Hao Zhou : Citation Profile

Are you Hao Zhou?

Tsinghua University

20

H index

22

i10 index

3041

Citations

RESEARCH PRODUCTION:

16

Articles

39

Papers

2

Chapters

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 132
   Journals where Hao Zhou has often published
   Relations with other researchers
   Recent citing documents: 254.    Total self citations: 30 (0.98 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh134
   Updated: 2024-12-03    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

Zhang, Ji (2)

Zha, Tao (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)

Andersen, Torben (30)

Bollerslev, Tim (30)

Bekaert, Geert (26)

ORNELAS, JOSE (22)

Sévi, Benoît (20)

Prokopczuk, Marcel (19)

Jahan-Parvar, Mohammad (18)

Shephard, Neil (18)

Datta, Deepa (15)

Cites to:

Campbell, John (75)

Bollerslev, Tim (63)

Andersen, Torben (40)

Tauchen, George (37)

Diebold, Francis (32)

Shiller, Robert (24)

Shephard, Neil (19)

Engle, Robert (17)

Hansen, Lars (17)

Ait-Sahalia, Yacine (17)

Singleton, Kenneth (16)

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

Recent works citing Hao Zhou (2024 and 2023)

YearTitle of citing document
2023Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan Carlos. In: FEEM Working Papers. RePEc:ags:feemwp:330720.

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2024Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2024Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2023Generalized Autoregressive Score Trees and Forests. (2023). Simsek, Yasin ; Patton, Andrew J. In: Papers. RePEc:arx:papers:2305.18991.

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2023Bayesian SAR model with stochastic volatility and multiple time-varying weights. (2023). Iacopini, Matteo ; Costola, Michele ; Wichers, Casper. In: Papers. RePEc:arx:papers:2310.17473.

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2023Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences. (2023). 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). Huang, Difang ; Wu, Boyao ; Wang, Yuhang ; Chen, Muzi. 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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2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023Generalized Autoregressive Gamma Processes. (2023). Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:23-40.

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2023Interdependence between assets and liabilities in the banking system: changes in the last two decades. (2023). Piersanti, Fabio Massimo ; Michelangeli, Valentina. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_752_23.

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2023The effects of two-way lending between financial conglomerates in bilateral repo markets. (2023). Florez-Acosta, Jorge ; Caon, Carlos ; Gomez, Karoll. In: Borradores de Economia. RePEc:bdr:borrec:1246.

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2023Audit Effort and Stock Price Crash Risk. (2023). Zhou, Wei ; Wu, Liansheng ; Luo, Wei ; Han, Xiaomei. In: Abacus. RePEc:bla:abacus:v:59:y:2023:i:1:p:230-257.

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2023Bank systemic risk: An analysis of the sovereign rating ceiling policy and rating downgrades. (2023). Pham, Thu Phuong ; Zurbruegg, Ralf ; Wasi, Md Abdul. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:411-440.

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2023Equilibrium investment with random risk aversion. (2023). Steffensen, Mogens ; Desmettre, Sascha. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:946-975.

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2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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2023Anticipating extreme losses using score-driven shape filters. (2023). Blazsek, Szabolcs ; Alvaro, Escribano ; Szabolcs, Blazsek ; Astrid, Ayala. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:4:p:449-484:n:1.

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

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2023Differences between NZ and U.S. individual investor sentiment: More noise or more information?. (2023). Wei, Xiaopeng ; Wagner, Moritz ; Biakowski, Jdrzej. In: Working Papers in Economics. RePEc:cbt:econwp:23/11.

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2023MEASURING ASYMMETRIC VOLATILITY OF UK, FRANCE, AND GERMAN STOCK MARKETS. (2023). Iacob, Anca Ioana ; Trivedi, Jatin ; Hawaldar, Iqbal Thonse ; Birau, Ramona ; Spulbar, Cristi. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2023:v:1:p:134-146.

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2023Monitoring Banking System Connectedness with Big Data. (2023). Lopez, Jose ; Hale, Galina. In: Santa Cruz Department of Economics, Working Paper Series. RePEc:cdl:ucscec:qt17h5v7rj.

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2023Global Production Linkages and Stock Market Comovement. (2023). Auer, Raphael A ; Wagner, Alexander F ; Schrimpf, Andreas ; Iwadate, Bruce. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10492.

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2023Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765.

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2023Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768.

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2023Using machine learning to measure financial risk in China. (2023). Ricci, Martino ; Azqueta-Gavaldon, Andres ; Apostolou, Apostolos ; Al-Haschimi, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20232767.

