Guanhao Feng : Citation Profile

4

H index

2

i10 index

273

Citations

RESEARCH PRODUCTION:

9

Articles

7

Papers

RESEARCH ACTIVITY:

   9 years (2016 - 2025). See details.
   Cites by year: 30
   Journals where Guanhao Feng has often published
   Relations with other researchers
   Recent citing documents: 98.    Total self citations: 5 (1.8 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfe488
   Updated: 2026-01-10    RAS profile: 2025-03-15    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Xiu, Dacheng (2)

Giglio, Stefano (2)

Cong, Lin (2)

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

Is cited by:

Scaillet, Olivier (7)

Baruník, Jozef (6)

Pesaran, Mohammad (4)

Kapetanios, George (3)

Bailey, Natalia (3)

Bai, Jushan (3)

Zaremba, Adam (2)

Huber, Florian (2)

Neuhierl, Andreas (2)

Babii, Andrii (2)

Diebold, Francis (2)

Cites to:

Xiu, Dacheng (19)

Nagel, Stefan (10)

Giglio, Stefano (9)

Stambaugh, Robert (7)

Kozak, Serhiy (7)

Fama, Eugene (7)

Kozak, Serhiy (7)

French, Kenneth (7)

Goyal, Amit (6)

Cochrane, John (6)

Hou, Kewei (6)

Main data

Where Guanhao Feng has published?

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc3
Papers / arXiv.org3

Recent works citing Guanhao Feng (2025 and 2024)

YearTitle of citing document
2024Adversarial Estimation of Riesz Representers. (2024). Newey, Whitney ; Chernozhukov, Victor ; Syrgkanis, Vasilis ; Singh, Rahul. In: Papers. RePEc:arx:papers:2101.00009.

Full description at Econpapers || Download paper

2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2024). Zhang, Huacheng ; Lamoureux, Christopher G. In: Papers. RePEc:arx:papers:2104.12975.

Full description at Econpapers || Download paper

2024The Elasticity of Quantitative Investment. (2024). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533.

Full description at Econpapers || Download paper

2025Learning Probability Distributions of Day-Ahead Electricity Prices. (2023). Baruník, Jozef ; Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2310.02867.

Full description at Econpapers || Download paper

2024End-to-End Policy Learning of a Statistical Arbitrage Autoencoder Architecture. (2024). Calliess, Jan-Peter ; Krause, Fabian. In: Papers. RePEc:arx:papers:2402.08233.

Full description at Econpapers || Download paper

2024From Factor Models to Deep Learning: Machine Learning in Reshaping Empirical Asset Pricing. (2024). Ye, Junyi ; Gu, Jingyi ; Wang, Guiling ; Goswami, Bhaskar ; Uddin, Ajim. In: Papers. RePEc:arx:papers:2403.06779.

Full description at Econpapers || Download paper

2024Counterfactual and Synthetic Control Method: Causal Inference with Instrumented Principal Component Analysis. (2024). Wang, Cong. In: Papers. RePEc:arx:papers:2408.09271.

Full description at Econpapers || Download paper

2025Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching. (2024). Diebold, Francis ; Bie, Siyu ; Li, Junye ; He, Jingyu. In: Papers. RePEc:arx:papers:2408.12863.

Full description at Econpapers || Download paper

2024Improving Estimation of Portfolio Risk Using New Statistical Factors. (2024). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Papers. RePEc:arx:papers:2409.17182.

Full description at Econpapers || Download paper

2024Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets. (2024). Yang, Yanrong ; Wu, Ruike ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2410.01826.

Full description at Econpapers || Download paper

2025Forecasting Company Fundamentals. (2024). Dhami, Devendra Singh ; Kersting, Kristian ; Endler, Kevin ; Divo, Felix ; Endress, Eric. In: Papers. RePEc:arx:papers:2411.05791.

Full description at Econpapers || Download paper

2024AI-Enhanced Factor Analysis for Predicting S&P 500 Stock Dynamics. (2024). Lu, Yuting ; Chen, Sixun ; Lin, Xintong ; Yang, Zichen ; Gu, Jiajun. In: Papers. RePEc:arx:papers:2412.12438.

