Hao Zhou : Citation Profile


Are you Hao Zhou?

Tsinghua University

16

H index

20

i10 index

1827

Citations

RESEARCH PRODUCTION:

17

Articles

36

Papers

2

Chapters

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 87
   Journals where Hao Zhou has often published
   Relations with other researchers
   Recent citing documents: 397.    Total self citations: 27 (1.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh134
   Updated: 2019-11-16    RAS profile: 2014-08-07    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Hao Zhou.

Is cited by:

McAleer, Michael (31)

Bollerslev, Tim (29)

Asai, Manabu (23)

Andersen, Torben (22)

Bekaert, Geert (18)

Shephard, Neil (18)

Sévi, Benoît (18)

Prokopczuk, Marcel (15)

Barndorff-Nielsen, Ole (14)

Christoffersen, Peter (14)

Tauchen, George (14)

Cites to:

Bollerslev, Tim (43)

Campbell, John (42)

Andersen, Torben (28)

Tauchen, George (24)

Diebold, Francis (17)

Ait-Sahalia, Yacine (17)

Duffie, Darrell (15)

Singleton, Kenneth (14)

Lo, Andrew (14)

Hansen, Lars (14)

Bekaert, Geert (14)

Main data


Where Hao Zhou has published?


Journals with more than one article published# docs
Journal of Econometrics5
Journal of Business & Economic Statistics2
Review of Financial Studies2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (US)21
BIS Working Papers / Bank for International Settlements3
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Hao Zhou (2018 and 2017)


YearTitle of citing document
2017Variance swap payoffs, risk premia and extreme market conditions. (2017). Violante, Francesco ; Stentoft, Lars. In: CREATES Research Papers. RePEc:aah:create:2017-21.

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2018The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-02.

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2018The Risk Premia Embedded in Index Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-07.

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2018Short-Term Market Risks Implied by Weekly Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-08.

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2018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping. In: CREATES Research Papers. RePEc:aah:create:2018-10.

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2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. (2018). Veliyev, Bezirgen ; Thyrsgaard, Martin ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-19.

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2017Earthbound Labor and Incomplete Exit from Farming in China: Multiple Distortions and Nonseparable Decisions. (2017). Ma, Meilin. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258414.

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2019Markov cubature rules for polynomial processes. (2019). Pulido, Sergio ; Larsson, Martin ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1707.06849.

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2017Default Contagion with Domino Effect , A First Passage Time Approach. (2017). Akahori, Jiro ; Ha, Hai . In: Papers. RePEc:arx:papers:1708.08411.

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2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2018Polynomial processes for power prices. (2018). Ware, Tony ; Larsson, Martin ; Filipovic, Damir. In: Papers. RePEc:arx:papers:1710.10293.

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2019Polynomial Jump-Diffusion Models. (2019). Larsson, Martin ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1711.08043.

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2017Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation. (2017). Jos'e Carlos Dias, ; Torba, Sergii M ; Kravchenko, Vladislav V. In: Papers. RePEc:arx:papers:1712.08247.

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2018Identifying systemically important companies in the entire liability network of a small open economy. (2018). Thurner, Stefan ; Hinteregger, Abraham ; Poledna, Sebastian. In: Papers. RePEc:arx:papers:1801.10487.

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2018Econophysics Beyond General Equilibrium: the Business Cycle Model. (2018). Olkhov, Victor. In: Papers. RePEc:arx:papers:1804.04721.

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2018Distributions of Historic Market Data -- Implied and Realized Volatility. (2018). Serota, R A ; Liu, Zhiyuan ; Moghaddam, Dashti M. In: Papers. RePEc:arx:papers:1804.05279.

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2018Closed-form approximations in derivatives pricing: The Kristensen-Mele approach. (2018). Kurz, Michael. In: Papers. RePEc:arx:papers:1804.08904.

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2019DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2019). Roberts, Stephen ; Zohren, Stefan ; Zhang, Zihao. In: Papers. RePEc:arx:papers:1808.03668.

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2019Model Risk Measurement under Wasserstein Distance. (2019). Schlogl, Erik ; Feng, YU. In: Papers. RePEc:arx:papers:1809.03641.

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2019Complex Network Construction of Internet Financial risk. (2019). Mi, Chuanmin ; Mierzwiak, Rafal ; Xu, Runjie. In: Papers. RePEc:arx:papers:1904.06640.

