Xiaoneng Zhu

Shanghai University of Finance and Economics

Professor

777 Guoding Road

Shanghai, AK Shanghai 200433

China

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 14,121

SSRN RANKINGS

Top 14,121

in Total Papers Downloads

3,499

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (9)

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 1,044 (20,987)
Citation 1

Abstract:

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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 917 (25,412)
Citation 2

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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 718 (35,730)
Citation 2

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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 221 (142,622)

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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 184 (169,092)

Abstract:

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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 171 (180,457)

Abstract:

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Bayesian method, predictive variance, non-negative equity premium

7.

Disaster Risk Matters Everywhere

Number of pages: 47 Posted: 05 Oct 2017 Last Revised: 19 Nov 2019
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 112 (252,730)

Abstract:

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Rare Disaster, International Stock Return, Return Predictability, Out-of-sample, Partial Least Square

8.

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 99 (275,280)

Abstract:

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

9.

Disaster Risks in Bond Returns

Number of pages: 64 Posted: 18 Nov 2019
Hai Lin, Liya Liu, Hao Su and Xiaoneng Zhu
Victoria University of Wellington - School of Economics & Finance, Shanghai University of Finance and Economics, Shanghai University of Economics and Finance and Shanghai University of Finance and Economics
Downloads 33 (472,262)

Abstract:

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disaster risks; treasury bond; risk premium; predictability