Full description at Econpapers || Download paper

2025Decision-informed Neural Networks with Large Language Model Integration for Portfolio Optimization. (2025). Lee, Yongjae ; Zohren, Stefan ; Kong, Yaxuan ; Hwang, Yoontae. In: Papers. RePEc:arx:papers:2502.00828.

Full description at Econpapers || Download paper

2025FinTSBridge: A New Evaluation Suite for Real-world Financial Prediction with Advanced Time Series Models. (2025). Wang, Yanlong ; Xu, Jian ; Gao, Tiantian ; Zhang, Hongkang ; Huang, Shao-Lun ; Sun, Danny Dongning. In: Papers. RePEc:arx:papers:2503.06928.

Full description at Econpapers || Download paper

2025Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks. (2025). Lai, Shanyan. In: Papers. RePEc:arx:papers:2505.01921.

Full description at Econpapers || Download paper

2025High-Dimensional Learning in Finance. (2025). Fallahgoul, Hasan. In: Papers. RePEc:arx:papers:2506.03780.

Full description at Econpapers || Download paper

2025A Relaxation Approach to Synthetic Control. (2025). Zheng, Yapeng ; Shi, Zhentao ; Liao, Chengwang. In: Papers. RePEc:arx:papers:2508.01793.

Full description at Econpapers || Download paper

2025Time-Varying Factor-Augmented Models for Volatility Forecasting. (2025). Chen, Elynn ; Mo, Junyi ; Li, Jiayu ; Zhang, Duo. In: Papers. RePEc:arx:papers:2508.01880.

Full description at Econpapers || Download paper

2025Interpretable Factors of Firm Characteristics. (2025). Zhu, Yingzi ; Zhou, Guofu ; Jiao, Yuxiao. In: Papers. RePEc:arx:papers:2508.02253.

Full description at Econpapers || Download paper

2025Optimal Portfolio Construction -- A Reinforcement Learning Embedded Bayesian Hierarchical Risk Parity (RL-BHRP) Approach. (2025). Tian, Zeying ; Kang, Shaofeng. In: Papers. RePEc:arx:papers:2508.11856.

Full description at Econpapers || Download paper

2025Deep Learning for Conditional Asset Pricing Models. (2025). Liu, Hongyi. In: Papers. RePEc:arx:papers:2509.04812.

Full description at Econpapers || Download paper

2025Evaluating Investment Performance: The p-index and Empirical Efficient Frontier. (2025). Li, Jing ; Guo, Bowei ; Xie, Xinqi ; Chang, Kuo-Ping. In: Papers. RePEc:arx:papers:2510.11074.

Full description at Econpapers || Download paper

2025Inferential Theory for Pricing Errors with Latent Factors and Firm Characteristics. (2025). Yuan, Ming ; Choi, Jungjun. In: Papers. RePEc:arx:papers:2511.03076.

Full description at Econpapers || Download paper

2024Pre-Publication Revisions of Bank Financial Statements: a novel way to monitor banks?. (2024). Van Doornik, Bernardus ; Norden, Lars ; Naeem, Mahvish ; Guettler, Andre. In: Working Papers Series. RePEc:bcb:wpaper:590.

Full description at Econpapers || Download paper

2024Asset Pricing and Machine Learning: A critical review. (2024). Bagnara, Matteo. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:1:p:27-56.

Full description at Econpapers || Download paper

2024Persistence-based capital allocation along the FOMC cycle. (2024). Severino, Federico ; Reggiani, Pietro ; Ortu, Fulvio. In: CIRANO Working Papers. RePEc:cir:cirwor:2024s-02.

Full description at Econpapers || Download paper

2025When margins call: liquidity preparedness of non-bank financial institutions. (2025). Cappiello, Lorenzo ; Macchiati, Valentina ; Ianiro, Annalaura ; Giuzio, Margherita ; Lillo, Fabrizio. In: Working Paper Series. RePEc:ecb:ecbwps:20253074.

Full description at Econpapers || Download paper

2025Granular information and sectoral movements. (2025). Jiang, Hao ; Li, Sophia Zhengzi ; Yuan, Peixuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002100.

