TheEconomists
202-452-3360
hao.zhou@frb.gov
hao.zhou@frb.gov
Education
- Ph.D., Economics, Duke University, 2000
- M.A., Management, Peking University, 1993
- B.A., Economics, Peking University, 1989
Current Research Topics
- Variance Risk Premia and Asset Pricing
- Market Volatility and Return Predictability
Fields of Interest
Professional Experience
Economist and Senior Economist
Board of Governors of the Federal Reserve System
- 2000 - present
Visiting Professor of Finance
Sloan School of Management, Massachusetts Institute of Technology
- 2007
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
Publications
- Miao, Jianjun, Bin Wei, and Hao Zhou (2012). "Ambiguity Aversion and Variance Premium," Working Papers Series WP2012-009. Boston University, Department of Economics.
- Mueller, Philippe, Andrea Vedolin, and Hao Zhou (2011). "Short Run Bond Risk Premia," FMG Discussion Papers 686. Financial Markets Group.
- Bali, Turan G., and Hao Zhou (2011). "Risk, Uncertainty, and Expected Returns," Finance and Economics Discussion Series 2011-45. Board of Governors of the Federal Reserve System (U.S.).
- Bollerslev, Tim, James Marrone, Lai Xu, and Hao Zhou (2011). "Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence," Finance and Economics Discussion Series 2011-52. Board of Governors of the Federal Reserve System (U.S.).
- Huang, Xin, Hao Zhou, and Haibin Zhu (2011). "Systemic Risk Contributions," Finance and Economics Discussion Series 2011-08. Board of Governors of the Federal Reserve System (U.S.).
- Wang, Hao, Hao Zhou, and Yi Zhou (2010). "Credit Default Swap Spreads and Variance Risk Premia," Finance and Economics Discussion Series 2011-02. Board of Governors of the Federal Reserve System (U.S.).
- Zhou, Hao (2010). "Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty," Finance and Economics Discussion Series 2010-14. Board of Governors of the Federal Reserve System (U.S.).
- Han, Song, and Hao Zhou (2008). "Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Finance and Economics Discussion Series 2008-40. Board of Governors of the Federal Reserve System (U.S.).
- Huang, Jing-zhi, and Hao Zhou (2008). "Specification Analysis of Structural Credit Risk Models," Finance and Economics Discussion Series 2008-55. Board of Governors of the Federal Reserve System (U.S.).
- Huang, Xin, Hao Zhou, and Haibin Zhu (Forthcoming). "Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during the Recent Financial Crisis," Journal of Financial Stability.
- Bollerslev, Tim, George Tauchen, and Hao Zhou (forthcoming). "Expected Stock Returns and Variance Risk Premia," Review of Financial Studies.
- Tauchen, George, and Hao Zhou (forthcoming). "Realized Jumps on Financial Markets and Predicting Credit Spreads," Journal of Econometrics.
- Zhang, Benjamin Yibin, Hao Zhou, and Haibin Zhu (forthcoming). "Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms," Review of Financial Studies.
- Zhou, Hao, and Jonathan Wright (forthcoming). "Bond Risk Premia and Realized Jump Risk," Journal of Banking and Finance.
- Bollerslev, Tim, Michael Gibson, and Hao Zhou (2011). "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," Journal of Econometrics, vol. 160, no. 1, pp. 235-245.
- Zhou, Hao, and Xin and Zhu Huang Haibin (2009). "A Framework for Assessing the Systemic Risk of Major Financial Institutions," Journal of Banking and Finance, vol. 11, pp. 2036-2049.
- Bollerslev, Tim, and Hao Zhou (2006). "Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regressions," Journal of Econometrics, vol. 131, no. 1-2, pp. 123-150.
- Bansal, Ravi, George Tauchen, and Hao Zhou (2004). "Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle," Journal of Business and Economic Statistics, vol. 22, no. 4, pp. 396-409.
- Bollerslev, Tim, and Hao Zhou (2004). "Corrigendum to Estimating Stochastic Volatility Diffusion using Conditional Moments of Integrated Volatility," Journal of Econometrics, vol. 119, no. 1, pp. 221-222.
- Zhou, Hao (2003). "Ito Conditional Moment Generator and the Estimation of Short-Rate Processes," Journal of Financial Econometrics, vol. 1, no. 2, pp. 250-271.
- Bansal, Ravi, and Hao Zhou (2002). "Term Structure of Interest Rates with Regime Shifts," Journal of Finance, vol. 57, no. 5, pp. 1997-2043.