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2019Correlators of Polynomial Processes. (2019). Lavagnini, Silvia ; Benth, Fred Espen. In: Papers. RePEc:arx:papers:1906.11320.

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2019Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2019). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:1908.05089.

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2019HATS: A Hierarchical Graph Attention Network for Stock Movement Prediction. (2019). Kang, Jaewoo ; Kim, Jinkyu ; Lee, Sanghoon ; Jeong, Minbyul ; Ho, Chan. In: Papers. RePEc:arx:papers:1908.07999.

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2019Systemic Risk in the Chinese Stock Market Under Different Regimes: A Sector-Level Perspective. (2019). Wang, Qiao ; Huang, Qiubin ; Cheng, Xiangjuan ; Yang, Haizhen. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:665-679.

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2018‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios. (2018). Conrad, Christian ; Glas, Alexander. In: Working Papers. RePEc:awi:wpaper:0655.

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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

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2017Expected Currency Returns and Volatility Risk Premia. (2017). ORNELAS, JOSE ; Haas, Jose Renato. In: Working Papers Series. RePEc:bcb:wpaper:454.

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2017Volatility Risk Premia and Future Commodity Returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato. In: Working Papers Series. RePEc:bcb:wpaper:455.

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2018Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia. (2018). ORNELAS, JOSE ; Finta, Marinela Adriana. In: Working Papers Series. RePEc:bcb:wpaper:479.

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2017Systemic Financial Sector and Sovereign Risks. (2017). Nadal De Simone, Francisco ; Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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2018A Survey of Systemic Risk Indicators. (2018). Rogantini Picco, Anna ; Di Cesare, Antonio. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_458_18.

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2017Systemic risk and systemic importance measures during the crisis. (2017). Zaghini, Andrea ; Masciantonio, Sergio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1153_17.

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2018A General Equilibrium Appraisal of Capital Shortfall. (2018). Sahuc, Jean-Guillaume ; Jondeau, Eric ; J-G. Sahuc, . In: Working papers. RePEc:bfr:banfra:668.

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2019Measuring corporate bond liquidity in emerging market economies: price- vs quantity-based measures. (2019). Packer, Frank ; Li, Ran ; Helwege, Jean ; Hameed, Allaudeen . In: BIS Papers chapters. RePEc:bis:bisbpc:102-07.

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2017Volatility risk premia and future commodities returns. (2017). ORNELAS, JOSE ; Mauad, Roberto ; Haas, Jose Renato. In: BIS Working Papers. RePEc:bis:biswps:619.

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2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

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2019Measuring contagion risk in international banking. (2019). Giudici, Paolo ; Avdjiev, Stefan ; Spelta, Alessandro. In: BIS Working Papers. RePEc:bis:biswps:796.

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2017Rare disaster risk and the expected equity risk premium. (2017). Berkman, Henk ; Lee, John B ; Jacobsen, Ben. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:2:p:351-372.

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2017The role of managerial risk-taking in the ‘rise and fall’ of the CDS market. (2017). Dias, Roshanthi . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:117-145.

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2018The sensitivity of the credit default swap market to financial analysts’ forecast revisions. (2018). Alam, Pervaiz ; Hettler, Barry ; Pu, Xiaoling . In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:697-725.

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2017The Rising Systemic Importance of Chinese Banks: Should the World Be Concerned?. (2017). Avkiran, Necmi Kemal ; Mi, Lin. In: Australian Economic Review. RePEc:bla:ausecr:v:50:y:2017:i:4:p:427-440.

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2017Risk Control: Who Cares?. (2017). Taylor, Nick. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:1:p:153-179.

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2017The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation. (2017). Lalancette, Simon ; Simonato, Jeana Guy. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:325-354.

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2017Liquidity Risk and Volatility Risk in Credit Spread Models: A Unified Approach. (2017). Perrakis, Stylianos ; Zhong, Rui. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:5:p:873-901.

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2017How Useful Is Basel IIIs Liquidity Coverage Ratio? Evidence From US Bank Holding Companies. (2017). Du, Brian. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:5:p:902-919.

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2018Market†based estimates of implicit government guarantees in European financial institutions. (2018). Zhao, Lei. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:1:p:79-112.

