Hao Zhou : Citation Profile


Are you Hao Zhou?

Tsinghua University

16

H index

17

i10 index

1378

Citations

RESEARCH PRODUCTION:

17

Articles

35

Papers

2

Chapters

RESEARCH ACTIVITY:

   17 years (1997 - 2014). See details.
   Cites by year: 81
   Journals where Hao Zhou has often published
   Relations with other researchers
   Recent citing documents: 212.    Total self citations: 27 (1.92 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh134
   Updated: 2017-11-23    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 (28)

Bollerslev, Tim (26)

Asai, Manabu (20)

Bekaert, Geert (18)

Sévi, Benoît (18)

Andersen, Torben (18)

Shephard, Neil (16)

Sarno, Lucio (13)

Barndorff-Nielsen, Ole (13)

Christoffersen, Peter (13)

Tauchen, George (12)

Cites to:

Campbell, John (47)

Bollerslev, Tim (44)

Andersen, Torben (29)

Tauchen, George (25)

Ait-Sahalia, Yacine (18)

Diebold, Francis (18)

Barndorff-Nielsen, Ole (16)

Duffie, Darrell (16)

Singleton, Kenneth (15)

Shephard, Neil (15)

Hansen, Lars (14)

Main data


Where Hao Zhou has published?


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

Working Papers Series with more than one paper published# docs
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)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 (2017 and 2016)


YearTitle of citing document
2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: CREATES Research Papers. RePEc:aah:create:2016-17.

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

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2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Martin, Gael ; Forbes, Catherine ; Maneesoonthorn, Worapree . In: Papers. RePEc:arx:papers:1401.3911.

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2016On the Surprising Explanatory Power of Higher Realized Moments in Practice. (2016). Shen, Keren ; Li, Wai Keung ; Yao, Jianfeng . In: Papers. RePEc:arx:papers:1604.07969.

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2016Risk-Consistent Conditional Systemic Risk Measures. (2016). Hoffmann, Hannes ; Svindland, Gregor ; Meyer-Brandis, Thilo . In: Papers. RePEc:arx:papers:1609.07897.

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2016Predictability Hidden by Anomalous Observations. (2016). Trojani, Fabio ; Scaillet, Olivier ; Camponovo, Lorenzo . In: Papers. RePEc:arx:papers:1612.05072.

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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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2017Dynamic Asset Price Jumps and the Performance of High Frequency Tests and Measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2017Polynomial processes for power prices. (2017). Filipovic, Damir ; Ware, Tony ; Larsson, Martin . In: Papers. RePEc:arx:papers:1710.10293.

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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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2016Tracking Changes in the Intensity of Financial Sectors Systemic Risk. (2016). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp102.

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

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2016Monetary Policy and the Stock Market: Time-Series Evidence. (2016). Weber, Michael ; Neuhierl, Andreas . In: Working Papers. RePEc:bfi:wpaper:2016-26.

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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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2016QE: The Story so far.. (2016). Wieladek, Tomasz ; Roberts-Sklar, Matt ; HALDANE, ANDREW ; Young, Chris . In: Bank of England working papers. RePEc:boe:boeewp:0624.

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2016Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2016_029.

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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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2016Forecasting stock market returns by summing the frequency-decomposed parts. (2016). Verona, Fabio ; Faria, Gonçalo. In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:052016.

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2016Forecasting the equity risk premium with frequency-decomposed predictors. (2016). Verona, Fabio ; Faria, Gonçalo. In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:062016.

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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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2016Monetary Policy and the Stock Market: Time-Series Evidence. (2016). Weber, Michael ; Neuhierl, Andreas . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6199.

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2016Currency Premia and Global Imbalances. (2016). Sarno, Lucio ; Della Corte, Pasquale ; Riddiough, Steven . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11129.

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2016Systemic risk-taking at banks: Evidence from the pricing of syndicated loans. (2016). Wagner, Wolf ; Gong, Di. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11150.

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2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11307.

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2016Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds. (2016). Vogt, Erik ; Crump, Richard ; Adrian, Tobias. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11401.

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2016QE: the story so far. (2016). Wieladek, Tomasz ; Roberts-Sklar, Matt ; HALDANE, ANDREW ; Young, Chris . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11691.

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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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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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2016GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM. (2016). Wu, Xin Yu ; Zhou, Hailin . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:1:p:327-342.

