Hao Zhou : Citation Profile

Tsinghua University

21

H index

22

i10 index

3203

Citations

RESEARCH PRODUCTION:

16

Articles

40

Papers

2

Chapters

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 139
   Journals where Hao Zhou has often published
   Relations with other researchers
   Recent citing documents: 197.    Total self citations: 29 (0.9 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh134
   Updated: 2025-12-13    RAS profile: 2023-03-16    
   Missing citations? Add them    Incorrect content? Let us know

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)

Shephard, Neil (18)

Jahan-Parvar, Mohammad (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)

Hansen, Lars (17)

Engle, Robert (17)

Ait-Sahalia, Yacine (17)

Main data

Where Hao Zhou has published?

Journals with more than one article published# docs
Journal of Econometrics5
The Review of Financial Studies2
Journal of Banking & Finance2
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
NBER Working Papers / National Bureau of Economic Research, Inc2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2

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.

Full description at Econpapers || Download paper

2025Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Cross-sectional Dependence in Idiosyncratic Volatility. (2024). Tewou, Kokouvi ; Kalnina, Ilze. In: Papers. RePEc:arx:papers:2408.13437.

Full description at Econpapers || Download paper

2025Computing Systemic Risk Measures with Graph Neural Networks. (2024). Weber, Niklas ; Meyer-Brandis, Thilo ; Gonon, Lukas. In: Papers. RePEc:arx:papers:2410.07222.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?. (2025). Pollok, Austin. In: Papers. RePEc:arx:papers:2506.07928.

Full description at Econpapers || Download paper

2025Empirical Models of the Time Evolution of SPX Option Prices. (2025). Hsieh, David A ; Brini, Alessio ; Kuiper, Patrick ; Moushegian, Sean ; Ye, David. In: Papers. RePEc:arx:papers:2506.17511.

Full description at Econpapers || Download paper

2025Increasing Systemic Resilience to Socioeconomic Challenges: Modeling the Dynamics of Liquidity Flows and Systemic Risks Using Navier-Stokes Equations. (2025). Gondauri, Davit. In: Papers. RePEc:arx:papers:2507.05287.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025The Rise of Climate Risks: Evidence from Firms Expected Default Frequencies. (2025). Ruggiero, Francesco ; Faralli, Matilde. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_062_25.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Financial uncertainty shocks and systemic risk: Revealing the risk spillover from the oil market to the stock market. (2025). Yi, Heling ; Lyu, Yongjian ; Qin, Zhilong ; Li, Ding ; Zou, Yihan ; Yang, MO. In: Applied Energy. RePEc:eee:appene:v:382:y:2025:i:c:s0306261925000418.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Risk-taking incentives and firm credit risk11The authors thank Kristine W. Hankins (editor), the anonymous associate editor and two anonymous reviewers, workshop participants at Lehigh University, Northwestern University, Southern Methodist University, and the University of Florida; conference participants at the Temple University Accounting 100th Anniversary Conference and the Hawaii Accounting Research Conference; Ray Ball, Sam Bonsall, Brian Cadman, Rachel Hayes, Marcus Kirk, Zawadi Lemayian, Karl Muller, Gans Narayanamoorthy, Matthew Ringgenberg, David Sovich, and Liz Tashjian, and Wei Wang (discussant) for helpful comments. We thank Catherine Blowe and Tian (Terri) Xu for research assistance, and Kai Chen for sharing his executive compensation code. Koharki thanks the Krannert School of Management, and Watson thanks the Villanova School of Business for financial support. All errors are our own. ©2016–2025 Kevin Koharki and Luke Watson.. (2025). Koharki, Kevin ; Watson, Luke. In: Journal of Corporate Finance. RePEc:eee:corfin:v:91:y:2025:i:c:s0929119925000069.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Public data openness and corporate total factor productivity. (2025). Qian, Yifan. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:733-753.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025When uncertainty and volatility are disconnected: Implications for asset pricing and portfolio performance. (2025). At-Sahalia, Yacine ; Matthys, Felix ; Osambela, Emilio ; Sircar, Ronnie. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407623003706.

Full description at Econpapers || Download paper

2025Identifying the volatility risk price through the leverage effect. (2025). Renault, Eric ; Sangrey, Paul ; Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400294x.

Full description at Econpapers || Download paper

2025Predictive quantile regressions with persistent and heteroskedastic predictors: A powerful 2SLS testing approach. (2025). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000569.

Full description at Econpapers || Download paper

2025Cross-sectional dependence in idiosyncratic volatility. (2025). Kalnina, Ilze ; Tewou, Kokouvi. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000570.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Persistent and transient variance components in option pricing models with variance-dependent Kernel. (2024). Ghanbari, Hamed. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000665.

Full description at Econpapers || Download paper

2025CDS and credit: The effect of the bangs on credit insurance, lending and hedging. (2025). Ongena, Steven ; Tmer-Alkan, Gnseli ; Gndz, Yalin ; Yu, Yuejuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000052.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025The tail risk premium in the oil market. (2025). Ellwanger, Reinhard. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007503.

