Contact Information
202-452-3360
hao.zhou@frb.gov

Fields of Interest
Asset Pricing
Risk Management
Macroeconomics

Education
Ph.D., Economics, Duke University, 2000
M.A., Management, Peking University, 1993
B.A., International Economics, Peking University, 1989

Professional Experience
Board of Governors of the Federal Reserve System, 2000-present
Visiting Professor of Finance, Sloan School of Management, MIT, 2007-2007
Economist, Trading Risk Analysis Section, Federal Reserve Board, 2000-2006
Lecturer, Department of Economics, Duke University, 1999-2000
Consultant, Development Research Center of the State Council, China, 1993-1994
Administrator, Nandan County, Guangxi Province, China, 1989-1990

Selected Publications

• Specification Analysis of Structural Credit Risk Models (with Jing-zhi Huang), Finance and Economics Discussion Series 2008-55. Washington: Board of Governors of the Federal Reserve System, 2008.
• Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data (with Song Han), Finance and Economics Discussion Series 2008-40. Washington: Board of Governors of the Federal Reserve System, 2008.
• Bond Risk Premia and Realized Jump Volatility (with Jonathan Wright), Finance and Economics Discussion Series 2007-22. Washington: Board of Governors of the Federal Reserve System, 2007.
• Expected Stock Returns and Variance Risk Premia (with Tim Bollerlsev), Finance and Economics Discussion Series 2007-11. Washington: Board of Governors of the Federal Reserve System, 2007.
• Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities (with Tim Bollerslev and Mike Gibson), Finance and Economics Discussion Series 2004-56. Washington: Board of Governors of the Federal Reserve System, 2004.
• Jump-Diffusion Term Structure and Ito Conditional Moment Generator , Finance and Economics Discussion Series 2001-28. Washington: Board of Governors of the Federal Reserve System, 2001.
• ''Expected Stock Returns and Variance Risk Premia'' (with Tim Bollerslev and George Tauchen), Review of Financial Studies forthcoming (2008).
• ''Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms'' (with Benjamin Yibin Zhang and Haibin Zhu), Review of Financial Studies forthcoming (2008).
• ''Realized Jumps on Financial Markets and Predicting Credit Spreads'' (with George Tauchen), Journal of Econometrics forthcoming (2008).
• ''Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regressions'' (with Tim Bollerslev), Journal of Econometrics, vol. 131 (2006), pp. 123-150.
• ''Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle'' (with Ravi Bansal and George Tauchen), Journal of Business and Economic Statistics, vol. 22 (October 2004), pp. 396-409.
• ''Ito Conditional Moment Generator and the Estimation of Short Rate Processes,'' Journal of Financial Econometrics, vol. 1 (2003), pp. 250-271.
• ''Comment - Numerical Techniques for Maximum Likelihood Estimation of Continuous - Time Diffiusion Processes,'' Journal of Business and Economic Statistics, vol. 20 (2002), pp. 332-335.
• ''Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility'' (with Tim Bollerslev), Journal of Econometrics, vol. 109 (2002), pp. 33-65.
• ''Term Structure of Interest Rates with Regime Shifts'' (with Ravi Bansal), Journal of Finance, vol. 57 (2002), pp. 1997-2043.
• ''Finite Sample Properties of EMM, GMM, QMLE, and MLE for a Square-Root Interest Rate Diffusion Model,'' Journal of Computational Finance, vol. 5 (2001), pp. 89-122.
• ''Rural-Urban Disparity and Sectoral Labour Allocation in China'' (with Dennis Tao Yang), Journal of Development Studies, vol. 35 (1999), pp. 105-133.