.
Zhou, Hao's
Scholarly Papers
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column.
Aggregate Statistics
Total 19,400
Total Citations 702
1.
Expected Stock Returns and Variance Risk Premia
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Bollerslev, Tim Duke University - Finance
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
21 Sep 06
Last Revised:
17 Sep 09
2,605(1,770)
119
Bollerslev, Tim Duke University - Finance
Zhou, Hao PBC School of Finance, Tsinghua University
245
119
Return Predictability, Implied Variance, Realized Variance, Equity Risk Premium, Variance Risk Premium, Time-Varying Risk Aversion
Bollerslev, Tim Duke University - Finance
Tauchen, George Duke University - Economics Group
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
21 Sep 06
Last Revised:
14 Dec 08
2,360
119
Equilibrium asset pricing, stochastic volatility, risk neutral expectation, return predictability, option implied volatility, realized volatility, variance risk premium
2.
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
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Bollerslev, Tim Duke University - Finance
Gibson, Michael S. Federal Reserve Board
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
25 Jan 05
Last Revised:
25 Sep 09
2,364(2,115)
68
Bollerslev, Tim Duke University - Finance
Gibson, Michael S. Federal Reserve Board
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
23 Jun 08
Last Revised:
25 Sep 09
262
68
Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability
Bollerslev, Tim Duke University - Finance
Gibson, Michael S. Federal Reserve Board
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
25 Jan 05
Last Revised:
13 Mar 09
2,102
68
Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability
3.
Zhang, Benjamin Yi-Bin UBS AG
Zhou, Hao PBC School of Finance, Tsinghua University
Zhu, Haibin Bank for International Settlements (BIS)
Posted:
27 Feb 06
Last Revised:
25 Sep 08
1,669(3,847)
77
Credit Default Swap, Credit Risk Premium, Stochastic Volatility, Jumps, Structural Model, Nonlinear Effect, High-Frequency Data
4.
Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty
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Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
07 May 09
Last Revised:
29 Sep 12
1,504(4,651)
17
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
14 Mar 11
Last Revised:
29 Sep 12
171
17
Short-run predictability, variance premium dynamics, equity premium puzzle, bond risk premia, credit spread puzzle, macroeconomic uncertainty, recursive preference.
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
07 May 09
Last Revised:
24 Aug 12
1,333
17
Macroeconomic uncertainty, asset return predictability, variance risk premia, recursive utility function.
5.
A Framework for Assessing the Systemic Risk of Major Financial Institutions
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Huang, Xin University of Oklahoma
Zhou, Hao PBC School of Finance, Tsinghua University
Zhu, Haibin Bank for International Settlements (BIS)
Posted:
01 Feb 09
Last Revised:
19 Nov 09
1,293(6,032)
48
Huang, Xin University of Oklahoma
Zhou, Hao PBC School of Finance, Tsinghua University
Zhu, Haibin Bank for International Settlements (BIS)
Posted:
01 Feb 09
Last Revised:
19 Nov 09
1,293
48
Systemic risk, stress testing, portfolio credit risk, credit default swap, high-frequency data
Huang, Xin University of Oklahoma
Zhou, Hao PBC School of Finance, Tsinghua University
Zhu, Haibin Bank for International Settlements (BIS)
0
Stress testing, systemic risk, insurance premium, default probability, credit default swap spread, high-frequency data, asset return correlation
6.
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
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Bollerslev, Tim Duke University - Finance
Marrone, James Government of the United States of America - Division of Research and Statistics
Xu, Lai Duke University
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
04 Mar 11
Last Revised:
08 Aug 12
950(10,023)
9
Bollerslev, Tim Duke University - Finance
Marrone, James Government of the United States of America - Division of Research and Statistics
Xu, Lai Duke University
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
17 Mar 12
Last Revised:
08 Aug 12
246
9
variance risk premium, return predictability, over-lapping return regressions, international stock market returns, global variance risk
Bollerslev, Tim Duke University - Finance
Marrone, James Government of the United States of America - Division of Research and Statistics
Xu, Lai Duke University - Department of Economics
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
04 Mar 11
Last Revised:
08 Aug 12
704
9
Variance risk premium, return predictability, over-lapping return regressions, international stock market returns, global variance risk
7.
Risk, Uncertainty, and Expected Returns
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Bali, Turan G. Georgetown University - Robert Emmett McDonough School of Business
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
30 Jul 11
Last Revised:
11 Jan 13
821(12,609)
39
Bali, Turan G. Georgetown University - Robert Emmett McDonough School of Business
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
24 Nov 12
Last Revised:
11 Jan 13
412
39
Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model.
