777 Guoding Road
Shanghai, AK Shanghai 200433
China
Shanghai University of Finance and Economics
SSRN RANKINGS
in Total Papers Downloads
return predictability, average skewness, idiosyncratic skewness
Bond risk premia, global economic factor, real-time macroeconomic factors, return predictability, unspanning puzzle.
News; Momentum; Fundamentals; Information Environments; Future Returns
Ambiguity, bond risk premia, model uncertainty, term structure, robustness.
Bayesian method, predictive variance, non-negative equity premium
Term structures, Bond market, Arbitrage-free model, Unspanned stochastic volatility, Interest rate derivatives
Rare Disaster, International Stock Return, Return Predictability, Out-of-sample, Partial Least Square
Exchange Rates, Forecasting, Out-of-Sample, Oil, Asset Allocation
disaster risks; treasury bond; risk premium; predictability
