Guofu Zhou : Citation Profile


Are you Guofu Zhou?

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

23

H index

33

i10 index

1831

Citations

RESEARCH PRODUCTION:

37

Articles

12

Papers

1

Chapters

RESEARCH ACTIVITY:

   26 years (1990 - 2016). See details.
   Cites by year: 70
   Journals where Guofu Zhou has often published
   Relations with other researchers
   Recent citing documents: 556.    Total self citations: 23 (1.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh420
   Updated: 2020-05-23    RAS profile: 2020-02-11    
   Missing citations? Add them    Incorrect content? Let us know

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 (58)

Wang, Yudong (44)

Dufour, Jean-Marie (37)

Khalaf, Lynda (37)

Verona, Fabio (32)

Pettenuzzo, Davide (27)

Wohar, Mark (24)

Buncic, Daniel (22)

McAleer, Michael (21)

Faria, Gonçalo (19)

Ravazzolo, Francesco (19)

Cites to:

Campbell, John (59)

Stambaugh, Robert (51)

Shanken, Jay (36)

Pastor, Lubos (34)

Harvey, Campbell (29)

French, Kenneth (24)

Timmermann, Allan (19)

Fama, Eugene (19)

Hansen, Lars (14)

Ferson, Wayne (14)

Kandel, Shmuel (13)

Main data


Where Guofu Zhou has published?


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

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 (2018 and 2017)


YearTitle of citing document
2017Dynamics of Variance Risk Premia, Investors Sentiment and Return Predictability. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-10.

Full description at Econpapers || Download paper

2019Assessing predictive accuracy in panel data models with long-range dependence. (2019). Christensen, Bent Jesper ; Borup, Daniel ; Ergemen, Yunus Emre. In: CREATES Research Papers. RePEc:aah:create:2019-04.

Full description at Econpapers || Download paper

2018Forecasting Net Charge-Off Rates of Banks: A PLS Approach. (2018). Kim, Hyeongwoo ; Shen, Xuan ; Maglic, Stevan ; Lee, Kangbok ; Joo, Sunghoon ; Barth, James . In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2018-03.

Full description at Econpapers || Download paper

2018Measuring Investor Sentiment. (2018). Zhou, Guofu. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:239-259.

Full description at Econpapers || Download paper

2018Forecasting Methods in Finance. (2018). Timmermann, Allan. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:10:y:2018:p:449-479.

Full description at Econpapers || Download paper

2018Trading Performance Analysis: A Comparisons Between the Original MA Crossover and Modified MA Crossover Strategy. (2018). Chuen, Yean Soh ; Hamzah, Ahmad Husni ; Yaacob, Mohd Hasimi ; Tapa, Afiruddin. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2018:p:933-941.

Full description at Econpapers || Download paper

2019Noise Fit, Estimation Error and a Sharpe Information Criterion: Linear Case. (2017). Paulsen, Dirk ; Sohl, Jakob . In: Papers. RePEc:arx:papers:1602.06186.

Full description at Econpapers || Download paper

2017Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models. (2017). Kastner, Gregor ; Lopes, Hedibert Freitas ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:1602.08154.

Full description at Econpapers || Download paper

2018Optimal Shrinkage Estimator for High-Dimensional Mean Vector. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:1610.09292.

Full description at Econpapers || Download paper

2018News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

Full description at Econpapers || Download paper

2017Investing for the Long Run. (2017). Platen, Eckhard ; Leisen, Dietmar . In: Papers. RePEc:arx:papers:1705.03929.

Full description at Econpapers || Download paper

2017Bayesian Inference of the Multi-Period Optimal Portfolio for an Exponential Utility. (2017). Parolya, Nestor ; Schmid, Wolfgang ; Bodnar, Taras ; Bauder, David. In: Papers. RePEc:arx:papers:1705.06533.

Full description at Econpapers || Download paper

2017Market Efficiency and Growth Optimal Portfolio. (2017). Platen, Eckhard ; Rendek, Renata. In: Papers. RePEc:arx:papers:1706.06832.

