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Default prediction with dynamic sectoral and macroeconomic frailties

Chen, Peimin; Wu, Chunchi - In: Journal of banking & finance 40 (2014), pp. 211-226

Persistent link: https://www.econbiz.de/10010402234

Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components

Man, Kasing; Wu, Chunchi - In: Journal of forecasting 29 (2010) 7, pp. 595-616

Persistent link: https://www.econbiz.de/10008935450

Are corporate bond market returns predictable?

Hong, Yongmiao; Lin, Hai; Wu, Chunchi - In: Journal of banking & finance 36 (2012) 8, pp. 2216-2232

Persistent link: https://www.econbiz.de/10009655644

Short interest, stock returns and credit ratings

Guo, Xu; Wu, Chunchi - In: Journal of banking & finance 108 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10012224662

Forecasting corporate bond returns with a large set of predictors : an iterated combination approach

Lin, Hai; Wu, Chunchi; Zhou, Guofu - In: Management science : journal of the Institute for … 64 (2018) 9, pp. 4218-4238

Persistent link: https://www.econbiz.de/10011921514

Predictive information in corporate bond yields

Guo, Xu; Lin, Hai; Wu, Chunchi; Zhou, Guofu - In: Journal of financial markets 59 (2022) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10013346711

Forecasting earnings with combination of analyst forecasts

Lin, Hai; Tao, Xinyuan; Wu, Chunchi - In: Journal of empirical finance 68 (2022), pp. 133-159

Persistent link: https://www.econbiz.de/10013464467

Volatility forecasts by clustering$applications for VaR estimation

Wang, Zijin; Chen, Peimin; Liu, Peng; Wu, Chunchi - In: International review of economics & finance : IREF 94 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10014582647

Style investing, momentum, and co-movement

Wu, Chunchi; Tao, Xinyuan - 2024

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Credit spreads, business conditions, and expected corporate bond returns

Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of risk and financial management : JRFM 13 (2020) 2/20, pp. 1-34

Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components...

Persistent link: https://www.econbiz.de/10012173990