Hao Zhou

Tsinghua University - PBC School of Finance

Professor

No. 43, Chengdu Road

Haidian District

Beijing 100083

China

SCHOLARLY PAPERS

41

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Rank 627

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Top 627

in Total Papers Downloads

33,458

CITATIONS
Rank 141

SSRN RANKINGS

Top 141

in Total Papers Citations

1,006

Scholarly Papers (41)

1.
Downloads 3,376 ( 2,914)
Citation 375

Expected Stock Returns and Variance Risk Premia

AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance
Downloads 3,080 (3,338)
Citation 198

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Equilibrium asset pricing, stochastic volatility, risk neutral expectation, return predictability, option implied volatility, realized volatility, variance risk premium

Expected Stock Returns and Variance Risk Premia

Finance and Economics (FEDS) Discussion Paper No. W 2007-11
Number of pages: 33 Posted: 17 Sep 2009
Tim Bollerslev and Hao Zhou
Duke University - Finance and Tsinghua University - PBC School of Finance
Downloads 296 (100,408)
Citation 347

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Return Predictability, Implied Variance, Realized Variance, Equity Risk Premium, Variance Risk Premium, Time-Varying Risk Aversion

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Number of pages: 50 Posted: 07 May 2009 Last Revised: 24 Aug 2012
Hao Zhou
Tsinghua University - PBC School of Finance
Downloads 2,206 (5,880)
Citation 37

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Macroeconomic uncertainty, asset return predictability, variance risk premia, recursive utility function.

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Number of pages: 29 Posted: 14 Mar 2011 Last Revised: 26 Aug 2018
Hao Zhou
Tsinghua University - PBC School of Finance
Downloads 520 (51,350)
Citation 31

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Macroeconomic uncertainty, asset return predictability, variance risk premia, recursive utility function.

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Annual Review of Financial Economics, Vol. 10, pp. 481-497, 2018
Posted: 08 Nov 2018
Hao Zhou
Tsinghua University - PBC School of Finance

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Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 25 Jan 2005 Last Revised: 13 Mar 2009
Duke University - Finance, Federal Reserve Board and Tsinghua University - PBC School of Finance
Downloads 2,337 (5,338)
Citation 2

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Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

CREATES Research Paper 2007-16
Number of pages: 48 Posted: 23 Jun 2008 Last Revised: 25 Sep 2009
Duke University - Finance, Federal Reserve Board and Tsinghua University - PBC School of Finance
Downloads 328 (89,632)
Citation 148

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Stochastic Volatility Risk Premium, Model-Free Implied Volatility, Model-Free Realized Volatility, Black-Scholes, GMM Estimation, Return Predictability

4.

Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms

FEDS Discussion Paper No. 2005-63, Review of Financial Studies, Forthcoming, BIS Working Paper No. 181
Number of pages: 43 Posted: 20 Sep 2007 Last Revised: 18 Oct 2013
UBS AG, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 1,852 (8,071)
Citation 145

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Credit Default Swap, Credit Risk Premium, Stochastic Volatility, Jumps, Structural Model, Nonlinear Effect, High-Frequency Data

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Journal of Banking and Finance, Vol. 33, No. 11, pp. 2036–2049, November 2009, BIS Working Paper No. 281, PBCSF-NIFR Research Paper No. 08-01
Number of pages: 44 Posted: 01 Feb 2009 Last Revised: 31 Aug 2016
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 1,580 (10,290)

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Systemic risk, stress testing, portfolio credit risk, credit default swap, high-frequency data

A Framework for Assessing the Systemic Risk of Major Financial Institutions

BIS Working Paper No. 281
Number of pages: 44 Posted: 10 Aug 2009
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 75 (316,059)
Citation 150

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Systemic risk, stress testing, portfolio credit risk, credit default swap, high-frequency data

A Framework for Assessing the Systemic Risk of Major Financial Institutions

CAREFIN Research Paper No. 11/08
Posted: 22 Mar 2009 Last Revised: 17 Jan 2016
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)

