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Details about Hao Zhou

E-mail:
Homepage:http://sites.google.com/site/haozhouspersonalhomepage/
Phone:86-10-62790655
Postal address:PBC School of Finance, Tsinghua University 43 Chengfu Road, Haidian District Beijing, 100083, P. R. China
Workplace:PBC School of Finance, Tsinghua University, (more information at EDIRC)

Access statistics for papers by Hao Zhou.

Last updated 2014-08-07. Update your information in the RePEc Author Service.

Short-id: pzh134


Jump to Journal Articles Chapters

Working Papers

2014

  1. Hot money and quantitative easing: the spillover effect of U.S. monetary policy on Chinese housing, equity and loan markets
    Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas Downloads

2013

  1. Risk, Uncertainty, and Expected Returns
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads View citations (3)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2011) Downloads View citations (1)
  2. The systemic risk of European banks during the financial and sovereign debt crises
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (9)

2012

  1. Ambiguity Aversion and Variance Premium
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads View citations (6)
  2. Stock Return and Cash Flow Predictability: The Role of Volatility Risk
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  3. Variance risk premiums and the forward premium puzzle
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)

2011

  1. Credit default swap spreads and variance risk premia
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
  2. Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data
    Working Papers, Hong Kong Institute for Monetary Research Downloads View citations (1)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2008) Downloads View citations (8)
  3. Short Run Bond Risk Premia
    FMG Discussion Papers, Financial Markets Group Downloads View citations (10)
  4. Stock return predictability and variance risk premia: statistical inference and international evidence
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (27)
  5. Systemic risk contributions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (15)
    See also Journal Article in Journal of Financial Services Research (2012)
    Chapter (2011)

2010

  1. Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis
    BIS Working Papers, Bank for International Settlements Downloads View citations (12)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2009) Downloads View citations (15)

    See also Journal Article in Journal of Financial Stability (2012)
  2. Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (10)

2009

  1. A Framework for Assessing the Systemic Risk of Major Financial Institutions
    BIS Working Papers, Bank for International Settlements Downloads View citations (114)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2009) Downloads View citations (133)

    See also Journal Article in Journal of Banking & Finance (2009)

2008

  1. Specification analysis of structural credit risk models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (14)

2007

  1. Bond risk premia and realized jump volatility
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)
  2. Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2004) Downloads View citations (17)

    See also Journal Article in Journal of Econometrics (2011)
  3. Expected Stock Returns and Variance Risk Premia
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (19)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2006) Downloads View citations (8)

    See also Journal Article in Review of Financial Studies (2009)

2006

  1. Realized jumps on financial markets and predicting credit spreads
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2011)

2005

  1. Explaining credit default swap spreads with equity volatility and jump risks of individual firms
    BIS Working Papers, Bank for International Settlements Downloads View citations (20)
  2. Explaining credit default swap spreads with the equity volatility and jump risks of individual firms
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (22)
    See also Journal Article in Review of Financial Studies (2009)

2003

  1. Itô conditional moment generator and the estimation of short rate processes
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (8)
    See also Journal Article in Journal of Financial Econometrics (2003)
  2. Regime-shifts, risk premiums in the term structure, and the business cycle
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (11)
    See also Journal Article in Journal of Business & Economic Statistics (2004)
  3. Volatility puzzles: a unified framework for gauging return-volatility regressions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (8)

2001

  1. Estimating stochastic volatility diffusion using conditional moments of integrated volatility
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2002)
  2. Jump-diffusion term structure and Ito conditional moment generator
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)
  3. Term structure of interest rates with regime shifts
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (7)
    See also Journal Article in Journal of Finance (2002)

2000

  1. A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)

1997

  1. Rural-Urban Disparity and Sectoral Labor Allocation in China
    Working Papers, Duke University, Department of Economics View citations (22)
    See also Journal Article in Journal of Development Studies (1999)

Journal Articles

2012

  1. Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis
    Journal of Financial Stability, 2012, 8, (3), 193-205 Downloads View citations (27)
    See also Working Paper (2010)
  2. Systemic Risk Contributions
    Journal of Financial Services Research, 2012, 42, (1), 55-83 Downloads View citations (56)
    See also Chapter (2011)
    Working Paper (2011)

2011

  1. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
    Journal of Econometrics, 2011, 160, (1), 235-245 Downloads View citations (70)
    Also in Proceedings, 2005 (2005) Downloads View citations (3)

    See also Working Paper (2007)
  2. Realized jumps on financial markets and predicting credit spreads
    Journal of Econometrics, 2011, 160, (1), 102-118 Downloads View citations (35)
    See also Working Paper (2006)

2009

  1. A framework for assessing the systemic risk of major financial institutions
    Journal of Banking & Finance, 2009, 33, (11), 2036-2049 Downloads View citations (113)
    See also Working Paper (2009)
  2. Bond risk premia and realized jump risk
    Journal of Banking & Finance, 2009, 33, (12), 2333-2345 Downloads View citations (32)
  3. Expected Stock Returns and Variance Risk Premia
    Review of Financial Studies, 2009, 22, (11), 4463-4492 Downloads View citations (226)
    See also Working Paper (2007)
  4. Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
    Review of Financial Studies, 2009, 22, (12), 5099-5131 Downloads View citations (94)
    See also Working Paper (2005)

2006

  1. Volatility puzzles: a simple framework for gauging return-volatility regressions
    Journal of Econometrics, 2006, 131, (1-2), 123-150 Downloads View citations (75)

2004

  1. Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65]
    Journal of Econometrics, 2004, 119, (1), 221-222 Downloads
  2. Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle
    Journal of Business & Economic Statistics, 2004, 22, 396-409 Downloads View citations (32)
    See also Working Paper (2003)

2003

  1. Itô Conditional Moment Generator and the Estimation of Short-Rate Processes
    Journal of Financial Econometrics, 2003, 1, (2), 250-271 View citations (6)
    See also Working Paper (2003)

2002

  1. Estimating stochastic volatility diffusion using conditional moments of integrated volatility
    Journal of Econometrics, 2002, 109, (1), 33-65 Downloads View citations (117)
    See also Working Paper (2001)
  2. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
    Journal of Business & Economic Statistics, 2002, 20, (3), 333-335
  3. Term Structure of Interest Rates with Regime Shifts
    Journal of Finance, 2002, 57, (5), 1997-2043 Downloads View citations (113)
    See also Working Paper (2001)

1999

  1. Rural-urban disparity and sectoral labour allocation in China
    Journal of Development Studies, 1999, 35, (3), 105-133 Downloads View citations (20)
    See also Working Paper (1997)

Chapters

2011

  1. Comment on "Systemic Risks and the Macroeconomy"
    A chapter in Quantifying Systemic Risk, 2011, pp 149-153 Downloads
  2. Systemic risk contributions
    A chapter in Macroprudential regulation and policy, 2011, vol. 60, pp 36-43 Downloads View citations (13)
    See also Working Paper (2011)
    Journal Article in Journal of Financial Services Research (2012)
 
Page updated 2017-06-27