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Hao Zhou

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Personal Details

First Name: Hao
Middle Name:
Last Name: Zhou
Suffix:

RePEc Short-ID: pzh134

Email:
Homepage: http://sites.google.com/site/haozhouspersonalhomepage/
Postal Address: PBC School of Finance, Tsinghua University 43 Chengfu Road, Haidian District Beijing, 100083, P. R. China
Phone: 86-10-62790655

Affiliation

PBC School of Finance
Tsinghua University
Location: Beijing, China
Homepage: http://www.pbcsf.tsinghua.edu.cn/
Email:
Phone:
Fax:
Postal:
Handle: RePEc:edi:sftsicn (more details at EDIRC)

Works

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Working papers

  1. Lamont Black & Ricardo Correa & Xin Huang & Hao Zhou, 2013. "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.) 1083, Board of Governors of the Federal Reserve System (U.S.).
  2. Juan M. Londono & Hao Zhou, 2012. "Variance risk premiums and the forward premium puzzle," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1068, Board of Governors of the Federal Reserve System (U.S.).
  3. Tim Bollerslev & Lai Xu & Hao Zhou, 2012. "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers, School of Economics and Management, University of Aarhus 2012-51, School of Economics and Management, University of Aarhus.
  4. Jianjun Miao & Bin Wei & Hao Zhou, 2012. "Ambiguity Aversion and Variance Premium," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2012-009, Boston University - Department of Economics.
  5. Tim Bollerslev & James Marrone & Lai Xu & Hao Zhou, 2011. "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.) 2011-52, Board of Governors of the Federal Reserve System (U.S.).
  6. Hao Wang & Hao Zhou & Yi Zhou, 2011. "Credit default swap spreads and variance risk premia," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2011-02, Board of Governors of the Federal Reserve System (U.S.).
  7. Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2011-08, Board of Governors of the Federal Reserve System (U.S.).
  8. Turan G. Bali & Hao Zhou, 2011. "Risk, uncertainty, and expected returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2011-45, Board of Governors of the Federal Reserve System (U.S.).
  9. Philippe Mueller & Andrea Vedolin & Hao Zhou, 2011. "Short Run Bond Risk Premia," FMG Discussion Papers, Financial Markets Group dp686, Financial Markets Group.
  10. Hao Zhou, 2010. "Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2010-14, Board of Governors of the Federal Reserve System (U.S.).
  11. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2009-44, Board of Governors of the Federal Reserve System (U.S.).
  12. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "A Framework for Assessing the Systemic Risk of Major Financial Institutions," BIS Working Papers, Bank for International Settlements 281, Bank for International Settlements.
  13. Song Han & Hao Zhou, 2008. "Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2008-40, Board of Governors of the Federal Reserve System (U.S.).
  14. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2008-55, Board of Governors of the Federal Reserve System (U.S.).
  15. Jonathan Wright & Hao Zhou, 2007. "Bond risk premia and realized jump volatility," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2007-22, Board of Governors of the Federal Reserve System (U.S.).
  16. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2006-35, Board of Governors of the Federal Reserve System (U.S.).
  17. Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2007-11, Board of Governors of the Federal Reserve System (U.S.).
  18. Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2005. "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.) 2005-63, Board of Governors of the Federal Reserve System (U.S.).
  19. Haibin Zhu & Benjamin Yibin Zhang & Hao Zhou, 2005. "Explaining credit default swap spreads with equity volatility and jump risks of individual firms," BIS Working Papers, Bank for International Settlements 181, Bank for International Settlements.
  20. Tim Bollerslev & Michael Gibson & Hao Zhou, 2004. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2004-56, Board of Governors of the Federal Reserve System (U.S.).
  21. Ravi Bansal & George Tauchen & Hao Zhou, 2003. "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.) 2003-21, Board of Governors of the Federal Reserve System (U.S.).
  22. Hao Zhou, 2003. "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.) 2003-32, Board of Governors of the Federal Reserve System (U.S.).
  23. Tim Bollerslev & Hao Zhou, 2003. "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.) 2003-40, Board of Governors of the Federal Reserve System (U.S.).
  24. Hao Zhou, 2001. "Jump-diffusion term structure and Ito conditional moment generator," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-28, Board of Governors of the Federal Reserve System (U.S.).
  25. Tim Bollerslev & Hao Zhou, 2001. "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.) 2001-49, Board of Governors of the Federal Reserve System (U.S.).
  26. Ravi Bansal & Hao Zhou, 2001. "Term structure of interest rates with regime shifts," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-46, Board of Governors of the Federal Reserve System (U.S.).
  27. Hao Zhou, 2000. "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.) 2000-45, Board of Governors of the Federal Reserve System (U.S.).
  28. Yang, Dennis T. & Hao Zhou, 1997. "Rural-Urban Disparity and Sectoral Labor Allocation in China," Working Papers, Duke University, Department of Economics 97-02, Duke University, Department of Economics.

