Hao Zhou : Citation Profile

Tsinghua University

21

H index

22

i10 index

3125

Citations

RESEARCH PRODUCTION:

16

Articles

40

Papers

2

Chapters

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 135
   Journals where Hao Zhou has often published
   Relations with other researchers
   Recent citing documents: 133.    Total self citations: 29 (0.92 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh134
   Updated: 2025-05-17    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

Zha, Tao (2)

Zhang, Ji (2)

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

Is cited by:

Londono, Juan M. (41)

Asai, Manabu (36)

Bollerslev, Tim (31)

Andersen, Torben (30)

Bekaert, Geert (26)

ORNELAS, JOSE (22)

Sévi, Benoît (20)

Prokopczuk, Marcel (19)

Jahan-Parvar, Mohammad (18)

Shephard, Neil (18)

Feunou, Bruno (16)

Cites to:

Campbell, John (75)

Bollerslev, Tim (63)

Andersen, Torben (40)

Tauchen, George (37)

Diebold, Francis (32)

Shiller, Robert (24)

Duffie, Darrell (19)

Shephard, Neil (19)

Engle, Robert (17)

Ait-Sahalia, Yacine (17)

Hansen, Lars (17)

Main data

Where Hao Zhou has published?

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

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.)22
BIS Working Papers / Bank for International Settlements3
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2
NBER Working Papers / National Bureau of Economic Research, Inc2

Recent works citing Hao Zhou (2025 and 2024)

YearTitle of citing document
2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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2024Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2025Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences. (2025). Xia, Weixuan. In: Papers. RePEc:arx:papers:2312.00266.

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2024Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy. (2024). Wang, Yuhang ; Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2403.19439.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2024Method of Moments Estimation for Affine Stochastic Volatility Models. (2024). Wu, Yan-Feng ; Yang, Xiangyu ; Hu, Jian-Qiang. In: Papers. RePEc:arx:papers:2408.09185.

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2024Cross-sectional Dependence in Idiosyncratic Volatility. (2024). Tewou, Kokouvi ; Kalnina, Ilze. In: Papers. RePEc:arx:papers:2408.13437.

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2024Computing Systemic Risk Measures with Graph Neural Networks. (2024). Weber, Niklas ; Meyer-Brandis, Thilo ; Gonon, Lukas. In: Papers. RePEc:arx:papers:2410.07222.

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2024Probabilistic Predictions of Option Prices Using Multiple Sources of Data. (2024). Martin, Gael M ; Frazier, David T ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2412.00658.

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2025Density Approximation of Affine Jump Diffusions via Closed-Form Moment Matching. (2025). Hu, Jian-Qiang ; Wu, Yan-Feng. In: Papers. RePEc:arx:papers:2504.06942.

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2025Climate Physical Risk Assessment in Asset Management. (2025). Viola, Lorenzo ; Stocco, Davide ; Ghesini, Matteo ; Azzone, Michele. In: Papers. RePEc:arx:papers:2504.19307.

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2024Dynamic Measures of Sovereign Systemic Risk. (2024). Radev, Deyan. In: Economic Studies journal. RePEc:bas:econst:y:2024:i:5:p:3-24.

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2024The Justification of Complex Systems Analysis in Better Informing Project Decisions: A Study of the us Surface Transportation Board. (2024). Samuel, Apanisile Temitope. In: International Journal of Research and Scientific Innovation. RePEc:bjc:journl:v:11:y:2024:i:8:p:263-280.

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2024Modeling Conditional Factor Risk Premia Implied by Index Option Returns. (2024). Orowski, Piotr ; Jacobs, Kris ; Fournier, Mathieu. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2289-2338.

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2024Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng. In: Statistica Neerlandica. RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104.

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2024Modeling Corporate CDS Spreads Using Markov Switching Regressions. (2024). Casarin, Roberto ; Francesco, Ravazzolo ; Roberto, Casarin ; Giacomo, Bulfone ; Ovielt, Baltodano Lopez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:271-292:n:5.

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2024Long-Term Impacts of Growth and Development Monitoring: Evidence from Routine Health Examinations in Early Childhood. (2024). Liang, Yinhe ; Peng, Xiaobo ; Sun, Meiping Aggie. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10912.

