Prof. FENG Guanhao Gavin (馮冠豪)

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Research Output

  1. 2024
  2. 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

    Check@CityULib
  3. 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

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  4. 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. 851-883

    Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

    Scopus citations: 1
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  5. 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

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  6. 2023
  7. 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

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  8. 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
  9. 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
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  10. 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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  11. 2022
  12. 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
  13. 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 - Publication in refereed journal › peer-review

    Scopus citations: 2
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  14. 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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  15. 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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  16. 2021
  17. 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

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  18. 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
  19. 2020
  20. 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 - Publication in refereed journal › peer-review

    Scopus citations: 2
    Check@CityULib
  21. 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 - Publication in refereed journal › peer-review

    Scopus citations: 246
    Check@CityULib