Ran Zhao

San Diego State University

5500 Campanile Dr

San Diego, CA 92182

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 41,319

SSRN RANKINGS

Top 41,319

in Total Papers Downloads

2,523

TOTAL CITATIONS

10

Ideas:
“  Credit derivatives, credit risk modeling, financial econometrics  ”

Scholarly Papers (10)

1.

Is Overnight Volatility Overlooked?

Number of pages: 53 Posted: 07 May 2020 Last Revised: 27 Feb 2021
Zehua Zhang and Ran Zhao
Hunan University and San Diego State University
Downloads 545 (105,739)
Citation 1

Abstract:

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Overnight volatility, Realized Volatility, Overnight Returns, Daily Realized Volatility, Overnight Jumps, Stochastic Volatility, Bayesian MCMC, Predictive Density

2.

Salience Theory and Cryptocurrency Returns

Journal of Banking and Finance, Forthcoming
Number of pages: 77 Posted: 15 Dec 2021 Last Revised: 30 Nov 2023
Charlie X. Cai and Ran Zhao
University of Liverpool Management School and San Diego State University
Downloads 542 (106,471)
Citation 4

Abstract:

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Salience Theory, Asset Pricing, Behavioral Finance, Cryptocurrency, Portfolio Choice

Good Volatility, Bad Volatility, and the Cross Section of Cryptocurrency Returns

Number of pages: 42 Posted: 01 Sep 2021 Last Revised: 02 Sep 2021
Zehua Zhang and Ran Zhao
Hunan University and San Diego State University
Downloads 366 (167,394)

Abstract:

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Cryptocurrency, realized jump, return predictability, realized volatility

Good Volatility, Bad Volatility, and the Cross Section of Cryptocurrency Returns

Number of pages: 43 Posted: 16 Sep 2022
Zehua Zhang and Ran Zhao
Hunan University and San Diego State University
Downloads 88 (600,211)

Abstract:

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cryptocurrency, realized jump, return predictability, realized volatility

4.

Voluntary Disclosures and Climate Change Uncertainty: Evidence from CDS Premiums

Number of pages: 52 Posted: 25 Jul 2022 Last Revised: 06 Mar 2023
University of California, Irvine - Paul Merage School of Business, University of Nottingham and San Diego State University
Downloads 226 (278,070)
Citation 1

Abstract:

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Climate change, voluntary disclosure, climate risk, CDS premium, informational uncertainty

5.

Credit Derivatives and Corporate Default Prediction

Number of pages: 43 Posted: 12 May 2020 Last Revised: 07 Sep 2021
Xiaoxia Ye, Fan Yu and Ran Zhao
University of Nottingham, Claremont McKenna College - Robert Day School of Economics and Finance and San Diego State University
Downloads 200 (312,093)
Citation 2

Abstract:

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Credit default swap spread, corporate default prediction, physical default, default risk premium, CDS liquidity

6.

Informational Friction, Economic Uncertainty and CDS-Bond Basis

Number of pages: 69 Posted: 19 Feb 2021 Last Revised: 13 Jan 2022
Charlie X. Cai, Xiaoxia Ye and Ran Zhao
University of Liverpool Management School, University of Nottingham and San Diego State University
Downloads 157 (386,811)
Citation 1

Abstract:

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uncertainty, informational friction, CDS, CDS-bond basis, uncertainty beta

7.

Improving Volatility Identification and Prediction of Realized Stochastic Volatility Model with Implied volatility

Number of pages: 33 Posted: 03 Jun 2019 Last Revised: 15 Jul 2020
Zehua Zhang and Ran Zhao
Hunan University and San Diego State University
Downloads 151 (399,620)

Abstract:

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Stochastic volatility, realized volatility, implied volatility, MCMC, Bayesian forecasting

8.

Bond Volatility and CDS Auctions

Number of pages: 55 Posted: 24 Dec 2019 Last Revised: 13 Jan 2020
Jennifer Mace, Fan Yu and Ran Zhao
Independent, Claremont McKenna College - Robert Day School of Economics and Finance and San Diego State University
Downloads 135 (436,900)
Citation 1

Abstract:

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bond volatility, corporate default, CDS auction, market manipulation

9.

Improving the Asymmetric Stochastic Volatility Model with Ex-post Volatility: The Identification of the Asymmetry

Number of pages: 63 Posted: 25 Mar 2020 Last Revised: 07 Oct 2022
Zehua Zhang and Ran Zhao
Hunan University and San Diego State University
Downloads 113 (501,178)

Abstract:

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Asymmetric Stochastic Volatility, Leverage Effect, Bayesian MCMC, Realized Volatility, Bipower Variation

10.

Corporate Bond Illiquidity and Bond Return Synchronicity

Posted: 14 Aug 2020 Last Revised: 23 Nov 2020
Zehua Zhang and Ran Zhao
Hunan University and San Diego State University

Abstract:

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bond illiquidity, return synchronicity, price informativeness, credit rating, institutional ownership