IDEAS home Printed from https://ideas.repec.org/e/pzh134.html
   My authors  Follow this author

Hao Zhou

Personal Details

First Name:Hao
Middle Name:
Last Name:Zhou
Suffix:
RePEc Short-ID:pzh134
[This author has chosen not to make the email address public]
http://sites.google.com/site/haozhouspersonalhomepage/
PBC School of Finance, Tsinghua University 43 Chengfu Road, Haidian District Beijing, 100083, P. R. China
86-10-62790655
Terminal Degree:2000 Department of Economics; Duke University (from RePEc Genealogy)

Affiliation

PBC School of Finance
Tsinghua University

Beijing, China
https://www.pbcsf.tsinghua.edu.cn/
RePEc:edi:sftsicn (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Erica X.N. Li & Tao Zha & Ji Zhang & Hao Zhou, 2020. "Stock-Bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-Monetary Policy Regime," FRB Atlanta Working Paper 2020-19, Federal Reserve Bank of Atlanta.
  2. Erica X.N. Li & Tao Zha & Ji Zhang & Hao Zhou, 2020. "Does Fiscal Policy Matter for Stock-Bond Return Correlation?," NBER Working Papers 27861, National Bureau of Economic Research, Inc.
  3. Jiangze Bian & Zhiguo He & Kelly Shue & Hao Zhou, 2018. "Leverage-Induced Fire Sales and Stock Market Crashes," NBER Working Papers 25040, National Bureau of Economic Research, Inc.
  4. Olesya V. Grishchenko & Zhaogang Song & Hao Zhou, 2015. "Term Structure of Interest Rates with Short-run and Long-run Risks," Finance and Economics Discussion Series 2015-95, Board of Governors of the Federal Reserve System (U.S.).
  5. Steven Wei Ho & Ji Zhang & Hao Zhou, 2014. "Hot money and quantitative easing: the spillover effect of U.S. monetary policy on Chinese housing, equity and loan markets," Globalization Institute Working Papers 211, Federal Reserve Bank of Dallas.
  6. Lamont K. 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 1083, Board of Governors of the Federal Reserve System (U.S.).
  7. Juan M. Londono & Hao Zhou, 2012. "Variance risk premiums and the forward premium puzzle," International Finance Discussion Papers 1068, Board of Governors of the Federal Reserve System (U.S.).
  8. Tim Bollerslev & Lai Xu & Hao Zhou, 2012. "Stock Return and Cash Flow Predictability: The Role of Volatility Risk," CREATES Research Papers 2012-51, Department of Economics and Business Economics, Aarhus University.
  9. Jianjun Miao & Bin Wei & Hao Zhou, 2012. "Ambiguity Aversion and Variance Premium," Boston University - Department of Economics - Working Papers Series WP2012-009, Boston University - Department of Economics.
  10. Philippe Mueller & Andrea Vedolin & Hao Zhou, 2011. "Short Run Bond Risk Premia," FMG Discussion Papers dp686, Financial Markets Group.
  11. Hao Wang & Hao Zhou & Yi Zhou, 2011. "Credit default swap spreads and variance risk premia," Finance and Economics Discussion Series 2011-02, Board of Governors of the Federal Reserve System (U.S.).
  12. Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," Finance and Economics Discussion Series 2011-08, Board of Governors of the Federal Reserve System (U.S.).
  13. Turan G. Bali & Hao Zhou, 2011. "Risk, uncertainty, and expected returns," Finance and Economics Discussion Series 2011-45, Board of Governors of the Federal Reserve System (U.S.).
  14. 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 2011-52, Board of Governors of the Federal Reserve System (U.S.).
  15. Xin Huang & Hao Zhou & Haibin Zhu, 2010. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," BIS Working Papers 296, Bank for International Settlements.
  16. Hao Zhou, 2010. "Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty," Finance and Economics Discussion Series 2010-14, Board of Governors of the Federal Reserve System (U.S.).
  17. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "A Framework for Assessing the Systemic Risk of Major Financial Institutions," BIS Working Papers 281, Bank for International Settlements.
  18. 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 2008-40, Board of Governors of the Federal Reserve System (U.S.).
  19. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series 2008-55, Board of Governors of the Federal Reserve System (U.S.).
  20. 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, Department of Economics and Business Economics, Aarhus University.
  21. Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, Department of Economics and Business Economics, Aarhus University.
  22. Jonathan H. 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.).
  23. 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.).
  24. 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.
  25. 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.).
  26. 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.).
  27. 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.).
  28. 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.).
  29. 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.).
  30. 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.).
  31. 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.).
  32. 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. Xin Huang & Hao Zhou & Haibin Zhu, 2012. "Systemic Risk Contributions," Journal of Financial Services Research, Springer;Western Finance Association, 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, 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, vol. 160(1), pages 102-118, January.
  4. Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Journal of Econometrics, Elsevier, vol. 160(1), pages 235-245, January.
  5. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2009. "A framework for assessing the systemic risk of major financial institutions," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2036-2049, November.
  6. Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
  7. Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2009. "Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms," The Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5099-5131, December.
  8. Wright, Jonathan H. & Zhou, Hao, 2009. "Bond risk premia and realized jump risk," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2333-2345, December.
  9. Bollerslev, Tim & Zhou, Hao, 2006. "Volatility puzzles: a simple framework for gauging return-volatility regressions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 123-150.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.
  15. Dennis Tao Yang & Hao Zhou, 1999. "Rural-urban disparity and sectoral labour allocation in China," Journal of Development Studies, Taylor & Francis Journals, vol. 35(3), pages 105-133.

