Xiaoneng Zhu

Shanghai University of Finance and Economics

Professor

777 Guoding Road

Shanghai, AK Shanghai 200433

China

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 15,189

SSRN RANKINGS

Top 15,189

in Total Papers Downloads

3,086

CITATIONS

0

Scholarly Papers (8)

1.

Average Skewness Matters!

Swiss Finance Institute Research Paper No. 15-47
Number of pages: 49 Posted: 12 Nov 2015 Last Revised: 07 Dec 2018
Eric Jondeau, Qunzi Zhang and Xiaoneng Zhu
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Shandong University and Shanghai University of Finance and Economics
Downloads 962 (22,320)

Abstract:

Loading...

return predictability, average skewness, idiosyncratic skewness

2.

Unspanned Global Macro Risks in Bond Returns

Number of pages: 38 Posted: 30 Jan 2014 Last Revised: 03 Aug 2017
Guofu Zhou and Xiaoneng Zhu
Washington University in St. Louis - John M. Olin Business School and Shanghai University of Finance and Economics
Downloads 879 (25,501)

Abstract:

Loading...

Bond risk premia, global economic factor, real-time macroeconomic factors, return predictability, unspanning puzzle.

3.

The Momentum of News

Number of pages: 55 Posted: 08 Nov 2018
Ying Wang, Bohui Zhang and Xiaoneng Zhu
Central University of Finance and Economics (CUFE), The Chinese University of Hong Kong, Shenzhen and Shanghai University of Finance and Economics
Downloads 562 (46,662)

Abstract:

Loading...

News; Momentum; Fundamentals; Information Environments; Future Returns

4.

Model Uncertainty and Term Structure Anomalies

Number of pages: 50 Posted: 12 Mar 2015 Last Revised: 19 Nov 2015
Ting Wu and Xiaoneng Zhu
Shanghai University of Finance and Economics and Shanghai University of Finance and Economics
Downloads 210 (141,887)

Abstract:

Loading...

Ambiguity, bond risk premia, model uncertainty, term structure, robustness.

5.

An Arbitrage-Free Nelson-Siegel Model with Unspanned Stochastic Volatility for the Pricing of Interest Rate Derivatives

Number of pages: 46 Posted: 14 Oct 2014
Rui Chen, Ke Du and Xiaoneng Zhu
Central University of Finance and Economics (CUFE), Institute of Financial Studies (IFS), Southwestern University of Finance and Economics (SWUFE) and Shanghai University of Finance and Economics
Downloads 180 (163,549)

Abstract:

Loading...

Term structures, Bond market, Arbitrage-free model, Unspanned stochastic volatility, Interest rate derivatives

6.

When Are Stocks Less Volatile in the Long Run?

Swiss Finance Institute Research Paper No. 18-07
Number of pages: 49 Posted: 30 Jan 2018 Last Revised: 09 Feb 2018
Eric Jondeau, Qunzi Zhang and Xiaoneng Zhu
University of Lausanne - Faculty of Business and Economics (HEC Lausanne), Shandong University and Shanghai University of Finance and Economics
Downloads 142 (200,020)

Abstract:

Loading...

Bayesian method, predictive variance, non-negative equity premium

7.

Oil Strikes Back: Trend Factors and Exchange Rates

Number of pages: 47 Posted: 16 Dec 2018
Liyan Han, Yang Xu, Qunzi Zhang and Xiaoneng Zhu
Beihang University (BUAA) - School of Economic and Management Science, Beijing University of Technology, Shandong University and Shanghai University of Finance and Economics
Downloads 76 (307,643)

Abstract:

Loading...

Exchange Rates, Forecasting, Out-of-Sample, Oil, Asset Allocation

8.

The World Price of Rare Disaster

Number of pages: 42 Posted: 05 Oct 2017 Last Revised: 12 Jul 2018
Jian Chen, Jiaquan Yao, Qunzi Zhang and Xiaoneng Zhu
Xiamen University - School of Economics, Jinan University - Management School, Shandong University and Shanghai University of Finance and Economics
Downloads 75 (309,909)

Abstract:

Loading...

International Equity Market, Rare Disaster, Return Predictability, Out-of-Sample