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

2163

Citations

RESEARCH PRODUCTION:

37

Articles

12

Papers

1

Chapters

RESEARCH ACTIVITY:

   26 years (1990 - 2016). See details.
   Cites by year: 83
   Journals where Guofu Zhou has often published
   Relations with other researchers
   Recent citing documents: 238.    Total self citations: 23 (1.05 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh420
   Updated: 2021-03-01    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 (64)

Wang, Yudong (56)

Verona, Fabio (40)

Khalaf, Lynda (37)

Dufour, Jean-Marie (37)

Pettenuzzo, Davide (28)

Wohar, Mark (25)

Buncic, Daniel (22)

McAleer, Michael (21)

Guidolin, Massimo (20)

Ilomäki, Jukka (19)

Cites to:

Campbell, John (59)

Stambaugh, Robert (51)

Pastor, Lubos (34)

Shanken, Jay (33)

Harvey, Campbell (27)

French, Kenneth (24)

Fama, Eugene (19)

Timmermann, Allan (19)

Hansen, Lars (14)

Kandel, Shmuel (13)

Ferson, Wayne (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 (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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2020High 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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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.

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2020Complete 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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2020Deep 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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2020Robust 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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2020Time-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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2020A Basket Half Full: Sparse Portfolios. (2020). Seregina, Ekaterina. In: Papers. RePEc:arx:papers:2011.04278.

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2020Dirichlet 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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2020Quantum-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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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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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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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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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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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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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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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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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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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). Zhang, Xindong ; Ma, Xiuli ; Liu, Weimin. 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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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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2020Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. (2020). Wei, YU ; Lei, Likun ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293.

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2020Efficient predictability of stock return volatility: The role of stock market implied volatility. (2020). He, Shaoyi ; Wen, Fenghua ; Zhou, Huiting ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300711.

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2020Forecasting stock market returns: New technical indicators and two-step economic constraint method. (2020). Hong, Lianying ; Kang, Jie ; Dong, Xiaodi ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301133.

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2020Equity premium prediction and optimal portfolio decision with Bagging. (2020). Yin, Anwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301686.

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2020Time-varying beta in functional factor models: Evidence from China. (2020). Horvath, Lajos ; Liu, Zhenya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301753.

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2020Music sentiment and stock returns. (2020). Indriawan, Ivan ; Garel, Alexandre ; Fernandez-Perez, Adrian. In: Economics Letters. RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301774.

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2020Rare disaster concerns and economic fluctuations. (2020). Zhu, Xiaoneng ; Su, Hao ; Hao, Yijun. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302810.

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2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

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2020Deviance information criterion for latent variable models and misspecified models. (2020). Yu, Jun ; Zeng, Tao ; Li, Yong. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:450-493.

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2020Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

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2020Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects. (2020). Luger, Richard ; Gungor, Sermin. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:750-770.

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2020Hypothesis testing based on a vector of statistics. (2020). Akram, Muhammad ; Zhang, Xibin ; King, Maxwell L. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:425-455.

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2020High-dimensional predictive regression in the presence of cointegration. (2020). Anderson, Heather ; Yao, Wenying ; Seo, Myung Hwan ; Koo, Bonsoo. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:456-477.

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2020Economic indicators and stock market volatility in an emerging economy. (2020). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:2:s0939362518305594.

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2020Pricing and hedging in incomplete markets with model uncertainty. (2020). Pelsser, Antoon ; Balter, Anne G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:911-925.

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2020Local Gaussian correlations in financial and commodity markets. (2020). Chevallier, Julien ; Nguyen, Quynh Nga ; Zhu, Bangzhu ; Zhang, Lyuyuan ; Aboura, Sofiane. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:306-323.

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2021Horses for courses: Mean-variance for asset allocation and 1/N for stock selection. (2021). Sutcliffe, Charles ; Ye, Xiaoxia ; Platanakis, Emmanouil. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:1:p:302-317.

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2021Quantitative portfolio selection: Using density forecasting to find consistent portfolios. (2021). Beasley, John ; Meade, N ; Adcock, C J. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:3:p:1053-1067.

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2020The long-run reversal in the long run: Insights from two centuries of international equity returns. (2020). Zaremba, Adam ; Raza, Muhammad Wajid ; Kizys, Renatas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:177-199.

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2020Forecasting stock returns: A predictor-constrained approach. (2020). Wang, Yudong ; Pettenuzzo, Davide ; Pan, Zhiyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:200-217.

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2020Value at risk, cross-sectional returns and the role of investor sentiment. (2020). Zhu, Yifeng ; Bi, Jia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:56:y:2020:i:c:p:1-18.

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2020Testing moving average trading strategies on ETFs. (2020). Huang, Jingzhi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:16-32.

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2020When is a MAX not the MAX? How news resolves information uncertainty. (2020). Bell, Adrian ; Brooks, Chris ; Tao, Ran. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:33-51.

