Prof. FENG Guanhao Gavin (馮冠豪)
Research Output
- 2024
- Published
Renegotiable debt, liquidity injections and financial instability
Doh, H. S. & Feng, G., 8 Aug 2024, In: Journal of Derivatives and Quantitative Studies: 선물연구.Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
- Online published
Currency Return Dynamics: What Is the Role of U.S. Macroeconomic Regimes?
Feng, G., He, J., Li, J., Sarno, L. & Zhang, Q., 12 Jul 2024, (Online published) Social Science Research Network (SSRN).Research output: Working Papers › Preprint
- Published
Regularized GMM for Time-Varying Models with Applications to Asset Pricing
CUI, L., FENG, G. & HONG, Y., May 2024, In: International Economic Review. 65, 2, p. 851-883Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 1 - Published
Mosaics of Predictability
Cong, W. L., Feng, G., He, J. & Wang, Y., 1 Feb 2024, Social Science Research Network (SSRN).Research output: Working Papers › Preprint
- 2023
- 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
- 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
- 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 - Publication in refereed journal › peer-review
Scopus citations: 5 - Online published
Predicting Individual Corporate Bond Returns
HE, X., FENG, G. G., WANG, J. & Wu, C., 2023, (Online published).Research output: Working Papers › Preprint
- 2022
- 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
- Published
Factor investing: A Bayesian hierarchical approach
Feng, G. & He, J., Sept 2022, In: Journal of Econometrics. 230, 1, p. 183-200Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 2 - 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
- 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
- 2021
- Online published
Growing the Efficient Frontier on Panel Trees
Cong, L. W., Feng, G., He, J. & He, X., 27 Oct 2021, (Online published) Social Science Research Network (SSRN).Research output: Working Papers › Preprint
- 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
- 2020
- Published
Regularizing Bayesian predictive regressions
Feng, G. & Polson, N., Dec 2020, In: Journal of Asset Management. 21, 7, p. 591–608Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 2 - 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. 1327-1370Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 246 - 2017
Does Higher-Frequency Data Always Help to Predict Longer-Horizon Volatility?
Charoenwong, B. & Feng, G., Jun 2017, In: Journal of Risk. 19, 5, p. 55-75Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
- 2016
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. 167-178Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Scopus citations: 3