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Forecasting realized volatility with machine learning: Panel data perspective Journal article
Zhu, Haibin, Bai, Lu, He, Lidan, Liu, Zhi. Forecasting realized volatility with machine learning: Panel data perspective[J]. Journal of Empirical Finance, 2023, 73, 251-271.
Authors:  Zhu, Haibin;  Bai, Lu;  He, Lidan;  Liu, Zhi
Favorite | TC[WOS]:5 TC[Scopus]:5  IF:2.1/3.0 | Submit date：2023/09/12
Forecasting  Machine Learning  Panel Data Analysis  Realized Volatility  
Coskewness and reversal of momentum returns: The US and international evidence Journal article
Liang Dong, Yiqing Dai, Tariq Haque, Hung Wan Kot, Takeshi Yamada. Coskewness and reversal of momentum returns: The US and international evidence[J]. Journal of Empirical Finance, 2022, 69, 241-264.
Authors:  Liang Dong;  Yiqing Dai;  Tariq Haque;  Hung Wan Kot;  Takeshi Yamada
Adobe PDF | Favorite | TC[WOS]:3 TC[Scopus]:3  IF:2.1/3.0 | Submit date：2022/10/18
Reversal Risk  Coskewness  Momentum  
A robust Glasso approach to portfolio selection in high dimensions Journal article
Wenliang Ding, Lianjie Shu, Xinhua Gu. A robust Glasso approach to portfolio selection in high dimensions[J]. Journal of Empirical Finance, 2022, 70, 22-37.
Authors:  Wenliang Ding;  Lianjie Shu;  Xinhua Gu
Favorite | TC[WOS]:2 TC[Scopus]:2  IF:2.1/3.0 | Submit date：2023/02/10
Data Contamination  Glasso  Hedge Relation  High Dimension  Portfolio Selection  Robust Estimation  
New evidence on Bayesian tests of global factor pricing models Journal article
Zhuo Qiao, Yan Wang, Keith S.K. Lam. New evidence on Bayesian tests of global factor pricing models[J]. Journal of Empirical Finance, 2022, 68, 160-172.
Authors:  Zhuo Qiao;  Yan Wang;  Keith S.K. Lam
Favorite | TC[WOS]:1 TC[Scopus]:1  IF:2.1/3.0 | Submit date：2022/08/11
Bayesian Analysis  Fat Tails  International Asset Pricing,  Model Comparison  
Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach Journal article
Chia-YingChan, Christian de Peretti, Zhuo Qiao, Wing-Keung Wong. Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach[J]. Journal of Empirical Finance, 2011, 19(1), 162-174.
Authors:  Chia-YingChan;  Christian de Peretti;  Zhuo Qiao;  Wing-Keung Wong
Favorite | TC[WOS]:33 TC[Scopus]:40  IF:2.1/3.0 | Submit date：2019/11/01
Covered Warrants  Market Efficiency  Stochastic Dominance  Bootstrap Likelihood Test  
Herding and Information Based Trading Journal article
Zhou, T, Lai, R.. Herding and Information Based Trading[J]. Journal of Empirical Finance, 2009, 388-393.
Authors:  Zhou, T;  Lai, R.
Favorite | TC[WOS]:102 TC[Scopus]:108  IF:2.1/3.0 | Submit date：2022/06/15
Herding and information based trading Journal article
Zhou R.T., Lai R.N.. Herding and information based trading[J]. Journal of Empirical Finance, 2009, 16(3), 388.
Authors:  Zhou R.T.;  Lai R.N.
Favorite | TC[WOS]:102 TC[Scopus]:108 | Submit date：2018/10/30
Herding  Information Based Trading  Informational Cascades