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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

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

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

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

Tests of mean-variance spanning

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

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

Investor Sentiment and Asset Returns : Actions Speak Louder than Words

Mai, Dat; Kuntara Pukthuanthong; Zhou, Guofu - 2022

We analyze the daily predictability of investor sentiment across four major asset classes and compare sentiment measures based on news and social media with those based on trade information. For the majority of assets, trade-based sentiment measures outperform their text-based equivalents for...

Persistent link: https://www.econbiz.de/10014235755