Similar Search Results

Expected stock returns and variance risk premia

Bollerslev, Tim; Tauchen, George Eugene; Zhou, Hao - In: The review of financial studies 22 (2009) 11, pp. 4463-4492

Persistent link: https://www.econbiz.de/10003896321

Bond risk premia and realized jump risk

Wright, Jonathan H.; Zhou, Hao - In: Journal of banking & finance 33 (2009) 12, pp. 2333-2345

Persistent link: https://www.econbiz.de/10003905578

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

Zhang, Benjamin Yibin; Zhou, Hao; Zhu, Haibin - In: The review of financial studies 22 (2009) 12, pp. 5099-5131

Persistent link: https://www.econbiz.de/10003916314

Realized jumps on financial markets and predicting credit spreads

Tauchen, George Eugene; Zhou, Hao - 2006

Persistent link: https://www.econbiz.de/10003391507

Realized jumps on financial markets and predicting credit spreads

Tauchen, George Eugene; Zhou, Hao - 2006

Persistent link: https://www.econbiz.de/10009569792

Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 235-245

Persistent link: https://www.econbiz.de/10009242522

Realized jumps on financial markets and predicting credit spreads

Tauchen, George Eugene; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 102-118

Persistent link: https://www.econbiz.de/10009242533

Short run bond risk premia

Mueller, Philippe; Vedolin, Andrea; Zhou, Hao - 2011

Persistent link: https://www.econbiz.de/10009259807

Variance risk premiums and the forward premium puzzle

Londono, Juan M.; Zhou, Hao - 2012

Persistent link: https://www.econbiz.de/10009698092

Risk, uncertainty, and expected returns

Bali, Turan G.; Zhou, Hao - 2013 - First Draft: March 2011, This Version: January 2013

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market, and industry portfolios as well as individual stocks...

Persistent link: https://www.econbiz.de/10009710603