Full description at Econpapers || Download paper

2025A long short-term memory enhanced realized conditional heteroskedasticity model. (2025). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Economic Modelling. RePEc:eee:ecmode:v:142:y:2025:i:c:s0264999324002797.

Full description at Econpapers || Download paper

2025A common component of Fama and French factor variances. (2025). Grobys, Klaus ; Fathi, Masoumeh ; Ij, Janne. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002171.

Full description at Econpapers || Download paper

2025Are ESG factors truly unique?. (2025). Covachev, Svetoslav ; Brito-Ramos, Sofia ; Martel, Jocelyn. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000269.

Full description at Econpapers || Download paper

2025Long-term forecasting in asset pricing: Machine learning models’ sensitivity to macroeconomic shifts and firm-specific factors. (2025). Zhang, Yang ; Qian, Yihe. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000634.

Full description at Econpapers || Download paper

2025Forecasting volatility of China’s crude oil futures based on hybrid ML-HAR-RV models. (2025). Zhu, Tingting ; Ma, Xiaoqing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000683.

Full description at Econpapers || Download paper

2024Asset pricing with neural networks: Significance tests. (2024). Lin, Xin ; Franstianto, Vincentius ; Fallahgoul, Hasan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002907.

Full description at Econpapers || Download paper

2024The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Han, XU ; Duan, Jiangtao. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003470.

Full description at Econpapers || Download paper

2024Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Yang, Yanrong ; Zhong, Wei ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646.

Full description at Econpapers || Download paper

2024GMM estimation for high-dimensional panel data models. (2024). LINTON, OLIVER ; GAO, Jiti ; Dong, Chaohua ; Cheng, Tingting. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001982.

Full description at Econpapers || Download paper

2024Reprint of: The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Duan, Jiangtao ; Han, XU. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000915.

Full description at Econpapers || Download paper

2025Identification-robust and simultaneous inference in multifactor asset pricing models. (2025). Beaulieu, Marie-Claude ; Dufour, Jean-Marie ; Khalaf, Lynda. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002665.

Full description at Econpapers || Download paper

2024Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization. (2024). Morstedt, Torsten ; Neumann, Dirk ; Lutz, Bernhard. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:2:p:670-685.

Full description at Econpapers || Download paper

2024Factor correlation and the cross section of asset returns: A correlation-robust machine learning approach. (2024). Sun, Chuanping. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s092753982400032x.

Full description at Econpapers || Download paper

2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

Full description at Econpapers || Download paper

2024Pooling and winsorizing machine learning forecasts to predict stock returns with high-dimensional data. (2024). Strauss, Jack ; Mekelburg, Erik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000732.

Full description at Econpapers || Download paper

2024A comparison of factor models in China. (2024). Wang, Jinzhe ; Zhu, Yifeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000823.

Full description at Econpapers || Download paper

2025Is machine learning a necessity? A regression-based approach for stock return prediction. (2025). Zhao, Junyi ; Bo, Albert ; Jiang, Shan ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000209.

Full description at Econpapers || Download paper

2024Betting on war? Oil prices, stock returns, and extreme geopolitical events. (2024). Sorensen, Lars Qvigstad ; Nygaard, Knut. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324003670.

Full description at Econpapers || Download paper

2025Commodity futures option valuation – An ensemble model. (2025). Yang, AO ; Zong, LU ; Wen, Conghua ; Zhai, Jia ; Cao, YI. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004594.

Full description at Econpapers || Download paper

2024Google search trends and stock markets: Sentiment, attention or uncertainty?. (2024). Bwanya, Princess Rutendo ; Brzeszczyski, Janusz ; Szczygielski, Jan Jakub ; Charteris, Ailie. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923000650.

Full description at Econpapers || Download paper

2024The sources of portfolio volatility and mutual fund performance. (2024). Vafai, Nima ; Rakowski, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300501x.

Full description at Econpapers || Download paper

2024Non-standard errors in the cryptocurrency world. (2024). Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

Full description at Econpapers || Download paper

2024Is there more to asset price linkages in China than meets the eye: Cross-asset momentum and the role of hybrid funds. (2024). Zhang, Yichun ; Wang, Xiaowei. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002746.

