ZHAOGANG SONG : Citation Profile


Are you ZHAOGANG SONG?

Cornell University

4

H index

4

i10 index

190

Citations

RESEARCH PRODUCTION:

4

Articles

12

Papers

RESEARCH ACTIVITY:

   10 years (2011 - 2021). See details.
   Cites by year: 19
   Journals where ZHAOGANG SONG has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 4 (2.06 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pso234
   Updated: 2022-10-01    RAS profile: 2017-08-23    
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Relations with other researchers


Works with:

Liu, Haoyang (5)

Sarkar, Asani (3)

Vickery, James (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with ZHAOGANG SONG.

Is cited by:

Boyarchenko, Nina (8)

Pelizzon, Loriana (8)

Hoffmann, Peter (5)

Shachar, Or (5)

Vasios, Michalis (5)

Weill, Pierre-Olivier (5)

Hau, Harald (4)

Cenedese, Gino (4)

Langfield, Sam (4)

Kondor, Péter (4)

Timmer, Yannick (4)

Cites to:

Bollerslev, Tim (13)

Ait-Sahalia, Yacine (13)

Weill, Pierre-Olivier (12)

He, Zhiguo (12)

Andersen, Torben (11)

KRISHNAMURTHY, ARVIND (11)

Vayanos, Dimitri (10)

Pedersen, Lasse (9)

Shephard, Neil (9)

Barndorff-Nielsen, Ole (7)

Christoffersen, Peter (7)

Main data


Where ZHAOGANG SONG has published?


Journals with more than one article published# docs
Journal of Econometrics3

Working Papers Series with more than one paper published# docs
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)4
Staff Reports / Federal Reserve Bank of New York3
Liberty Street Economics / Federal Reserve Bank of New York2

Recent works citing ZHAOGANG SONG (2022 and 2021)


YearTitle of citing document
2022.

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2021Loss Sharing in Central Clearinghouses: Winners and Losers. (2021). Sherman, Mila Getmansky ; Pelizzon, Loriana ; Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:066.

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2021Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options. (2021). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2101.00299.

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2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302.

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2022Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2022Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2021Using abnormal analyst coverage to unlock new evidence on stock price crash risk. (2021). faff, robert ; Hoang, Khoa ; Chowdhury, Hasibul. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1557-1588.

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2021Inventory Management, Dealers Connections, and Prices in Over?the?Counter Markets. (2021). Foucault, Thierry ; Colliard, Jean-Edouard ; Hoffmann, Peter. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2199-2247.

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2022Clients Connections: Measuring the Role of Private Information in Decentralized Markets. (2022). Pinter, Gabor ; Kondor, Peter. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:505-544.

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2022Informed trading and the dynamics of client-dealer connections in corporate bond markets. (2020). Pinter, Gabor ; Czech, Robert. In: Bank of England working papers. RePEc:boe:boeewp:0895.

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2022Comparing search and intermediation frictions across markets. (2022). Üslü, Semih ; Pinter, Gabor. In: Bank of England working papers. RePEc:boe:boeewp:0974.

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2021A Network Analysis of the JGB Repo Market. (2021). Yasufumi, Gemma ; Yujiro, Matsui ; Takumi, Horikawa. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp21e14.

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2021Bank balance sheet constraints and bond liquidity. (2021). Ivashina, Victoria ; Breckenfelder, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20212589.

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2021Sieve estimation of option-implied state price density. (2021). Qu, Zhongjun ; Lu, Junwen. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:88-112.

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2021A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398.

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2021Option valuation under no-arbitrage constraints with neural networks. (2021). Zhai, Jia ; Liu, Xiaoquan ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:361-374.

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2021Risk premia in electricity derivatives markets. (2021). Leccadito, Arturo ; Algieri, Bernardina ; Tunaru, Diana. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100205x.

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2021The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China. (2021). Fang, YI ; Xu, Xuchuan ; Li, Xiao-Lin ; Si, Deng-Kui. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003832.

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2021Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies. (2021). Chen, Jinyu ; Zhu, Xuehong ; Liao, Jianhui. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001563.

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2021Pricing kernel monotonicity and term structure: Evidence from China. (2021). Guo, Shuxin ; Liu, Qiang ; Jiao, Yuhan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302983.

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2022OTC Microstructure in a period of stress: A Multi-layered network approach. (2022). Vasios, Michalis ; Joseph, Andreas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426621003514.

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2021The electronic evolution of corporate bond dealers. (2021). Zhou, Xing Alex ; O'Hara, Maureen. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:368-390.

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2021Reciprocal lending relationships in shadow banking. (2021). Li, YI. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:600-619.

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2021Network structure and pricing in the FX market. (2021). Levich, Richard M ; Hasbrouck, Joel. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:705-729.

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2021Asset mispricing. (2021). Petrasek, Lubomir ; Longstaff, Francis A ; Lewis, Kurt F. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:3:p:981-1006.

