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TheEconomists

Photo of Zhaogang Song
202-452-3363
zhaogang.song@frb.gov
Education
  • Ph.D., Economics, Cornell University, 2011
  • M.A., Finance, Shandong University, 2006
  • B.S., Management Science and Engineering, Shandong University, 2002
  • Current Research Topics

  • Term Structure of Interest Rates
  • Inflation Securities, Continuous-Time Econometrics
    • Economist

      Board of Governors of the Federal Reserve System

    • 2011 - present
  • Song, Zhaogang, and Dacheng Xiu (2014). "A Tale of Two Option Markets: Pricing Kernels and Volatility Risk," Finance and Economics Discussion Series 2014-58. Board of Governors of the Federal Reserve System (U.S.).
  • Song, Zhaogang, and Haoxiang Zhu (2014). "QE Auctions of Treasury Bonds," Finance and Economics Discussion Series 2014-48. Board of Governors of the Federal Reserve System (U.S.).
  • Chen, Bin, and Zhaogang Song (2013). "Testing Whether the Underlying Continuous-Time Process Follows a Diffusion: An Infinitesimal Operator-Based Approach," Journal of Econometrics, vol. 173, no. 1, pp. 83-107.
  • Song, Zhaogang (2011). "A Martingale Approach for Testing Diffusion Models Based on Infinitesimal Operator," Journal of Econometrics, vol. 162, no. 2, pp. 189-212.
  • conference

    October 2011

    Midwest Econometrics Group (Chicago Booth)

    Two Classes of Drift Parameter Estimators via Infinitesimal Operator-Based Characterization

  • conference

    June 2011

    North American Econometric Society Summer Meeting

    Infinitesimal Operator Based-Estimation for Continuous-Time Markov Processes

  • seminar

    February 2011

    Chicago Booth

    Affine Jump Term Structure Models: Statistical Tests, Expectation Puzzles and Conditional Volatility

  • seminar

    January 2011

    Fordham University, Gabelli Graduate School of Business Administration

    Affine Jump Term Structure Models: Statistical Tests, Expectation Puzzles and Conditional Volatility

  • seminar

    January 2011

    Federal Reserve Board

    Affine Jump Term Structure Models: Statistical Tests, Expectation Puzzles and Conditional Volatility

  • seminar

    November 2010

    Johnson Graduate School of Management, Cornell

    Affine Jump Term Structure Models: Statistical Tests, Expectation Puzzles and Conditional Volatility

  • conference

    October 2010

    The New York Camp Econometrics V (Syracuse University)

    Infinitesimal Operator Based-Estimation for Continuous-Time Markov Processes

  • conference

    August 2010

    Tenth World Congress of the Econometric Society

    Two Classes of Drift Parameter Estimators via Infinitesimal Operator-Based Characterization

  • conference

    April 2010

    SETA 2010, Singapore Management University

    Infinitesimal Operator Based-Estimation for Continuous-Time Markov Processes

Awards

  • 2010

    Louis Walinsky Fund in Economics, Cornell University

    Outstanding Teaching Assistant Award

  • 2010

    Tenth World Congress of the Econometric Society

    Funding Support

  • 2010

    SETA 2010, Singapore Management University

    Subsidy for Young Economists

  • 2009

    Graduate School of Cornell Univeristy

    Academic Conference Travel Grant

  • 2006

    Cornell Univeristy

    Sage Foundation Graduate Fellowship

Conference Organization

  • August 2010

    North American Econometric Society Summer Meeting

    Session Chair

Referee

  • Journal of Econometrics
  • Journal of Financial Economics
  • Review of Derivatives Research
  • Finance Research Letters
  • International Review of Finance

Professional Affiliation

  • Econometric Society
  • Western Finance Association
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Last update: December 15, 2014