Chongfeng Wu

Shanghai Jiao Tong University (SJTU) - Aetna School of Management

No.535 Fahuazhen Road

Shanghai, 200052

China

  • Shanghai Jiao Tong University (SJTU) - Aetna School of Management

SCHOLARLY PAPERS

17

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36

CROSSREF CITATIONS

7

Scholarly Papers (17)

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1.

A New Method to Choose the Threshold in the Pot Model

Number of pages: 7 Posted: 22 May 2007
Chunyang Zhou, Chongfeng Wu, Hailong Liu and Fubing Liu
Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University (SJTU) - Aetna School of Management, Shanghai Jiao Tong University (SJTU) and Shanghai Jiao Tong University (SJTU)
Downloads 590 (71,856)
Citation 4

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POT, Threshold selection, Hill plot

2.

Oil Price Shocks and Stock Market Returns: Evidence from Oil-Importing and Oil-Exporting Countries

Number of pages: 48 Posted: 15 Dec 2012
Li Yang, Chongfeng Wu and Yudong Wang
UNSW Australia Business School, School of Banking and Finance, Shanghai Jiao Tong University (SJTU) - Aetna School of Management and Shanghai Jiao Tong University (SJTU)
Downloads 427 (106,293)
Citation 19

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Oil prices, Stock markets, Oil-importing and oil-exporting countries, Oil demand and supply shocks

3.

Ownership and the Value of Political Connections

Number of pages: 50 Posted: 15 Jul 2010
Wenfeng Wu, Chongfeng Wu, Oliver M. Rui and Oliver M. Rui
Shanghai Jiao Tong University - Antai College of Economics & Management, Shanghai Jiao Tong University (SJTU) - Aetna School of Management and China Europe International Business School (CEIBS)affiliation not provided to SSRN
Downloads 340 (137,508)

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political connection, ownership, firm value, corporate governance, China

4.

Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?

Management Science, Forthcoming
Number of pages: 41 Posted: 10 Feb 2015 Last Revised: 22 Feb 2015
Yudong Wang, Chongfeng Wu and Li Yang
Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University (SJTU) - Aetna School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 325 (144,217)
Citation 2

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Futures hedging; naïve strategy; minimum variance hedge ratios; estimation error; mode misspecification

5.

Forecasting the Real Prices of Crude Oil: A Dynamic Model Averaging Approach

Number of pages: 47 Posted: 06 Apr 2015
Yudong Wang, Chongfeng Wu and Li Yang
Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University (SJTU) - Aetna School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 269 (175,601)
Citation 2

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Forecast; Dynamic model averaging; Time-varying parameter model; Oil prices

6.

Trade Credit, Cash Holdings, and Financial Deepening: Evidence from a Transitional Economy

Number of pages: 58 Posted: 06 May 2011 Last Revised: 30 Aug 2018
Wenfeng Wu, Oliver M. Rui, Oliver M. Rui and Chongfeng Wu
Shanghai Jiao Tong University - Antai College of Economics & Management, China Europe International Business School (CEIBS)affiliation not provided to SSRN and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 183 (252,259)
Citation 6

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Cash, Trade Credit, Financial Deepening, Receivables, Payables

7.

From Stochastic to Rough Volatility: A New Deep Learning Perspective on the Hedging

Number of pages: 35 Posted: 02 May 2022
Qinwen Zhu, Chongfeng Wu and Xundi Diao
affiliation not provided to SSRN, Shanghai Jiao Tong University (SJTU) - Aetna School of Management and affiliation not provided to SSRN
Downloads 57 (551,722)

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Risk Management, Rough fractional stochastic volatility, Gated recurrent unit neural networks, Deep hedging, Rough volatility model

8.

