Guofu Zhou : Citation Profile

Washington University in St. Louis

29

H index

38

i10 index

4992

Citations

RESEARCH PRODUCTION:

42

Articles

12

Papers

1

Chapters

RESEARCH ACTIVITY:

   32 years (1990 - 2022). See details.
   Cites by year: 156
   Journals where Guofu Zhou has often published
   Relations with other researchers
   Recent citing documents: 499.    Total self citations: 29 (0.58 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh420
   Updated: 2025-12-27    RAS profile: 2023-03-16    
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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:

Zhang, Yaojie (207)

Wang, Yudong (182)

GUPTA, RANGAN (160)

Verona, Fabio (47)

Faria, Gonçalo (47)

Wohar, Mark (46)

Guidolin, Massimo (46)

Khalaf, Lynda (44)

Dufour, Jean-Marie (39)

Pierdzioch, Christian (38)

Buncic, Daniel (35)

Cites to:

Campbell, John (96)

Stambaugh, Robert (65)

Shanken, Jay (39)

Pastor, Lubos (37)

French, Kenneth (36)

Harvey, Campbell (31)

Timmermann, Allan (23)

Fama, Eugene (22)

Hansen, Lars (16)

West, Kenneth (16)

Clark, Todd (15)

Main data

Where Guofu Zhou has published?

Journals with more than one article published# docs
Journal of Financial Economics12
The Review of Financial Studies6
Journal of Financial and Quantitative Analysis4
Annals of Economics and Finance4
Journal of Finance3
Journal of Empirical Finance3
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
NBER Working Papers / National Bureau of Economic Research, Inc2
Working Papers / HAL2

Recent works citing Guofu Zhou (2025 and 2024)

YearTitle of citing document
2025Joint News, Attention Spillover,and Market Returns. (2022). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2024To Bag is to Prune. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2008.07063.

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2024Robustifying Conditional Portfolio Decisions via Optimal Transport. (2024). Ye, Yinyu ; Nguyen, Viet Anh ; Blanchet, Jose ; Zhang, Fan ; Delage, Erick. In: Papers. RePEc:arx:papers:2103.16451.

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

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2024Geometric insights into robust portfolio construction. (2024). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194.

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2024Diversification quotients: Quantifying diversification via risk measures. (2024). Han, Xia ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2206.13679.

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2024Beta-Sorted Portfolios. (2024). Crump, Richard ; Cattaneo, Matias ; Wang, Weining. In: Papers. RePEc:arx:papers:2208.10974.

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2024Multivariate Probabilistic CRPS Learning with an Application to Day-Ahead Electricity Prices. (2024). Berrisch, Jonathan ; Ziel, Florian. In: Papers. RePEc:arx:papers:2303.10019.

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2025Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy. (2023). Polak, Pawel ; Miao, Jiaju. In: Papers. RePEc:arx:papers:2304.09947.

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2024Maximally Machine-Learnable Portfolios. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian. In: Papers. RePEc:arx:papers:2306.05568.

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2024Gamma Hedging and Rough Paths. (2024). Armstrong, John ; Ionescu, Andrei. In: Papers. RePEc:arx:papers:2309.05054.

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2025Uses of Sub-sample Estimates to Reduce Errors in Stochastic Optimization Models. (2025). Birge, John. In: Papers. RePEc:arx:papers:2310.07052.

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2024High-Dimensional Mean-Variance Spanning Tests. (2024). Ardia, David ; Laurent, S'Ebastien ; Sessinou, Rosnel. In: Papers. RePEc:arx:papers:2403.17127.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024StockGPT: A GenAI Model for Stock Prediction and Trading. (2024). Mai, Dat. In: Papers. RePEc:arx:papers:2404.05101.

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2024Application of Deep Learning for Factor Timing in Asset Management. (2024). Chen, Xilin ; Panda, Prabhu Prasad ; Gharanchaei, Maysam Khodayari ; Lyu, Haoshu. In: Papers. RePEc:arx:papers:2404.18017.

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2024Covariance Matrix Analysis for Optimal Portfolio Selection. (2024). Shen, Lim Hao. In: Papers. RePEc:arx:papers:2407.08748.