Full description at Econpapers || Download paper

2025Multiscale systemic risk spillovers in Chinese energy market: Evidence from a tail-event driven network analysis. (2025). Zhang, Feipeng ; Yuan, DI ; Zhou, Sitong. In: Energy Economics. RePEc:eee:eneeco:v:142:y:2025:i:c:s0140988324008600.

Full description at Econpapers || Download paper

2025Dynamic connectedness between crude oil futures and energy industrial bond credit spread: Evidence from China. (2025). Ren, Yi-Shuai ; Klein, Tony ; Jiang, Yong ; Liu, Pei-Zhi ; Weber, Olaf. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325001173.

Full description at Econpapers || Download paper

2025Tail risk premium in the crude oil market. (2025). Li, Shenru. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001057.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Does digital transformation affect systemic risk? Evidence from the banking sector in China. (2025). Sun, Naili ; Xia, Yufei ; Li, Yawen. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925002248.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Modeling gasoline price volatility. (2025). Ormos, Mihály ; Kamocsai, Lszl. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016866.

Full description at Econpapers || Download paper

2025Legal system environment and banking risk. (2025). Guo, Man ; Yang, Ruiqi. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325000583.

Full description at Econpapers || Download paper

2025The idiosyncratic volatility of volatility effect in the A-share market: An interpretation based on heterogeneous variance beliefs. (2025). Hu, Zhijun ; Ling, Aifan ; Gao, Xiang. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325001163.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Estimating systemic risk for non-listed Euro-area banks. (2024). Parisi, Laura ; Engle, Robert ; Pizzeghello, Riccardo ; Manganelli, Simone ; Emambakhsh, Tina. In: Journal of Financial Stability. RePEc:eee:finsta:v:75:y:2024:i:c:s1572308924001244.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Aggregate earnings and global equity returns. (2025). Atilgan, Yigit ; Zirek, Duygu ; Tosun, Aynur Dilan ; Gunaydin, Doruk A ; Demirtas, Ozgur K. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:100:y:2025:i:c:s1042443125000150.

Full description at Econpapers || Download paper

2025Financial connectivity in cross-border lending and crises: Role of financial and legislative integration. (2025). Nder, Zeynep ; Demir, Mge. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000277.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025The short-run impact of investor expectations’ past volatility on current predictions: The case of VIX. (2025). Ioan, Roxana ; Dima, Tefana Maria. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:98:y:2025:i:c:s1042443124001501.

Full description at Econpapers || Download paper

2025Preference dynamics and risk-taking incentives. (2025). Cen, Xiao ; Li, Nan ; Tang, Chao ; Wang, Juanting. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:79:y:2025:i:2:s0165410124000697.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

Full description at Econpapers || Download paper

2025Stochastic arbitrage with market index options. (2025). Beare, Brendan ; Zheng, Zhongxi ; Seo, Juwon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:173:y:2025:i:c:s0378426625000160.

Full description at Econpapers || Download paper

2025Fear propagation and return dynamics. (2025). Wang, Kai ; Sun, Yulong ; Zhou, Zhiping. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:173:y:2025:i:c:s0378426625000305.

Full description at Econpapers || Download paper

2025The real side of black swans: Tail risk and corporate investment. (2025). Yang, Liuyong ; Yuan, Jun ; Xu, QI. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:176:y:2025:i:c:s0378426625000883.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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]		paper232
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: 232		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: 232		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: 232		article
2007Expected Stock Returns and Variance Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper850
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: 850		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: 850		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]		article55
2003Regime-shifts, risk premiums in the term structure, and the business cycle.(2003) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		paper
2011Systemic risk contributions In: BIS Papers chapters.
[Full Text][Citation analysis]		chapter171
2011Systemic risk contributions.(2011) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 171		paper
2012Systemic Risk Contributions.(2012) In: Journal of Financial Services Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 171		article
2005Explaining credit default swap spreads with equity volatility and jump risks of individual firms In: BIS Working Papers.
[Full Text][Citation analysis]		paper283
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: 283		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: 283		article
2009A Framework for Assessing the Systemic Risk of Major Financial Institutions In: BIS Working Papers.
[Full Text][Citation analysis]		paper334
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: 334		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: 334		paper
2010Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis In: BIS Working Papers.
[Full Text][Citation analysis]		paper124
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: 124		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: 124		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
1997Rural-Urban Disparity and Sectoral Labor Allocation in China In: Working Papers.
[Citation analysis]		paper69
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: 69		article
2002Estimating stochastic volatility diffusion using conditional moments of integrated volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article188
2004Corrigendum to Estimating stochastic volatility diffusion using conditional moments of integrated volatility [J. Econom. 109 (2002) 33-65].(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 188		article
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: 188		paper
2006Volatility puzzles: a simple framework for gauging return-volatility regressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article135
2011Realized jumps on financial markets and predicting credit spreads In: Journal of Econometrics.
[Full Text][Citation analysis]		article98
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: 98		paper
2009Bond risk premia and realized jump risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article66
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]		paper23
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.
[Full Text][Citation analysis]
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]		paper170
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]		paper139
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]		paper33
2020Does Fiscal Policy Matter for Stock-Bond Return Correlation? In: NBER Working Papers.
[Full Text][Citation analysis]		paper2

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team