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2020Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. (2020). faff, robert ; Miffre, Joelle ; Yew, Rand Kwong ; Rad, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:164-180.

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2020Equity premium prediction and the state of the economy. (2020). Tsiakas, Ilias ; Zhang, Haibin ; Li, Jiahan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:75-95.

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2020Industry equi-correlation: A powerful predictor of stock returns. (2020). Wu, Wenfeng ; Pan, Zhiyuan ; Wang, Yudong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:1-24.

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2020Beta dispersion and market timing. (2020). Kuntz, Laura-Chloe. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:235-256.

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2021Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, ; Zhou, Qing ; Liao, Yin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73.

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2020Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models. (2020). Ma, Feng ; Mei, Dexiang ; Wang, LU ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304219.

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2020Forecasting the real prices of crude oil using robust regression models with regularization constraints. (2020). Wang, Yudong ; Hao, Xianfeng ; Zhao, Yuyang. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300220.

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2020Can commodity prices forecast exchange rates?. (2020). Wang, Yudong ; Tan, Siming ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s014098832030058x.

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2020On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks. (2020). Zhang, Dayong ; Klein, Tony ; Ji, Qiang ; Luo, Jiawen ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301213.

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2020A multi-granularity heterogeneous combination approach to crude oil price forecasting. (2020). Zhou, Hao ; Wang, Jue ; Li, Xiang ; Hong, Tao. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320301304.

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2020Predicting international equity returns: Evidence from time-varying parameter vector autoregressive models. (2020). Huber, Florian ; GUPTA, RANGAN ; Piribauer, Philipp. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918307555.

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2020Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry. (2020). Zhai, Pengxiang ; Sun, Licheng ; Ji, Qiang ; Zhu, Zhaobo. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301605.

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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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article27
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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article163
2000On the Rate of Convergence of Discrete‐Time Contingent Claims In: Mathematical Finance.
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article29
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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This paper has another version. Agregated cites: 46
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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: 46
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1994What Determines Expected International Asset Returns?.(1994) In: NBER Working Papers.
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paper
2006Using Bootstrap to Test Portfolio Efficiency In: Annals of Economics and Finance.
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article13
2012Tests of Mean-Variance Spanning In: Annals of Economics and Finance.
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article52
2001Tests of Mean-Variance Spanning.(2001) In: CEMA Working Papers.
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paper
1999A Critique of the Stochastic Discount Factor Methodology In: CEMA Working Papers.
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paper30
2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations In: CEMA Working Papers.
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paper87
2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations.(2007) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 87
article
2006Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations.(2006) In: NBER Working Papers.
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This paper has another version. Agregated cites: 87
paper
1996Measuring the Pricing Error of the Arbitrage Pricing Theory In: CEMA Working Papers.
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paper124
1995Measuring the pricing error of the arbitrage pricing theory.(1995) In: Staff Report.
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paper
1996Measuring the Pricing Error of the Arbitrage Pricing Theory..(1996) In: Review of Financial Studies.
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article
1993International asset pricing with alternative distributional specifications In: CEMA Working Papers.
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paper56
1993International asset pricing with alternative distributional specifications.(1993) In: Journal of Empirical Finance.
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article
2007Optimal Portfolio Choice with Parameter Uncertainty In: Journal of Financial and Quantitative Analysis.
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article145
2010Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty In: Journal of Financial and Quantitative Analysis.
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article18
2012Volatility Trading: What Is the Role of the Long-Run Volatility Component? In: Journal of Financial and Quantitative Analysis.
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article7
2013A New Anomaly: The Cross-Sectional Profitability of Technical Analysis In: Journal of Financial and Quantitative Analysis.
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article33
2013Forecasting Stock Returns In: Handbook of Economic Forecasting.
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chapter85
2010How much stock return predictability can we expect from an asset pricing model? In: Economics Letters.
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article16
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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article4
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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article84
1990Bayesian inference in asset pricing tests In: Journal of Financial Economics.
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article29
1991Small sample tests of portfolio efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]
article26
2004Data-generating process uncertainty: What difference does it make in portfolio decisions? In: Journal of Financial Economics.
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article30
2009Technical analysis: An asset allocation perspective on the use of moving averages In: Journal of Financial Economics.
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article65
2010Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance In: Journal of Financial Economics.
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article15
2011Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies In: Journal of Financial Economics.
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article95
2010Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules In: Working Papers.
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paper190
2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation In: Review of Financial Studies.
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article17
2010Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy In: Review of Financial Studies.
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article355
2015Investor Sentiment Aligned: A Powerful Predictor of Stock Returns In: Review of Financial Studies.
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article143
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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article24
2010Robust portfolios: contributions from operations research and finance In: Annals of Operations Research.
[Full Text][Citation analysis]
article51
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

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