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Stress testing, systemic risk, insurance premium, default probability, credit default swap spread, high-frequency data, asset return correlation

6.
Downloads 1,501 ( 7,098)
Citation 10

Risk, Uncertainty, and Expected Returns

AFA 2013 San Diego Meetings Paper
Number of pages: 79 Posted: 24 Nov 2012 Last Revised: 29 Aug 2014
Turan G. Bali and Hao Zhou
Georgetown University - Robert Emmett McDonough School of Business and Tsinghua University - PBC School of Finance
Downloads 1,272 (14,465)
Citation 22

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Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model

Risk, Uncertainty, and Expected Returns

Georgetown McDonough School of Business Research Paper No. 1993304
Number of pages: 79 Posted: 30 Jan 2012 Last Revised: 29 Aug 2014
Turan G. Bali and Hao Zhou
Georgetown University - Robert Emmett McDonough School of Business and Tsinghua University - PBC School of Finance
Downloads 229 (131,262)
Citation 4

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Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Consumption-Based Asset Pricing Model

Risk, Uncertainty, and Expected Returns

Sixth Singapore International Conference on Finance 2012 Paper
Posted: 30 Jul 2011 Last Revised: 29 Aug 2014
Turan G. Bali and Hao Zhou
Georgetown University - Robert Emmett McDonough School of Business and Tsinghua University - PBC School of Finance

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Risk, Uncertainty, Expected Returns, ICAPM, Time-Series and Cross-Sectional Stock Returns, Variance Risk Premium, Conditional Asset Pricing Model

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Number of pages: 55 Posted: 04 Mar 2011 Last Revised: 08 Aug 2012
Duke University - Finance, University of Chicago, Independent and Tsinghua University - PBC School of Finance
Downloads 996 (21,059)
Citation 5

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Variance risk premium, return predictability, over-lapping return regressions, international stock market returns, global variance risk

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Number of pages: 55 Posted: 17 Mar 2012 Last Revised: 08 Aug 2012
Duke University - Finance, University of Chicago, Duke University and Tsinghua University - PBC School of Finance
Downloads 465 (59,361)
Citation 77

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variance risk premium, return predictability, over-lapping return regressions, international stock market returns, global variance risk

8.

The Funding Cost of Chinese Local Government Debt

Georgetown McDonough School of Business Research Paper No. 2603022, PBCSF-NIFR Research Paper No. 15-02
Number of pages: 48 Posted: 07 May 2015 Last Revised: 19 Jul 2018
Jennie Bai and Hao Zhou
Georgetown University - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 1,285 (14,572)
Citation 7

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Chinese local government debt, real estate, political risk, government guarantee

9.

Shadow Banking: China's Dual-Track Interest Rate Liberalization

Number of pages: 56 Posted: 14 May 2015 Last Revised: 12 Jun 2018
Tsinghua University, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), The Chinese University of Hong Kong (CUHK) - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 1,150 (17,374)
Citation 14

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Shadow banking, interest rate liberalization, dual-track reform, Kaldor-Hicks improvement, Pareto improvement

10.

Good Jumps, Bad Jumps, and Conditional Equity Premium

Asian Finance Association (AsianFA) 2014 Conference Paper, PBCSF-NIFR Research Paper No. 14-05
Number of pages: 53 Posted: 27 Oct 2014 Last Revised: 18 Feb 2019
Hui Guo, Kent Wang and Hao Zhou
University of Cincinnati - Department of Finance - Real Estate, University of Queensland and Tsinghua University - PBC School of Finance
Downloads 944 (23,189)
Citation 6

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Realized Jump Risk, Good and Bad Jumps, Conditional Equity Premium, Downside Economic Uncertainty, Variance Risk Premium.

11.

Short-Run Bond Risk Premia

AFA 2013 San Diego Meetings Paper
Number of pages: 47 Posted: 27 May 2011 Last Revised: 07 Aug 2012
Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 934 (23,521)
Citation 10

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12.