Full description at Econpapers || Download paper

2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

Full description at Econpapers || Download paper

2019A Mathematical Analysis of Technical Analysis. (2019). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1710.09476.

Full description at Econpapers || Download paper

2018Does the time horizon of the return predictive effect of investor sentiment vary with stock characteristics? A Granger causality analysis in the frequency domain. (2018). Zhou, Zhongbao ; Jiang, Yong. In: Papers. RePEc:arx:papers:1803.02962.

Full description at Econpapers || Download paper

2018Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty. (2018). Parolya, Nestor ; Schmid, Wolfgang ; Bodnar, Taras ; Bauder, David. In: Papers. RePEc:arx:papers:1803.03573.

Full description at Econpapers || Download paper

2020High Dimensional Estimation and Multi-Factor Models. (2019). Jarrow, Robert ; Wells, Martin T ; Basu, Sumanta ; Zhu, Liao. In: Papers. RePEc:arx:papers:1804.08472.

Full description at Econpapers || Download paper

2018Deep Learning for Predicting Asset Returns. (2018). Feng, Guanhao ; Polson, Nicholas G ; He, Jingyu. In: Papers. RePEc:arx:papers:1804.09314.

Full description at Econpapers || Download paper

2018Multifractal characteristics and return predictability in the Chinese stock markets. (2018). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Shan, Zheng ; Gao, Xing-Lu ; Fu, Xin-Lan. In: Papers. RePEc:arx:papers:1806.07604.

Full description at Econpapers || Download paper

2018Betas, Benchmarks and Beating the Market. (2018). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1807.09919.

Full description at Econpapers || Download paper

2019Characteristic-Sorted Portfolios: Estimation and Inference. (2019). Crump, Richard ; Cattaneo, Matias ; Schaumburg, Ernst ; Farrell, Max H. In: Papers. RePEc:arx:papers:1809.03584.

Full description at Econpapers || Download paper

2018Randomization Tests for Equality in Dependence Structure. (2018). Seo, Juwon. In: Papers. RePEc:arx:papers:1811.02105.

Full description at Econpapers || Download paper

2018Bayesian learning for the Markowitz portfolio selection problem. (2018). Pham, Huyen ; Nicolle, Johann ; de Franco, Carmine. In: Papers. RePEc:arx:papers:1811.06893.

Full description at Econpapers || Download paper

2018An updated review of (sub-)optimal diversification models. (2018). Bock, Johannes. In: Papers. RePEc:arx:papers:1811.08255.

Full description at Econpapers || Download paper

2019Top performing stocks recommendation strategy for portfolio. (2019). Chatterjee, Niladri ; Gupta, Kartikay. In: Papers. RePEc:arx:papers:1901.11013.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Non-Stationary Dividend-Price Ratios. (2019). Neokosmidis, Ioannis ; Polimenis, Vassilis . In: Papers. RePEc:arx:papers:1902.06053.

Full description at Econpapers || Download paper

2019Sutte Indicator: an approach to predict the direction of stock market movements. (2019). Ahmar, Ansari Saleh. In: Papers. RePEc:arx:papers:1903.11642.

Full description at Econpapers || Download paper

2019An intelligent financial portfolio trading strategy using deep Q-learning. (2019). Gu, Dong ; Sim, Min Kyu ; Park, Hyungjun. In: Papers. RePEc:arx:papers:1907.03665.

Full description at Econpapers || Download paper

2019Nonlinear price dynamics of S&P 100 stocks. (2019). Desantis, Mark ; Caginalp, Gunduz. In: Papers. RePEc:arx:papers:1907.04422.

Full description at Econpapers || Download paper

2019Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions. (2019). Thors, Erik ; Parolya, Nestor ; Dette, Holger ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1908.04243.

