Concepedia

Feng Zhao

FZ

22

Publications

1.1K

Citations

17

H-Index

2002

Active since

Affiliations

The University of Texas at Dallas(Current)

Cornell University

University of Michigan

Federal Reserve

Feng Zhao is an author at The University of Texas at Dallas specializing in finance, business, and economics.

Top concepts

FinanceBusinessEconomicsAsset PricingManagementFinancial EconomicsEngineeringFinancial CrisisLoansStatistics

Publications per year

2002–2024

22

Publications

22

Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives

Haitao Li, Feng Zhao · The Journal of Finance · 2006 · 166 citations

Empirical Finance, Volatility Modeling, Multivariate Stochastic Volatility +14

Probability weighting functions implied in options prices

Valery Polkovnichenko, Feng Zhao · Journal of Financial Economics · 2012 · 156 citations

Option Pricing, Uncertainty Quantification, Imprecise Probability +5

Downside Loss Aversion and Portfolio Management

Robert A. Jarrow, Feng Zhao · Management Science · 2006 · 124 citations

Economics, Portfolio Optimization, Asset Pricing +14

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

Robert A. Jarrow, Haitao Li, Feng Zhao · The Journal of Finance · 2007 · 114 citations

Economics, Volatility Modeling, Financial Economics +12

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

Yongmiao Hong, Haitao Li, Feng Zhao · Journal of Business and Economic Statistics · 2004 · 73 citations

Term Structure Model, Engineering, Excess Kurtosis +18

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