Hao Zhou

Tsinghua University - PBC School of Finance

Unigroup Chair Professor of Finance

No. 43, Chengfu Road

Haidian District

Beijing, 100083

China

SUSTech Business School

Chair Professor of Finance

1088 Xueyuan Avenue, Nanshan District

Southern University of Science and Technology

Shenzhen, Guangdong 518055

China

  • Tsinghua University - PBC School of Finance

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    • Tel: +86-10-62790655

  • SUSTech Business School

SCHOLARLY PAPERS

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Scholarly Papers (46)

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1.

Expected Stock Returns and Variance Risk Premia

Downloads 3,893 ( 4,821)
Citation 431

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
Tim Bollerslev, George Tauchen and Hao Zhou
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance
Downloads 3,519 (5,641)
Citation 55

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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 374 (136,987)
Citation 424

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

2.

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

Downloads 2,954 ( 7,641)
Citation 101

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
Tim Bollerslev, Michael S. Gibson and Hao Zhou
Duke University - Finance, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 2,565 (9,319)
Citation 5

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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
Tim Bollerslev, Michael S. Gibson and Hao Zhou
Duke University - Finance, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 389 (131,067)
Citation 112

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

3.

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Downloads 2,911 ( 7,794)
Citation 65

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 2,294 (11,124)
Citation 32

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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 617 (74,895)
Citation 45

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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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4.

The Great Wall of Debt: Real Estate, Political Risk, and Chinese Local Government Financing Cost

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: 29 Jul 2019
Andrew Ang, Jennie Bai and Hao Zhou
BlackRock, Inc, Georgetown University - McDonough School of Business and Tsinghua University - PBC School of Finance
Downloads 2,394 (10,585)
Citation 29

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

5.

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

Number of pages: 58 Posted: 14 May 2015 Last Revised: 16 Oct 2021
Hao Wang, Honglin Wang, Lisheng Wang and Hao Zhou
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 1,933 (14,902)
Citation 25

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

6.

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
Benjamin Yi-Bin Zhang, Hao Zhou and Haibin Zhu
UBS AG, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 1,918 (15,093)
Citation 62

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

7.

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Downloads 1,777 (17,003)
Citation 169

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 1,660 (18,529)
Citation 6

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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 117 (405,131)
Citation 38

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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

8.

Risk, Uncertainty, and Expected Returns

Downloads 1,695 (12,228)
Citation 34

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 - McDonough School of Business and Tsinghua University - PBC School of Finance
Downloads 1,401 (24,007)
Citation 30

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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 - McDonough School of Business and Tsinghua University - PBC School of Finance
Downloads 294 (178,350)
Citation 3

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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: 16 Nov 2022
Turan G. Bali and Hao Zhou
Georgetown University - 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

9.

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

Downloads 1,582 (20,340)
Citation 155

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
Tim Bollerslev, James V Marrone, Lai Xu and Hao Zhou
Duke University - Finance, University of Chicago, Independent and Tsinghua University - PBC School of Finance
Downloads 1,058 (36,174)
Citation 8

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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
Tim Bollerslev, James V Marrone, Lai Xu and Hao Zhou
Duke University - Finance, University of Chicago, Duke University and Tsinghua University - PBC School of Finance
Downloads 524 (92,215)
Citation 152

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

10.

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

PBCSF-NIFR Research Paper No. 17-01
Number of pages: 66 Posted: 01 Feb 2017 Last Revised: 15 Mar 2022
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 1,242 (29,180)

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Anti-corruption, credit allocation, state ownership, public disclosure

11.

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 1,206 (30,446)
Citation 5

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

12.

Specification Analysis of Structural Credit Risk Models

Downloads 1,177 (31,540)
Citation 37

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 906 (44,976)
Citation 22

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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 271 (193,319)
Citation 15

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

13.

Short-Run Bond Risk Premia

AFA 2013 San Diego Meetings Paper
Number of pages: 47 Posted: 27 May 2011 Last Revised: 07 Aug 2012
Philippe Mueller, Andrea Vedolin and Hao Zhou
Warwick Business School Finance Group, Boston University - Department of Finance & Economics and Tsinghua University - PBC School of Finance
Downloads 1,085 (35,410)
Citation 12

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14.