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2024Temporal Representation Learning for Stock Similarities and Its Applications in Investment Management. (2024). Hwang, Yoontae ; Lee, Yongjae ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2407.13751.

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2025Predicting the distributions of stock returns around the globe in the era of big data and learning. (2024). Baruník, Jozef ; Tobek, Ondrej ; Hronec, Martin. In: Papers. RePEc:arx:papers:2408.07497.

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2024The mean-variance portfolio selection based on the average and current profitability of the risky asset. (2024). Li, YU ; Wu, Yuhan ; Zhang, Shuhua. In: Papers. RePEc:arx:papers:2408.07969.

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2024Causality-Inspired Models for Financial Time Series Forecasting. (2024). Lu, Yutong ; Lin, XI ; Cucuringu, Mihai ; Oliveira, Daniel Cunha ; Fujita, Andre. In: Papers. RePEc:arx:papers:2408.09960.

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2024The Surprising Robustness of Partial Least Squares. (2024). Fernandes, Pedro Afonso ; Assunccao, Joao B. In: Papers. RePEc:arx:papers:2409.05713.

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2025Anatomy of Machines for Markowitz: Decision-Focused Learning for Mean-Variance Portfolio Optimization. (2024). Lee, Yongjae ; Tae, Inwoo. In: Papers. RePEc:arx:papers:2409.09684.

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2025ChatGPT and Corporate Policies. (2025). Weber, Michael ; Yang, Baozhong ; Qian, Jialin ; Jha, Manish. In: Papers. RePEc:arx:papers:2409.17933.

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2025Analyst Reports and Stock Performance: Evidence from the Chinese Market. (2025). Liang, Jiayou ; Liu, Rui ; Hu, Yujia ; Chen, Haolong. In: Papers. RePEc:arx:papers:2411.08726.

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2024Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence. (2024). Lis, Szymon. In: Papers. RePEc:arx:papers:2411.13180.

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2024Do Activists Align with Larger Mutual Funds?. (2024). Jha, Manish. In: Papers. RePEc:arx:papers:2411.16553.

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2024Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy. (2024). Zhang, Terry ; Yang, Yanrong ; Lu, Yonghe. In: Papers. RePEc:arx:papers:2411.18830.

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2025Copula Central Asymmetry of Equity Portfolios. (2025). Frattarolo, Lorenzo. In: Papers. RePEc:arx:papers:2501.00634.

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2025Multi-Hypothesis Prediction for Portfolio Optimization: A Structured Ensemble Learning Approach to Risk Diversification. (2025). Hong, Xia ; Shahzad, Muhammad ; Dominguez, Alejandro Rodriguez. In: Papers. RePEc:arx:papers:2501.03919.

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2025Can optimal diversification beat the naive 1/N strategy in a highly correlated market? Empirical evidence from cryptocurrencies. (2025). Chen, Heming. In: Papers. RePEc:arx:papers:2501.12841.

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2025ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?. (2025). Zhu, WU ; Zhou, Guofu ; Tang, Guohao ; Chen, Jian. In: Papers. RePEc:arx:papers:2502.10008.

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2025The Uncertainty of Machine Learning Predictions in Asset Pricing. (2025). Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan ; Schilling, Linda. In: Papers. RePEc:arx:papers:2503.00549.

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2025A Note on the Asymptotic Properties of the GLS Estimator in Multivariate Regression with Heteroskedastic and Autocorrelated Errors. (2025). Noda, Akihiko ; Moriya, Koichiro. In: Papers. RePEc:arx:papers:2503.13950.

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2025Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure. (2025). Zhang, Ruixun ; Xu, Yumin ; Chen, Minshuo. In: Papers. RePEc:arx:papers:2504.06566.

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2025Detecting multiple change points in linear models with heteroscedastic errors. (2025). Horvath, Lajos ; Zhao, Yuqian ; Rice, Gregory. In: Papers. RePEc:arx:papers:2505.01296.

