Zehua Zhang

Hunan University

Assistant Professor

Lushan Road, Yuelu District

Changsha, Hunan

China

SCHOLARLY PAPERS

5

DOWNLOADS

839

SSRN CITATIONS

0

CROSSREF CITATIONS

1

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

Scholarly Papers (5)

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1.

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

Downloads 344 (141,047)

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 Claremont Graduate University, Drucker School of Management
Downloads 290 (168,028)

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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 Claremont Graduate University, Drucker School of Management
Downloads 54 (603,029)

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cryptocurrency, realized jump, return predictability, realized volatility

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 Claremont Graduate University, Drucker School of Management
Downloads 308 (158,667)
Citation 1

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

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 Claremont Graduate University, Drucker School of Management
Downloads 122 (366,925)

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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 Claremont Graduate University, Drucker School of Management
Downloads 65 (541,351)

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

5.

Corporate Bond Illiquidity and Bond Return Synchronicity

Posted: 14 Aug 2020 Last Revised: 23 Nov 2020
Zehua Zhang and Ran Zhao
Hunan University and Claremont Graduate University, Drucker School of Management

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