Ran Zhao

San Diego State University

5500 Campanile Dr

San Diego, CA 92182

United States

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 42,622

SSRN RANKINGS

Top 42,622

in Total Papers Downloads

2,196

SSRN CITATIONS

12

CROSSREF CITATIONS

2

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

Scholarly Papers (10)

1.

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 480 (111,921)
Citation 4

Abstract:

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

2.

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 455 (119,856)
Citation 1

Abstract:

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

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 328 (170,956)

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 73 (601,706)

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 Exeter Business School - Department of Finance and San Diego State University
Downloads 194 (288,919)
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 Exeter Business School - Department of Finance, Claremont McKenna College - Robert Day School of Economics and Finance and San Diego State University
Downloads 172 (321,488)
Citation 1

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 Exeter Business School - Department of Finance and San Diego State University
Downloads 144 (372,985)
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 138 (385,529)

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 124 (418,715)
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 88 (531,639)

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