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2016Multiple Attribute Group Decision Making Methods Based on Intuitionistic Fuzzy Generalized Hamacher Aggregation Operator. (2016). Chu, Yanchang ; Rong, Lili ; Liu, Peide . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:2:p:211-230.

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2016Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets. (2016). Große Steffen, Christoph ; Podstawski, Maximilian. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1602.

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2016Examination of the Relationship between Turkey’s Credit Default Swap (CDS) Points and Unemployment. (2016). Ahn, Cumhur ; Altay, Huseyin . In: Eurasian Business & Economics Journal. RePEc:eas:buseco:v:4:y:2016:i:4:p:52-67.

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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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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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2016Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466.

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2016A new approach to risk-return trade-off dynamics via decomposition. (2016). Liu, Xiaochun ; Frazier, David T. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:62:y:2016:i:c:p:43-55.

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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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2016Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange. (2016). Jayawardena, Nirodha I ; Su, Jen-Je ; Li, Bin ; Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:592-608.

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2016Measuring systemic risk using vine-copula. (2016). Pourkhanali, Armin ; Fard, Farzad Alavi ; Tafakori, Laleh ; Kim, Jong-Min . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:63-74.

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2016Volatility risk premium implications of GARCH option pricing models. (2016). Papantonis, Ioannis . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:104-115.

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2016A novel jump diffusion model based on SGT distribution and its applications. (2016). Xu, Weijun ; Li, Hongyi ; Liu, Guifang . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:74-92.

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2016Returns, correlations, and volatilities in equity markets: Evidence from six OECD countries during the US financial crisis. (2016). Kim, Hyun-Seok ; McDonald, Judith A ; Min, Hong-Ghi . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:9-22.

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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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2017Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

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2017The expected real yield and inflation components of the nominal yield curve. (2017). Lange, Ronald H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:1-18.

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2016Corporate bond pricing model with stochastically volatile firm value process. (2016). Kang, Yong Joo ; Ho, Young ; Jang, Woon Wook . In: Economics Letters. RePEc:eee:ecolet:v:148:y:2016:i:c:p:41-44.

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2016A tale of two option markets: Pricing kernels and volatility risk. (2016). SONG, ZHAOGANG ; Xiu, Dacheng . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:176-196.

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2016Methods for measuring expectations and uncertainty in Markov-switching models. (2016). Bianchi, Francesco. In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:79-99.

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2016Long memory affine term structure models. (2016). Golinski, Adam ; Zaffaroni, Paolo ; Goliski, Adam . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:33-56.

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2016A reexamination of stock return predictability. (2016). Choi, Yongok ; Park, Joon Y ; Jacewitz, Stefan . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:168-189.

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2016TENET: Tail-Event driven NETwork risk. (2016). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Yu, Lining ; Wang, Weining . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:499-513.

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2016Inference theory for volatility functional dependencies. (2016). Li, Jia ; Tauchen, George ; Todorov, Viktor . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:17-34.

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2016On the use of high frequency measures of volatility in MIDAS regressions. (2016). Andreou, Elena . In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:367-389.

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2016Estimating dynamic equilibrium models using mixed frequency macro and financial data. (2016). van der Wel, Michel ; Posch, Olaf ; Christensen, Bent Jesper. In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:116-137.

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2016Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Ait-Sahalia, Yacine ; Xiu, Dacheng . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

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2016Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price. (2016). Mykland, Per A ; Zhang, Lan . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:242-262.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2016Impacts of implied volatility on stock price realized jumps. (2016). Huang, Alex Yihou . In: Economic Systems. RePEc:eee:ecosys:v:40:y:2016:i:4:p:622-630.

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2017Federal Reserve credibility and the term structure of interest rates. (2017). Lakdawala, Aeimit ; Wu, Shu. In: European Economic Review. RePEc:eee:eecrev:v:100:y:2017:i:c:p:364-389.

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2016Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach. (2016). Forsyth, P A ; Dang, D M. In: European Journal of Operational Research. RePEc:eee:ejores:v:250:y:2016:i:3:p:827-841.

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2016Market uncertainty, expected volatility and the mispricing of S&P 500 index futures. (2016). Wu, Wei-Shao ; Hsieh, Wen-Liang G ; Tu, Anthony H. In: Journal of Empirical Finance. RePEc:eee:empfin:v:35:y:2016:i:c:p:78-98.

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2016The economic value of predicting bond risk premia. (2016). Wagner, Christian ; Sarno, Lucio ; Schneider, Paul . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:247-267.

