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A trend factor : Any economic gains from using information over investment horizons?

Han, Yufeng; Zhou, Guofu; Zhu, Yingzi - In: Journal of financial economics 122 (2016) 2, pp. 352-375

Persistent link: https://www.econbiz.de/10011590910

Macroeconomic volatilities and long-run risks of asset prices

Zhou, Guofu; Zhu, Yingzi - In: Management science : journal of the Institute for … 61 (2015) 2, pp. 413-430

Persistent link: https://www.econbiz.de/10010490848

An E-ARCH model for the term structure of implied volatility of FX options

Zhu, Yingzi - In: Applied mathematical finance 4 (1997) 2, pp. 81-100

Persistent link: https://www.econbiz.de/10001226702

Volatility Components : The Term Structure Dynamics of VIX Futures

Lu, Zhongjin - 2010

In this paper we empirically study the variance term structure using VIX futures market. We first derive a new pricing framework for VIX futures that is convenient to study variance term structure dynamics. We construct five models and use Kalman filter and Maximum Likelihood method for model...

Persistent link: https://www.econbiz.de/10013144105

Asset-pricing tests under alternative distributions

Zhou, Guofu - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1927-1942

Persistent link: https://www.econbiz.de/10001155917

Upper bounds on return predictability

Huang, Dashan; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 2, pp. 401-425

Persistent link: https://www.econbiz.de/10011742049

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

Tests of mean-variance spanning

Kan, Raymond (contributor); Zhou, Guofu (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001681234

Out-of-sample equity premium prediction : economic fundamentals vs. moving-average rules

Neely, Christopher J.; Rapach, David E.; Tu, Jun; Zhou, … - 2010

Persistent link: https://www.econbiz.de/10008651185

Tests of mean-variance spanning

Kan, Raymond; Zhou, Guofu - In: Annals of economics and finance 13 (2012) 1, pp. 139-187

Persistent link: https://www.econbiz.de/10009558304