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 1,044 (37,434)
Citation 25

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

15.

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 954 (42,526)
Citation 8

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

16.

Credit Default Swap Spreads and Variance Risk Premia

Downloads 942 (43,287)
Citation 13

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 519 (93,100)
Citation 1

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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 339 (152,631)
Citation 4

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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 84 (509,158)
Citation 9

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

17.

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 939 (43,469)
Citation 46

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

18.

Variance Risk Premiums and the Forward Premium Puzzle

Downloads 937 (43,660)
Citation 26

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
Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 707 (62,915)
Citation 2

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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
Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 138 (356,980)
Citation 24

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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
Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 92 (483,988)
Citation 1

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19.

Leverage-Induced Fire Sales and Stock Market Crashes

Downloads 833 (51,252)
Citation 4

Leverage-Induced Fire Sales and Stock Market Crashes

Number of pages: 67 Posted: 04 Oct 2017
Jiangze Bian, Zhiguo He, Kelly Shue and Hao Zhou
University of International Business and Economics (UIBE), University of Chicago - Finance, Yale School of Management and Tsinghua University - PBC School of Finance
Downloads 648 (70,437)
Citation 2

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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, Yale ICF Working Paper No. 2019-07
Number of pages: 72 Posted: 04 Mar 2019
Jiangze Bian, Zhiguo He, Kelly Shue and Hao Zhou
University of International Business and Economics (UIBE), University of Chicago - Finance, Yale School of Management and Tsinghua University - PBC School of Finance
Downloads 108 (429,914)
Citation 1

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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 Last Revised: 03 Jun 2023
Jiangze Bian, Zhiguo He, Kelly Shue and Hao Zhou
University of International Business and Economics (UIBE), University of Chicago - Finance, Yale School of Management and Tsinghua University - PBC School of Finance
Downloads 77 (537,007)
Citation 3

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20.

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

Downloads 657 (60,075)
Citation 28

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
Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 542 (88,121)
Citation 25

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Corporate bond yields, credit default swaps, liquidity

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
Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 115 (413,053)
Citation 8

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Corporate bond spreads, credit default swaps, liquidity

21.

Moment Risk Premia and Stock Return Predictability

Number of pages: 54 Posted: 12 Feb 2018 Last Revised: 12 Aug 2020
Zhenzhen Fan, Xiao Xiao and Hao Zhou
University of Manitoba - Department of Accounting and Finance, City University London - Bayes Business School and Tsinghua University - PBC School of Finance
Downloads 706 (63,948)
Citation 8

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Moment risk premia; Variance risk premium; Option-implied moments; Stock return predictability; Predictive regression

22.

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 697 (64,998)
Citation 13

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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

23.

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

Downloads 690 (65,833)
Citation 30

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

Number of pages: 52 Posted: 28 Nov 2012
Lamont Black, Ricardo Correa, Xin Huang and Hao Zhou
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 371 (138,269)
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

International Finance Discussion Paper No. 1083
Number of pages: 60 Posted: 30 May 2017 Last Revised: 11 Jun 2017
Lamont Black, Ricardo Correa, Xin Huang and Hao Zhou
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 319 (162,982)
Citation 5

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24.

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 665 (68,993)
Citation 28

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

25.

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

Downloads 620 (75,391)

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

Number of pages: 34 Posted: 18 Sep 2003
Hao Zhou and Tim Bollerslev
Tsinghua University - PBC School of Finance and Duke University - Finance
Downloads 620 (74,449)
Citation 25

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

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

Journal of Econometrics, Vol. 131, pp. 123-150, 2006
Posted: 17 Jul 2007
Hao Zhou and Tim Bollerslev
Tsinghua University - PBC School of Finance and Duke University - Finance

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

26.

