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Volatility components: The term structure dynamics of VIX futures

Lu, Zhongjin; Zhu, Yingzi - In: Journal of Futures Markets 30 (2010) 3, pp. 230-256

In this study we empirically study the variance term structure using volatility index (VIX) futures market. We first derive a new pricing framework for VIX futures, which is convenient to study variance term structure dynamics. We construct five models and use Kalman filter and maximum...

Persistent link: https://www.econbiz.de/10011197532

On the fundamental law of active portfolio management : what happens if our estimates are wrong?

Zhou, Guofu - In: The journal of portfolio management : a publication of … 34 (2007/08) 4, pp. 26-33

Persistent link: https://www.econbiz.de/10003769532

On the fundamental law of active portfolio management : how to make conditional investments unconditionally optimal

Zhou, Guofu - In: The journal of portfolio management : a publication of … 35 (2008/09) 1, pp. 12-21

Persistent link: https://www.econbiz.de/10003780569

Beyond Black-Litterman : letting the data speak

Zhou, Guofu - In: The journal of portfolio management : a publication of … 36 (2009/10) 1, pp. 36-45

Persistent link: https://www.econbiz.de/10003909565

Security factors as linear combinations of economic variables

Zhou, Guofu - In: Journal of financial markets 2 (1999) 3, pp. 403-432

Persistent link: https://www.econbiz.de/10001426717

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

Small sample tests of portfolio efficiency

Zhou, Guofu - In: Journal of financial economics 30 (1991) 1, pp. 165-191

Persistent link: https://www.econbiz.de/10001121692

Small sample rank tests with applications to asset pricing

Zhou, Guofu - In: Journal of empirical finance 2 (1995) 1, pp. 71-93

Persistent link: https://www.econbiz.de/10001181811

How much stock return predictability can we expect from an asset pricing model?

Zhou, Guofu - In: Economics letters 108 (2010) 2, pp. 184-186

Persistent link: https://www.econbiz.de/10008699206

Measuring investor sentiment

Zhou, Guofu - In: Annual review of financial economics 10 (2018), pp. 239-259

Persistent link: https://www.econbiz.de/10011959822

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