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

8

DOWNLOADS
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Top 20,392

in Total Papers Downloads

3,090

SSRN CITATIONS
Rank 22,721

SSRN RANKINGS

Top 22,721

in Total Papers Citations

36

CROSSREF CITATIONS

8

Scholarly Papers (8)

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 1,054 (26,088)
Citation 2

Abstract:

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

2.
Downloads 399 ( 38,831)
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 399 (91,696)

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 587 (57,879)
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 534 (65,149)
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 217 (175,405)
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 200 (189,243)
Citation 20

Abstract:

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

7.

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 99 (328,543)
Citation 3

Abstract:

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

8.

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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