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Feng Zhao · Study

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Feng Zhao

12 works· latest 2017· 5 institutionscluster: provisionalORCID 0000-0002-5910-2509

h-index11

i1011

Citations913

Works here12

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Most cited in this library

Probability weighting functions implied in options prices2012 · 158 citations
Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives2006 · 155 citations
Downside Loss Aversion and Portfolio Management2006 · 125 citations
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?2007 · 108 citations
Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates2007 · 70 citations

Works

12 shown

Investor sentiment and the Chinese index futures market: Evidence from the internet search

Journal of Futures Markets·2017·3 authors

43citations

Effects of investor attention on commodity futures markets

Finance research letters·2017·3 authors

41citations

A New Approach of Stochastic Dominance for Ranking Transformations on the Discrete Random Variable

Economics·2017·2 authors·Open access

2citations

Subprime Mortgage Defaults and Credit Default Swaps

The Journal of Finance·2014·5 authors

43citations

Probability weighting functions implied in options prices

Journal of Financial Economics·2012·2 authors·Open access

158citations

Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices

Review of Financial Studies·2009·2 authors·Open access

61citations

Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates

Journal of Econometrics·2007·3 authors

70citations

Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?

The Journal of Finance·2007·3 authors

108citations

Downside Loss Aversion and Portfolio Management

Management Science·2006·2 authors·Open access

125citations

Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives

The Journal of Finance·2006·1 author

155citations

Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models

Journal of Business and Economic Statistics·2004·3 authors

67citations

Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?

RePEc: Research Papers in Economics·2004·3 authors·preprint

40citations