard Paul . In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000435.

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2020Should investors include Bitcoin in their portfolios? A portfolio theory approach. (2020). Urquhart, Andrew ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:4:s0890838919300605.

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2020Early indicators of fundraising success by venture capital firms. (2020). Lahr, Henry ; Trombley, Timothy E. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301164.

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2020Terrorist attacks, investor sentiment, and the pricing of initial public offerings. (2020). Goyal, Abhinav ; Zolotoy, Leon ; Veeraraghavan, Madhu ; Chen, Yangyang. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302248.

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2020Large-scale minimum variance portfolio allocation using double regularization. (2020). Liao, Yin ; Bian, Zhicun ; Zhang, Xueyong ; Shi, Jing ; Oneill, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s016518892030107x.

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2021Market instability and technical trading at high frequency: Evidence from NASDAQ stocks. (2021). Vargas, Nicolas ; Petitjean, Mikael ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001814.

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2020Forecasting stock market volatility: The role of technical variables. (2020). Liu, LI ; Pan, Zhiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65.

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2020Economic policy uncertainty and the Chinese stock market volatility: Novel evidence. (2020). Zhang, Yaojie ; Ma, Feng ; Li, Tao. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:24-33.

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2020A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China. (2020). Lv, Dayong ; Zhou, Yaping ; Wang, Zilin ; Ruan, Qingsong. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:47-58.

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2020Social insurance for the elderly. (2020). Park, Kyunghyun ; Koo, Hyeng Keun ; Jeon, Junkee ; Bae, Se Yung. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:274-299.

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2020Global predictive power of the upside and downside variances of the U.S. equity market. (2020). Zhang, Liguo ; Xiao, Jun ; Xu, Yahua. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:605-619.

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2020Which types of commodity price information are more useful for predicting US stock market volatility?. (2020). Li, Yan ; Ma, Feng ; Liang, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:642-650.

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2021Macroeconomic forecasts and commodity futures volatility. (2021). Liu, Xiaoquan ; Jiang, Ying ; Deschamps, Bruno ; Guo, Ranran ; Ye, Wuyi. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:981-994.

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2021Further tests of asset pricing models: Liquidity risk matters. (2021). Liu, Weimin ; Zhang, Xindong ; Ma, Xiuli. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:255-273.

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2021Intraday momentum and return predictability: Evidence from the crude oil market. (2021). Gong, XU ; Wen, Zhuzhu ; Xu, Yahua ; Ma, Diandian. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:374-384.

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2021Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism. (2021). Zhang, Yaojie ; Wang, Yudong ; Wen, Danyan. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:209-219.

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2021Factor tracking: A new smart beta strategy that outperforms naïve diversification. (2021). Bian, Yun ; Du, Jiangze ; Jiang, Chonghui ; Zhang, Jinqing. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:396-408.

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2021Herding for profits: Market breadth and the cross-section of global equity returns. (2021). Mikutowski, Mateusz ; Karathanasopoulos, Andreas ; Szyszka, Adam ; Zaremba, Adam. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:348-364.

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2021Is the assumption of constant factor loadings too strong in practice?. (2021). Hartigan, Luke ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:100-108.

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2021Dynamic portfolio choice and information trading with recursive utility. (2021). Ruan, Xinfeng ; Chen, Xingjiang ; Zhang, Wenjun. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:154-167.

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2021Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks. (2021). Anghel, Dan Gabriel ; Cepoi, Cosmin-Octavian ; Pop, Ionu Daniel. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:302-318.

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2020Testing the performance of technical analysis and sentiment-TAR trading rules in the Malaysian stock market. (2020). Chong, Lee-Lee ; Tey, Eng-Xin ; Lai, Ming-Ming ; Tan, Siow-Hooi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302250.

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2020Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data. (2020). Ji, Qiang ; GUPTA, RANGAN ; Cunado, Juncal ; Liu, Bing-Yue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830319x.

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2020What do movements in financial traders’ net long positions reveal about aggregate stock returns?. (2020). Dunbar, Kwamie ; Jiang, Jing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303474.

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2020Predictability in sovereign bond returns using technical trading rules: Do developed and emerging markets differ?. (2020). Fong, Tom ; Wu, Shui Tang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300932.

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2020Do natural disasters and geopolitical risks matter for cross-border country exchange-traded fund returns?. (2020). Lee, Chien-Chiang ; Chen, Mei-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819303183.

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2020Site visit information content and return predictability: Evidence from China. (2020). Cao, Jiawei ; Yue, Sishi ; Dong, Dayong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304280.

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More than 100 citations found, this list is not complete...