Systemic Risk Contributions

Number of pages: 44 Posted: 29 Jul 2010 Last Revised: 29 Oct 2011
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 929 (23,700)
Citation 33

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Distress Insurance Premium, Systemic Risk, Macroprudential Regulation, Large Complex Financial Institution, Too-Big-to-Fail, Too-Connected-to-Fail.

13.
Downloads 909 ( 24,509)
Citation 19

Specification Analysis of Structural Credit Risk Models

AFA 2009 San Francisco Meetings Paper
Number of pages: 44 Posted: 13 Mar 2008 Last Revised: 22 Jul 2009
Jing-Zhi Huang and Hao Zhou
Pennsylvania State University - University Park - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 796 (29,049)
Citation 15

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Structural Credit Risk Models, Credit Default Swap Spreads, High Frequency Equity Volatility, Consistent Specification Analysis, Pricing Error Diagnostics

Specification Analysis of Structural Credit Risk Models

Number of pages: 61 Posted: 04 Mar 2007 Last Revised: 10 Feb 2019
Jing-Zhi Huang, Zhan Shi and Hao Zhou
Pennsylvania State University - University Park - Department of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 113 (241,621)
Citation 7

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Structural Credit Risk Models, Credit Default Swap Spreads, High Frequency Equity Volatility, Consistent Specification Analysis, Pricing Error Diagnostics

14.

Realized Jumps on Financial Markets and Predicting Credit Spreads

FEDS Working Paper No. 2006-35, Journal of Econometrics, Forthcoming, Economic Research Initiatives at Duke (ERID) Working Paper No. 7, AFA 2008 New Orleans Meetings Paper
Number of pages: 44 Posted: 23 Mar 2007 Last Revised: 25 Sep 2008
George Tauchen and Hao Zhou
Duke University - Economics Group and Tsinghua University - PBC School of Finance
Downloads 876 (25,831)
Citation 41

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Jump-Diffusion Process, Realized Variance, Bi-Power Variation, Realized Jumps, Jump Volatility, Credit Risk Premium.

15.
Downloads 848 ( 27,041)
Citation 15

Credit Default Swap Spreads and Variance Risk Premia

Number of pages: 42 Posted: 25 Oct 2009 Last Revised: 12 Jun 2011
Hao Wang, Hao Zhou and Yi Zhou
Tsinghua University, Tsinghua University - PBC School of Finance and San Francisco State University
Downloads 477 (57,360)
Citation 3

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variance risk premia, credit default swap spreads, option-implied variance, expected variance, realized variance

Credit Default Swap Spreads and Variance Risk Premia

AFA 2011 Denver Meetings Paper
Number of pages: 42 Posted: 11 Mar 2010 Last Revised: 05 Sep 2010
Hao Wang, Hao Zhou and Yi Zhou
Tsinghua University, Tsinghua University - PBC School of Finance and San Francisco State University
Downloads 313 (94,468)
Citation 5

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Variance Risk Premia, Credit Default Swap Spreads, Option-Implied Variance, Expected Variance, Realized Variance

Credit Default Swap Spreads and Variance Risk Premia

FEDS Working Paper No. 2011-02
Number of pages: 43 Posted: 11 Nov 2011
Hao Zhou, wang hao and Zhou Yi
Tsinghua University - PBC School of Finance, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 58 (363,083)
Citation 10

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Variance risk premia, credit default swap spreads, option-implied variance, expected variance, realized variance

16.
Downloads 797 ( 29,479)
Citation 21

Variance Risk Premiums and the Forward Premium Puzzle

Number of pages: 67 Posted: 22 Aug 2012 Last Revised: 22 Jun 2016
Juan M. Londono and Hao Zhou
Federal Reserve Board of Governors and Tsinghua University - PBC School of Finance
Downloads 661 (37,439)
Citation 4

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Currency return predictability, currency and stock variance risk premiums, forward premium puzzle, local consumption uncertainty, global inflation uncertainty.

