Details about Zhaogang Song

Access statistics for papers by Zhaogang Song.

Last updated 2017-08-23. Update your information in the RePEc Author Service.

Short-id: pso234

Working Papers

2021

1. Defragmenting Markets: Evidence from Agency MBS
   Staff Reports, Federal Reserve Bank of New York View citations (3)
   Also in Working Papers, Federal Reserve Bank of Philadelphia (2021) View citations (3)
2. Did Dealers Fail to Make Markets during the Pandemic?
   Liberty Street Economics, Federal Reserve Bank of New York

2020

3. Asset Pricing with Cohort-Based Trading in MBS Markets
   Staff Reports, Federal Reserve Bank of New York View citations (2)
4. Dealers and the Dealer of Last Resort: Evidence from the Agency MBS Markets in the COVID-19 Crisis
   Staff Reports, Federal Reserve Bank of New York
5. MBS Market Dysfunctions in the Time of COVID-19
   Liberty Street Economics, Federal Reserve Bank of New York View citations (2)

2016

6. The Value of Trading Relationships in Turbulent Times
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (35)

2015

7. An Empirical Test of Auction Efficiency: Evidence from MBS Auctions of the Federal Reserve
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
8. Term Structure of Interest Rates with Short-run and Long-run Risks
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

2014

9. A Tale of Two Option Markets: Pricing Kernels and Volatility Risk
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (7)
   See also Journal Article A tale of two option markets: Pricing kernels and volatility risk, Journal of Econometrics, Elsevier (2016) View citations (48) (2016)
10. QE Auctions of Treasury Bonds
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (23)

2012

11. Probability Weighting of Rare Events and Currency Returns
    Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics View citations (1)

Journal Articles

2017

1. The value of trading relations in turbulent times
   Journal of Financial Economics, 2017, 124, (2), 266-284 View citations (111)

2016

2. A tale of two option markets: Pricing kernels and volatility risk
   Journal of Econometrics, 2016, 190, (1), 176-196 View citations (48)
   See also Working Paper A Tale of Two Option Markets: Pricing Kernels and Volatility Risk, Finance and Economics Discussion Series (2014) View citations (7) (2014)

2013

3. Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach
   Journal of Econometrics, 2013, 173, (1), 83-107 View citations (2)

2011

4. A martingale approach for testing diffusion models based on infinitesimal operator
   Journal of Econometrics, 2011, 162, (2), 189-212 View citations (5)