Margin Trading and Leverage Management

Downloads 593 (79,649)
Citation 3

Margin Trading and Leverage Management

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-29
Number of pages: 74 Posted: 11 Mar 2021
Jiangze Bian, Zhi Da, Zhiguo He, Dong Lou, Kelly Shue and Hao Zhou
University of International Business and Economics (UIBE), University of Notre Dame - Mendoza College of Business, University of Chicago - Finance, London School of Economics & Political Science (LSE), Yale School of Management and Tsinghua University - PBC School of Finance
Downloads 520 (92,884)
Citation 6

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margin trading, leverage management, liquidation policy, contagion

Margin Trading and Leverage Management

Number of pages: 74 Posted: 22 Mar 2021
Jiangze Bian, Zhi Da, Zhiguo He, Dong Lou, Kelly Shue and Hao Zhou
University of International Business and Economics (UIBE), University of Notre Dame - Mendoza College of Business, University of Chicago - Finance, London School of Economics & Political Science (LSE), Yale School of Management and Tsinghua University - PBC School of Finance
Downloads 73 (554,060)

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margin trading, leverage management, liquidation policy, contagion

27.

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 576 (82,591)
Citation 20

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

28.

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 527 (92,355)

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

29.

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

Downloads 515 (94,961)
Citation 2

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
Olesya V. Grishchenko, Zhaogang Song and Hao Zhou
Board of Governors of the Federal Reserve System, Johns Hopkins University - Carey Business School and Tsinghua University - PBC School of Finance
Downloads 365 (140,801)
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
Olesya V. Grishchenko, Zhaogang Song and Hao Zhou
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
Downloads 85 (505,411)

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

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

Number of pages: 71 Posted: 18 Apr 2022
Olesya V. Grishchenko, Zhaogang Song and Hao Zhou
Board of Governors of the Federal Reserve System, Johns Hopkins University - Carey Business School and Tsinghua University - PBC School of Finance
Downloads 65 (591,022)

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

30.

Bond Risk Premia and Realized Jump Risk

Downloads 500 (98,418)
Citation 20

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 500 (97,391)
Citation 2

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

Bond Risk Premia and Realized Jump Risk

Posted: 12 Nov 2006 Last Revised: 16 Nov 2022
Jonathan H. Wright and Hao Zhou
Johns Hopkins University - Department of Economics and Tsinghua University - PBC School of Finance

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Unspanned Stochastic Volatility, Expected Excess Bond Returns, Expectations Hypothesis, Countercyclical Risk Premia, Realized Jump Risk, Bi-Power Variation

31.

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 496 (99,416)
Citation 19

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Margin trading, leverage, contagion, network centrality

32.

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 488 (101,677)
Citation 69

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

33.

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 473 (105,275)
Citation 11

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

34.

Variance Risk Premiums in Emerging Markets

Number of pages: 93 Posted: 25 Jun 2018 Last Revised: 02 Aug 2021
Fang Qiao, Lai Xu, Xiaoyan Zhang and Hao Zhou
University of International Business and Economics (UIBE) - School of Banking and Finance, Syracuse University, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 461 (108,549)
Citation 4

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

35.

Jump-Diffusion Term Structure and Ito Conditional Moment Generator

Number of pages: 36 Posted: 21 Sep 2001
Hao Zhou
Tsinghua University - PBC School of Finance
Downloads 446 (113,115)
Citation 6

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

36.

Ambiguity Aversion and Variance Premium

Downloads 443 (113,716)
Citation 17

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 347 (148,863)
Citation 11

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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: 29 Apr 2020
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 96 (467,205)
Citation 6

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

37.

Does Fiscal Policy Matter for Stock-Bond Return Correlation?

Downloads 441 (114,599)
Citation 3

Does Fiscal Policy Matter for Stock-Bond Return Correlation?

Journal of Monetary Economics, Forthcoming
Number of pages: 62 Posted: 28 Jan 2018 Last Revised: 07 Mar 2022
Erica X. N. Li, Tao A. Zha, Ji Zhang and Hao Zhou
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 418 (120,894)
Citation 4

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Stock-bond return correlation, consumption-inflation correlation, fiscal-monetary policy regime, bond risk premium, technology shock, investment shock

Does Fiscal Policy Matter for Stock-Bond Return Correlation?

NBER Working Paper No. w27861
Number of pages: 50 Posted: 28 Sep 2020 Last Revised: 16 Feb 2023
Erica X. N. Li, Tao A. Zha, Ji Zhang and Hao Zhou
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 23 (881,957)

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38.

