University of Chicago
Guanhao (Gavin) Feng is a Ph.D. candidate in Econometrics and Statistics from the University of Chicago Booth School of Business. He is going to join City University of Hong Kong College of Business as an assistant professor in summer 2017. His research interests include financial time series, empirical asset pricing, and machine learning. Gavin was born and raised in Guangzhou, a Chinese city known for its Cantonese cuisine and dim sum. In 2012, he graduated with B.S. in Honors Economics and Mathematics from Schreyer Honors College of Penn State University. In Chicago Booth, Gavin focuses on bridging the gap between cross-sectional asset pricing and statistical learning methodologies. His prior research involves financial volatility forecasting, statistical sports betting, and Bayesian predictive regressions. His work has appeared in the Journal of Risk and Journal of Quantitative Analysis in Sports.
Articles by Guanhao Feng
Does higher-frequency data always help to predict longer-horizon volatility?
This paper shows that realized conditional autocorrelation in return residuals is a strong predictor of the relative performance of different frequency models of volatility.