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2025Latent Variable Estimation in Bayesian Black-Litterman Models. (2025). Hu, Jerry Yao-Chieh ; Lin, Peter ; Chiou, Paul W. In: Papers. RePEc:arx:papers:2505.02185.

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2025Quantile Predictions for Equity Premium using Penalized Quantile Regression with Consistent Variable Selection across Multiple Quantiles. (2025). Sherwood, Ben ; Li, Shaobo. In: Papers. RePEc:arx:papers:2505.16019.

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2025Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy. (2025). Cai, Jinbo ; Wang, Wenjie ; Li, Wenze. In: Papers. RePEc:arx:papers:2507.07477.

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2025Variable selection for minimum-variance portfolios. (2025). Moura, Guilherme V ; Torrent, Hudson S. In: Papers. RePEc:arx:papers:2508.14986.

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2025Tackling estimation risk in Kelly investing using options. (2025). Lillo, Fabrizio ; Tsaknaki, Ioanna-Yvonni ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2508.18868.

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2025Deep Reinforcement Learning for Optimal Asset Allocation Using DDPG with TiDE. (2025). Liu, Rongwei ; Zheng, Jin ; Cartlidge, John. In: Papers. RePEc:arx:papers:2508.20103.

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

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2025Equity Premium Prediction: Taking into Account the Role of Long, even Asymmetric, Swings in Stock Market Behavior. (2025). Ausloos, Marcel ; Un, Kuok Sin. In: Papers. RePEc:arx:papers:2509.10483.

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2025Robust Cauchy-Based Methods for Predictive Regressions. (2025). Ibragimov, Rustam ; Kim, Jihyun ; Skrobotov, Anton. In: Papers. RePEc:arx:papers:2511.09249.

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2025Re(Visiting) Time Series Foundation Models in Finance. (2025). Rahimikia, Eghbal ; Ni, Hao ; Wang, Weiguan. In: Papers. RePEc:arx:papers:2511.18578.

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2025The Role of Weather Anomalies in Shaping Investor Sentiment and Stock Market Performance: A Conceptual Analysis. (2025). Shehryar, Muhammad. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:9:y:2025:issue-3:p:558-565.

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2025Stock Price Prediction and Investment Recommendations through Machine Learning Analysis. (2025). Sikder, Md Emran ; Uddin, Gias ; Islam, Md Rafiqul ; A. S. S. M. Q-E-Elahy, ; Khanum, Sadia ; Rabby, Wary Hossain. In: International Journal of Research and Scientific Innovation. RePEc:bjc:journl:v:12:y:2025:i:9:p:3318-3328.

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2024Does image sentiment of major public emergency affect the stock market performance? New insight from deep learning techniques. (2024). Liu, Yun ; Huang, Dengshi ; Zhou, Jianan ; Wang, Sirui. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:4:p:4447-4472.

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2024Predictive model averaging with parameter instability and heteroskedasticity. (2024). Yin, Anwen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:418-442.

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2024Sentiment and the cross‐section of expected stock returns. (2024). Lin, Nanying ; Lu, Lei ; Jacoby, Gady ; Liao, Chi. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:2:p:459-485.

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2024Efficient Market Hypothesis on the blockchain: A social‐media‐based index for cryptocurrency efficiency. (2024). Mazur, Mieszko ; Rubbaniy, Ghulame ; Polyzos, Efstathios. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:3:p:807-829.

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2024Exploring the impact of oil security attention on oil volatility: A new perspective. (2024). Li, Shan ; Wang, LU ; Liang, Chao. In: International Finance. RePEc:bla:intfin:v:27:y:2024:i:1:p:61-80.

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2024The Virtue of Complexity in Return Prediction. (2024). Zhou, Kangying ; Malamud, Semyon ; Kelly, Bryan. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:1:p:459-503.

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2024Granger causality tests based on reduced variable information. (2024). Nakano, Junji ; Hung, Yingchao ; Tseng, Nengfang. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:444-462.

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2024Solving the Forecast Combination Puzzle Using Double Shrinkages. (2024). Wang, Yudong ; Hao, Xianfeng ; Liu, LI. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:714-741.