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

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2023Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility. (2023). Lovreta, Lidija ; Forte, Santiago. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119922001900.

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2023Testing factor models when asset bubbles occur: A time-varying perspective. (2023). Li, Yanglin ; Yu, LU. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001232.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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

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2023A description of the COVID-19 outbreak role in financial risk forecasting. (2023). Righi, Marcelo Brutti ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177.

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2023Research on the time-varying effects among green finance markets in China: A fresh evidence from multi-frequency scale perspective. (2023). Chen, Ling ; Fu, Yating ; Xia, Yufei ; Liu, Rongyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000372.

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2023Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578.

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2023Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels. (2023). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s106294082300058x.

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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). Zhang, LU ; Wu, Zhengyu ; Li, Xiaowei. 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). Padungsaksawasdi, Chaiyuth ; Cheuathonghua, Massaporn. 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). Pia, Marco ; Herrera, Rodrigo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615.

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2023Beyond rocket science: A factor model for convertible bond returns. (2023). Yu, Mei ; Wang, Haixu ; Li, Zhiyong. In: Economics Letters. RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523003877.

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

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023A GMM approach to estimate the roughness of stochastic volatility. (2023). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:745-778.

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2023Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347.

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2023Tail-event driven NETwork dependence in emerging markets. (2023). Yousaf, Imran ; Ali, Shoaib ; Yarovaya, Larisa ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000887.

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2023Leverage made at home: Investors margin loan usage and firm leverage. (2023). Niu, Zilong ; Liu, Chunbo. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000158.

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

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2023Out-of-sample equity premium prediction: The role of option-implied constraints. (2023). Zhou, TI ; Wang, Yunqi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:199-226.

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2023Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities. (2023). Park, Jeayoung ; Huh, Sahn-Wook ; Han, Seung-Oh. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:276-307.

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2023Burned by leverage? Flows and fragility in bond mutual funds. (2023). Wedow, Michael ; Weistroffer, Christian ; Vivar, Luis Molestina. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:354-380.

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2023Estimation with mixed data frequencies: A bias-correction approach. (2023). Linton, Oliver ; Ghosh, Anisha. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000701.

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2023Oil price assumptions for macroeconomic policy. (2023). Filis, George ; Degiannakis, Stavros. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005540.

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2023Do oil shocks affect the green bond market?. (2023). Ahmad, Nasir ; Vo, Xuan Vinh ; Zeitun, Rami ; Raheem, Ibrahim D ; Ur, Mobeen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005588.

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2023The connectedness of oil shocks, green bonds, sukuks and conventional bonds. (2023). Sokolova, Tatiana ; Hadhri, Sinda ; Abrar, Afsheen ; Umar, Zaghum. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000609.

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2023Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets. (2023). Zhang, Xinhua ; Tang, Rui ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001378.

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

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2023Climate transition risk in U.S. loan portfolios: Are all banks the same?. (2023). , Eric ; McCarten, Matthew ; Kuruppuarachchi, Duminda ; Diaz-Rainey, Ivan ; Nguyen, Quyen. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003519.

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2023Measuring financial soundness around the world: A machine learning approach. (2023). Mertzanis, Charilaos ; Cerchiello, Paola ; Bitetto, Alessandro. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s105752192200401x.

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2023The change in stock-selection risk and stock market returns. (2023). Liang, Chao ; Toan, Luu Duc ; He, Qiubei ; Liu, Jing. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004070.

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2023On the right jump tail inferred from the VIX market. (2023). Izzeldin, Marwan ; Yao, Xingzhi ; Li, Zhenxiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000236.

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2023Long-term adjusted volatility: Powerful capability in forecasting stock market returns. (2023). Li, Yan ; Liu, Jing ; Qiu, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000467.

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2023Risk appetite and option prices: Evidence from the Chinese SSE50 options market. (2023). Sui, Cong ; Wang, Shouyang ; Liu, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000571.

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2023A comprehensive investigation on the predictive power of economic policy uncertainty from non-U.S. countries for U.S. stock market returns. (2023). Huang, Dengshi ; Bouri, Elie ; Ma, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001722.

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2023Good volatility, bad volatility, and the cross section of cryptocurrency returns. (2023). Zhao, Ran ; Zhang, Zehua. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002284.

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2023Applications of high-frequency data in finance: A bibliometric literature review. (2023). Ahmad, Nisar ; Ahmed, Sheraz ; Hussain, Syed Mujahid. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300306x.

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2023Predicting inflation expectations: A habit-based explanation under hedging. (2023). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003320.