Full description at Econpapers || Download paper

2019Critical Decisions for Asset Allocation via Penalized Quantile Regression. (2019). Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:1908.04697.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions. (2019). , Justin ; Chen, Yangang. In: Papers. RePEc:arx:papers:1909.11532.

Full description at Econpapers || Download paper

2019Boosting High Dimensional Predictive Regressions with Time Varying Parameters. (2019). Ng, Serena ; Yousuf, Kashif. In: Papers. RePEc:arx:papers:1910.03109.

Full description at Econpapers || Download paper

2019Sparsity and Stability for Minimum-Variance Portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.11840.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Sharpe 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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1885.

Full description at Econpapers || Download paper

2019The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis. (2019). Guidolin, Massimo ; Petrova, Milena ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19122.

Full description at Econpapers || Download paper

2017Portfolio Optimization Using Multivariate t-Copulas with Conditionally Skewed Margins. (2017). Shekhar, Chirag ; Trede, Mark. In: Review of Economics & Finance. RePEc:bap:journl:170303.

Full description at Econpapers || Download paper

2017Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects. (2017). Luger, Richard ; Gungor, Sermin . In: Staff Working Papers. RePEc:bca:bocawp:17-10.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Economic policy uncertainty in China and stock market expected returns. (2017). Chen, Jian ; Tong, Guoshi ; Jiang, Fuwei. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:5:p:1265-1286.

Full description at Econpapers || Download paper

2018Out‐of‐sample stock return predictability in emerging markets. (2018). Bahrami, Afsaneh ; Uylangco, Katherine ; Shamsuddin, Abul. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:727-750.

Full description at Econpapers || Download paper

2018Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation. (2018). Yew, Rand Kwong. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:423-463.

Full description at Econpapers || Download paper

2018Improving equity premium forecasts by incorporating structural break uncertainty. (2018). Tian, Jing ; Zhou, Qing. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:619-656.

Full description at Econpapers || Download paper

2018PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY†IN†QUANTILES TEST. (2018). GUPTA, RANGAN ; Balcilar, Mehmet ; Kyei, Clement. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:1:p:74-87.

Full description at Econpapers || Download paper

2018DO TERRORIST ATTACKS IMPACT EXCHANGE RATE BEHAVIOR? NEW INTERNATIONAL EVIDENCE. (2018). Narayan, Paresh Kumar ; Bach, Dinh Hoang ; Khademalomoom, Siroos. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:1:p:547-561.

Full description at Econpapers || Download paper

2018Investment beliefs of endowments. (2018). Ang, Andrew ; Goetzmann, William N ; Ayala, Andrs. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:1:p:3-33.

Full description at Econpapers || Download paper

2017The Role of U.S. Market on International Risk-Return Tradeoff Relations. (2017). Sun, Licheng ; Najand, Mohammad ; Meng, Liang . In: The Financial Review. RePEc:bla:finrev:v:52:y:2017:i:3:p:499-526.

Full description at Econpapers || Download paper

2017Specification Error, Estimation Risk, and Conditional Portfolio Rules. (2017). Tian, Weidong ; Yan, Hong ; Kaniel, Ron ; Chapman, David A ; Carlson, Murray. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:263-288.

Full description at Econpapers || Download paper

2017Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance. (2017). Tian, Weidong ; Zhou, Qing. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:289-324.

Full description at Econpapers || Download paper

2017Timing the Market with a Combination of Moving Averages. (2017). Glabadanidis, Paskalis. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:353-394.

Full description at Econpapers || Download paper

2017EXPLOITING CLOSED-END FUND DISCOUNTS: A SYSTEMATIC EXAMINATION OF ALPHAS. (2017). Patro, Dilip ; Wu, Yangru ; Piccotti, Louis R. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:2:p:223-248.