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2024Pursuing a brighter future: Impact of the Hukou reform on human capital investment in migrant children in China. (2024). Shi, Xinjie ; Cheng, Mingwang ; Cai, Liming ; Ye, Juntao. In: China Economic Review. RePEc:eee:chieco:v:85:y:2024:i:c:s1043951x2400049x.

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2024Nominal exchange rates and heterogeneous beliefs. (2024). Lu, Lei ; Jiao, Feng ; Croitoru, Benjamin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924000964.

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2024Estimation of expected return integrating real-time asset prices implied information and historical data. (2024). Li, Zhongfei ; Huang, YI ; Zhu, Shushang ; Wang, Shikun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001234.

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2024Financial shock transmission in Chinas banking and housing sectors: A network analysis. (2024). Yu, Ziliang ; Li, Yang ; Nong, Huifu. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:701-723.

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2024The determinants of systemic risk contagion. (2024). Atasoy, Burak ; Erden, Lutfi ; Ozkan, Brahim. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s026499932300408x.

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2024Multiple time scales investor sentiment impact the stock market index fluctuation: From margin trading business perspective. (2024). Song, Yingying ; Guo, Yanhong ; Chen, Xinxin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s106294082300150x.

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2024Risk-neutral skewness and stock market returns: A time-series analysis. (2024). Wu, Zhengyu ; Li, Xiaowei ; Zhang, LU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001638.

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2024Quantile connectedness of oil price shocks with socially responsible investments. (2024). Umar, Zaghum ; Malik, Farooq. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001894.

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2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

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2024Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods. (2024). Haddou, Samira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000111.

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2024The volume-implied volatility relation in financial markets: A behavioral explanation. (2024). Cheuathonghua, Massaporn ; Padungsaksawasdi, Chaiyuth. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000238.

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2024Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Herrera, Rodrigo ; Pia, Marco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615.

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2024Volatility risk premium, good volatility and bad volatility: Evidence from SSE 50 ETF options. (2024). Li, Zhe ; Xiao, Weilin ; Shen, Jiashuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001311.

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2024Speculative and non-speculative equity premia. (2024). Dorobiala, Zachary ; Ghazi, Soroush ; Schneider, Mark. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524001022.

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2024Measuring tail risk. (2024). Prokopczuk, Marcel ; Dierkes, Maik ; Hollstein, Fabian ; Wursig, Christoph Matthias. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001155.

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2024US uncertainty shocks on real and financial markets: A multi-country perspective. (2024). Uribe, Jorge ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:3:s0939362524000025.

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2024Global contagion of US COVID-19 panic news. (2024). Ho, Young ; Kang, Yong Joo ; Park, Dojoon. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000116.

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2024Macroeconomic news, senior officials speeches, and emerging currency markets: An intraday analysis of price jump reaction. (2024). ben Omrane, Walid ; Ayadi, Mohamed A ; Das, Deepan Kumar. In: Emerging Markets Review. RePEc:eee:ememar:v:60:y:2024:i:c:s1566014124000426.

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2024Instantaneous volatility of the yield curve, variance risk premium and bond return predictability. (2024). Yin, Ximing ; Yang, GE. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000252.

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2024Information acquisition and processing skills of institutions and retail investors around information shocks. (2024). Tsai, Shih-Chuan ; Fung, Scott ; Obaid, Khaled. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000306.

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2024Certainty of uncertainty for asset pricing. (2024). Meng, Lingchao ; Kang, Jie ; Jiang, Fuwei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000367.

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2024Credit default swaps and corporate carbon emissions in Japan. (2024). Okimoto, Tatsuyoshi ; Takaoka, Sumiko. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002123.

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2024How connected is the oil-bank network? Firm-level and high-frequency evidence. (2024). GUPTA, RANGAN ; Gabauer, David ; Zhang, Yunhan ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s014098832400392x.

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2024Forecasting crude oil prices with global ocean temperatures. (2024). Zhang, Yaojie ; He, Mengxi. In: Energy. RePEc:eee:energy:v:311:y:2024:i:c:s0360544224031177.