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2016Capital asset pricing model: A time-varying volatility approach. (2016). Ho, Kun ; Kim, Taejin . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:268-281.

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2016Bank fragility and contagion: Evidence from the bank CDS market. (2016). Ballester, Laura ; Gonzalez-Urteaga, Ana ; Casu, Barbara . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:394-416.

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2016Business cycle and credit risk modeling with jump risks. (2016). Jang, Bong-Gyu ; Hee, JI ; Rhee, Yuna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pa:p:15-36.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, Peter H. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2017Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

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2017Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

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2016Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility. (2016). Baum, Christopher ; Zerilli, Paola . In: Energy Economics. RePEc:eee:eneeco:v:53:y:2016:i:c:p:175-181.

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2016Convenience yield in commodity price modeling: A regime switching approach. (2016). Almansour, Abdullah . In: Energy Economics. RePEc:eee:eneeco:v:53:y:2016:i:c:p:238-247.

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2016Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market. (2016). DA FONSECA, José ; Ignatieva, Katja ; Ziveyi, Jonathan . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:215-228.

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2017Generating options-implied probability densities to understand oil market events. (2017). Datta, Deepa Dhume ; Ross, Landon J ; Londono, Juan M. In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:440-457.

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2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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2017Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition. (2017). da Fonseca, Jose ; Xu, Yahua. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:410-422.

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2016Variance risk premia in CO2 markets: A political perspective. (2016). Reckling, Dennis . In: Energy Policy. RePEc:eee:enepol:v:94:y:2016:i:c:p:345-354.

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2016The tone of financial news and the perceptions of stock and CDS traders. (2016). Liebmann, Michael ; Neumann, Dirk ; Orlov, Alexei G. In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:159-175.

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2016Will the crisis “tear us apart”? Evidence from the EU. (2016). Ingham, Hilary ; Pappas, Vasileios ; Steele, Gerry ; Izzeldin, Marwan . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:346-360.

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2016Size and power of tests based on Permanent-Transitory Component Models. (2016). Casalin, Fabrizio . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:142-153.

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2016What drives asymmetric dependence structure of asset return comovements?. (2016). Poshakwale, Sunil S ; Mandal, Anandadeep . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:312-330.

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2017Money market funds, shadow banking and systemic risk in United Kingdom. (2017). Pellegrini, Carlo Bellavite ; Urga, Giovanni ; Meoli, Michele . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:163-171.

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2017Can tree-structured classifiers add value to the investor?. (2017). Laborda, Ricardo . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:211-226.

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2017Firm-specific credit risk estimation in the presence of regimes and noisy prices. (2017). Gauthier, Genevieve ; Begin, Jean-Franois ; Boudreault, Mathieu . In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:306-313.

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2017Understanding transactions prices in the credit default swaps market. (2017). Tang, Dragon Yongjun ; Yan, Hong . In: Journal of Financial Markets. RePEc:eee:finmar:v:32:y:2017:i:c:p:1-27.

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2017The impact of central clearing on banks’ lending discipline. (2017). Arnold, M. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:91-114.

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2016CDS pricing and accounting disclosures: Evidence from U.S. bank holding corporations around the recent financial crisis. (2016). Kanagaretnam, Kiridaran ; Zhang, Sanjian Bill . In: Journal of Financial Stability. RePEc:eee:finsta:v:22:y:2016:i:c:p:33-44.

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2016Model risk of risk models. (2016). Danielsson, Jon ; Zer, Ilknur ; Valenzuela, Marcela ; James, Kevin R. In: Journal of Financial Stability. RePEc:eee:finsta:v:23:y:2016:i:c:p:79-91.

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2016Assessing the credit risk of money market funds during the eurozone crisis. (2016). Gallagher, Emily ; Collins, Sean . In: Journal of Financial Stability. RePEc:eee:finsta:v:25:y:2016:i:c:p:150-165.

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2016How much can illiquidity affect corporate debt yield spread?. (2016). Raviv, Alon ; Abudy, Menachem. In: Journal of Financial Stability. RePEc:eee:finsta:v:25:y:2016:i:c:p:58-69.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017Macroprudential policy: A review. (2017). Lehar, Alfred ; Kahou, Mahdi Ebrahimi . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:92-105.

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2017The asymmetric relationship between returns and implied volatility: Evidence from global stock markets. (2017). Uddin, Gazi ; naoui, kamel ; Jlassi, Mouna ; Bekiros, Stelios . In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:156-174.

