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Probability weighting of rare events and currency returns
Chabi-Yo, Fousseni; Song, Zhaogang - 2012 - This draft, November 15, 2012
Persistent link: https://www.econbiz.de/10009697741
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A martingale approach for testing diffusion models based on infinitesimal operator
Song, Zhaogang - In: Journal of econometrics 162 (2011) 2, pp. 189-212
Persistent link: https://www.econbiz.de/10009270656
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Testing whether the underlying continuous-time process follows a diffusion : an infinitesimal operator-based approach
Chen, Bin; Song, Zhaogang - In: Journal of econometrics 173 (2013) 1, pp. 83-107
Persistent link: https://www.econbiz.de/10009719632
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The value of trading relationships in turbulent times
Di Maggio, Marco; Kermani, Amir; Song, Zhaogang - 2016
Persistent link: https://www.econbiz.de/10011507335
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A tale of two option markets : pricing kernels and volatility risk
Song, Zhaogang; Xiu, Dacheng - 2014
Persistent link: https://www.econbiz.de/10010434036
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QE auctions of treasury bonds
Song, Zhaogang; Zhu, Haoxiang - 2014
Persistent link: https://www.econbiz.de/10010434080
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An empirical test of auction efficiency : evidence from MBS auctions of the Federal Reserve
Bonaldi, Pietro; Hortaçsu, Ali; Song, Zhaogang - 2015
Persistent link: https://www.econbiz.de/10011410094
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Term structure of interest rates with short-run and long-run risks
Grishchenko, Olesya; Song, Zhaogang; Zhou, Hao - 2015
Persistent link: https://www.econbiz.de/10011410193
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Defragmenting markets: evidence from agency MBS
Liu, Haoyang; Song, Zhaogang; Vickery, James - 2021
Agency mortgage-backed securities (MBS) issued by Fannie Mae and Freddie Mac have historically traded in separate forward markets. We study the consequences of this fragmentation, showing that market liquidity endogenously concentrated in Fannie Mae MBS, leading to higher issuance and trading...
Persistent link: https://www.econbiz.de/10012511399
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Defragmenting markets : evidence from agency MBS
Liu, Haoyang; Song, Zhaogang; Vickery, James - 2021
Persistent link: https://www.econbiz.de/10012651369