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2019The information content of the implied volatility term structure on future returns. (2019). Yen, Kuangchieh ; Wang, Yawhuei. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:380-406.

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2017The Role of U.S. Market on International Risk-Return Tradeoff Relations. (2017). Sun, Licheng ; Najand, Mohammad ; Meng, Liang . In: The Financial Review. RePEc:bla:finrev:v:52:y:2017:i:3:p:499-526.

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2017Tail Dependence and Systemic Risk in Operational Losses of the US Banking Industry. (2017). Tian, Weidong ; Ergen, Ibrahim ; Abdymomunov, Azamat . In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:177-204.

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2019Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2019). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2018Testing the systemic risk differences in banks. (2018). Jokivuolle, Esa ; Vioto, Davide ; Tunaru, Radu. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_013.

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2017Measuring the systemic importance of banks. (2017). Sakellaris, Plutarchos ; Moratis, George. In: Working Papers. RePEc:bog:wpaper:240.

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2019Think again: volatility asymmetry and volatility persistence. (2019). Thomas, Dimpfl ; Dirk, Baur. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:19:n:4.

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2017Forecasting Stock Returns: A Predictor-Constrained Approach. (2017). Wang, Yudong ; Pettenuzzo, Davide. In: Working Papers. RePEc:brd:wpaper:116.

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2018Forecasting Stock Returns: A Predictor-Constrained Approach. (2018). Wang, Yudong ; Pettenuzzo, Davide ; Pan, Zhiyuan. In: Working Papers. RePEc:brd:wpaper:116r.

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2019Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, María ; Arghyrou, Michael. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2019/6.

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2017Generalized Disappointment Aversion, Learning, and Asset Prices. (2017). Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp606.

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2018The Relative Effectiveness of Spot and Derivatives Based Intervention. (2018). Saborowski, Christian ; Nedeljkovic, Milan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7127.

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2018Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy. (2018). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7279.

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2019Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, María ; Arghyrou, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7532.

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2019Designing a Multinational Deposit Insurance System: Implications for the European Deposit Insurance Scheme. (2019). Pennacchi, George ; Jokivuolle, Esa. In: ifo DICE Report. RePEc:ces:ifodic:v:17:y:2019:i:01:p:21-25.

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2019Designing a Multinational Deposit Insurance System: Implications for the European Deposit Insurance Scheme. (2019). Pennacchi, George ; Jokivuolle, Esa. In: ifo DICE Report. RePEc:ces:ifodic:v:17:y:2019:i:1:p:50000000005874.

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2017Super-Exponential RE Bubble Model with Efficient Crashes. (2017). Kreuser, Jerome L ; Sornette, Didier. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1733.

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2017A Matter of Trust? The Bond Market Benefits of Corporate Social Capital during the Financial Crisis. (2017). Servaes, Henri ; Tamayo, Ane ; Lins, Karl ; Amiraslani, Hami. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12321.

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2017Asset Price Bubbles and Systemic Risk. (2017). Schnabel, Isabel ; Brunnermeier, Markus ; Rother, Simon . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12362.

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2017The two faces of interbank correlation. (2017). Wagner, Wolf ; Silva Buston, Consuelo ; Schaeck, Klaus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12363.

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687.

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2018Tactical Target Date Funds. (2018). Gomes, Francisco J ; Zhang, Yuxin ; Michaelides, Alexander. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13019.

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2018Variation margins, fire sales, and information-constrained optimality. (2018). Biais, Bruno ; Hoerova, Marie ; Heider, Florian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13192.

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2018A Review of Chinas Institutions. (2018). Allen, Franklin ; Qian, Meijun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13269.

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2017Dynamic conditional score models with time-varying location, scale and shape parameters. (2017). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:25043.

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2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133.

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2019Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28638.

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2017Global Risk Aversion Spillover Dynamics and Investors Attention Allocation. (2017). Ceylan, Ozcan. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:1:ceylan.

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2017FUTURES-BASED MEASURES OF MONETARY POLICY AND JUMP RISK. (2017). Inekwe, John ; Nkwoma, Inekwe John . In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:02:p:384-405_00.

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2018Measuring the effect of watch-preceded and direct rating changes: a note on credit markets. (2018). Kiesel, F ; Kolaric, S. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:87386.

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2018Nonlinear Intermediary Pricing in the Oil Futures Market. (2018). Rieth, Malte ; Velinov, Anton ; Bierbaumer, Daniel. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1722.