Works by Guofu Zhou:


YearTitleTypeCited
2010Bayesian Portfolio Analysis In: Annual Review of Financial Economics.
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2010Cross-Sectional Asset Pricing Tests In: Annual Review of Financial Economics.
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1993 Asset-Pricing Tests under Alternative Distributions. In: Journal of Finance.
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2013International Stock Return Predictability: What Is the Role of the United States? In: Journal of Finance.
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2000On the Rate of Convergence of Discrete?Time Contingent Claims In: Mathematical Finance.
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2000Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange In: Annals of Economics and Finance.
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2002What Determines Expected International Asset Returns? In: Annals of Economics and Finance.
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2002What Determines Expected International Asset Returns?.(2002) In: CEMA Working Papers.
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1994What determines expected international asset returns ?.(1994) In: Working Papers.
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1994What determines expected international asset returns ?.(1994) In: Working Papers.
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This paper has another version. Agregated cites: 47
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1994What Determines Expected International Asset Returns?.(1994) In: NBER Working Papers.
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2006Using Bootstrap to Test Portfolio Efficiency In: Annals of Economics and Finance.
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article14
2012Tests of Mean-Variance Spanning In: Annals of Economics and Finance.
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article59
2001Tests of Mean-Variance Spanning.(2001) In: CEMA Working Papers.
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1999A Critique of the Stochastic Discount Factor Methodology In: CEMA Working Papers.
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2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations In: CEMA Working Papers.
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2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations.(2007) In: Journal of Financial Economics.
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2006Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations.(2006) In: NBER Working Papers.
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1996Measuring the Pricing Error of the Arbitrage Pricing Theory In: CEMA Working Papers.
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1995Measuring the pricing error of the arbitrage pricing theory.(1995) In: Staff Report.
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1996Measuring the Pricing Error of the Arbitrage Pricing Theory..(1996) In: Review of Financial Studies.
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1993International asset pricing with alternative distributional specifications In: CEMA Working Papers.
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1993International asset pricing with alternative distributional specifications.(1993) In: Journal of Empirical Finance.
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2007Optimal Portfolio Choice with Parameter Uncertainty In: Journal of Financial and Quantitative Analysis.
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article163
2010Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty In: Journal of Financial and Quantitative Analysis.
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article19
2012Volatility Trading: What Is the Role of the Long-Run Volatility Component? In: Journal of Financial and Quantitative Analysis.
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article9
2013A New Anomaly: The Cross-Sectional Profitability of Technical Analysis In: Journal of Financial and Quantitative Analysis.
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article38
2013Forecasting Stock Returns In: Handbook of Economic Forecasting.
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2010How much stock return predictability can we expect from an asset pricing model? In: Economics Letters.
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article17
1995Small sample rank tests with applications to asset pricing In: Journal of Empirical Finance.
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article14
1999Testing multi-beta asset pricing models In: Journal of Empirical Finance.
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article12
2015Fama–MacBeth two-pass regressions: Improving risk premia estimates In: Finance Research Letters.
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article6
1999Security factors as linear combinations of economic variables In: Journal of Financial Markets.
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article6
2006Portfolio optimization under asset pricing anomalies In: Japan and the World Economy.
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article2
2016Short interest and aggregate stock returns In: Journal of Financial Economics.
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article104
1990Bayesian inference in asset pricing tests In: Journal of Financial Economics.
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article31
1991Small sample tests of portfolio efficiency In: Journal of Financial Economics.
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article26
2004Data-generating process uncertainty: What difference does it make in portfolio decisions? In: Journal of Financial Economics.
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article31
2009Technical analysis: An asset allocation perspective on the use of moving averages In: Journal of Financial Economics.
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article74
2010Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance In: Journal of Financial Economics.
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article19
2011Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies In: Journal of Financial Economics.
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article110
2010Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules In: Working Papers.
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paper226
2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation In: Review of Financial Studies.
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article19
2010Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy In: Review of Financial Studies.
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article392
2015Investor Sentiment Aligned: A Powerful Predictor of Stock Returns In: Review of Financial Studies.
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article183
1994Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums. In: Review of Financial Studies.
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article17
1996Temporary Components of Stock Returns: What Do the Data Tell Us? In: Review of Financial Studies.
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article25
2010Robust portfolios: contributions from operations research and finance In: Annals of Operations Research.
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article59
2008Temperature-dependent transport and spin accumulation in a quantum wire with Rashba spin-orbit interaction In: The European Physical Journal B: Condensed Matter and Complex Systems.
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article0
2006A New Variance Bound on the Stochastic Discount Factor In: The Journal of Business.
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article7

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