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2021Anatomy of a liquidity crisis: Corporate bonds in the COVID-19 crisis. (2021). Zhou, Xing ; O'Hara, Maureen. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:46-68.

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2021The Federal Reserve’s Market Functioning Purchases. (2021). Fleming, Michael ; Schurmeier, Jake ; Podjasek, Rich ; Liu, Haoyang. In: Staff Reports. RePEc:fip:fednsr:93540.

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2022Secondary Market Transparency and Corporate Bond Issuing Costs. (2022). Martin, Spencer J ; Comerton-Forde, Carole ; Brugler, James. In: Review of Finance. RePEc:oup:revfin:v:26:y:2022:i:1:p:43-77..

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2021Inter-Dealer Trades in OTC Markets - Who Buys and Who Sells?. (). Tse, Chung-Yi ; Xu, Yujing. In: Review of Economic Dynamics. RePEc:red:issued:18-336.

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2021Productivity, managers social connections and the Great Recession. (2021). Manfredonia, Stefano ; Hasan, Iftekhar. In: CEIS Research Paper. RePEc:rtv:ceisrp:507.

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2021Essays on asset pricing, investor preferences, and derivative markets. (2021). Koeter, Joren. In: Other publications TiSEM. RePEc:tiu:tiutis:9e88a66e-b972-4af3-91d6-0d2e4a4a4873.

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2022Modeling Distress in US High Yield Mutual Funds Before and During the Covid-19 Pandemic. (2022). Katarzyna, Perez ; Richard, Van Horne ; Ukasz, Szymczyk. In: Folia Oeconomica Stetinensia. RePEc:vrs:foeste:v:22:y:2022:i:1:p:263-286:n:9.

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2022Effects of the bank levy introduction on the interbank market. (2022). Puawska, Karolina. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:844-864.

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2021Inferring financial bubbles from option data. (2021). Jarrow, Robert ; Kwok, Simon S. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:7:p:1013-1046.

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2021Pricing VIX options with realized volatility. (2021). Huang, Zhuo ; Tong, Chen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1180-1200.

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2022Option prices for risk?neutral density estimation using nonparametric methods through big data and large?scale problems. (2022). , Antonio ; Antonio, ; Monteiro, Ana M. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:1:p:152-171.

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2021Lighting up the dark: Liquidity in the German corporate bond market. (2021). Subrahmanyam, Marti G ; Schneider, Michael ; Pelizzon, Loriana ; Gunduz, Yalin. In: Discussion Papers. RePEc:zbw:bubdps:212021.

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2022CDS market structure and bond spreads. (2022). Gunduz, Yalin ; Bilan, Andrada. In: Discussion Papers. RePEc:zbw:bubdps:242022.

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2021High-dimensional statistical learning techniques for time-varying limit order book networks. (2021). Schienle, Melanie ; Hardle, Wolfgang ; Chen, Shi. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021015.

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2021OTC discount. (2020). Monch, Emanuel ; de Roure, Calebe ; Schneider, Michael ; Pelizzon, Loriana. In: SAFE Working Paper Series. RePEc:zbw:safewp:298.

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Works by ZHAOGANG SONG:


YearTitleTypeCited
2012Probability Weighting of Rare Events and Currency Returns In: Working Paper Series.
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paper0
2011A martingale approach for testing diffusion models based on infinitesimal operator In: Journal of Econometrics.
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article3
2013Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach In: Journal of Econometrics.
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article2
2016A tale of two option markets: Pricing kernels and volatility risk In: Journal of Econometrics.
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article44
2014A Tale of Two Option Markets: Pricing Kernels and Volatility Risk.(2014) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 44
paper
2017The value of trading relations in turbulent times In: Journal of Financial Economics.
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article75
2014QE Auctions of Treasury Bonds In: Finance and Economics Discussion Series.
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paper25
2015An Empirical Test of Auction Efficiency: Evidence from MBS Auctions of the Federal Reserve In: Finance and Economics Discussion Series.
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paper1
2015Term Structure of Interest Rates with Short-run and Long-run Risks In: Finance and Economics Discussion Series.
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paper2
2020MBS Market Dysfunctions in the Time of COVID-19 In: Liberty Street Economics.
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paper3
2021Did Dealers Fail to Make Markets during the Pandemic? In: Liberty Street Economics.
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paper0
2020Asset Pricing with Cohort-Based Trading in MBS Markets In: Staff Reports.
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paper0
2020Dealers and the Dealer of Last Resort: Evidence from MBS Markets in the COVID-19 Crisis In: Staff Reports.
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paper0
2021Defragmenting Markets: Evidence from Agency MBS In: Staff Reports.
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paper1
2021Defragmenting Markets: Evidence from Agency MBS.(2021) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2016The Value of Trading Relationships in Turbulent Times In: NBER Working Papers.
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paper34

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