Feng Zhao
Feng Zhao
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Cited by
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Unspanned stochastic volatility: Evidence from hedging interest rate derivatives
H Li, F Zhao
The Journal of Finance 61 (1), 341-378, 2006
Downside loss aversion and portfolio management
R Jarrow, F Zhao
Management Science 52 (4), 558-566, 2006
Interest rate caps “smile” too! But can the LIBOR market models capture the smile?
R Jarrow, H Li, F Zhao
The Journal of Finance 62 (1), 345-382, 2007
Probability weighting functions implied in options prices
V Polkovnichenko, F Zhao
Journal of Financial Economics 107 (3), 580-609, 2013
Out-of-sample performance of discrete-time spot interest rate models
Y Hong, H Li, F Zhao
Journal of Business & Economic Statistics 22 (4), 457-473, 2004
Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
Y Hong, H Li, F Zhao
Journal of Econometrics 141 (2), 736-776, 2007
Nonparametric estimation of state-price densities implicit in interest rate cap prices
H Li, F Zhao
The Review of Financial Studies 22 (11), 4335-4376, 2009
Subprime mortgage defaults and credit default swaps
E Arentsen, DC Mauer, B Rosenlund, HH Zhang, F Zhao
The Journal of Finance 70 (2), 689-731, 2015
Investor sentiment and the Chinese index futures market: Evidence from the internet search
X Wang, Q Ye, F Zhao, Y Kou
Journal of Futures Markets 38 (4), 468-477, 2018
Cautious risk takers: Investor preferences and demand for active management
V Polkovnichenko, KD Wei, F Zhao
The Journal of Finance 74 (2), 1025-1075, 2019
Effects of investor attention on commodity futures markets
Y Kou, Q Ye, F Zhao, X Wang
Finance Research Letters 25, 190-195, 2018
Unspanned global macro risks in bond returns
F Zhao, G Zhou, X Zhu
Management Science 67 (12), 7825-7843, 2021
Interest Rate Caps ‘Smile’Too
R Jarrow, H Li, F Zhao
But Can the LIBOR, 2003
Economic catastrophe bonds: Inefficient market or inadequate model?
H Li, F Zhao
AFA 2013 San Diego Meetings Paper, 2012
Trading activity and price behavior in Chinese agricultural futures markets
X Wang, Q Ye, F Zhao
Finance Research Letters 18, 52-59, 2016
Racial disparities in mortgage lending: New evidence based on processing time
B Wei, F Zhao
The Review of Corporate Finance Studies 11 (3), 775-813, 2022
Essays on empirical term structure modeling
F Zhao
Cornell University, 2004
Unspanned Stochastic Volatility, Is It There After All? Evidence From Hedging Interest Rate Caps
H Li, F Zhao
Working Paper, Cornell University, 2003
Neglected risks in the communication of the mortgage-backed securities offering process
HH Zhang, F Zhao, X Zhao
Naveen Jindal School of Management, 1-53, 2020
Neglected Risks in the Communication of Residential Mortgage‐Backed Securities Offerings
HH Zhang, F Zhao, X Zhao
The Journal of Finance 79 (1), 129-172, 2024
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