Articles

  1. Xin Huang & Hao Zhou & Haibin Zhu, 2012. "Systemic Risk Contributions," Journal of Financial Services Research, Springer, Springer, vol. 42(1), pages 55-83, October.
  2. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2012. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Journal of Financial Stability, Elsevier, Elsevier, vol. 8(3), pages 193-205.
  3. Tauchen, George & Zhou, Hao, 2011. "Realized jumps on financial markets and predicting credit spreads," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 102-118, January.
  4. Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
  5. Wright, Jonathan H. & Zhou, Hao, 2009. "Bond risk premia and realized jump risk," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(12), pages 2333-2345, December.
  6. Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2009. "Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 22(12), pages 5099-5131, December.
  7. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2009. "A framework for assessing the systemic risk of major financial institutions," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(11), pages 2036-2049, November.
  8. Bollerslev, Tim & Zhou, Hao, 2006. "Volatility puzzles: a simple framework for gauging return-volatility regressions," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 123-150.
  9. Hao Zhou & Tim Bollerslev & Michael Gibson, 2005. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Proceedings, Board of Governors of the Federal Reserve System (U.S.), Board of Governors of the Federal Reserve System (U.S.).
  10. Ravi Bansal & George Tauchen & Hao Zhou, 2004. "Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 22, pages 396-409, October.
  11. Bollerslev, Tim & Zhou, Hao, 2004. "Corrigendum to "Estimating stochastic volatility diffusion using conditional moments of integrated volatility" [J. Econom. 109 (2002) 33-65]," Journal of Econometrics, Elsevier, Elsevier, vol. 119(1), pages 221-222, March.
  12. Hao Zhou, 2003. "Itô Conditional Moment Generator and the Estimation of Short-Rate Processes," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(2), pages 250-271.
  13. Zhou, Hao, 2002. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(3), pages 333-335, July.
  14. Bollerslev, Tim & Zhou, Hao, 2002. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 109(1), pages 33-65, July.
  15. Ravi Bansal & Hao Zhou, 2002. "Term Structure of Interest Rates with Regime Shifts," Journal of Finance, American Finance Association, American Finance Association, vol. 57(5), pages 1997-2043, October.
  16. Dennis Tao Yang & Hao Zhou, 1999. "Rural-urban disparity and sectoral labour allocation in China," Journal of Development Studies, Taylor & Francis Journals, Taylor & Francis Journals, vol. 35(3), pages 105-133.

Chapters

  1. Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 36-43 Bank for International Settlements.
  2. Hao Zhou, 2011. "Comment on "Systemic Risks and the Macroeconomy"," NBER Chapters, National Bureau of Economic Research, Inc, in: Quantifying Systemic Risk, pages 149-153 National Bureau of Economic Research, Inc.

NEP Fields

28 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (8) 2009-05-02 2009-11-21 2009-11-21 2010-02-05 2011-02-05 2011-02-12 2011-03-12 2013-08-16. Author is listed
  2. NEP-BEC: Business Economics (2) 2008-06-27 2011-02-12
  3. NEP-CBA: Central Banking (3) 2009-11-21 2011-02-12 2013-08-16
  4. NEP-ECM: Econometrics (4) 2000-12-19 2002-02-22 2003-09-24 2008-06-27
  5. NEP-EEC: European Economics (1) 2013-08-16
  6. NEP-ETS: Econometric Time Series (6) 2001-02-21 2003-09-24 2003-09-24 2005-05-23 2008-06-27 2008-06-27. Author is listed
  7. NEP-FDG: Financial Development & Growth (1) 2012-12-06
  8. NEP-FIN: Finance (2) 2003-09-24 2005-05-23
  9. NEP-FMK: Financial Markets (12) 2001-01-21 2001-09-10 2003-09-24 2006-01-01 2007-04-28 2008-06-27 2011-02-05 2011-11-21 2012-04-10 2012-12-06 2013-03-02 2013-08-16. Author is listed
  10. NEP-FOR: Forecasting (2) 2011-11-21 2012-12-06
  11. NEP-IAS: Insurance Economics (2) 2011-02-12 2013-08-16
  12. NEP-IFN: International Finance (1) 2002-02-15
  13. NEP-MIC: Microeconomics (2) 2011-02-05 2012-04-17
  14. NEP-MST: Market Microstructure (6) 2007-06-23 2008-06-27 2008-06-27 2008-10-07 2009-05-02 2011-03-12. Author is listed
  15. NEP-NET: Network Economics (1) 2013-08-16
  16. NEP-ORE: Operations Research (1) 2012-12-06
  17. NEP-PKE: Post Keynesian Economics (2) 2002-02-15 2002-02-15
  18. NEP-REG: Regulation (1) 2010-02-05
  19. NEP-RMG: Risk Management (12) 2005-05-23 2006-12-16 2007-04-28 2007-06-23 2008-12-07 2009-05-02 2009-11-21 2009-11-21 2010-02-05 2011-02-05 2011-02-12 2013-08-16. Author is listed
  20. NEP-SEA: South East Asia (2) 2009-11-21 2010-02-05
  21. NEP-SPO: Sports & Economics (1) 2013-08-16
  22. NEP-UPT: Utility Models & Prospect Theory (8) 2007-04-28 2008-06-27 2008-06-27 2010-05-02 2011-11-21 2012-04-10 2012-04-17 2013-03-02. Author is listed

Statistics

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Simple Impact Factor
  2. Number of Distinct Works, Weighted by Recursive Impact Factor
  3. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  4. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  5. Number of Citations
  6. Number of Citations, Discounted by Citation Age
  7. Number of Citations, Weighted by Simple Impact Factor
  8. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  9. Number of Citations, Weighted by Recursive Impact Factor
  10. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  11. Number of Citations, Weighted by Number of Authors
  12. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  13. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  17. h-index
  18. Wu-Index

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