Feng Zhao

University of Texas at Dallas - Jindal School of Management

Associate Professor of Finance

800 W. Campbell Rd. SM 31

Richardson, TX 75080

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 20,972

SSRN RANKINGS

Top 20,972

in Total Papers Downloads

3,517

SSRN CITATIONS
Rank 22,251

SSRN RANKINGS

Top 22,251

in Total Papers Citations

36

CROSSREF CITATIONS

8

Scholarly Papers (10)

1.

Unspanned Global Macro Risks in Bond Returns

forthcoming in Management Science
Number of pages: 51 Posted: 30 Jan 2014 Last Revised: 31 Aug 2020
Feng Zhao, Guofu Zhou and Xiaoneng Zhu
University of Texas at Dallas - Jindal School of Management, Washington University in St. Louis - John M. Olin Business School and Shanghai University of Finance and Economics
Downloads 1,151 (26,726)
Citation 2

Abstract:

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

2.
Downloads 412 ( 43,230)
Citation 6

Subprime Mortgage Defaults and Credit Default Swaps

Journal of Finance, Forthcoming
Number of pages: 53 Posted: 24 May 2010 Last Revised: 08 May 2014
The TCW Group, Inc., University of North Carolina (UNC) at Charlotte, The TCW Group, Inc., University of Texas at Dallas - Naveen Jindal School of Management and University of Texas at Dallas - Jindal School of Management
Downloads 412 (101,512)

Abstract:

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Subprime mortgage default, Credit default swaps, Securitization

3.

Can the Random Walk Model Be Beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates

Number of pages: 34 Posted: 03 Aug 2003
Yongmiao Hong, Haitao Li and Feng Zhao
Cornell University - Department of Economics, University of Michigan - Stephen M. Ross School of Business and University of Texas at Dallas - Jindal School of Management
Downloads 593 (65,876)
Citation 7

Abstract:

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density forecasts, eurodollar, GARCH, intraday exchange rate, jumps, maximum likelihood estimation, nonlinear time series, out-of-sample forecasts, regime-switching

4.

Out-of-Sample Performance of Spot Interest Rate Models

Number of pages: 38 Posted: 12 Oct 2002
Haitao Li, Yongmiao Hong and Feng Zhao
University of Michigan - Stephen M. Ross School of Business, Cornell University - Department of Economics and University of Texas at Dallas - Jindal School of Management
Downloads 537 (74,691)
Citation 3

Abstract:

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Density forecasts, Diffusion model, GARCH, Generalized spectrum, Jumps, Out-of-sample forecasts, Nonlinear time series, Parameter estimation uncertainty, Regime-Switching, Short-term interest rate, Transition density

5.

Cautious Risk-Takers: Investor Preferences and Demand for Active Management

Number of pages: 63 Posted: 21 Mar 2012 Last Revised: 15 Dec 2012
Board of Governors of the Federal Reserve System, University of Texas at Dallas and University of Texas at Dallas - Jindal School of Management
Downloads 233 (186,307)
Citation 3

Abstract:

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tail-sensitive preferences, probability weighting function, active management, mutual funds

6.

Probability Weighting Functions Implied in Options Prices

Number of pages: 62 Posted: 15 Dec 2012
Valery Polkovnichenko and Feng Zhao
Board of Governors of the Federal Reserve System and University of Texas at Dallas - Jindal School of Management
Downloads 224 (193,453)
Citation 20

Abstract:

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pricing kernel, non-parametric estimation, probability weighting, rank-dependent utility

7.

Macroeconomic Expectations in Bond Returns

Number of pages: 73 Posted: 19 Apr 2022
Yuting Gong, Feng Zhao and Xiaoneng Zhu
SILC Business School, Shanghai University, University of Texas at Dallas - Jindal School of Management and Shanghai University of Finance and Economics
Downloads 205 (210,101)

Abstract:

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8.

Economic Catastrophe Bonds: Inefficient Market or Inadequate Model?

AFA 2013 San Diego Meetings Paper
Number of pages: 17 Posted: 17 Mar 2012
Haitao Li and Feng Zhao
University of Michigan - Stephen M. Ross School of Business and University of Texas at Dallas - Jindal School of Management
Downloads 105 (356,615)
Citation 4

Abstract:

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CDX index and tranches, copula model, economic catastrophe risk, fat tail

Racial Disparities in Mortgage Lending: New Evidence based on Processing Time

Number of pages: 50 Posted: 06 Jan 2022
Bin Wei and Feng Zhao
Federal Reserve Bank of Atlanta and University of Texas at Dallas - Jindal School of Management
Downloads 48 (552,295)

Abstract:

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Processing Time, Lending Standards, Racial Disparities, Mortgage Loans

Racial Disparities in Mortgage Lending: New Evidence Based on Processing Time

FRB Atlanta Working Paper No. 2022-1
Number of pages: 50 Posted: 20 Sep 2022
Bin Wei and Feng Zhao
Federal Reserve Bank of Atlanta and University of Texas at Dallas - Jindal School of Management
Downloads 9 (847,378)

Abstract:

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processing time, lending standards, racial disparities, mortgage loans

10.

Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices

The Review of Financial Studies, Vol. 22, Issue 11, pp. 4335-4376, 2009
Posted: 08 Dec 2009
Haitao Li and Feng Zhao
University of Michigan - Stephen M. Ross School of Business and University of Texas at Dallas - Jindal School of Management

Abstract:

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