Details about Hao Zhou

Access statistics for papers by Hao Zhou.

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

Short-id: pzh134

Working Papers

2020

1. Does Fiscal Policy Matter for Stock-Bond Return Correlation?
   NBER Working Papers, National Bureau of Economic Research, Inc
2. Stock-Bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-Monetary Policy Regime
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta

2018

3. Ambiguity Aversion and Variance Premium
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2012) View citations (18)
4. Leverage-Induced Fire Sales and Stock Market Crashes
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)

2015

5. 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

6. Hot money and quantitative easing: the spillover effect of U.S. monetary policy on Chinese housing, equity and loan markets
   Globalization Institute Working Papers, Federal Reserve Bank of Dallas View citations (4)

2013

7. Risk, Uncertainty, and Expected Returns
   Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum View citations (5)
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2011) View citations (1)
8. 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.) View citations (19)

2012

9. Stock Return and Cash Flow Predictability: The Role of Volatility Risk
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
10. Variance risk premiums and the forward premium puzzle
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

2011

11. Credit default swap spreads and variance risk premia
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
12. Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data
    Working Papers, Hong Kong Institute for Monetary Research View citations (3)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2008) View citations (13)
13. Short Run Bond Risk Premia
    FMG Discussion Papers, Financial Markets Group View citations (12)
14. 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.) View citations (30)
15. Systemic risk contributions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (28)
    See also Chapter (2011)
    Journal Article in Journal of Financial Services Research (2012)

2010

16. Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis
    BIS Working Papers, Bank for International Settlements View citations (32)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2009) View citations (16)
    See also Journal Article in Journal of Financial Stability (2012)
17. Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (15)

2009

18. A Framework for Assessing the Systemic Risk of Major Financial Institutions
    BIS Working Papers, Bank for International Settlements View citations (270)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2009) View citations (233)
    See also Journal Article in Journal of Banking & Finance (2009)

2008

19. Specification analysis of structural credit risk models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (17)

2007

20. Bond risk premia and realized jump volatility
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
21. 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 View citations (4)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2004) View citations (19)
    See also Journal Article in Journal of Econometrics (2011)
22. Expected Stock Returns and Variance Risk Premia
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (29)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations (8)
    See also Journal Article in Review of Financial Studies (2009)

2006

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

2005

24. Explaining credit default swap spreads with equity volatility and jump risks of individual firms
    BIS Working Papers, Bank for International Settlements View citations (35)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2005) View citations (25)
    See also Journal Article in Review of Financial Studies (2009)

2003

25. 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.) View citations (17)
    See also Journal Article in Journal of Financial Econometrics (2003)
26. 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.) View citations (11)
    See also Journal Article in Journal of Business & Economic Statistics (2004)
27. 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.) View citations (6)

2001

28. 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.) View citations (7)
    See also Journal Article in Journal of Econometrics (2002)
29. Jump-diffusion term structure and Ito conditional moment generator
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
30. Term structure of interest rates with regime shifts
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (8)

2000

31. 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.) View citations (2)

1997

32. Rural-Urban Disparity and Sectoral Labor Allocation in China
    Working Papers, Duke University, Department of Economics View citations (23)
    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 View citations (63)
   See also Working Paper (2010)
2. Systemic Risk Contributions
   Journal of Financial Services Research, 2012, 42, (1), 55-83 View citations (109)
   See also Working Paper (2011)
   Chapter (2011)

2011

3. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
   Journal of Econometrics, 2011, 160, (1), 235-245 View citations (164)
   Also in Proceedings, 2005 (2005) View citations (4)
   See also Working Paper (2007)
4. Realized jumps on financial markets and predicting credit spreads
   Journal of Econometrics, 2011, 160, (1), 102-118 View citations (77)
   See also Working Paper (2006)

2009

5. A framework for assessing the systemic risk of major financial institutions
   Journal of Banking & Finance, 2009, 33, (11), 2036-2049 View citations (262)
   See also Working Paper (2009)
6. Bond risk premia and realized jump risk
   Journal of Banking & Finance, 2009, 33, (12), 2333-2345 View citations (55)
7. Expected Stock Returns and Variance Risk Premia
   Review of Financial Studies, 2009, 22, (11), 4463-4492 View citations (618)
   See also Working Paper (2007)
8. Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms
   Review of Financial Studies, 2009, 22, (12), 5099-5131 View citations (194)
   See also Working Paper (2005)

2006

9. Volatility puzzles: a simple framework for gauging return-volatility regressions
   Journal of Econometrics, 2006, 131, (1-2), 123-150 View citations (112)

2004

10. 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 View citations (1)
11. Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle
    Journal of Business & Economic Statistics, 2004, 22, 396-409 View citations (42)
    See also Working Paper (2003)

2003

12. Itô Conditional Moment Generator and the Estimation of Short-Rate Processes
    Journal of Financial Econometrics, 2003, 1, (2), 250-271 View citations (15)
    See also Working Paper (2003)

2002

13. Estimating stochastic volatility diffusion using conditional moments of integrated volatility
    Journal of Econometrics, 2002, 109, (1), 33-65 View citations (145)
    See also Working Paper (2001)
14. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
    Journal of Business & Economic Statistics, 2002, 20, (3), 333-335

1999

15. Rural-urban disparity and sectoral labour allocation in China
    Journal of Development Studies, 1999, 35, (3), 105-133 View citations (43)
    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
2. Systemic risk contributions
   A chapter in Macroprudential regulation and policy, 2011, vol. 60, pp 36-43 View citations (37)
   See also Journal Article in Journal of Financial Services Research (2012)
   Working Paper (2011)