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Measuring the pricing error of the arbitrage pricing theory

Geweke, John; Zhou, Guofu - 1995

Persistent link: https://www.econbiz.de/10000909817

Hierarchical Markov normal mixture models with applications to financial asset returns

Geweke, John (contributor); Amisano, Gianni (contributor) - 2007

With the aim of constructing predictive distributions for daily returns, we introduce a new Markov normal mixture model in which the components are themselves normal mixtures. We derive the restrictions on the autocovariances and linear representation of integer powers of the time series in...

Persistent link: https://www.econbiz.de/10003599451

Improving asset price prediction when all models are false

Durham, Garland; Geweke, John - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 278-306

Persistent link: https://www.econbiz.de/10010351546

Hierarchical Markov normal mixture models with applications to financial asset returns

Geweke, John; Amisano, Gianni - In: Journal of applied econometrics 26 (2011) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10008937004

Temporary components of stock returns : what do the data tell us?

Lamoureux, Christopher G. - In: The review of financial studies 9 (1996) 4, pp. 1033-1059

Persistent link: https://www.econbiz.de/10001212394

Investor attention and stock returns

Chen, Jian; Tang, Guohao; Yao, Jiaquan; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 2, pp. 455-484

Persistent link: https://www.econbiz.de/10012805803

Short interest and aggregate stock returns

Rapach, David E.; Ringgenberg, Matthew C.; Zhou, Guofu - In: Journal of financial economics 121 (2016) 1, pp. 46-65

Persistent link: https://www.econbiz.de/10011590566

Market intraday momentum

Gao, Lei; Han, Yufeng; Li, Sophia Zhengzi; Zhou, Guofu - In: Journal of financial economics 129 (2018) 2, pp. 394-414

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Asymmetry in stock comovements : an entropy approach

Jiang, Lei; Wu, Ke; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 4, pp. 1479-1507

Persistent link: https://www.econbiz.de/10011930502

Manager sentiment and stock returns

Jiang, Fuwei; Lee, Joshua; Martin, Xiumin; Zhou, Guofu - In: Journal of financial economics 132 (2019) 1, pp. 126-149

Persistent link: https://www.econbiz.de/10012134791