Variance Risk Premiums and the Forward Premium Puzzle

FRB International Finance Discussion Paper No. 1068
Number of pages: 54 Posted: 07 Feb 2013
Juan M. Londono and Hao Zhou
Federal Reserve Board of Governors and Tsinghua University - PBC School of Finance
Downloads 113 (241,621)
Citation 17

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forward premium puzzle, currency variance risk premium, stock variance, risk premium, unspanned currency uncertainty, forex return predictability

Variance Risk Premiums and the Forward Premium Puzzle

FRB International Finance Discussion Paper No. 1068
Number of pages: 50 Posted: 30 May 2017
Juan M. Londono and Hao Zhou
Federal Reserve Board of Governors and Tsinghua University - PBC School of Finance
Downloads 23 (513,352)

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17.

Stock Return and Cash Flow Predictability: The Role of Volatility Risk

Number of pages: 60 Posted: 18 Nov 2012 Last Revised: 20 Nov 2012
Tim Bollerslev, Lai Xu and Hao Zhou
Duke University - Finance, Independent and Tsinghua University - PBC School of Finance
Downloads 639 (39,750)
Citation 10

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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

18.

Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility

FEDS Working Paper No. 2001-49, Journal of Econometrics, Vol. 109, pp. 33-65, 2002
Number of pages: 44 Posted: 13 Dec 2001
Hao Zhou and Tim Bollerslev
Tsinghua University - PBC School of Finance and Duke University - Finance
Downloads 603 (42,986)
Citation 63

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Stochastic volatility diffusions, integrated volatility, quadratic variation, realized volatility, high-frequency data, foreign exchange rates, GMM Estimation

19.

China’s Anti-Corruption Campaign and Credit Reallocation from SOEs to Non-SOEs

PBCSF-NIFR Research Paper No. 17-01
Number of pages: 69 Posted: 01 Feb 2017 Last Revised: 06 Jul 2018
Bo Li, Zhengwei Wang and Hao Zhou
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 599 (43,364)
Citation 2

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anti-corruption, credit reallocation, state ownership, economic efficiency, political connection

20.

Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regression

FEDS Working Paper No. 2003-40
Number of pages: 34 Posted: 18 Sep 2003
Hao Zhou and Tim Bollerslev
Tsinghua University - PBC School of Finance and Duke University - Finance
Downloads 580 (45,251)
Citation 43

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Leverage Asymmetry, Volatility Feedback,Implied Volatility Forecast, Realized Volatility, Stochastic Volatility Model, Instrument Variable

21.
Downloads 578 ( 45,435)
Citation 1

Leverage-Induced Fire Sales and Stock Market Crashes

Number of pages: 67 Posted: 04 Oct 2017
University of International Business and Economics (UIBE), University of Chicago - Finance, Yale School of Management and Tsinghua University - PBC School of Finance
Downloads 546 (48,254)
Citation 1

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Fire Sales, Leverage, Financial Crisis, Margin Trading, Shadow Financing

Leverage-Induced Fire Sales and Stock Market Crashes

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-28
Number of pages: 72 Posted: 04 Mar 2019
University of International Business and Economics (UIBE), University of Chicago - Finance, Yale School of Management and Tsinghua University - PBC School of Finance
Downloads 24 (507,231)

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Leverage-Induced Fire Sales and Stock Market Crashes

NBER Working Paper No. w25040
Number of pages: 72 Posted: 17 Sep 2018
University of International Business and Economics (UIBE), University of Chicago - Finance, Yale School of Management and Tsinghua University - PBC School of Finance
Downloads 8 (611,630)
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Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data

Number of pages: 55 Posted: 24 Nov 2006 Last Revised: 06 Apr 2008
Song Han and Hao Zhou
Federal Reserve Board - Division of Research and Statistics and Tsinghua University - PBC School of Finance
Downloads 475 (57,667)
Citation 8

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Corporate bond yields, credit default swaps, liquidity

Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data

HKIMR Working Paper No.02/2011
Number of pages: 49 Posted: 30 Jan 2011
Song Han and Hao Zhou
Federal Reserve Board - Division of Research and Statistics and Tsinghua University - PBC School of Finance
Downloads 56 (369,490)
Citation 7

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Corporate Bond Yield Spreads, Credit Default Swaps, Liquidity, CDS-Bond Basis

Effects of Bond Liquidity on the Nondefault Component of Corporate Bond Spreads: Evidence from Intraday Transactions Data

Number of pages: 52 Posted: 23 Apr 2007 Last Revised: 01 Sep 2016
Song Han and Hao Zhou
Federal Reserve Board - Division of Research and Statistics and Tsinghua University - PBC School of Finance
Downloads 45 (407,869)
Citation 8

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Corporate bond spreads, credit default swaps, liquidity

23.

Stock Return Volatility and Capital Structure Decisions

PBCSF-NIFR Research Paper No. 13-04
Number of pages: 42 Posted: 29 Oct 2013 Last Revised: 19 Feb 2016
Hui Chen, Hao Wang and Hao Zhou
Massachusetts Institute of Technology, Tsinghua University and Tsinghua University - PBC School of Finance
Downloads 538 (49,879)
Citation 8

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Stock Return Volatility, Leverage Ratio, Surprise Shocks, Idiosyncratic Volatility, Uncertainty

24.

Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis

22nd Australasian Finance and Banking Conference 2009, Finlawmetrics 2010 Conference Paper
Number of pages: 45 Posted: 23 Aug 2009 Last Revised: 29 Oct 2011
Xin Huang, Hao Zhou and Haibin Zhu
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 528 (50,985)
Citation 35

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Systemic risk, Macroprudential regulation, Portfolio distress loss, Credit default swap, Dynamic conditional correlation

The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises

Number of pages: 52 Posted: 28 Nov 2012
DePaul University - Driehaus College of Business, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 308 (96,156)
Citation 7

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European debt crisis, macroprudential regulation, banking systemic risk, credit default swap, too-big-to-fail, interconnectedness, leverage

The Systemic Risk of European Banks During the Financial and Sovereign Debt Crises

FRB International Finance Discussion Paper No. 1083
Number of pages: 60 Posted: 30 May 2017
DePaul University - Driehaus College of Business, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 168 (175,511)
Citation 14

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banking systemic risk, European debt crisis, too-big-to-fail, leverage, interconnectedness, credit default swap, macroprudential regulation

26.

A Study of the Finite Sample Properties of EMM, GMM, QMLE, and MLE for a Square-Root Interest Rate Diffusion Model

FEDS Discussion Paper No. 2000-45
Number of pages: 44 Posted: 23 Jan 2001
Hao Zhou
Tsinghua University - PBC School of Finance
Downloads 461 (60,472)
Citation 6

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Monte Carlo Study, Efficient Method of Moments, Maximum Likelihood Estimation, Square-Root Diffusion, Quasi-Maximum Likelihood, Generalized Method of Moments

27.

Bond Risk Premia and Realized Jump Risk

Journal of Banking and Finance, Forthcoming, FEDS Working Paper No. 2007-22, AFA 2009 San Francisco Meetings Paper
Number of pages: 33 Posted: 20 Mar 2008 Last Revised: 27 Jul 2009
Jonathan H. Wright and Hao Zhou
Johns Hopkins University - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 452 (61,953)
Citation 19

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Unspanned Stochastic Volatility, Regime-Shift Term Structure, Bond Return Predictability, Expectations Hypothesis, Countercyclical Risk Premia, Realized Jump Risk

28.

Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle

Duke University, Economics Working Paper
Number of pages: 33 Posted: 26 Jun 2003
Ravi Bansal, George Tauchen and Hao Zhou
Duke University and NBER, Duke University - Economics Group and Tsinghua University - PBC School of Finance
Downloads 437 (64,532)
Citation 40

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Term Structure of Interest Rates, Yield Curve, Regime Switching, Risk Premium, Expectation Hypothesis, Business Cycle, Efficient Method of Moments, EMM

29.
Downloads 384 ( 75,291)
Citation 71

Term Structure of Interest Rates with Regime Shifts

Board of Governors of the Federal Reserve System-FEDS 2001-46
Number of pages: 58 Posted: 14 Dec 2001
Hao Zhou and Ravi Bansal
Tsinghua University - PBC School of Finance and Duke University and NBER
Downloads 384 (74,608)
Citation 71

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Regime switching, term structure of interest rate, reprojection, efficient method of moments

Term Structure of Interest Rates with Regime Shifts

Journal of Finance, Vol. 57, pp. 1997-2043, 2002
Posted: 05 Aug 2004
Ravi Bansal and Hao Zhou
Duke University and NBER and Tsinghua University - PBC School of Finance

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30.

Jump-Diffusion Term Structure and Ito Conditional Moment Generator

FEDS Working Paper No. 2001-28
Number of pages: 36 Posted: 21 Sep 2001
Hao Zhou
Tsinghua University - PBC School of Finance
Downloads 384 (75,291)
Citation 3

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Jump-diffusion, term structure of interest rates, conditional moment generator, multivariate weighted nonlinear least square, market price of risk

Term Structure of Interest Rates with Short-Run and Long-Run Risks

Finance Down Under 2016 Building on the Best from the Cellars of Finance
Number of pages: 74 Posted: 23 Sep 2015 Last Revised: 29 Jul 2017
Board of Governors of the Federal Reserve System, Johns Hopkins University - Carey Business School and Tsinghua University - PBC School of Finance
Downloads 289 (103,052)
Citation 3

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Long-run risk, economic uncertainty, variance risk premium, bond return predictability, term structure of interest rates, interest rate derivatives

Term Structure of Interest Rates with Short-Run and Long-Run Risks

FEDS Working Paper No. 2015-95
Number of pages: 65 Posted: 13 Nov 2015
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 63 (348,075)

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Long-run risk, economic uncertainty, term structure of interest rates, bond risk premium, variance risk premium, predictability, interest rate derivatives

32.
Downloads 319 ( 93,065)
Citation 3

Ambiguity Aversion and Variance Premium

Number of pages: 41 Posted: 17 Mar 2012 Last Revised: 16 May 2012
Jianjun Miao, Bin Wei and Hao Zhou
Boston University - Department of Economics, Federal Reserve Bank of Atlanta and Tsinghua University - PBC School of Finance
Downloads 287 (103,821)
Citation 5

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Ambiguity aversion, learning, variance premium, regime-shift, belief distortion, return predictability

Ambiguity Aversion and Variance Premium

FRB Atlanta Working Paper No. 2018-14
Number of pages: 41 Posted: 31 Jan 2019 Last Revised: 21 Feb 2019
Jianjun Miao, Bin Wei and Hao Zhou
Boston University - Department of Economics, Federal Reserve Bank of Atlanta and Tsinghua University - PBC School of Finance
Downloads 32 (462,992)
Citation 2

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ambiguity aversion, learning, variance premium, regime shift, belief distortion

33.

Hot Money and Quantitative Easing: The Spillover Effects of U.S. Monetary Policy on the Chinese Economy

Journal of Money, Credit, and Banking, Forthcoming, PBCSF-NIFR Research Paper No. 14-06, Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper No. 211
Number of pages: 47 Posted: 02 Nov 2014 Last Revised: 28 Feb 2018
Steven Wei Ho, Ji Zhang and Hao Zhou
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 315 (94,335)
Citation 1

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international policy spillover, Chinese real-estate market, U.S. monetary policy, policy uncertainty, FA-VAR, shadow rate

Subjective Model Uncertainty, Variance Risk Premium, and Speculative Trading

Number of pages: 54 Posted: 21 Jul 2014 Last Revised: 05 Aug 2018
Ming Guo and Hao Zhou
ShanghaiTech University - School of Entrepreneurship and Management and Tsinghua University - PBC School of Finance
Downloads 252 (119,151)

