Ran Zhao

Claremont Graduate University, Drucker School of Management

150 E. Tenth Street

Claremont, CA 91711

United States

SCHOLARLY PAPERS

7

DOWNLOADS

205

SSRN CITATIONS

0

CROSSREF CITATIONS

0

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

Scholarly Papers (7)

1.

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
McMaster University, DeGroote School of Business and Claremont Graduate University, Drucker School of Management
Downloads 65 (372,691)

Abstract:

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

2.

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 Claremont Graduate University, Drucker School of Management
Downloads 46 (437,200)

Abstract:

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bond volatility, corporate default, CDS auction, market manipulation

3.

Is Overnight Volatility Overlooked?

Number of pages: 52 Posted: 07 May 2020 Last Revised: 17 Jul 2020
Zehua Zhang and Ran Zhao
McMaster University, DeGroote School of Business and Claremont Graduate University, Drucker School of Management
Downloads 41 (457,298)

Abstract:

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Overnight volatility, Realized Volatility, Overnight Return, Stochastic Volatility, Bayesian MCMC, Predictive Density

4.

Credit Derivatives and Corporate Default Prediction

Number of pages: 41 Posted: 12 May 2020
Xiaoxia Ye, Fan Yu and Ran Zhao
University of Liverpool Management School, Claremont McKenna College - Robert Day School of Economics and Finance and Claremont Graduate University, Drucker School of Management
Downloads 28 (518,944)

Abstract:

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Credit default swap, corporate default prediction, default risk, CDS liquidity

5.

A Revisit to the Asymmetric Stochastic Volatility Models' Correlation Structures

Number of pages: 39 Posted: 25 Mar 2020
Zehua Zhang and Ran Zhao
McMaster University, DeGroote School of Business and Claremont Graduate University, Drucker School of Management
Downloads 14 (606,611)

Abstract:

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Asymmetric Stochastic Volatility, Leverage Effect, Bayesian MCMC, Realized Volatility, Volatility Indices, Correlation Coefficient

6.

Corporate Social Responsibility and Bond Volatility

Number of pages: 67 Posted: 11 Aug 2020
McMaster University - Finance & Business Economics, McMaster University, DeGroote School of Business, Claremont Graduate University, Drucker School of Management and California State University, Long Beach - College of Business Administration
Downloads 11

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bond volatility, corporate social responsibility, debt-holders, bond illiquidity, information asymmetry

7.

Corporate Bond Illiquidity and Bond Return Synchronicity

Number of pages: 52
Zehua Zhang and Ran Zhao
McMaster University, DeGroote School of Business and Claremont Graduate University, Drucker School of Management
Downloads 0

Abstract:

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