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

7

DOWNLOADS
Rank 24,501

SSRN RANKINGS

Top 24,501

in Total Papers Downloads

1,927

SSRN CITATIONS
Rank 30,083

SSRN RANKINGS

Top 30,083

in Total Papers Citations

14

CROSSREF CITATIONS

7

Scholarly Papers (7)

1.
Downloads 386 ( 31,885)
Citation 2

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 386 (75,716)

Abstract:

Loading...

Subprime mortgage default, Credit default swaps, Securitization

2.

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

EFA 2003 Annual Conference Paper No. 843
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 572 (47,097)
Citation 7

Abstract:

Loading...

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

3.

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 528 (52,105)
Citation 2

Abstract:

Loading...

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

4.

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

Number of pages: 63 Posted: 21 Mar 2012 Last Revised: 15 Dec 2012
Federal Reserve Board - Divison of Research and Statistics, University of Texas at Dallas and University of Texas at Dallas - Jindal School of Management
Downloads 182 (166,699)
Citation 1

Abstract:

Loading...

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

5.

Probability Weighting Functions Implied in Options Prices

Number of pages: 62 Posted: 15 Dec 2012
Valery Polkovnichenko and Feng Zhao
Federal Reserve Board - Divison of Research and Statistics and University of Texas at Dallas - Jindal School of Management
Downloads 166 (180,749)
Citation 6

Abstract:

Loading...

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

6.

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 93 (279,922)
Citation 3

Abstract:

Loading...

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

7.

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:

Loading...