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2018Liquidity Risk and Yield Spreads of Green Bonds. (2018). Jensen, Febi ; Stephan, Andreas ; Schäfer, Dorothea ; Sun, Chen ; Schafer, Dorothea. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1728.

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2017Entropy-based implied moments. (2017). Zhou, Chen ; Xiao, Xiao. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2018Do information contagion and business model similarities explain bank credit risk commonalities?. (2018). Schaumburg, Julia ; Lelyveld, Iman ; van Lelyveld, Iman ; Wang, Dieter. In: DNB Working Papers. RePEc:dnb:dnbwpp:619.

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2019Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems. (2019). Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-14.

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2019Profitability and Risk-Taking Among Cooperative Banks in the Eurozone. (2019). ben Bouheni, Faten ; Sahut, Jean-Michel. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00264.

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2018Can an Energy Futures Index Predict US Stock Market Index Movements?. (2018). Gurrib, Ikhlaas. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-05-29.

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2018More unequal or less? A review of global, regional and national income inequality. (2018). AMARANTE, VERONICA ; Colacce, Maira. In: Revista CEPAL. RePEc:ecr:col070:43949.

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2019Pricing European call options under a hard-to-borrow stock model. (2019). Zhu, Song-Ping ; Ma, Guiyuan ; Chen, Wenting. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:357:y:2019:i:c:p:243-257.

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2017Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161.

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2018News and expected returns in East Asian equity markets: The RV-GARCHM model. (2018). Yao, Wenying ; Tang, Chrismin ; Martin, Vance L. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:36-52.

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2018Income smoothing among European systemic and non-systemic banks. (2018). Peterson, Ozili K ; Arun, Thankom G. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:5:p:539-558.

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2017Consumption inequality and its evolution in urban China. (2017). Zhao, DA ; He, Qiwei ; Wu, Tianhao. In: China Economic Review. RePEc:eee:chieco:v:46:y:2017:i:c:p:208-228.

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2019Agricultural inputs, urbanization, and urban-rural income disparity: Evidence from China. (2019). Shao, Shuai ; Wang, Xiang ; Li, Ling. In: China Economic Review. RePEc:eee:chieco:v:55:y:2019:i:c:p:67-84.

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2017Why and how do banks lay off credit risk? The choice between retention, loan sales and credit default swaps. (2017). Beyhaghi, Mehdi ; Saunders, Anthony ; Massoud, Nadia. In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:335-355.

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2019Measuring network systemic risk contributions: A leave-one-out approach. (2019). Tokpavi, Sessi ; Lucotte, Yannick ; Hue, Sullivan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:86-114.

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2017Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes. (2017). Poledna, Sebastian ; Thurner, Stefan ; Bochmann, Olaf . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:230-246.

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2017Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

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2017Learning and forecasts about option returns through the volatility risk premium. (2017). Bernales, Alejandro ; Valenzuela, Marcela ; Chen, Louisa. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:312-330.

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2017Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

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2018Equilibrium variance risk premium in a cost-free production economy. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:96:y:2018:i:c:p:42-60.

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2017The sources of contagion risk in a banking sector with foreign ownership. (2017). Havranek, Tomas ; Fiala, Tomas . In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:108-121.

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2017Asset prices and economic fluctuations: The implications of stochastic volatility. (2017). Chen, Junping ; Zhu, Xiaoneng ; Xiong, Xiong. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:128-140.

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More than 100 citations found, this list is not complete...

Works by Hao Zhou:


