Yang Zhang

Northwestern University

2001 Sheridan Road

Evanston, IL 60208

United States

Durham Business School

PhD student

Mill Hill Lane

Durham, Durham DH1 3LB

United Kingdom

  • Northwestern University

  • Durham Business School

SCHOLARLY PAPERS

4

DOWNLOADS

1,446

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (4)

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1.

Investor Sentiment and Forecasting Ability: Evidence from COT Reports in Precious Metal Futures Markets

Number of pages: 41 Posted: 22 Jan 2014 Last Revised: 07 Apr 2017
Yang Zhang and Jason Laws
Northwestern University and University of Liverpool - Accounting and Finance Division
Downloads 725 (69,637)

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Investor Sentiment, Forecasting Ability, COT Reports

2.

Hansen-Scheinkman Factorization and Ross Recovery from Option Panels

Number of pages: 75 Posted: 25 May 2016 Last Revised: 31 Mar 2019
Fabio Massacci, Julian M. Williams and Yang Zhang
DISI - University of Trento, Durham Business School and Northwestern University
Downloads 336 (174,563)
Citation 4

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Option pricing, Markov chain, Non-linear programming, Stochastic Discount Factor

3.

The Information Content of Option Implied Moments and Co-Moments: Extended Abstract

Number of pages: 9 Posted: 24 Apr 2017
Julian M. Williams and Yang Zhang
Durham Business School and Northwestern University
Downloads 215 (273,731)

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Asset Pricing, Risk Neutral Moments, Correlation Risk, Higher-Order CAPM, Higher Moments and Co-Moments

4.

Option Implied Measures of Systemic Risk in the US Financial Sector: Operator and Quadrature Measures of Extreme Events

Number of pages: 43 Posted: 15 Dec 2016 Last Revised: 02 May 2017
Yang Zhang, Valentina Lagasio, Marina Brogi and Julian M. Williams
Northwestern University, Sapienza University of Rome, Sapienza University of Rome - Dipartimento Banche Assicurazioni Mercati and Durham Business School
Downloads 170 (338,549)

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Systemic Risk, Correlation Risk, CLASS Model, Contingent Pricing