Ran Zhao

Claremont Graduate University, Drucker School of Management

150 E. Tenth Street

Claremont, CA 91711

United States

SCHOLARLY PAPERS

10

DOWNLOADS

675

SSRN CITATIONS

0

CROSSREF CITATIONS

3

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
McMaster University, DeGroote School of Business and Claremont Graduate University, Drucker School of Management
Downloads 171 (218,670)
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.

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 92 (346,355)

Abstract:

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

3.

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 Liverpool Management School, Claremont McKenna College - Robert Day School of Economics and Finance and Claremont Graduate University, Drucker School of Management
Downloads 72 (400,290)

Abstract:

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

4.

Corporate Social Responsibility and Bond Volatility

Number of pages: 56 Posted: 11 Aug 2020 Last Revised: 22 Jun 2021
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 66 (419,453)

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Bond volatility, corporate social responsibility, overinvestment, CEO risk taking, tax avoidance

5.

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
McMaster University, DeGroote School of Business and Claremont Graduate University, Drucker School of Management
Downloads 64 (426,134)

Abstract:

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Cryptocurrency, realized jump, return predictability, realized volatility

6.

Pandemic Exposure, Credit Market Reactions, and Corporate Default Risk

Number of pages: 60 Posted: 12 Oct 2020 Last Revised: 01 Jun 2021
Claremont Colleges - Peter F. Drucker Graduate School of Management, University of Liverpool Management School and Claremont Graduate University, Drucker School of Management
Downloads 61 (436,486)

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Pandemic risk, informational friction, economic shock, credit default swap spread, default risk

7.

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 61 (436,486)
Citation 1

Abstract:

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bond volatility, corporate default, CDS auction, market manipulation

8.

Informational Friction, Economic Uncertainty and CDS-Bond Basis

Number of pages: 64 Posted: 19 Feb 2021 Last Revised: 23 Sep 2021
Charlie X. Cai, Xiaoxia Ye and Ran Zhao
University of Liverpool Management School, University of Liverpool Management School and Claremont Graduate University, Drucker School of Management
Downloads 49 (482,186)
Citation 1

Abstract:

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

9.

Improving the Asymmetric Stochastic Volatility Model with Ex-post Volatility

Number of pages: 48 Posted: 25 Mar 2020 Last Revised: 30 Sep 2021
Zehua Zhang and Ran Zhao
McMaster University, DeGroote School of Business and Claremont Graduate University, Drucker School of Management
Downloads 39 (527,233)

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
McMaster University, DeGroote School of Business and Claremont Graduate University, Drucker School of Management

Abstract:

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