Full description at Econpapers || Download paper

2019THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien. In: Journal of Financial Research. RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

Full description at Econpapers || Download paper

2017Corporate social responsibility as an employee governance tool: Evidence from a quasi-experiment. (2017). Flammer, Caroline ; Luo, Jiao. In: Strategic Management Journal. RePEc:bla:stratm:v:38:y:2017:i:2:p:163-183.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

Full description at Econpapers || Download paper

2018Global Stock Return Comovements: Trends and Determinants. (2018). Inaba, Kei-Ichiro. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp18e07.

Full description at Econpapers || Download paper

2017A Bayesian semiparametric factor analysis model for subtype identification. (2017). Jiehuan, Sun ; Hongyu, Zhao ; Joshua, Warren . In: Statistical Applications in Genetics and Molecular Biology. RePEc:bpj:sagmbi:v:16:y:2017:i:2:p:145-158:n:3.

Full description at Econpapers || Download paper

2017Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Wang, Yudong ; Pettenuzzo, Davide. In: Working Papers. RePEc:brd:wpaper:116.

Full description at Econpapers || Download paper

2018Forecasting Stock Returns: A Predictor-Constrained Approach. (2018). Wang, Yudong ; Pettenuzzo, Davide ; Pan, Zhiyuan. In: Working Papers. RePEc:brd:wpaper:116r.

Full description at Econpapers || Download paper

2018Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models. (2018). Pettenuzzo, Davide ; Fisher, Jared D ; Carvalho, Carlos. In: Working Papers. RePEc:brd:wpaper:123.

Full description at Econpapers || Download paper

2019Optimism in Financial Markets: Stock Market Returns and Investor Sentiments. (2019). Ravazzolo, Francesco ; Concetto, Chiara Limongi. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps56.

Full description at Econpapers || Download paper

2018A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables. (2018). LINTON, OLIVER ; Chen, Jia. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1876.

Full description at Econpapers || Download paper

2017Historical Antisemitism, Ethnic Specialization, and Financial Development. (2017). Weber, Michael ; Prokopczuk, Marcel ; D'Acunto, Francesco. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6643.

Full description at Econpapers || Download paper

2019The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models. (2019). Smith, Ronald ; Pesaran, M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7919.

Full description at Econpapers || Download paper

2019Predictibilidad del mercado accionario colombiano. (2019). Lopez, Jose Ignacio. In: Revista Lecturas de Economía. RePEc:col:000174:017449.

Full description at Econpapers || Download paper

2018The Lost Capital Asset Pricing Model. (2018). Andrei, Daniel ; Wilson, Mungo ; Cujean, Julien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12607.

Full description at Econpapers || Download paper

2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

Full description at Econpapers || Download paper

2018Pockets of Predictability. (2018). Farmer, Leland ; Timmermann, Allan G ; Schmidt, Lawrence . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12885.

Full description at Econpapers || Download paper

2019Active Short Selling by Hedge Funds. (2019). Fos, Vyacheslav ; Bulka, Jordan ; Appel, Ian . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13788.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Revisiting the forecasting accuracy of Phillips curve: the role of oil price. (2017). Salisu, Afees ; Isah, Kazeem ; Ademuyiwa, Idris . In: Working Papers. RePEc:cui:wpaper:0022.

Full description at Econpapers || Download paper

2017A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0024.

Full description at Econpapers || Download paper

2019Equity Risk Premium and Time Horizon: what do the French secular data say ?. (2019). Prat, Georges ; le Bris, David. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-8.

Full description at Econpapers || Download paper

2018Sentiment and sign predictability of stock returns. (2018). Pönkä, Harri ; Pnk, Harri. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00948.

Full description at Econpapers || Download paper

2019Does U.S. Equity market uncertainty and implied stock market volatility affect the GCC stock markets?. (2019). Alqahtani, Abdullah. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00909.

Full description at Econpapers || Download paper

2018The evolving impact of global, region-specific and country-specific uncertainty. (2018). Musso, Alberto ; mumtaz, haroon. In: Working Paper Series. RePEc:ecb:ecbwps:20182147.

Full description at Econpapers || Download paper

2017Sutte Indicator: A Technical Indicator in Stock Market. (2017). Ahmar, Ansari Saleh. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-30.