Institutional Environment, Ownership and Firm Taxation

Economics of Transition, Forthcoming
Number of pages: 52 Posted: 13 Dec 2012
Wenfeng Wu, Oliver M. Rui, Oliver M. Rui and Chongfeng Wu
Shanghai Jiao Tong University - Antai College of Economics & Management, China Europe International Business School (CEIBS)affiliation not provided to SSRN and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 56 (556,186)

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Ownership, Taxation, Institution, Interjurisdictional competition, China

9.

The Index Option or the Portfolio?

Number of pages: 25 Posted: 13 Nov 2017
Feifan Wu and Chongfeng Wu
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 54 (565,577)

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options; the index option; the portfolio of individual options; correlations; expected option returns

10.

Consistent Analyst Expectation Error and Earnings Management: Evidence from China

Emerging Markets Finance and Trade, Forthcoming
Number of pages: 26 Posted: 17 Aug 2014 Last Revised: 16 Mar 2016
Zhengyi Zhou and Chongfeng Wu
Shanghai University of Finance and Economics and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 53 (570,386)

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Stock Analyst, Expectation Error, Earnings Management, Chinese Market

11.

Are analysts effective speaking tubes? Evidence from site visits

Applied Economics
Number of pages: 31 Posted: 21 Nov 2020 Last Revised: 21 Feb 2023
Jun Wang and Chongfeng Wu
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management
Downloads 21 (768,510)

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analyst behavior, crash risk, hidden information, conflict of interest

12.

Analyst Gender and Online Corporate Visits

Posted: 21 Mar 2023
Jun Wang and Chongfeng Wu
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management

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Analysts, Forecast error, Online visits, Virtual meeting, Gender differences, Information acquisition, Communication

13.

Revisiting Asymmetric Price Transmission in the US Oil-Gasoline Markets: A Multiple Threshold Error-Correction Analysis

Economic Modelling, Vol. 52, No. 583-591, 2016
Posted: 25 Sep 2022
Xiao Qin, Chunyang Zhou and Chongfeng Wu
Shanghai Jiao Tong University (SJTU), Shanghai Jiao Tong University (SJTU) and Shanghai Jiao Tong University (SJTU) - Aetna School of Management

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Asymmetry; Multiple threshold; Error-correction; Oil; Gasoline

14.

Online versus in-person visits and analysts’ forecast performance

Journal of Accounting, Auditing & Finance
Posted: 13 Aug 2021 Last Revised: 21 Feb 2023
Jun Wang and Chongfeng Wu
Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management

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Online visits; analysts; information acquisition; forecast timeliness; forecast thoroughness; forecast accuracy.

15.

Pricing Turbo Warrants under Mixed-Exponential Jump Diffusion Model

Posted: 22 Oct 2014 Last Revised: 03 Feb 2015
Jianfeng Yu, Weidong Xu and Chongfeng Wu
Zhejiang University - School of Management, Zhejiang University - School of Management and Shanghai Jiao Tong University (SJTU) - Aetna School of Management

Abstract:

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turbo warrants, mixed-exponential jump diffusion, Laplace transform, Euler method

16.

Dynamic and Asymmetric Dependences between Chinese Yuan and Other Asia-Pacific Currencies

Journal of Futures Markets, March 2013, FIRN Research Paper
Posted: 11 May 2013
Donald D. Lien, Chongfeng Wu, Li Yang and Chunyang Zhou
University of Texas at San Antonio - College of Business - Department of Economics, Shanghai Jiao Tong University (SJTU) - Aetna School of Management, UNSW Australia Business School, School of Banking and Finance and Shanghai Jiao Tong University (SJTU)

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Dynamic dependences, Currencies in Asian Pacific

17.

Down-Side Risk and the Puzzle of Implied Volatility Premium

Posted: 24 Dec 2006
Yun Feng, Jun Song and Chongfeng Wu
Shanghai Jiao Tong University (SJTU) - Aetna School of Management, Fudan University and Shanghai Jiao Tong University (SJTU) - Aetna School of Management

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Down-side Risk, Semi-Variance, Implied Volatility, Realized Volatility