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2024Deciphering the U.S. metropolitan house price dynamics. (2024). Plakandaras, Vasilios ; Pragidis, Ioannis ; Karypidis, Paris. In: Real Estate Economics. RePEc:bla:reesec:v:52:y:2024:i:2:p:434-485.

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2024First-mover advantage in funds revisited. (2024). Dunne, Peter ; Chen, Yuting. In: Research Technical Papers. RePEc:cbi:wpaper:6/rt/24.

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2024Are We Fragmented Yet? Measuring Geopolitical Fragmentation and Its Causal Effects. (2024). Song, Dongho ; Fernandez-Villaverde, Jesus ; Mineyama, Tomohide. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11192.

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2024Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411.

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2025A New Four-factor Model for the Chinese Stock Market. (2025). Zhang, Haitao ; Tang, Chao ; Cao, Jianhui ; Xiong, Heping. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2025:v:26:i:2:xiongtangcaozhang.

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2024The role of comovement and time-varying dynamics in forecasting commodity prices. (2024). Venditti, Fabrizio ; Allayioti, Anastasia. In: Working Paper Series. RePEc:ecb:ecbwps:20242901.

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2024Trading Momentum in the U.S. Crude Oil Futures Market. (2024). Hamdan, Dalia ; Starkova, Olga ; Gurrib, Ikhlaas. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-05-61.

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2024Equity market responses to surprise Covid-19 lockdowns: The role of pandemic-driven uncertainty. (2024). Sengupta, Rajeswari ; Pratap, Bhanu ; Mathur, Aakriti. In: Journal of Asian Economics. RePEc:eee:asieco:v:91:y:2024:i:c:s1049007823001112.

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2024Can a machine learn from behavioral biases? Evidence from stock return predictability of deep learning models. (2024). Byun, Suk-Joon ; Cho, Sangheum ; Kim, Da-Hea. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635023000953.

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2024Investor heterogeneity and anchoring-induced momentum. (2024). Kongahawatte, Sampath ; Onishchenko, Olena ; Zhao, Jing ; Kuruppuarachchi, Duminda. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:42:y:2024:i:c:s2214635024000418.

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2024Extrapolative beliefs and return predictability: Evidence from China. (2024). Liu, Yumin ; Jiang, Fuwei ; Zhang, Huajing. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000728.

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2024Managerial sentiment and employment. (2024). Montone, Maurizio ; Zhu, Yuhao. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000765.

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2025Pricing anomalies in a general equilibrium model with biased learning. (2025). Bottazzi, Giulio ; Antico, Andrea ; Giachini, Daniele. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:45:y:2025:i:c:s2214635025000085.

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2024When a gift resembles a trojan horse: CEO stock gift and stock price crash risk. (2024). Ha, Thu ; Pham, Man Duy. In: The British Accounting Review. RePEc:eee:bracre:v:56:y:2024:i:4:s0890838923000823.

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2024Manager sentiment, deal characteristics, and takeover performance. (2024). Wu, Kai ; Tan, Xiaofen ; Liu, YI. In: The British Accounting Review. RePEc:eee:bracre:v:56:y:2024:i:6:s0890838924001136.

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2024Business aspects in focus, investor underreaction and return predictability. (2024). Jin, Zuben. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s0929119923001748.

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2024Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999.

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2024Cross-cryptocurrency return predictability. (2024). Wang, YU ; Guo, LI ; Tu, Jun ; Sang, BO. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000551.

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2025Financial market responses to the policy language of forward guidance: Evidence from China. (2025). Wang, Yulong ; Nie, LI ; Shi, Kai. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:317-335.

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2024Robust portfolio selection with smart return prediction. (2024). Tu, Xueyong ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000750.

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2025Manager sentiment and its effect on corporate innovation. (2025). Zhao, Long ; Xiong, Xun. In: Economic Modelling. RePEc:eee:ecmode:v:143:y:2025:i:c:s0264999324003250.

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2025Explaining the causality between trading volume and stock returns: What drives its cross-quantile patterns?. (2025). Gebka, Bartosz. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000720.

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2024Downside liquidity risk premium: From the perspective of higher moment. (2024). Hou, Yuting ; Jin, Xiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001547.