- Bollerslev, Tim, and Hao Zhou (2002). "Estimating Stochastic Volatility Diffusion using Conditional Moments of Integrated Volatility," Journal of Econometrics, vol. 109, no. 1, pp. 33-65.
- Zhou, Hao (2002). "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment," Journal of Business and Economic Statistics, vol. 20, no. 3, pp. 333-335.
- Zhou, Hao (2001). "Finite Sample Properties of EMM, GMM, QMLE and MLE for a Square-Root Interest Rate Diffusion Model," Journal of Computational Finance, vol. 5, no. 2, pp. 89-122.
- Zhou, Hao (2000). "Essays on Models of the Term Structure of Interest Rates and Econometric Methods for Continuous Time Stochastic Processes," Ph.D dissertation, Duke University.
- Yang, Dennis Tao, and Hao Zhou (1999). "Rural-Urban Disparity and Sectoral Labour Allocation in China," Journal of Development Studies, vol. 35, no. 3, pp. 105-133.
Presentations
conference
2012
Carefin-Bocconi Conference "The effect of tighter regulatory requirements on bank profitability and risk-taking incentives"
The Systemic Risk of European Banks during the Financial and Sovereign Debt Crises
conference
2012
Volatility Institute Conference at NYU Stern
Predicting Stock Returns with Variance Risk Premia: Statistical Inference and International Evidence
conference
2012
European Summer Symposium in Financial Markets (Asset Pricing) in Gerzensee
Predicting Stock Returns with Variance Risk Premia: Statistical Inference and International Evidence
conference
2012
McGill/IFM2 Financial Risk Management Conference
Stock Return Volatility and Capital Structure Decisions
conference
2012
Risk Management Conference at National University of Singapore
Stock Return Volatility and Capital Structure Decisions
conference
2012
Five Star Financial Forum in Beijing
Stock Return Volatility and Capital Structure Decisions
conference
2012
FDIC Annual Derivative and Risk Management Conference
Short-Run Bond Risk Premia
conference
2012
China International Conference in Finance in Chongqing
Short-Run Bond Risk Premia
conference
2012
Singapore International Conference on Finance
Risk, Uncertainty, and Expected Returns
conference
2012
China International Conference in Finance in Chongqing
Risk, Uncertainty, and Expected Returns
conference
2012
Norwegian Business School Workshop on Time-Varying Expected Returns
Risk, Uncertainty, and Expected Returns
seminar
2012
Cheung Kong Graduate School of Business
Risk, Uncertainty, and Expected Returns
conference
2012
Finance Down Under Conference in Melbourne
Risk, Uncertainty, and Expected Returns
Other Activities
Awards
2012
Whitebox Selected Research
Best Financial Research Paper (finalist)
2011
China International Conference in Finance
Best Paper Award
2010
PanAgora Asset Management
Crowell Memorial Prize
2009
Chicago Quantitative Alliance
CQA Academic Competition Award
2009
Australasian Finance and Banking Conference
BankScope Best Paper Prize
2009
Global Association of Risk Professionals
GARP Research Proposal Award
2009
Imperial College London Centre for Hedge Fund Research
CHFR Research Proposal Award
2008
Bocconi Centre for Applied Research in Finance
CAREFIN Research Proposal Award
2005
Oversea Young Chinese Forum
Gregory C. and Paula K. Chow Teaching Fellowship
Conference Organization
July 2012 Singapore
Sixth Annual Risk Management Conference - Systematic and Systemic Risks
Organizer
March 2008 Amsterdam
Basel Committee of Banking Supervision Research Task Force Conference on Stress Testing
Organizer
March 2007 Washington DC
Federal Reserve Conference on Credit Risk and Credit Derivatives
Organizer
July 2005 Washington DC
Federal Reserve Conference on Financial Market Risk Premiums
Organizer
Referee
- American Economic Review
- Econometrica
- Economic Theory
- European Financial Management
- International Journal of Central Banking
- Finance Research Letters
- Journal of Applied Econometrics
- Journal of Banking and Finance
- Journal of Business and Economic Statistics
- Journal of Credit Risk
- Journal of Econometrics
- Journal of Economic and Dynamic Control
- Journal of Empirical Finance
- Journal of Finance
- Journal of Financial and Quantitative Analysis
- Journal of Financial Econometrics
- Journal of Financial Markets
- Journal of Financial Stability
- Journal of Futures Markets
- Journal of International Money and Finance
- Journal of Money, Credit, and Banking
- Management Sciences
- Pacific-Basin Finance Journal
- Review of Financial Studies
Professional Affiliation
- American Economic Association
- American Finance Association
- Econometric Society
- Western Finance Association
Last update:
August 20, 2012