Bali, Turan G. Georgetown University - Robert Emmett McDonough School of Business
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
30 Jul 11
Last Revised:
11 Jan 13
409
39
Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model.
8.
Tauchen, George Duke University - Economics Group
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
23 Mar 07
Last Revised:
25 Sep 08
802(13,048)
27
Jump-Diffusion Process, Realized Variance, Bi-Power Variation, Realized Jumps, Jump Volatility, Credit Risk Premium.
9.
Credit Default Swap Spreads and Variance Risk Premia
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Wang, Hao Tsinghua University
Zhou, Hao PBC School of Finance, Tsinghua University
Zhou, Yi Florida State University, College of Business, Department of Finance
Posted:
25 Oct 09
Last Revised:
11 Nov 11
752(14,413)
8
Zhou, Hao PBC School of Finance, Tsinghua University
hao, wang affiliation not provided to SSRN
Yi, Zhou affiliation not provided to SSRN
43
8
Variance risk premia, credit default swap spreads, option-implied variance, expected variance, realized variance
Wang, Hao Tsinghua University
Zhou, Hao PBC School of Finance, Tsinghua University
Zhou, Yi Florida State University, College of Business, Department of Finance
Posted:
11 Mar 10
Last Revised:
05 Sep 10
270
8
Variance Risk Premia, Credit Default Swap Spreads, Option-Implied Variance, Expected Variance, Realized Variance
Wang, Hao Tsinghua University
Zhou, Hao PBC School of Finance, Tsinghua University
Zhou, Yi Florida State University, College of Business, Department of Finance
Posted:
25 Oct 09
Last Revised:
12 Jun 11
439
8
variance risk premia, credit default swap spreads, option-implied variance, expected variance, realized variance
10.
Huang, Jing-Zhi Pennsylvania State University - University Park - Department of Finance
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
13 Mar 08
Last Revised:
22 Jul 09
650(17,745)
14
Structural Credit Risk Models, Credit Default Swap Spreads, High Frequency Equity Volatility, Consistent Specification Analysis, Pricing Error Diagnostics
11.
Mueller, Philippe London School of Economics & Political Science (LSE) - Department of Finance
Vedolin, Andrea London School of Economics and Political Science
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
27 May 11
Last Revised:
07 Aug 12
576(21,050)
6
12.
Zhou, Hao PBC School of Finance, Tsinghua University
Bollerslev, Tim Duke University - Finance
557(22,026)
52
Stochastic volatility diffusions, integrated volatility, quadratic variation, realized volatility, high-frequency data, foreign exchange rates, GMM Estimation
13.
Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regression
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Zhou, Hao PBC School of Finance, Tsinghua University
Bollerslev, Tim Duke University - Finance
Posted:
18 Sep 03
Last Revised:
17 Jul 07
550(22,371)
24
Zhou, Hao PBC School of Finance, Tsinghua University
Bollerslev, Tim Duke University - Finance
0
Leverage Asymmetry, Volatility Feedback, Implied Volatility Forecast, Realized Volatility, Stochastic Volatility Model, Instrument Variable
Zhou, Hao PBC School of Finance, Tsinghua University
Bollerslev, Tim Duke University - Finance
550
24
Leverage Asymmetry, Volatility Feedback,Implied Volatility Forecast, Realized Volatility, Stochastic Volatility Model, Instrument Variable
14.
Huang, Xin University of Oklahoma
Zhou, Hao PBC School of Finance, Tsinghua University
Zhu, Haibin Bank for International Settlements (BIS)
Posted:
29 Jul 10
Last Revised:
29 Oct 11
529(23,641)
16
Distress Insurance Premium, Systemic Risk, Macroprudential Regulation, Large Complex Financial Institution, Too-Big-to-Fail, Too-Connected-to-Fail.
15.
Huang, Xin University of Oklahoma
Zhou, Hao PBC School of Finance, Tsinghua University
Zhu, Haibin Bank for International Settlements (BIS)
Posted:
23 Aug 09
Last Revised:
29 Oct 11
457(28,648)
14
Systemic risk, Macroprudential regulation, Portfolio distress loss, Credit default swap, Dynamic conditional correlation
16.
Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data
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Han, Song Federal Reserve Board - Division of Research and Statistics
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
24 Nov 06
Last Revised:
30 Jan 11
421(31,843)
12
Han, Song Federal Reserve Board - Division of Research and Statistics
Zhou, Hao PBC School of Finance, Tsinghua University
41
12
Corporate Bond Yield Spreads, Credit Default Swaps, Liquidity, CDS-Bond Basis
Han, Song Federal Reserve Board - Division of Research and Statistics
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
24 Nov 06
Last Revised:
06 Apr 08
380
12
Corporate bond yields, credit default swaps, liquidity
17.