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
University of Nevada, Las Vegas, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 422 (120,755)
Citation 1

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

39.

Subjective Model Uncertainty, Variance Risk Premium, and Speculative Trading

Downloads 369 (140,201)

Subjective Model Uncertainty, Variance Risk Premium, and Speculative Trading

Number of pages: 59 Posted: 21 Jul 2014 Last Revised: 29 Jul 2019
Ming Guo, Ming Guo and Hao Zhou
ShanghaiTech UniversityShanghaiTech University - School of Entrepreneurship and Management and Tsinghua University - PBC School of Finance
Downloads 289 (180,956)

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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: 29 Jul 2019
Ming Guo, Ming Guo and Hao Zhou
ShanghaiTech UniversityShanghaiTech University - School of Entrepreneurship and Management and Tsinghua University - PBC School of Finance
Downloads 80 (524,664)

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

40.

Stock-Bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-Monetary Policy Regime

FRB Atlanta Working Paper No. 2020-19
Number of pages: 54 Posted: 20 Apr 2021
Erica X. N. Li, Tao A. Zha, Ji Zhang and Hao Zhou
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 299 (175,574)

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stock-bond return correlation, consumption-inflation correlation, fiscal-monetary policy regime, bond risk premium, technology shock, investment shock

41.

Derivative-Market Leverage and Risk Premia Implications

PBCSF-NIFR Research Paper Forthcoming
Number of pages: 64 Posted: 22 Nov 2022 Last Revised: 14 Apr 2023
Ke Tang, Jing Zhao and Hao Zhou
Institute of Economics, School of Social Sciences, Tsinghua University, PBCSF, Tsinghua University and Tsinghua University - PBC School of Finance
Downloads 295 (178,129)

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Derivative-Market Leverage, Risk Premia Implications, Return Predictability, Time-Varying Risk Aversion, Options and Futures

42.

Do Behavioral Biases Affect Order Aggressiveness?

Downloads 293 (179,408)
Citation 3

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
Jiangze Bian, Kalok Chan, Donghui Shi and Hao Zhou
University of International Business and Economics (UIBE), CUHK Business School, Shanghai Stock Exchange and Tsinghua University - PBC School of Finance
Downloads 190 (271,834)
Citation 2

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Order submission, Order aggressiveness, Disposition effect

Do Behavioral Biases Affect Order Aggressiveness?

Review of Finance, forthcoming
Number of pages: 61 Posted: 03 Oct 2016 Last Revised: 10 Nov 2021
Jiangze Bian, Kalok Chan, Donghui Shi and Hao Zhou
University of International Business and Economics (UIBE), CUHK Business School, Shanghai Stock Exchange and Tsinghua University - PBC School of Finance
Downloads 103 (444,964)

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Order submission, Order aggressiveness, Disposition effect

43.

Not All Bonds Are Created Equal - As Benchmarks for Corporate Bonds

Number of pages: 69 Posted: 09 Jul 2021
Keqi Chen, Yi Huang, Kathy Yuan and Hao Zhou
Tsinghua University, PBC School of Finance, Students, Graduate Institute of International and CEPR, London School of Economics & Political Science (LSE) - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 116 (405,784)

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Municipal corporate bond; Benchmark Bonds; Government Bonds; Spanning enhance- ment; Price discovery; Maturity impact.

44.

Countercyclical Risk Aversion: Evidence from 10 Million Auto Insurance Transactions in China

Number of pages: 58 Posted: 10 Apr 2020
Huafeng (Jason) Chen, Yinglu Deng, Pengfei Li and Hao Zhou
Fudan University - Fanhai International School of Finance (FISF), Tsinghua University - School of Economics & Management, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 101 (451,376)

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Risk Aversion, Countercyclical, Auto Insurance

45.

Real(istic) Time-Varying Probability of Consumption Disasters

Number of pages: 64 Posted: 30 Apr 2021 Last Revised: 18 May 2021
Xiaoyu Huang, Tao Jin and Hao Zhou
Tsinghua University - PBC School of Finance, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 99 (454,320)

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consumption disasters, time-varying probability, asset pricing, risk aversion, equity-premium prediction

46.

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 44 (695,399)

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