Zehua Zhang

Hunan University

Assistant Professor

Lushan Road, Yuelu District

Changsha, Hunan

China

SCHOLARLY PAPERS

8

DOWNLOADS

1,153

SSRN CITATIONS

7

CROSSREF CITATIONS

1

Ideas:
“  Bayesian Financial Time Series Modeling, Corporate Bond Volatility, Stochastic Volatility.  ”

Scholarly Papers (8)

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 464 (117,483)
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 331 (170,634)

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 75 (596,815)

Abstract:

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cryptocurrency, realized jump, return predictability, realized volatility

3.

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 (388,397)

Abstract:

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

4.

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 (535,539)

Abstract:

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

5.

ESG Performance and Corporate Bond Volatility

Number of pages: 42 Posted: 19 Jul 2023
McMaster University - Finance & Business Economics, Hunan University, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 38 (802,857)

Abstract:

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G10, G12, G30, G32, M14

6.

Volatility or Higher Moments: Which is More Important in Return Density Forecasts of Stochastic Volatility Model?

Number of pages: 22 Posted: 13 Mar 2024
Chenxing Li, Zehua Zhang and Ran Zhao
Hunan University - Center for Economics, Finance and Management Studies, Hunan University and affiliation not provided to SSRN
Downloads 15 (1,015,167)

Abstract:

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Stochastic volatility, realized volatility, implied volatility, MCMC, density forecast

7.

Illiquidity-Driven Return Synchronicity and Information Environment: Evidence from the Corporate Bond Market

Number of pages: 47 Posted: 29 May 2024
Zehua Zhang, Ran Zhao and Zhirui Song
Hunan University, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 4 (1,120,812)

Abstract:

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Bond illiquidity, return synchronicity, price informativeness

8.

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