Full description at Econpapers || Download paper

2017Market Reaction to Cabinet Reshuffle: The Indonesian Evidence. (2017). Supramono, Supramono ; Utami, I ; Wilis, Widhiastuti. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-05-22.

Full description at Econpapers || Download paper

2018Numerical solution of generalized Black–Scholes model. (2018). Sekhara, Chandra S ; Manisha, . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:321:y:2018:i:c:p:401-421.

Full description at Econpapers || Download paper

2019Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

Full description at Econpapers || Download paper

2018Labor unemployment insurance and firm cash holdings. (2018). Devos, Erik ; Rahman, Shofiqur . In: Journal of Corporate Finance. RePEc:eee:corfin:v:49:y:2018:i:c:p:15-31.

Full description at Econpapers || Download paper

2018Likelihood-free inference in high dimensions with synthetic likelihood. (2018). , Victor ; Drovandi, Christopher C ; Sisson, Scott A ; Tran, Minh-Ngoc ; Nott, David J. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:128:y:2018:i:c:p:271-291.

Full description at Econpapers || Download paper

2019Momentum and reversal: The role of short selling. (2019). Duan, Xinrui ; Zhu, Zhaobo ; Tu, Jun ; Sun, Licheng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:104:y:2019:i:c:p:95-110.

Full description at Econpapers || Download paper

2019A unified model for regularized and robust portfolio optimization. (2019). Plachel, Lukas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s0165188919301769.

Full description at Econpapers || Download paper

2017Monetary policy and indeterminacy after the 2001 slump. (2017). Weder, Mark ; Haque, Qazi ; Groshenny, Nicolas ; Doko Tchatoka, Firmin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:83-95.

Full description at Econpapers || Download paper

2017Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models. (2017). Xue, Wen-Jun ; Zhang, Li-Wen . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:391-401.

Full description at Econpapers || Download paper

2017Asset prices and economic fluctuations: The implications of stochastic volatility. (2017). Chen, Junping ; Zhu, Xiaoneng ; Xiong, Xiong. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:128-140.

Full description at Econpapers || Download paper

2017Robust minimum variance portfolio optimization modelling under scenario uncertainty. (2017). Xidonas, Panos ; Samitas, Aristeidis ; Soulis, John ; Hassapis, Christis. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:60-71.

Full description at Econpapers || Download paper

2017The cross section of international government bond returns. (2017). Zaremba, Adam ; Czapkiewicz, Anna. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:171-183.

Full description at Econpapers || Download paper

2017Generalized financial ratios to predict the equity premium. (2017). Algaba, Andres ; Boudt, Kris. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:244-257.

Full description at Econpapers || Download paper

2017Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach. (2017). Salisu, Afees ; Isah, Kazeem. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:258-271.

Full description at Econpapers || Download paper

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

Works by Guofu Zhou:


