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A unified test for predictability of asset returns regardless of properties of predicting variables
Liu, Xiaohui; Yang, Bingduo; Cai, Zongwu; Peng, Liang - In: Journal of econometrics 208 (2019) 1, pp. 141-159
Persistent link: https://www.econbiz.de/10012139823
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A new robust inference for asset return predictability via quantile regression
Cai, Zongwu; Chen, Haiqiang; Liao, Xiaosai - 2020
Persistent link: https://www.econbiz.de/10012203086
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Nonlinear and time-varying risk premia
Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30
Persistent link: https://www.econbiz.de/10012607208
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Realized volatility forecasting based on dynamic quantile model averaging
Cai, Zongwu; Ma, Chaoqun; Mi, Xianhua - 2020
Persistent link: https://www.econbiz.de/10012312856
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New online investor sentiment and asset returns
Cai, Zongwu; Chen, Pixiong - 2022
Persistent link: https://www.econbiz.de/10013483748