Wright, Jonathan H. Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
20 Mar 08
Last Revised:
27 Jul 09
412(32,821)
16
Unspanned Stochastic Volatility, Regime-Shift Term Structure, Bond Return Predictability, Expectations Hypothesis, Countercyclical Risk Premia, Realized Jump Risk
18.
Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle
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Bansal, Ravi Duke University and NBER
Tauchen, George Duke University - Economics Group
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
26 Jun 03
Last Revised:
18 Jul 08
399(34,106)
28
Bansal, Ravi Duke University and NBER
Tauchen, George Duke University - Economics Group
Zhou, Hao PBC School of Finance, Tsinghua University
0
Term Structure of Interest Rates, Yield Curve, Regime Switching, Risk Premium, Expectation Hypothesis, Business Cycle, Efficient Method of Moments, EMM
Bansal, Ravi Duke University and NBER
Tauchen, George Duke University - Economics Group
Zhou, Hao PBC School of Finance, Tsinghua University
399
28
Term Structure of Interest Rates, Yield Curve, Regime Switching, Risk Premium, Expectation Hypothesis, Business Cycle, Efficient Method of Moments, EMM
19.
Zhou, Hao PBC School of Finance, Tsinghua University
388(35,315)
5
Monte Carlo Study, Efficient Method of Moments, Maximum Likelihood Estimation, Square-Root Diffusion, Quasi-Maximum Likelihood, Generalized Method of Moments
20.
Term Structure of Interest Rates with Regime Shifts
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Bansal, Ravi Duke University and NBER
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
14 Dec 01
Last Revised:
18 Jul 08
358(38,945)
99
Bansal, Ravi Duke University and NBER
Zhou, Hao PBC School of Finance, Tsinghua University
0
Zhou, Hao PBC School of Finance, Tsinghua University
Bansal, Ravi Duke University and NBER
358
99
Regime switching, term structure of interest rate, reprojection, efficient method of moments
21.
Zhou, Hao PBC School of Finance, Tsinghua University
358(38,945)
4
Jump-diffusion, term structure of interest rates, conditional moment generator, multivariate weighted nonlinear least square, market price of risk
22.
Bollerslev, Tim Duke University - Finance
Xu, Lai Duke University - Department of Economics
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
18 Nov 12
Last Revised:
20 Nov 12
305(47,158)
Return and dividend growth predictability, variance risk premium, expected variation, long-run risk, equilibrium pricing, stochastic volatility and uncertainty, reduced form VAR, structural factor GARCH
23.
Variance Risk Premiums and the Forward Premium Puzzle
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Londono, Juan M. Federal Reserve Board of Governors
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
22 Aug 12
Last Revised:
30 Mar 13
269(54,500)
Londono, Juan M. Federal Reserve Board of Governors
Zhou, Hao PBC School of Finance, Tsinghua University
50
forward premium puzzle, currency variance risk premium, stock variance, risk premium, unspanned currency uncertainty, forex return predictability
Londono, Juan M. Federal Reserve Board of Governors
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
22 Aug 12
Last Revised:
30 Mar 13
219
Forex return predictability, world currency variance risk premium, stock variance risk premium, forward premium puzzle
24.
Ambiguity Aversion and Variance Premium
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Miao, Jianjun Boston University - Department of Economics
Wei, Bin Federal Reserve Board
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
17 Mar 12
Last Revised:
16 May 12
226(65,883)
Miao, Jianjun Boston University - Department of Economics
Wei, Bin Federal Reserve Board
Zhou, Hao PBC School of Finance, Tsinghua University
106
Ambiguity aversion, learning, variance premium, regime-shift, belief distortion
Miao, Jianjun Boston University - Department of Economics
Wei, Bin Federal Reserve Board
Zhou, Hao PBC School of Finance, Tsinghua University
Posted:
17 Mar 12
Last Revised:
16 May 12
120
Ambiguity aversion, learning, variance premium, regime-shift, belief distortion, return predictability
25.
Black, Lamont K. Board of Governors of the Federal Reserve System
Correa, Ricardo Federal Reserve Board
Huang, Xin University of Oklahoma
Zhou, Hao PBC School of Finance, Tsinghua University
185(80,584)
European debt crisis, macroprudential regulation, banking systemic risk, credit default swap, too-big-to-fail, interconnectedness, leverage