YearTitleTypeCited
2007Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities In: CREATES Research Papers.
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2011Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 128
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2004Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2004) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 128
paper
2005Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2005) In: Proceedings.
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This paper has another version. Agregated cites: 128
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2007Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
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paper390
2006Expected stock returns and variance risk premia.(2006) In: Finance and Economics Discussion Series.
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2009Expected Stock Returns and Variance Risk Premia.(2009) In: Review of Financial Studies.
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2012Stock Return and Cash Flow Predictability: The Role of Volatility Risk In: CREATES Research Papers.
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paper9
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics.
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article0
2004Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle In: Journal of Business & Economic Statistics.
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article38
2003Regime-shifts, risk premiums in the term structure, and the business cycle.(2003) In: Finance and Economics Discussion Series.
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2011Systemic risk contributions In: BIS Papers chapters.
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chapter103
2011Systemic risk contributions.(2011) In: Finance and Economics Discussion Series.
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2012Systemic Risk Contributions.(2012) In: Journal of Financial Services Research.
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2005Explaining credit default swap spreads with equity volatility and jump risks of individual firms In: BIS Working Papers.
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paper169
2005Explaining credit default swap spreads with the equity volatility and jump risks of individual firms.(2005) In: Finance and Economics Discussion Series.
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paper
2009Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms.(2009) In: Review of Financial Studies.
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2009A Framework for Assessing the Systemic Risk of Major Financial Institutions In: BIS Working Papers.
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paper187
2009A framework for assessing the systemic risk of major financial institutions.(2009) In: Journal of Banking & Finance.
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article
2009A framework for assessing the systemic risk of major financial institutions.(2009) In: Finance and Economics Discussion Series.
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2010Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis In: BIS Working Papers.
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paper69
2012Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis.(2012) In: Journal of Financial Stability.
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This paper has another version. Agregated cites: 69
article
2009Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis.(2009) In: Finance and Economics Discussion Series.
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2002Term Structure of Interest Rates with Regime Shifts In: Journal of Finance.
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article134
2012Ambiguity Aversion and Variance Premium In: Boston University - Department of Economics - Working Papers Series.
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paper11
1997Rural-Urban Disparity and Sectoral Labor Allocation in China In: Working Papers.
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paper52
1999Rural-urban disparity and sectoral labour allocation in China.(1999) In: Journal of Development Studies.
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2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility In: Journal of Econometrics.
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article131
2001Estimating stochastic volatility diffusion using conditional moments of integrated volatility.(2001) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 131
paper
2004Corrigendum to Estimating stochastic volatility diffusion using conditional moments of integrated volatility [J. Econom. 109 (2002) 33-65] In: Journal of Econometrics.
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article1
2006Volatility puzzles: a simple framework for gauging return-volatility regressions In: Journal of Econometrics.
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article85
2011Realized jumps on financial markets and predicting credit spreads In: Journal of Econometrics.
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article59
2006Realized jumps on financial markets and predicting credit spreads.(2006) In: Finance and Economics Discussion Series.
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2009Bond risk premia and realized jump risk In: Journal of Banking & Finance.
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article38
2014Hot money and quantitative easing: the spillover effect of U.S. monetary policy on Chinese housing, equity and loan markets In: Globalization Institute Working Papers.
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paper0
2000A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model In: Finance and Economics Discussion Series.
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paper0
2001Jump-diffusion term structure and Ito conditional moment generator In: Finance and Economics Discussion Series.
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paper4
2001Term structure of interest rates with regime shifts In: Finance and Economics Discussion Series.
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paper8
2003Itô conditional moment generator and the estimation of short rate processes In: Finance and Economics Discussion Series.
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paper14
2003Itô Conditional Moment Generator and the Estimation of Short-Rate Processes.(2003) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 14
article
2003Volatility puzzles: a unified framework for gauging return-volatility regressions In: Finance and Economics Discussion Series.
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paper6
2007Bond risk premia and realized jump volatility In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper3
2008Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data In: Finance and Economics Discussion Series.
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paper17
2011Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 17
paper
2008Specification analysis of structural credit risk models In: Finance and Economics Discussion Series.
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paper14
2010Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty In: Finance and Economics Discussion Series.
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paper11
2011Credit default swap spreads and variance risk premia In: Finance and Economics Discussion Series.
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paper2
2011Risk, uncertainty, and expected returns In: Finance and Economics Discussion Series.
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paper4
2013Risk, Uncertainty, and Expected Returns.(2013) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2011Stock return predictability and variance risk premia: statistical inference and international evidence In: Finance and Economics Discussion Series.
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paper75
2012Variance risk premiums and the forward premium puzzle In: International Finance Discussion Papers.
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paper3
2013The systemic risk of European banks during the financial and sovereign debt crises In: International Finance Discussion Papers.
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paper51
2011Short Run Bond Risk Premia In: FMG Discussion Papers.
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paper9
2011Comment on Systemic Risks and the Macroeconomy In: NBER Chapters.
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chapter0
2018Leverage-Induced Fire Sales and Stock Market Crashes In: NBER Working Papers.
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paper2

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