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2024Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Palwishah, Rana ; Kashif, Muhammad ; Ur, Mobeen. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004350.

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2024Does systemic risk in the fund markets predict future economic downturns?. (2024). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000218.

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2024Uncertainty and international fund flows: A cross-country analysis. (2024). Gurdgiev, Constantin ; French, Joseph ; Shin, Seungho ; Naka, Atsuyuki. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400214x.

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2024How do market volatility and risk aversion sentiment inter-influence over time? Evidence from Chinese SSE 50 ETF options. (2024). Wang, Gang-Jin ; Uddin, Gazi ; Gong, Jue ; Xie, Chi. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003727.

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2024Impact of crude oil price innovations on global stock market volatility: Evidence across time and space. (2024). Xin, YU ; Cao, Hong ; Yin, Libo. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006173.

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2024Determinants of credit default swap spread changes: The sell-side perspective. (2024). Park, Haerang ; Joe, Denis Yongmin ; Oh, Byungmin. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323008462.

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2024The VIXs term structure of individual active stocks. (2024). David, OR ; Qadan, Mahmoud ; Shuval, Kerem ; Snunu, Iyad. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000667.

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2024Developers’ leverage, capital market financing, and fire sale externalities✰. (2024). Saengchote, Kanis. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324003659.

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2024Ambiguous investor sentiment. (2024). Wei, Xiaopeng ; Wagner, Moritz. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008031.

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2024Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2024). Li, Chenxing ; Zhang, Zehua ; Zhao, Ran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008547.

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2024Time-varying co-movement of sovereign credit default swaps markets: Evidence from Asia-Pacific countries. (2024). Kim, Hyunseok ; Lee, Hyunchul. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s154461232401198x.

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2024Carbon VIX: A case of decarbonized SPACs. (2024). Vulanovic, Milos ; Piljak, Vanja ; Tinoco, Mario Hernandez ; Dimic, Nebojsa. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324013898.

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2024Leveraged trading and stock returns: Evidence from international stock markets. (2024). Chen, Zhuo ; Wang, Zhengwei ; Li, Pengfei ; Zhang, Bohui. In: Journal of Financial Markets. RePEc:eee:finmar:v:69:y:2024:i:c:s1386418124000259.

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2024Mispricing of debt expansion in the eurozone sovereign credit market. (2024). Zenios, Stavros ; Lotfi, Somayyeh ; Milidonis, Andreas. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923001158.

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2024Sovereign credit spreads, banking fragility, and global factors. (2024). Valenzuela, Patricio ; Chari, Anusha ; Martinez, Juan Francisco ; Garces, Felipe. In: Journal of Financial Stability. RePEc:eee:finsta:v:72:y:2024:i:c:s1572308924000202.

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2024Probability equivalent level for CoVaR and VaR. (2024). Ortega-Jimenez, Patricia ; Sordo, Miguel A ; Pellerey, Franco ; Suarez-Llorens, Alfonso. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:22-35.

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2024Leveraged finance exposure in the banking system: Systemic risk and interconnectedness. (2024). Stanghellini, Elena ; Tanzi, Musile P ; Ranalli, M G ; de Novellis, G. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001580.

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2024Trade fragmentation and volatility-of-volatility networks. (2024). JAWADI, Fredj ; BASTIDON, Cécile. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001762.

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2024Green bond issuance and credit risk: International evidence. (2024). Shen, Long ; Ballester, Laura ; Gonzalez-Urteaga, Ana. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000799.

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2024International crash risk premium. (2024). Chen, Steven Shu-Hsiu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000805.

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2024Multifactor conditional equity premium model: Evidence from Chinas stock market. (2024). Shi, Yongdong ; Guo, Hui ; Cheng, Hang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000372.

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2024Discount rates and cash flows: A local projection approach. (2024). Lof, Matthijs ; Nyberg, Henri. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000475.

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2024Variance risk premiums in emerging markets. (2024). Zhang, Xiaoyan ; Xu, Lai ; Zhou, Hao ; Qiao, Fang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:167:y:2024:i:c:s0378426624001730.