YearTitleTypeCited
2010Bayesian Portfolio Analysis In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article20
2010Cross-Sectional Asset Pricing Tests In: Annual Review of Financial Economics.
[Full Text][Citation analysis]
article12
1993 Asset-Pricing Tests under Alternative Distributions. In: Journal of Finance.
[Full Text][Citation analysis]
article32
2013International Stock Return Predictability: What Is the Role of the United States? In: Journal of Finance.
[Full Text][Citation analysis]
article133
2000On the Rate of Convergence of Discrete‐Time Contingent Claims In: Mathematical Finance.
[Full Text][Citation analysis]
article26
2000Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange In: Annals of Economics and Finance.
[Full Text][Citation analysis]
article0
2002What Determines Expected International Asset Returns? In: Annals of Economics and Finance.
[Full Text][Citation analysis]
article45
2002What Determines Expected International Asset Returns?.(2002) In: CEMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
paper
1994What determines expected international asset returns ?.(1994) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 45
paper
1994What determines expected international asset returns ?.(1994) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 45
paper
1994What Determines Expected International Asset Returns?.(1994) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
paper
2006Using Bootstrap to Test Portfolio Efficiency In: Annals of Economics and Finance.
[Full Text][Citation analysis]
article13
2012Tests of Mean-Variance Spanning In: Annals of Economics and Finance.
[Full Text][Citation analysis]
article48
2001Tests of Mean-Variance Spanning.(2001) In: CEMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48
paper
1999A Critique of the Stochastic Discount Factor Methodology In: CEMA Working Papers.
[Full Text][Citation analysis]
paper28
2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations In: CEMA Working Papers.
[Full Text][Citation analysis]
paper82
2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations.(2007) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 82
article
2006Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 82
paper
1996Measuring the Pricing Error of the Arbitrage Pricing Theory In: CEMA Working Papers.
[Full Text][Citation analysis]
paper111
1996Measuring the Pricing Error of the Arbitrage Pricing Theory..(1996) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 111
article
1993International asset pricing with alternative distributional specifications In: CEMA Working Papers.
[Full Text][Citation analysis]
paper56
1993International asset pricing with alternative distributional specifications.(1993) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56
article
2007Optimal Portfolio Choice with Parameter Uncertainty In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article130
2010Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article16
2012Volatility Trading: What Is the Role of the Long-Run Volatility Component? In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article6
2013A New Anomaly: The Cross-Sectional Profitability of Technical Analysis In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article29
2013Forecasting Stock Returns In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]
chapter67
2010How much stock return predictability can we expect from an asset pricing model? In: Economics Letters.
[Full Text][Citation analysis]
article15
1995Small sample rank tests with applications to asset pricing In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article14
1999Testing multi-beta asset pricing models In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article10
2015Fama–MacBeth two-pass regressions: Improving risk premia estimates In: Finance Research Letters.
[Full Text][Citation analysis]
article4
1999Security factors as linear combinations of economic variables In: Journal of Financial Markets.
[Full Text][Citation analysis]
article5
2006Portfolio optimization under asset pricing anomalies In: Japan and the World Economy.
[Full Text][Citation analysis]
article2
2016Short interest and aggregate stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]
article56
1990Bayesian inference in asset pricing tests In: Journal of Financial Economics.
[Full Text][Citation analysis]
article28
1991Small sample tests of portfolio efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]
article24
2004Data-generating process uncertainty: What difference does it make in portfolio decisions? In: Journal of Financial Economics.
[Full Text][Citation analysis]
article27
2009Technical analysis: An asset allocation perspective on the use of moving averages In: Journal of Financial Economics.
[Full Text][Citation analysis]
article61
2010Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance In: Journal of Financial Economics.
[Full Text][Citation analysis]
article12
2011Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies In: Journal of Financial Economics.
[Full Text][Citation analysis]
article81
2010Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules In: Working Papers.
[Full Text][Citation analysis]
paper138
1995Measuring the pricing error of the arbitrage pricing theory In: Staff Report.
[Full Text][Citation analysis]
paper6
2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation In: Review of Financial Studies.
[Full Text][Citation analysis]
article14
2010Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy In: Review of Financial Studies.
[Full Text][Citation analysis]
article289
2015Investor Sentiment Aligned: A Powerful Predictor of Stock Returns In: Review of Financial Studies.
[Full Text][Citation analysis]
article104
1994Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums. In: Review of Financial Studies.
[Full Text][Citation analysis]
article17
1996Temporary Components of Stock Returns: What Do the Data Tell Us? In: Review of Financial Studies.
[Full Text][Citation analysis]
article24
2010Robust portfolios: contributions from operations research and finance In: Annals of Operations Research.
[Full Text][Citation analysis]
article38
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.
[Full Text][Citation analysis]
article0
2006A New Variance Bound on the Stochastic Discount Factor In: The Journal of Business.
[Full Text][Citation analysis]
article8

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 3 2020. Contact: CitEc Team