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2017Capital and resolution policies: The US interbank market. (2017). Capponi, Agostino ; Ong, Stephen J ; Oet, Mikhail V ; Dooley, John M. In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:229-239.

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2017Political uncertainty and a firms credit risk: Evidence from the international CDS market. (2017). Liu, Jinyu ; Zhong, Rui. In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:53-66.

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2017A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches. (2017). Tunaru, Radu ; Cantia, Catalin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:21-35.

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2016The quest for banking stability in the euro area: The role of government interventions. (2016). Paltalidis, Nikos ; Vergos, Konstantinos ; Kizys, Renatas . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:40:y:2016:i:c:p:111-133.

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2016Extreme asymmetric volatility: Stress and aggregate asset prices. (2016). Wagner, Niklas ; Aboura, Sofiane . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:41:y:2016:i:c:p:47-59.

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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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paper97
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: 97
article
2004Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2004) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 97
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: 97
article
2007Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
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paper274
2006Expected stock returns and variance risk premia.(2006) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 274
paper
2009Expected Stock Returns and Variance Risk Premia.(2009) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 274
article
2012Stock Return and Cash Flow Predictability: The Role of Volatility Risk In: CREATES Research Papers.
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paper7
2002Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment. In: Journal of Business & Economic Statistics.
[Citation analysis]
article0
2004Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle In: Journal of Business & Economic Statistics.
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article35
2003Regime-shifts, risk premiums in the term structure, and the business cycle.(2003) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 35
paper
2011Systemic risk contributions In: BIS Papers chapters.
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chapter74
2011Systemic risk contributions.(2011) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 74
paper
2012Systemic Risk Contributions.(2012) In: Journal of Financial Services Research.
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This paper has another version. Agregated cites: 74
article
2005Explaining credit default swap spreads with equity volatility and jump risks of individual firms In: BIS Working Papers.
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paper18
2009A Framework for Assessing the Systemic Risk of Major Financial Institutions In: BIS Working Papers.
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paper141
2009A framework for assessing the systemic risk of major financial institutions.(2009) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 141
article
2009A framework for assessing the systemic risk of major financial institutions.(2009) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 141
paper
2010Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis In: BIS Working Papers.
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paper55
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: 55
article
2009Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis.(2009) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55
paper
2002Term Structure of Interest Rates with Regime Shifts In: Journal of Finance.
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article123
2001Term structure of interest rates with regime shifts.(2001) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 123
paper
2012Ambiguity Aversion and Variance Premium In: Boston University - Department of Economics - Working Papers Series.
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paper6
1997Rural-Urban Disparity and Sectoral Labor Allocation in China In: Working Papers.
[Citation analysis]
paper39
1999Rural-urban disparity and sectoral labour allocation in China.(1999) In: Journal of Development Studies.
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This paper has another version. Agregated cites: 39
article
2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility In: Journal of Econometrics.
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article117
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: 117
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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article0
2006Volatility puzzles: a simple framework for gauging return-volatility regressions In: Journal of Econometrics.
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article74
2011Realized jumps on financial markets and predicting credit spreads In: Journal of Econometrics.
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article42
2006Realized jumps on financial markets and predicting credit spreads.(2006) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 42
paper
2009Bond risk premia and realized jump risk In: Journal of Banking & Finance.
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article31
2014Hot money and quantitative easing: the spillover effect of U.S. monetary policy on Chinese housing, equity and loan markets In: Globalization and Monetary Policy Institute Working Paper.
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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.
[Full Text][Citation analysis]
paper3
2003Itô conditional moment generator and the estimation of short rate processes In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper9
2003Itô Conditional Moment Generator and the Estimation of Short-Rate Processes.(2003) In: Journal of Financial Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 9
article
2003Volatility puzzles: a unified framework for gauging return-volatility regressions In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper6
2005Explaining credit default swap spreads with the equity volatility and jump risks of individual firms In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper117
2009Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 117
article
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.
[Full Text][Citation analysis]
paper9
2011Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2008Specification analysis of structural credit risk models In: Finance and Economics Discussion Series.
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paper12
2010Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper9
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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This paper has another version. Agregated cites: 4
paper
2011Stock return predictability and variance risk premia: statistical inference and international evidence In: Finance and Economics Discussion Series.
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paper40
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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paper21
2011Short Run Bond Risk Premia In: FMG Discussion Papers.
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paper7
2011Comment on Systemic Risks and the Macroeconomy In: NBER Chapters.
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chapter0

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