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2024Asset pricing with time preference shocks: Existence and uniqueness. (2024). Wilms, Ole ; Zhang, Junnan ; Stachurski, John. In: Journal of Economic Theory. RePEc:eee:jetheo:v:216:y:2024:i:c:s0022053123001771.

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2024Ambiguity and private investors’ behavior after forced fund liquidations. (2024). Meyer, Steffen ; Uhr, Charline. In: Journal of Financial Economics. RePEc:eee:jfinec:v:156:y:2024:i:c:s0304405x24000722.

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2024The risk and return of equity and credit index options. (2024). Seo, Sang Byung ; Fournier, Mathieu ; Ericsson, Jan ; Doshi, Hitesh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001557.

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2024Conditional risk. (2024). Gormsen, Niels ; Jensen, Christian Skov. In: Journal of Financial Economics. RePEc:eee:jfinec:v:162:y:2024:i:c:s0304405x24001569.

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2024Bank heterogeneity and financial stability. (2024). Xiang, Haotian ; Shen, Lin ; Kopytov, Alexandr ; Goldstein, Itay. In: Journal of Financial Economics. RePEc:eee:jfinec:v:162:y:2024:i:c:s0304405x24001570.

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2025Arbitrage-based recovery. (2025). Horvath, Ferenc. In: Journal of Financial Economics. RePEc:eee:jfinec:v:163:y:2025:i:c:s0304405x24001922.

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2024Smart systemic-risk scores. (2024). Benoit, Sylvain. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001699.

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2024Global mispricing matters. (2024). Yu, Jiasheng ; Liu, Hongkui ; Tang, Guohao ; Jiang, Fuwei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001232.

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2024Forecasting downside and upside realized volatility: The role of asymmetric information. (2024). Maki, Daiki. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494924000069.

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2024Why do rational investors like variance at the peak of a crisis? A learning-based explanation. (2024). Seo, Sang Byung ; Ghaderi, Mohammad ; Kilic, Mete. In: Journal of Monetary Economics. RePEc:eee:moneco:v:142:y:2024:i:c:s0304393223001009.

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2024The impact of the tail risk of demand on corporate investment: Evidence from Chinese manufacturing firms. (2024). Ge, Yingfan ; Hu, Xueqi ; Li, Xing ; Xu, Xiangyun ; Meng, Jie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24000933.

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2024Publics evaluation of ESG and credit default swap: Evidence from East Asian countries. (2024). Lin, Chih-Yung ; Lu, Chien-Lin ; Chang, Hao-Wen ; Tang, Ning. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x24002646.

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2024Quantifying endogenous and exogenous shocks to financial sector systemic risk: A comparison of GFC and COVID-19. (2024). Umar, Zaghum ; Teplova, Tamara ; Choi, Sun-Yong ; Usman, Muhammad. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:281-293.

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2024Dual effects of investor sentiment and uncertainty in financial markets. (2024). Seok, Sangik ; Cho, Hoon ; Ryu, Doojin. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:300-315.

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2024Tail risk connectedness among GCC banks episodes from the Global Financial Crisis to COVID-19 pandemic. (2024). Maghyereh, Aktham ; Abdoh, Hussein. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:96:y:2024:i:c:s1062976924000759.

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2024Trading activity, risk aversion, and risk neutral skewness: Evidence from SSE 50ETF option. (2024). Jiang, Zhengyun ; Zhou, Xin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:378-399.

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2024Size, value and volatility. (2024). Peterburgsky, Stanley. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:752-763.

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2024Identification of the contagion effect in Chinas financial market uncertainties: A multiscale and dynamic perspective. (2024). Rong, Xueyun ; Wang, Xinya ; Xu, Xin ; Xuan, Siyuan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:1340-1362.

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2024Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics. (2024). Lian, Yu-Min ; Liao, Szu-Lang ; Chen, Jun-Home. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:503-519.

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2024Asset encumbrance in banks: Is systemic risk affected?. (2024). Querci, Francesca ; Ielasi, Federica ; Cipollini, Fabrizio. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002490.