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2023Bitcoin vs. fiat currencies: Insights from extreme dependence and risk spillover analysis with financial markets. (2023). Galariotis, Emilios ; Bouri, Elie ; Abid, Ilyes ; Mzoughi, Hela ; Guesmi, Khaled. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003228.

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2023Market uncertainty, persistent arbitrage-free violation, and price discovery in RMB market. (2023). Yang, Jimmy J ; Chen, Yu-Lun ; Xu, KE. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300412x.

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2023Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295.

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2024Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Ur, Mobeen ; Kashif, Muhammad ; Palwishah, Rana. 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 ; Naka, Atsuyuki ; Shin, Seungho ; French, Joseph J. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400214x.

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2023Can geopolitical risks excite Germany economic policy uncertainty: Rethinking in the context of the Russia-Ukraine conflict. (2023). Hong, Yanran ; Shen, Lihua. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005979.

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2023Sectoral spillovers and systemic risks: Evidence from China. (2023). Liu, Xutang ; Yue, Dianmin ; Goodell, John W ; Chen, Shoudong. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003902.

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2023Uncertainty in systemic risks rankings: Bayesian and frequentist analysis. (2023). Goldman, Elena. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004002.

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2023Interconnectedness of financial institutions based on pledged shares in China. (2023). Liu, Zhidong ; Yan, Guan. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005238.

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2023Cryptocurrency Momentum and VIX premium. (2023). Nie, Wei-Ying ; Chang, Hsuan-Ling ; Yen, Kuang-Chieh ; Cheng, Hung-Wen. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005688.

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2023Influential risk spreaders and their contribution to the systemic risk in the cryptocurrency network. (2023). Wang, Chengjin ; Yang, Ming-Yuan ; Zheng, Chengsi ; Wu, Xin. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005974.

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2023Interdependence between assets and liabilities in the banking system: Changes in the last two decades. (2023). Piersanti, Fabio Massimo ; Michelangeli, Valentina. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006281.

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2023The tail risk surface. (2023). Ahn, Yongkil. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008693.

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2024Determinants of credit default swap spread changes: The sell-side perspective. (2024). Joe, Denis Yongmin ; Park, Haerang ; 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). Shuval, Kerem ; Snunu, Iyad ; David, OR ; Qadan, Mahmoud. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000667.

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2023Developers’ 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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2023Stock illiquidity and option returns. (2023). Uhrig-Homburg, Marliese ; Korn, Olaf ; Kanne, Stefan. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000556.

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2023Options market ambiguity and its information content. (2023). Han, YU ; Chen, Qiang. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000799.

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2023Equity premium prediction: The role of information from the options market. (2023). Voukelatos, Nikolaos ; Panopoulou, Ekaterini ; Apergis, Iraklis ; Alexandridis, Antonios K. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000908.

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2023Job postings and aggregate stock returns. (2023). Odoherty, Michael S ; Kothari, Pratik. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000022.

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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]		paper219
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 nother version. Agregated cites: 219		article
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 nother version. Agregated cites: 219		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: 219		article
2007Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper793
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: 793		paper
2009Expected Stock Returns and Variance Risk Premia.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 793		article
2012Stock Return and Cash Flow Predictability: The Role of Volatility Risk In: CREATES Research Papers.
[Full Text][Citation analysis]		paper23
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]		paper270
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: 270		paper
2009Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms.(2009) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 270		article
2009A Framework for Assessing the Systemic Risk of Major Financial Institutions In: BIS Working Papers.
[Full Text][Citation analysis]		paper326
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: 326		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: 326		paper
2010Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis In: BIS Working Papers.
[Full Text][Citation analysis]		paper121
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: 121		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: 121		paper
2012Ambiguity Aversion and Variance Premium In: Boston University - Department of Economics - Working Papers Series.
[Full Text][Citation analysis]		paper25
2018Ambiguity Aversion and Variance Premium.(2018) In: FRB Atlanta Working Paper.
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This paper has nother version. Agregated cites: 25		paper
1997Rural-Urban Disparity and Sectoral Labor Allocation in China In: Working Papers.
[Citation analysis]		paper68
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: 68		article
2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article180
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: 180		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]		article130
2011Realized jumps on financial markets and predicting credit spreads In: Journal of Econometrics.
[Full Text][Citation analysis]		article92
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: 92		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]		paper19
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: 19		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]		paper31
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: 31		paper
2008Specification analysis of structural credit risk models In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper21
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]		paper162
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]		paper64
2013The systemic risk of European banks during the financial and sovereign debt crises In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper127
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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