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Subjective model uncertainty, signal precision or mean, option-implied uncertainty premium, variance risk premium, trading volume

Subjective Model Uncertainty, Variance Risk Premium, and Speculative Trading

Number of pages: 54 Posted: 30 Jun 2013 Last Revised: 08 Aug 2018
Ming Guo and Hao Zhou
ShanghaiTech University - School of Entrepreneurship and Management and Tsinghua University - PBC School of Finance
Downloads 60 (356,880)

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Subjective model uncertainty, signal precision or mean, option-implied uncertainty premium, variance risk premium, trading volume.

35.

Higher-Order Risk Premium, Stock Return Predictability, and Rare Event Dynamics

Number of pages: 60 Posted: 12 Feb 2018 Last Revised: 16 Mar 2019
Zhenzhen Fan, Xiao Xiao and Hao Zhou
School of Finance, Nankai University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tsinghua University - PBC School of Finance
Downloads 272 (110,506)
Citation 6

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Equity risk premium; Predictive regression; Higher-order risk premium; Variance risk premium; Rare events

36.

Leverage Network and Market Contagion

PBCSF-NIFR Research Paper
Number of pages: 58 Posted: 28 Sep 2017 Last Revised: 13 Mar 2019
Jiangze Bian, Zhi Da, Dong Lou and Hao Zhou
University of International Business and Economics (UIBE), University of Notre Dame - Mendoza College of Business, London School of Economics & Political Science (LSE) and Tsinghua University - PBC School of Finance
Downloads 244 (124,610)
Citation 15

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Margin trading, leverage, contagion, network centrality

37.
Downloads 182 (163,347)
Citation 4

Do Behavioral Biases Affect Order Aggressiveness?

Asian Finance Association (AsianFA) 2015 Conference Paper, PBCSF-NIFR Research Paper No. 13-01
Number of pages: 61 Posted: 19 Aug 2013 Last Revised: 15 Sep 2018
University of International Business and Economics (UIBE), CUHK Business School, Shanghai Stock Exchange and Tsinghua University - PBC School of Finance
Downloads 117 (235,532)
Citation 2

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Order submission, Order aggressiveness, Disposition effect

Do Behavioral Biases Affect Order Aggressiveness?

Number of pages: 61 Posted: 03 Oct 2016 Last Revised: 30 Oct 2017
University of International Business and Economics (UIBE), CUHK Business School, Shanghai Stock Exchange and Tsinghua University - PBC School of Finance
Downloads 65 (342,372)
Citation 2

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Order submission, Order aggressiveness, Disposition effect

38.

Variance Risk Premiums in Emerging Markets: Global Integration and Economic Uncertainty

Number of pages: 83 Posted: 25 Jun 2018 Last Revised: 09 May 2019
Fang Qiao, Lai Xu, Xiaoyan Zhang and Hao Zhou
Tsinghua University - PBC School of Finance, Syracuse University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 171 (172,647)
Citation 2

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Variance risk premium, emerging markets, stock return predictability, market integration, economic uncertainty

39.

Active Monetary or Fiscal Policy and Stock-Bond Correlation

Number of pages: 59 Posted: 28 Jan 2018 Last Revised: 29 Jun 2018
Cheung Kong Graduate School of Business, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 109 (246,636)

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bond-stock return correlation, monetary-fiscal policy regime, inflation risk premium

40.

Option Return Predictability and Variance Risk Premium

Number of pages: 39 Posted: 11 Jul 2019
Haorui Bai, Xiaoyan Zhang and Hao Zhou
Tsinghua University, PBC School of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 29 (481,163)

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Variance Risk Premium,Higher Order Risk Premium,Option Returns

41.

Rural‐Urban Disparity and Sectoral Labour Allocation in China

Journal of Development Studies (1997)
Number of pages: 29 Posted: 09 Oct 2017
Dennis Tao Yang and Hao Zhou
Chinese University of Hong Kong - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 10 (573,886)
Citation 26

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