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2024Dynamic spillover and connectedness in higher moments of European stock sector markets. (2024). NEKHILI, Ramzi ; Vo, Xuan Vinh ; Mensi, Walid ; Kang, Sang Hoon. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923002908.

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2024Monetary policy and currency variance risk premia. (2024). Dossani, Asad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000813.

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2024Is climate transition risk priced into corporate credit risk? Evidence from credit default swaps. (2024). Ugolini, Andrea ; Reboredo, Juan ; Ojea-Ferreiro, Javier. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s027553192400165x.

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2024Network structure, dynamic evolution and block characteristics of sovereign debt risk: The global evidence. (2024). Guo, Wenjing ; Zhou, Yuqin ; Song, Ziyu ; Liu, Yilong ; Wu, Shan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s027553192400285x.

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2025Risk sharing framework and systemic tolerance in Indian banks: Double layer network approach. (2025). Sensoy, Ahmet ; Misra, Arun Kumar ; Rahman, Molla Ramizur ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pb:s027553192400429x.

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2025Reaching for yield: evidence from households. (2025). Zhu, Ning ; Smirnova, Oksana ; Peng, Cameron ; Gomes, Francisco. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:125397.

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2024Assessing the Resilience of Islamic Stocks in BRIC Countries: Analyzing Coherence and Cointegration with S&P 500 Options Implied Volatility Smirk during the Global Financial Crisis. (2024). Le, Thi ; Bhuiyan, Tanvir ; Hoque, Ariful. In: IJFS. RePEc:gam:jijfss:v:12:y:2024:i:3:p:67-:d:1432100.

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2024Modeling Risk Sharing and Impact on Systemic Risk. (2024). Farkas, Walter ; Lucescu, Patrick. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:13:p:2083-:d:1427851.

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2024The Impact of Rural–Urban Student Mobility on the Efficiency of Resource Allocation in China’s Rural Households: Optimization or Distortion?. (2024). Li, Xiaoyan ; Wang, Ruonan ; Wei, Jinyang ; Zheng, Fengtian. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:11:p:4452-:d:1400993.

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2025Dynamic Multilayer Network for Systemic Risk and Bank Regulation Based on CDS. (2025). Tang, Miao ; Fan, Hong. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:2:d:10.1007_s10614-023-10508-x.

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2025Prediction and Allocation of Stocks, Bonds, and REITs in the US Market. (2025). Silva, Nuno ; Monteiro, Ana Sofia ; Sebastiao, Helder. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10589-2.

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2024Volatility in U.S. Housing Sector and the REIT Equity Return. (2024). Alam, Masud. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:3:d:10.1007_s11146-022-09897-x.

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2024A two-factor structural model for valuing corporate securities. (2024). Cherif, Rim ; Ben-Abdellatif, Malek ; Ben-Ameur, Hatem ; Remillard, Bruno. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:2:d:10.1007_s11147-024-09203-2.

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2024Contingent Claims and Hedging of Credit Risk with Equity Options. (2024). Salvador, Enrique ; Avino, Davide E. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:14:y:2024:i:2:p:310-348..

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2024The cash-secured put-write strategy and the variance risk premium. (2024). Chadwick, Savannah ; Patel, Pratish ; Raquel, Andrew. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:1:d:10.1057_s41260-023-00333-0.

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2025Examining the role of jumps on the returns and integrated volatility of emerging Asian stock markets during global financial crises and Covid-19: an application of the swap variance jump approach. (2025). Ullah, Mirzat ; Sohag, Kazi ; Zada, Hassan. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:1:d:10.1057_s41260-025-00395-2.

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2024An alternative representation of the C-CAPM with higher-order risks. (2024). Li, Jingyuan ; Dionne, Georges ; Okou, Cedric. In: The Geneva Risk and Insurance Review. RePEc:pal:genrir:v:49:y:2024:i:2:d:10.1057_s10713-023-00085-2.