Full description at Econpapers || Download paper

2024From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns. (2024). Zhu, Lin ; Tang, Guohao ; Jiang, Fuwei ; Jin, Fujing. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s105752192400365x.

Full description at Econpapers || Download paper

2024Exploring the factor zoo with a machine-learning portfolio. (2024). Chng, Michael T ; Huang, Tao ; Sak, Halis. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005313.

Full description at Econpapers || Download paper

2024Macroeconomic determinants of the long-term correlation between stock and exchange rate markets in China: A DCC-MIDAS-X approach considering structural breaks. (2024). Yoon, Seong-Min ; Xiong, Youlin ; Dong, Xiyong ; Shen, Jun. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000503.

Full description at Econpapers || Download paper

2024ESG factors and the cross-section of expected stock returns: A LASSO-based approach. (2024). Bang, Jeongseok ; Ryu, Doojin. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005129.

Full description at Econpapers || Download paper

2024Hedging strategies for U.S. factor and sector exchange-traded funds during geopolitical events. (2024). Han, Seungoh. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005324.

Full description at Econpapers || Download paper

2024Potential pricing factors in the Korean market. (2024). Kang, Yeonchan ; Bang, Jeongseok ; Ryu, Doojin. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009760.

Full description at Econpapers || Download paper

2024Momentum and reversal strategies with low uncertainty. (2024). Cai, Feifei ; An, Pengda ; Zhang, Qingyi ; Wang, Wenhao. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010006.

Full description at Econpapers || Download paper

2024Some stylized facts about bitcoin halving. (2024). Lashkaripour, Mohammadhossein. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012273.

Full description at Econpapers || Download paper

2025Feature importance in linear models with ensemble machine learning: A study of the Fama and French five-factor model. (2025). Kwon, Tae Yeon. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014351.

Full description at Econpapers || Download paper

2025A new quality factor adjusted by fraud probability. (2025). Fang, Libing ; Xu, Yuanchu ; Bu, Yuqiao ; Chen, Ying. In: Finance Research Letters. RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325004167.

Full description at Econpapers || Download paper

2025Institutional granular impact is benign on asset sales and price efficiency. (2025). Qiao, Xiao ; Baronyan, Sayad ; Feng, Guanhao ; Fan, Yinghua. In: Journal of Financial Markets. RePEc:eee:finmar:v:75:y:2025:i:c:s1386418125000278.

Full description at Econpapers || Download paper

2024The battle of factors. (2024). Sy, Oumar ; Attig, Najah ; Assoe, Kodjovi. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000760.

Full description at Econpapers || Download paper

2024New insights into liquidity resiliency. (2024). Wafula, Ronald ; Papavassiliou, Vassilios ; Boubaker, Sabri ; Osullivan, Conall. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001609.

Full description at Econpapers || Download paper

2024Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach. (2024). Lin, Weidong ; Taamouti, Abderrahim. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1179-1188.

Full description at Econpapers || Download paper

2025Private Equity Fund Performance: A Time-Series Approach. (2025). Wermers, Russ ; Spilker, Harold D ; Krasotkina, Olga ; Fragkiskos, Apollon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:177:y:2025:i:c:s0378426625000901.

Full description at Econpapers || Download paper

2025Growing the efficient frontier on panel trees. (2025). Cong, Lin William ; Feng, Guanhao ; He, Jingyu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000327.

Full description at Econpapers || Download paper

2024Pre-publication revisions of bank financial statements: A novel way to monitor banks?. (2024). Van Doornik, Bernardus ; Norden, Lars ; Naeem, Mahvish ; Guettler, Andre. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:58:y:2024:i:c:s1042957324000020.

Full description at Econpapers || Download paper

2025Media emotion intensity and commodity futures pricing. (2025). Vu, Thanh ; El-Jahel, Lina ; Chi, Yeguang. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:37:y:2025:i:c:s2405851325000042.

Full description at Econpapers || Download paper

2025Risk premium principal components for the Chinese stock market. (2025). Shao, Jingjing ; Mao, Jie ; Wang, Weiguan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003317.

