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

Huang, Xin; Zhou, Hao; Zhu, Haibin - 2009

Persistent link: https://www.econbiz.de/10003932724

Stock return predictability and variance risk premia : statistical inference and international evidence

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Risk, uncertainty, and expected returns

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Systemic risk contributions

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Persistent link: https://www.econbiz.de/10009405766

Expected stock returns and variance risk premia

Bollerslev, Tim; Zhou, Hao - 2007

Persistent link: https://www.econbiz.de/10003826928

Term structure of interest rates with regime shifts

Bansal, Ravi; Zhou, Hao - 2001

Persistent link: https://www.econbiz.de/10001637850

Estimating stochastic volatility diffusion using conditional moments of integrated volatility

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Jump-diffusion term structure and Itô conditional moment generator

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Regime-shifts, risk premiums in the term structure, and the business cycle

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Credit Default Swap Spreads and Variance Risk Premia

Zhou, Hao - 2011

We find that firm-level variance risk premium, estimated as the difference between option-implied and expected variances, has a prominent explanatory power for credit spreads in the presence of market- and firm-level risk control variables identified in the existing literature. Such a...

Persistent link: https://www.econbiz.de/10013118597