Prof. FENG Guanhao Gavin (馮冠豪)

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Research Output

  1. 2023
  2. Online published

    Regularized GMM for Time-Varying Models with Applications to Asset Pricing

    CUI, L., FENG, G. & Hong, Y., 16 Oct 2023, (Online published) In: International Economic Review.

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Check@CityULib
  3. Online published

    Time-Varying Factor Selection: A Sparse Fused GMM Approach

    Cui, L., Feng, G., Hong, Y. & Yang, J., 11 Aug 2023, (Online published) Social Science Research Network (SSRN), 54 p.

    Research output: Working Papers › Preprint

    Check@CityULib
  4. Online published

    Anomaly or Risk Factor? A Stepwise Evaluation

    Feng, G., Lan, W., Wang, H. & Zhang, J., 30 Jul 2023, (Online published) Social Science Research Network (SSRN), 48 p.

    Research output: Working Papers › Preprint

    Check@CityULib
  5. Online published

    Deep Learning in Characteristics-Sorted Factor Models

    Feng, G., He, J., Polson, N. G. & Xu, J., 24 Jul 2023, (Online published) In: Journal of Financial and Quantitative Analysis.

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 2
    Check@CityULib
  6. Online published

    Predicting Individual Corporate Bond Returns

    HE, X., FENG, G. G., WANG, J. & Wu, C., 2023, (Online published).

    Research output: Working Papers › Preprint

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  7. 2022
  8. Online published

    Uncommon Factors for Bayesian Asset Clusters

    Cong, L. W., Feng, G., He, J. & Li, J., 29 Sept 2022, (Online published) Social Science Research Network (SSRN), 55 p.

    Research output: Working Papers › Preprint

    Check@CityULib
  9. Published

    Factor investing: A Bayesian hierarchical approach

    Feng, G. & He, J., Sept 2022, In: Journal of Econometrics. 230, 1, p. 183-200

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 2
    Check@CityULib
  10. Online published

    Deep Tangency Portfolios

    Feng, G., Jiang, L., Li, J. & Song, Y., 11 Mar 2022, (Online published) Social Science Research Network (SSRN).

    Research output: Working Papers › Preprint

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  11. Online published

    Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach

    Fan, Y., Feng, G., Fulop, A. & Li, J., 2022, (Online published) 60 p.

    Research output: Working Papers › Preprint

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  12. 2021
  13. Online published

    Asset Pricing with Panel Tree Under Global Split Criteria

    Cong, L. W., Feng, G., He, J. & He, X., 27 Oct 2021, (Online published) Social Science Research Network (SSRN).

    Research output: Working Papers › Preprint

    Check@CityULib
  14. Online published

    Corporate Bond Pricing via Benchmark Combination Model

    He, X., Feng, G., Wang, J. & Wu, C., 12 Oct 2021, (Online published) Social Science Research Network (SSRN).

    Research output: Working Papers › Preprint

    Check@CityULib
  15. 2020
  16. Published

    Regularizing Bayesian predictive regressions

    Feng, G. & Polson, N., Dec 2020, In: Journal of Asset Management. 21, 7, p. 591–608

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 2
    Check@CityULib
  17. Published

    Taming the Factor Zoo: A Test of New Factors

    FENG, G., GIGLIO, S. & XIU, D., Jun 2020, In: The Journal of Finance. 75, 3, p. 1327-1370

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 161
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  18. 2017

  19. Does Higher-Frequency Data Always Help to Predict Longer-Horizon Volatility?

    Charoenwong, B. & Feng, G., Jun 2017, In: Journal of Risk. 19, 5, p. 55-75

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Check@CityULib
  20. 2016

  21. The Market for English Premier League (EPL) Odds

    Feng, G., Polson, N. & Xu, J., Dec 2016, In: Journal of Quantitative Analysis in Sports. 12, 4, p. 167-178

    Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review

    Scopus citations: 3
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