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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.
[Full Text][Citation analysis]		paper225
2011Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 225		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 nother version. Agregated cites: 225		paper
2005Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities.(2005) In: Proceedings.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 225		article
2007Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper817
2006Expected stock returns and variance risk premia.(2006) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 817		paper
2009Expected Stock Returns and Variance Risk Premia.(2009) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 817		article
2012Stock Return and Cash Flow Predictability: The Role of Volatility Risk In: CREATES Research Papers.
[Full Text][Citation analysis]		paper24
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.
[Full Text][Citation analysis]		article54
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 nother version. Agregated cites: 54		paper
2011Systemic risk contributions In: BIS Papers chapters.
[Full Text][Citation analysis]		chapter168
2011Systemic risk contributions.(2011) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 168		paper
2012Systemic Risk Contributions.(2012) In: Journal of Financial Services Research.
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This paper has nother version. Agregated cites: 168		article
2005Explaining credit default swap spreads with equity volatility and jump risks of individual firms In: BIS Working Papers.
[Full Text][Citation analysis]		paper276
2005Explaining credit default swap spreads with the equity volatility and jump risks of individual firms.(2005) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 276		paper
2009Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 276		article
2009A Framework for Assessing the Systemic Risk of Major Financial Institutions In: BIS Working Papers.
[Full Text][Citation analysis]		paper332
2009A framework for assessing the systemic risk of major financial institutions.(2009) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 332		article
2009A framework for assessing the systemic risk of major financial institutions.(2009) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 332		paper
2010Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis In: BIS Working Papers.
[Full Text][Citation analysis]		paper122
2012Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis.(2012) In: Journal of Financial Stability.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 122		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 nother version. Agregated cites: 122		paper
2012Ambiguity Aversion and Variance Premium In: Boston University - Department of Economics - Working Papers Series.
[Full Text][Citation analysis]		paper26
2018Ambiguity Aversion and Variance Premium.(2018) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 26		paper
1997Rural-Urban Disparity and Sectoral Labor Allocation in China In: Working Papers.
[Citation analysis]		paper67
1999Rural-urban disparity and sectoral labour allocation in China.(1999) In: Journal of Development Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 67		article
2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article184
2001Estimating stochastic volatility diffusion using conditional moments of integrated volatility.(2001) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 184		paper
2004Corrigendum to Estimating stochastic volatility diffusion using conditional moments of integrated volatility [J. Econom. 109 (2002) 33-65] In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2006Volatility puzzles: a simple framework for gauging return-volatility regressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article132
2011Realized jumps on financial markets and predicting credit spreads In: Journal of Econometrics.
[Full Text][Citation analysis]		article97
2006Realized jumps on financial markets and predicting credit spreads.(2006) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 97		paper
2009Bond risk premia and realized jump risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article65
2020Stock-Bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-Monetary Policy Regime In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper4
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.
[Full Text][Citation analysis]		paper0
2001Jump-diffusion term structure and Ito conditional moment generator In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper6
2001Term structure of interest rates with regime shifts In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper8
2003Itô conditional moment generator and the estimation of short rate processes In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper21
2003Itô Conditional Moment Generator and the Estimation of Short-Rate Processes.(2003) In: Journal of Financial Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 21		article
2003Volatility puzzles: a unified framework for gauging return-volatility regressions In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper32
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 nother version. Agregated cites: 32		paper
2008Specification analysis of structural credit risk models In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper22
2010Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper14
2011Credit default swap spreads and variance risk premia In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper2
2011Risk, uncertainty, and expected returns In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper6
2013Risk, Uncertainty, and Expected Returns.(2013) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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This paper has nother version. Agregated cites: 6		paper
2011Stock return predictability and variance risk premia: statistical inference and international evidence In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper166
2015Term Structure of Interest Rates with Short-run and Long-run Risks In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper2
2012Variance risk premiums and the forward premium puzzle In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper69
2013The systemic risk of European banks during the financial and sovereign debt crises In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper135
In: .
[Full Text][Citation analysis]		paper8
2011Comment on Systemic Risks and the Macroeconomy In: NBER Chapters.
[Full Text][Citation analysis]		chapter0
2018Leverage-Induced Fire Sales and Stock Market Crashes In: NBER Working Papers.
[Full Text][Citation analysis]		paper30
2020Does Fiscal Policy Matter for Stock-Bond Return Correlation? In: NBER Working Papers.
[Full Text][Citation analysis]		paper1

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