Full description at Econpapers || Download paper

2025Does bid-ask spread explains the smile? On DVF and DML. (2025). Yu, Xing ; Liu, Guifang ; Lin, Yan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24003974.

Full description at Econpapers || Download paper

2025Markowitz portfolios under transaction costs. (2025). Ledoit, Olivier ; Wolf, Michael. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:100:y:2025:i:c:s1062976925000031.

Full description at Econpapers || Download paper

2024Do hedge funds bet against beta?. (2024). Riley, Timothy B ; Yan, Qing ; Malakhov, Alexey. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:1507-1525.

Full description at Econpapers || Download paper

2024Deciphering asymmetric spillovers in US industries: Insights from higher-order moments. (2024). Shafiullah, Muhammad ; lucey, brian ; Naeem, Muhammad Abubakr ; Senthilkumar, Arunachalam. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001065.

Full description at Econpapers || Download paper

2024Recession fears and stock markets: An application of directional wavelet coherence and a machine learning-based economic agent-determined Google fear index. (2024). Brzeszczyski, Janusz ; Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924002411.

Full description at Econpapers || Download paper

2025Enhancing stock return prediction in the Chinese market: A GAN-based approach. (2025). Deng, Zhibin ; Li, Jianping ; Wang, Qiao ; Wu, Hongxu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000169.

Full description at Econpapers || Download paper

2024Capturing the timing of crisis evolution: A machine learning and directional wavelet coherence approach to isolating event-specific uncertainty using Google searches with an application to COVID-19. (2024). Obojska, Lidia ; Brzeszczyski, Janusz ; Szczygielski, Jan Jakub ; Charteris, Ailie. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:205:y:2024:i:c:s004016252400115x.

Full description at Econpapers || Download paper

2024Factor Selection and Structural Breaks. (2024). Smith, Simon ; Chib, Siddhartha. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-37.

Full description at Econpapers || Download paper

2024New Insights into Liquidity Resiliency. (2024). Wafula, Ronald ; Papavassiliou, Vassilios ; Boubaker, Sabri ; O'Sullivan, Conall. In: Post-Print. RePEc:hal:journl:hal-04432411.

Full description at Econpapers || Download paper

2025Factor Investing with Delays. (2025). Robotti, Cesare ; Nozawa, Yoshio ; Dickerson, Alexander. In: Discussion Paper Series. RePEc:hit:hituec:771.

Full description at Econpapers || Download paper

2024Application of Supervised Machine Learning Techniques to Forecast the COVID-19 U.S. Recession and Stock Market Crash. (2024). Malladi, Rama K. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:3:d:10.1007_s10614-022-10333-8.

Full description at Econpapers || Download paper

2024Sustainability and Private Equity Real Estate Returns. (2024). Wang, Chongyu ; Devine, Avis ; Sanderford, Andrew. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:68:y:2024:i:2:d:10.1007_s11146-022-09914-z.

Full description at Econpapers || Download paper

2025Investor sophistication, investor sentiment, and cash-based operating profitability. (2025). Simlai, Prodosh Eugene. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:64:y:2025:i:3:d:10.1007_s11156-024-01328-7.

Full description at Econpapers || Download paper

2025The endogeneity of profitability and investment. (2025). Chinloy, Peter ; Imes, Matthew. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:65:y:2025:i:2:d:10.1007_s11156-024-01357-2.

Full description at Econpapers || Download paper

2025Skew Index: a machine learning forecasting approach. (2025). Mora-Valencia, Andrés ; Vanegas, Esteban. In: Risk Management. RePEc:pal:risman:v:27:y:2025:i:1:d:10.1057_s41283-024-00152-6.

Full description at Econpapers || Download paper

2025Enhancing Markowitzs portfolio selection paradigm with machine learning. (2025). de Prado, Marcos Lpez ; Simonian, Joseph ; Fabozzi, Francesco A. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06257-1.

Full description at Econpapers || Download paper

2025Improving estimation of portfolio risk using new statistical factors. (2025). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06307-8.

