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Information about:
Hao Zhou

Personal Details | Affiliation | Works
This is information that was supplied by Hao Zhou in registering through RePEc. If you are Hao Zhou , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

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

RePEc Short-ID: pzh134

Email:
Homepage: http://www.federalreserve.gov/research/staff/zhouhaox.htm
Postal Address: 20th Street and Constitution Avenue, NW, Washington, DC 20551
Phone: 202-452-3360

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Jonathan Wright & Hao Zhou, 2007. "Bond risk premia and realized jump volatility," Finance and Economics Discussion Series 2007-22, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  2. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, School of Economics and Management, University of Aarhus. [Downloadable!]

  3. Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, School of Economics and Management, University of Aarhus. [Downloadable!]

  4. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series 2006-35, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  5. Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  6. 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 181, Bank for International Settlements. [Downloadable!]

  7. 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 2005-63, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  8. 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 2004-56, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  9. Hao Zhou, 2003. "Itô conditional moment generator and the estimation of short rate processes," Finance and Economics Discussion Series 2003-32, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Published as:

  10. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  11. Ravi Bansal & George Tauchen & Hao Zhou, 2003. "Regime-shifts, risk premiums in the term structure, and the business cycle," Finance and Economics Discussion Series 2003-21, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Published as:

  12. Tim Bollerslev & Hao Zhou, 2001. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Finance and Economics Discussion Series 2001-49, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Published as:

  13. Ravi Bansal & Hao Zhou, 2001. "Term structure of interest rates with regime shifts," Finance and Economics Discussion Series 2001-46, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Published as:

  14. Hao Zhou, 2001. "Jump-diffusion term structure and Ito conditional moment generator," Finance and Economics Discussion Series 2001-28, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  15. 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 2000-45, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  16. Yang, Dennis T. & Hao Zhou, 1997. "Rural-Urban Disparity and Sectoral Labor Allocation in China," Working Papers 97-02, Duke University, Department of Economics.

Articles

  1. Bollerslev, Tim & Zhou, Hao, 2006. "Volatility puzzles: a simple framework for gauging return-volatility regressions," Journal of Econometrics, Elsevier, vol. 127(1-2), pages 123-150. [Downloadable!] (restricted)

  2. 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, vol. 119(1), pages 221-222, March. [Downloadable!] (restricted)

  3. 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, vol. 22, pages 396-409, October. [Downloadable!] (restricted)
    Other versions:

  4. Hao Zhou, 2003. "Itô Conditional Moment Generator and the Estimation of Short-Rate Processes," Journal of Financial Econometrics, Oxford University Press, vol. 1(2), pages 250-271.
    Other versions:

  5. Zhou, Hao, 2002. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 333-335, July.

  6. Ravi Bansal & Hao Zhou, 2002. "Term Structure of Interest Rates with Regime Shifts," Journal of Finance, American Finance Association, vol. 57(5), pages 1997-2043, October. [Downloadable!] (restricted)
    Other versions:

  7. Bollerslev, Tim & Zhou, Hao, 2002. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Journal of Econometrics, Elsevier, vol. 109(1), pages 33-65, July. [Downloadable!] (restricted)
    Other versions:

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (4) 2000-12-19 2002-02-22 2003-09-24 2008-06-27 Author is listed
  2. 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
  3. NEP-FIN: Finance (2) 2003-09-24 2005-05-23
  4. NEP-FMK: Financial Markets (6) 2001-01-21 2001-09-10 2003-09-24 2006-01-01 2007-04-28 2008-06-27 Author is listed
  5. NEP-IFN: International Finance (1) 2002-02-15
  6. NEP-MST: Market Microstructure (3) 2007-06-23 2008-06-27 2008-06-27 Author is listed
  7. NEP-PKE: Post Keynesian Economics (2) 2002-02-15 2002-02-15
  8. NEP-RMG: Risk Management (4) 2005-05-23 2006-12-16 2007-04-28 2007-06-23 Author is listed
  9. NEP-UPT: Utility Models & Prospect Theory (3) 2007-04-28 2008-06-27 2008-06-27 Author is listed
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This page was last updated on 2008-7-6.

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