ZHAOGANG SONG : Citation Profile


Are you ZHAOGANG SONG?

Cornell University

4

H index

4

i10 index

197

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: 46.    Total self citations: 4 (1.99 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pso234
   Updated: 2022-11-19    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)

Vasios, Michalis (5)

Shachar, Or (5)

Weill, Pierre-Olivier (5)

Kondor, Péter (4)

Lucca, David (4)

Cenedese, Gino (4)

Timmer, Yannick (4)

Babus, Ana (4)

Cites to:

Ait-Sahalia, Yacine (13)

Bollerslev, Tim (13)

Weill, Pierre-Olivier (12)

He, Zhiguo (12)

KRISHNAMURTHY, ARVIND (11)

Andersen, Torben (11)

Vayanos, Dimitri (10)

Shephard, Neil (9)

Pedersen, Lasse (9)

Mitchell, Mark (7)

Tauchen, George (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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2022Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps. (2022). Zhang, Zhiyuan ; Liu, Guangying. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:2:p:422-451.

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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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2022Productivity, managers’ social connections and the financial crisis. (2022). HASAN, IFTEKHAR ; Manfredonia, Stefano. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:141:y:2022:i:c:s0378426622000942.

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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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2022The value of intermediation in the stock market. (2022). Franzoni, Francesco ; Egan, Mark ; di Maggio, Marco ; Dimaggio, Marco . In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:2:p:208-233.

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2022To pool or not to pool? Security design in OTC markets. (2022). Sverchkov, Ruslan ; Opp, Christian C ; Glode, Vincent. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:2:p:508-526.

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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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2022CDS market structure and bond spreads. (2022). Gunduz, Yalin ; Bilan, Andrada. In: Working Papers. RePEc:snb:snbwpa:2022-09.

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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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2022Do VIX futures contribute to the valuation of VIX options?. (2022). Wang, Tianyi ; Huang, Zhuo ; Tong, Chen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:9:p:1644-1664.

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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.
[Full Text][Citation analysis]
paper1
2011A martingale approach for testing diffusion models based on infinitesimal operator In: Journal of Econometrics.
[Full Text][Citation analysis]
article4
2013Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
2016A tale of two option markets: Pricing kernels and volatility risk In: Journal of Econometrics.
[Full Text][Citation analysis]
article45
2014A Tale of Two Option Markets: Pricing Kernels and Volatility Risk.(2014) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
paper
2017The value of trading relations in turbulent times In: Journal of Financial Economics.
[Full Text][Citation analysis]
article79
2014QE Auctions of Treasury Bonds In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper25
2015An Empirical Test of Auction Efficiency: Evidence from MBS Auctions of the Federal Reserve In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
paper3
2021Did Dealers Fail to Make Markets during the Pandemic? In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2020Asset Pricing with Cohort-Based Trading in MBS Markets In: Staff Reports.
[Full Text][Citation analysis]
paper0
2020Dealers and the Dealer of Last Resort: Evidence from MBS Markets in the COVID-19 Crisis In: Staff Reports.
[Full Text][Citation analysis]
paper0
2021Defragmenting Markets: Evidence from Agency MBS In: Staff Reports.
[Full Text][Citation analysis]
paper1
2021Defragmenting Markets: Evidence from Agency MBS.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2016The Value of Trading Relationships in Turbulent Times In: NBER Working Papers.
[Full Text][Citation analysis]
paper34

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