Full description at Econpapers || Download paper

2025Optimal asset allocation and nonlinear return predictability from the dividend-price ratio. (2025). Timmermann, Allan ; Pedersen, Thomas Quistgaard ; Sarkar, Anindo ; Ghezzi, Fabrizio. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06332-7.

Full description at Econpapers || Download paper

2025Forecasting portfolio variance: a new decomposition approach. (2025). Zhang, Dayong ; Yu, BO ; Ji, Qiang. In: Annals of Operations Research. RePEc:spr:annopr:v:348:y:2025:i:1:d:10.1007_s10479-023-05546-5.

Full description at Econpapers || Download paper

2024Forecasting risk and return of listed real estate:. (2024). Brandt, Felix ; Lausberg, Carsten. In: Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research). RePEc:spr:gjorer:v:10:y:2024:i:1:d:10.1365_s41056-024-00070-4.

Full description at Econpapers || Download paper

2024Measuring weather exposure with annual reports. (2024). Schoenfeld, Jordan ; Nagar, Venky. In: Review of Accounting Studies. RePEc:spr:reaccs:v:29:y:2024:i:1:d:10.1007_s11142-022-09711-2.

Full description at Econpapers || Download paper

2024High-Dimensional Time-Varying Coefficient Estimation. (2024). Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202416.

Full description at Econpapers || Download paper

2025Corporate cash policy and double machine learning. (2025). Vagenasnanos, Evangelos ; Tsoukas, Serafeim ; Movaghari, Hadi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:3261-3279.

Full description at Econpapers || Download paper

2024Identifying factors via automatic debiased machine learning. (2024). Maasoumi, Esfandiar ; Wang, Zhuo ; Wu, KE. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:3:p:438-461.

Full description at Econpapers || Download paper

2025Option Return Predictability via Machine Learning: New Evidence From China. (2025). Xiao, Zhengyan ; Wang, Zhuo ; Huang, Yuxiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1232-1252.

Full description at Econpapers || Download paper

2024Changes in the span of systematic risk exposures. (2024). Liao, Yuan ; Todorov, Viktor. In: Quantitative Economics. RePEc:wly:quante:v:15:y:2024:i:3:p:817-847.

Full description at Econpapers || Download paper

2025Deep parametric portfolio policies. (2025). Zimmermann, Tom ; Weibels, Sebastian ; Simon, Frederik. In: CFR Working Papers. RePEc:zbw:cfrwps:2301.

Full description at Econpapers || Download paper

2024Markowitz portfolios under transaction costs. (2024). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:420.

Full description at Econpapers || Download paper

Works by Guanhao Feng:

YearTitleTypeCited
2018Deep Learning for Predicting Asset Returns In: Papers.
[Full Text][Citation analysis]		paper35
2020Factor Investing: A Bayesian Hierarchical Approach In: Papers.
[Full Text][Citation analysis]		paper3
2022Factor investing: A Bayesian hierarchical approach.(2022) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2025Growing the Efficient Frontier on Panel Trees In: Papers.
[Full Text][Citation analysis]		paper6
2022Growing the Efficient Frontier on Panel Trees.(2022) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2020Taming the Factor Zoo: A Test of New Factors In: Journal of Finance.
[Full Text][Citation analysis]		article219
2020Taming the Factor Zoo: A Test of New Factors.(2020) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 219		paper
2019Taming the Factor Zoo: A Test of New Factors.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 219		paper
2016The market for English Premier League (EPL) odds In: Journal of Quantitative Analysis in Sports.
[Full Text][Citation analysis]		article1
2024Deep Learning in Characteristics-Sorted Factor Models In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article5
2025Predicting individual corporate bond returns In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2024Renegotiable debt, liquidity injections and financial instability In: Journal of Derivatives and Quantitative Studies: 선물연구.
[Full Text][Citation analysis]		article1
2023Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2020Regularizing Bayesian predictive regressions In: Journal of Asset Management.
[Full Text][Citation analysis]		article0
Does higher-frequency data always help to predict longer-horizon volatility? In: Journal of Risk.
[Full Text][Citation analysis]		article0
2024REGULARIZED GMM FOR TIME‐VARYING MODELS WITH APPLICATIONS TO ASSET PRICING In: International Economic Review.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team