Chapters

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

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  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. Number of Registered Citing Authors
  19. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  20. Euclidian citation score
  21. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 34 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (14) 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 2018-10-22 2020-10-19. Author is listed
  2. 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
  3. NEP-UPT: Utility Models and Prospect Theory (9) 2007-04-28 2008-06-27 2008-06-27 2010-05-02 2011-11-21 2012-04-10 2012-04-17 2013-03-02 2019-02-11. Author is listed
  4. 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
  5. 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
  6. 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
  7. NEP-CBA: Central Banking (4) 2009-11-21 2011-02-12 2013-08-16 2020-10-19
  8. NEP-ECM: Econometrics (4) 2000-12-19 2002-02-22 2003-09-24 2008-06-27
  9. NEP-MAC: Macroeconomics (3) 2015-01-19 2020-10-19 2021-01-25
  10. NEP-BEC: Business Economics (2) 2008-06-27 2011-02-12
  11. NEP-FIN: Finance (2) 2003-09-24 2005-05-23
  12. NEP-FOR: Forecasting (2) 2011-11-21 2012-12-06
  13. NEP-IAS: Insurance Economics (2) 2011-02-12 2013-08-16
  14. NEP-MIC: Microeconomics (2) 2011-02-05 2012-04-17
  15. NEP-PKE: Post Keynesian Economics (2) 2002-02-15 2002-02-15
  16. NEP-SEA: South East Asia (2) 2009-11-21 2010-02-05
  17. NEP-TRA: Transition Economics (2) 2015-01-19 2018-10-22
  18. NEP-CNA: China (1) 2015-01-19
  19. NEP-EEC: European Economics (1) 2013-08-16
  20. NEP-FDG: Financial Development and Growth (1) 2012-12-06
  21. NEP-IFN: International Finance (1) 2002-02-15
  22. NEP-MON: Monetary Economics (1) 2015-01-19
  23. NEP-NET: Network Economics (1) 2013-08-16
  24. NEP-ORE: Operations Research (1) 2012-12-06
  25. NEP-REG: Regulation (1) 2010-02-05
  26. NEP-SPO: Sports and Economics (1) 2013-08-16
  27. NEP-URE: Urban and Real Estate Economics (1) 2015-01-19

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Hao Zhou should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.