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2024A hybrid approach of wavelet transform, ARIMA and LSTM model for the share price index futures forecasting. (2024). Li, Xiaojing ; Bai, Wei ; Zhang, Junting ; Liu, Haifei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001456.

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2024Risk-neutral skewness and stock market returns: A time-series analysis. (2024). Wu, Zhengyu ; Li, Xiaowei ; Zhang, LU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001638.

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2024The role of investor sentiment and market belief in forecasting V-shaped disposition effect: Evidence from a Bayesian learning process with DSSW model. (2024). Gider, Zeynullah ; Hassan, Kabir M ; Bataineh, Hassan ; Bouteska, Ahmed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000081.

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2024Do enterprises adopting digital finance exhibit higher values? Based on textual analysis. (2024). Yue, Sishi ; Yang, MO ; Dong, Dayong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001062.

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2024Investor sentiment or information content? A simple test for investor sentiment proxies. (2024). Lee, Geul ; Ryu, Doojin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001475.

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2024Can U.S. macroeconomic indicators forecast cryptocurrency volatility?. (2024). Su, Yi-Kai ; Tzeng, Kae-Yih. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001499.

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2024Forecasting crude oil volatility and stock volatility: New evidence from the quantile autoregressive model. (2024). Chen, Yan ; Zhang, Lei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001608.

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2025Twitter-based market uncertainty and global stock volatility predictability. (2025). Zhou, Mingtao ; Ma, Yong ; Li, Shuaibing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001815.

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2025Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967.

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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.

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2025Stock market volatility and multi-scale positive and negative bubbles. (2025). Nel, Jacobus ; Gupta, Rangan ; Pierdzioch, Christian ; Nielsen, Joshua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002250.

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2025Financial regulatory policy uncertainty: An informative predictor for financial industry stock returns. (2025). Zhao, Xinyi ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pb:s1062940824002468.

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2025Managerial integrity and stock returns. (2025). Gong, Hao ; Meng, Yifan ; Cao, Jiawei ; Yang, MO. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000762.

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2024Speculative and non-speculative equity premia. (2024). Dorobiala, Zachary ; Ghazi, Soroush ; Schneider, Mark. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524001022.

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2025Spatial spillovers of media sentiment divergence in the stock market: A dynamic spatial Durbin approach. (2025). Zhang, Manling ; Chen, Jing. In: Economics Letters. RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001430.

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2024Robustifying Markowitz. (2024). Klochkov, Yegor ; Hardle, Wolfgang Karl ; Zhivotovskiy, Nikita ; Petukhina, Alla. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000180.

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2024Time-varying forecast combination for factor-augmented regressions with smooth structural changes. (2024). Hong, Yongmiao ; Chen, Qitong ; Li, Haiqi. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000393.

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2024Bayesian estimation of cluster covariance matrices of unknown form. (2024). Creal, Drew ; Kim, Jaeho. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s030440762400071x.

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2024Measuring tail risk. (2024). Prokopczuk, Marcel ; Dierkes, Maik ; Hollstein, Fabian ; Wursig, Christoph Matthias. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001155.

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2024Testing for sparse idiosyncratic components in factor-augmented regression models. (2024). Striaukas, Jonas ; Beyhum, Jad. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001908.

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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.

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2025A large confirmatory dynamic factor model for stock market returns in different time zones. (2025). Wu, Jianbin ; Tang, Haihan ; Linton, Oliver B. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000259.

