Hanlin Yang

University of Zurich - Department of Banking and Finance

Schönberggasse 1

Zürich, 8001

Switzerland

  • University of Zurich - Department of Banking and Finance

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 20,016

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Top 20,016

in Total Papers Downloads

4,026

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Ideas:
“  Systematic investing, statistical learning  ”

  • University of Zurich - Department of Banking and Finance

Scholarly Papers (5)

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1.

Behavioral Anomalies in Cryptocurrency Markets

Number of pages: 35 Posted: 21 May 2018 Last Revised: 30 Sep 2020
Hanlin Yang
University of Zurich - Department of Banking and Finance
Downloads 2,300 (9,991)
Citation 4

Abstract:

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Cryptocurrencies, behavioral anomalies, momentum

2.

The Anatomy of Factor Momentum

Number of pages: 73 Posted: 06 Feb 2020 Last Revised: 18 Jun 2021
Markus Leippold and Hanlin Yang
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 1,241 (26,009)

Abstract:

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Factor momentum, time-series predictability, factor timing portfolio, buy-and-hold portfolio

3.

A Weighted Least Squares Estimator of Factor Momentum

Number of pages: 49 Posted: 04 Sep 2019 Last Revised: 14 Apr 2021
Hanlin Yang
University of Zurich - Department of Banking and Finance
Downloads 291 (162,164)

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factor, volatility, predictability, anomaly, momentum

4.

Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models

Number of pages: 39 Posted: 22 Oct 2016 Last Revised: 18 Jan 2021
Markus Leippold and Hanlin Yang
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 189 (245,563)
Citation 2

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Mixed-frequency, State-space Models, Particle Filtering, Particle Learning, Smoothing, Parameter Estimation, Real-time Learning, Confounded Learning

5.

Mixed-Frequency Predictive Regressions with Parameter Learning

Number of pages: 48 Posted: 27 Mar 2023
Markus Leippold and Hanlin Yang
University of Zurich and University of Zurich - Department of Banking and Finance
Downloads 5

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Mixed-frequency data, predictive regressions, stochastic volatility, consumption-wealth ratio, parameter learning, portfolio optimization