Hao Zhou - Central Bank Research Hub

Papers by year: All | 2015 | 2014 | 2013 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003

Title Other author(s)

Term Structure of Interest Rates with Short-run and Long-run Risks

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-095, 30.07.2015)

JEL: G12, G13, G14

Hot Money and Quantitative Easing: The Spillover Effects of U.S. Monetary Policy on Chinese Housing, Equity and Loan Markets

Dallas Fed Institute Working Papers [View] (Paper: 0211, 03.12.2014)

JEL: C3, E4, E5, F3

The Systemic Risk of European Banks During the Financial and Sovereign Debt Crisis

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 1083, 03.09.2013)

Variance Risk Premiums and the Forward Premium Puzzle

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 1068, 06.02.2013)

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2011-52, 16.11.2011)

Risk, Uncertainty, and Expected Returns

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2011-45, 09.11.2011)

Systemic Risk Contributions

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2011-08, 28.01.2011)

Credit Default Swap Spreads and Variance Risk Premia

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2011-02, 22.01.2011)

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2010-14, 23.03.2010)

Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis

Bank for International Settlements Working papers [View] (Paper: 296, 22.01.2010)

Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks During the Recent Financial Crisis

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2009-44, 31.10.2009)

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2009-37, 18.09.2009)

JEL: C13, G14, G21, G28

Credit frictions and optimal monetary policy

Bank for International Settlements Working papers [View] (Paper: 281, 29.04.2009)

JEL: C13, G14, G21, G28

Specification Analysis of Structural Credit Risk Models

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2008-55, 18.11.2008)

JEL: C51, C52, G12, G13

Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2008-40, 13.09.2008)

JEL: G12, G13, G14

Bond Risk Premia and Realized Jump Volatility

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2007-22, 01.06.2007)

JEL: C22, E43, G12, G14

Expected Stock Returns and Variance Risk Premia

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2007-11, 01.05.2007)

JEL: G12, G14

Realized Jumps on Financial Markets and Predicting Credit Spreads

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2006-35, 01.11.2006)

JEL: C22, G13, G14

Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2005-63, 20.12.2005)

JEL: C14, G12, G13

Explaining credit default swap spreads with equity volatility and jump risks of individual firms

Bank for International Settlements Working papers [View] (Paper: 181, 18.09.2005)

JEL: C14, G12, G13

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2004-56, 28.10.2004)

JEL: C51, C52, G12, G13

Volatility Puzzles: A Unified Framework for Gauging Return-Volatility Regressions

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2003-40, 27.08.2003)

JEL: C22, C51, G12

Itô Conditional Moment Generator and the Estimation of Short Rate Processes

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2003-32, 22.08.2003)

JEL: C51, C52, G12

Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2003-21, 19.06.2003)

Papers by year: All | 2015 | 2014 | 2013 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003