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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.
[Full Text][Citation analysis]		article62
2010Cross-Sectional Asset Pricing Tests In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article18
1993 Asset-Pricing Tests under Alternative Distributions. In: Journal of Finance.
[Full Text][Citation analysis]		article48
2013International Stock Return Predictability: What Is the Role of the United States? In: Journal of Finance.
[Full Text][Citation analysis]		article355
2022Anomalies and the Expected Market Return In: Journal of Finance.
[Full Text][Citation analysis]		article40
2000On the Rate of Convergence of Discrete‐Time Contingent Claims In: Mathematical Finance.
[Full Text][Citation analysis]		article32
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]		article55
2002What Determines Expected International Asset Returns?.(2002) In: CEMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		paper
1994What determines expected international asset returns ?.(1994) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 55		paper
1994What determines expected international asset returns ?.(1994) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 55		paper
1994What Determines Expected International Asset Returns?.(1994) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		paper
2006Using Bootstrap to Test Portfolio Efficiency In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article20
2012Tests of Mean-Variance Spanning In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article85
2001Tests of Mean-Variance Spanning.(2001) In: CEMA Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 85		paper
1999A Critique of the Stochastic Discount Factor Methodology In: CEMA Working Papers.
[Full Text][Citation analysis]		paper34
2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations In: CEMA Working Papers.
[Full Text][Citation analysis]		paper122
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 nother version. Agregated cites: 122		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 nother version. Agregated cites: 122		paper
1996Measuring the Pricing Error of the Arbitrage Pricing Theory In: CEMA Working Papers.
[Full Text][Citation analysis]		paper173
1995Measuring the pricing error of the arbitrage pricing theory.(1995) In: Staff Report.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 173		paper
1996Measuring the Pricing Error of the Arbitrage Pricing Theory..(1996) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 173		article
1993International asset pricing with alternative distributional specifications In: CEMA Working Papers.
[Full Text][Citation analysis]		paper60
1993International asset pricing with alternative distributional specifications.(1993) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		article
2007Optimal Portfolio Choice with Parameter Uncertainty In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article256
2010Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article35
2012Volatility Trading: What Is the Role of the Long-Run Volatility Component? In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article12
2013A New Anomaly: The Cross-Sectional Profitability of Technical Analysis In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article74
2013Forecasting Stock Returns In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter336
2010How much stock return predictability can we expect from an asset pricing model? In: Economics Letters.
[Full Text][Citation analysis]		article23
1995Small sample rank tests with applications to asset pricing In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article16
1999Testing multi-beta asset pricing models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article13
2015Fama–MacBeth two-pass regressions: Improving risk premia estimates In: Finance Research Letters.
[Full Text][Citation analysis]		article9
1999Security factors as linear combinations of economic variables In: Journal of Financial Markets.
[Full Text][Citation analysis]		article7
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]		article246
2019Manager sentiment and stock returns In: Journal of Financial Economics.
[Full Text][Citation analysis]		article246
2020Time series momentum: Is it there? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article57
2022Expected return, volume, and mispricing In: Journal of Financial Economics.
[Full Text][Citation analysis]		article17
2022Recovering the FOMC risk premium In: Journal of Financial Economics.
[Full Text][Citation analysis]		article5
1990Bayesian inference in asset pricing tests In: Journal of Financial Economics.
[Full Text][Citation analysis]		article40
1991Small sample tests of portfolio efficiency In: Journal of Financial Economics.
[Full Text][Citation analysis]		article29
2004Data-generating process uncertainty: What difference does it make in portfolio decisions? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article39
2009Technical analysis: An asset allocation perspective on the use of moving averages In: Journal of Financial Economics.
[Full Text][Citation analysis]		article102
2010Limited participation and consumption-saving puzzles: A simple explanation and the role of insurance In: Journal of Financial Economics.
[Full Text][Citation analysis]		article40
2011Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article179
2010Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules In: Working Papers.
[Full Text][Citation analysis]		paper550
2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation In: The Review of Financial Studies.
[Full Text][Citation analysis]		article37
2010Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy In: The Review of Financial Studies.
[Full Text][Citation analysis]		article851
2015Investor Sentiment Aligned: A Powerful Predictor of Stock Returns In: The Review of Financial Studies.
[Full Text][Citation analysis]		article500
1994Analytical GMM Tests: Asset Pricing with Time-Varying Risk Premiums. In: The Review of Financial Studies.
[Full Text][Citation analysis]		article19
1996Temporary Components of Stock Returns: What Do the Data Tell Us? In: The Review of Financial Studies.
[Full Text][Citation analysis]		article26
2010Robust portfolios: contributions from operations research and finance In: Annals of Operations Research.
[Full Text][Citation analysis]		article115
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]		article7

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