Working Paper:
- Risk, Uncertainty, and Expected Returns (with Turan Bali), Federal Reserve Board, 2011.
- Short-Run Bond Risk Premia (with Philippe Mueller and Andrea Vedolin), Federal Reserve Board, 2011.
- Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence (with Tim Bollerslev, James Marrone, and Lai Xu), Federal Reserve Board, 2011.
- Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty, Federal Reserve Board, 2010. Economic Uncertainty Index or Variance Risk Premium (pdf figure) and Underlying Data (txt file) are updated till December 2011.
The
variance risk premium is defined as the difference between the
risk-neutral and objective expectations of realized variance, where the
risk-neutral expectation of variance is
measured as the end-of-month VIX-squared de-annualized (VIX^2/12) and the
realized variance
is the sum of squared 5-minute log returns of the S&P 500 index
over the month. Both variance measures are of monthly basis in
percentage-squared and are available in real time at the end of
observation month. Expected variance is a statistical forecast of realized variance: the one using simple lag realized variance is suitable for forecasting and prediction exercises (Bollerslev, Tauchen, and Zhou 2009), while the one as a forecast by lag implied and realized variances is suitable for model evaluations (Drechsler and Yaron 2011).
- Credit Default Swap Spreads and Variance Risk Premia (with Hao Wang and Yi Zhou), Federal Reserve Board, 2010.
- Specification Analysis of Structural Credit Risk Models (with Jing-zhi Huang), Federal Reserve Board, 2008.
- Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data (with Song Han), Federal Reserve Board, 2008.
Award & Honor:
- “Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence,” with Tim Bollerslev, James Marrone, and Lai Xu, China International Conference in Finance Best Paper Award, 2011.
- “Variance Risk Premia, Asset Predictability Puzzles, and
Macroeconomic Uncertainty,” Crowell Memorial Prize 3rd Place by PanAgora Asset Management, 2010.
- “Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty,” Chicago Quantitative Alliance (CQA) Academic Competition 3rd Place, 2009.
- “Assessing the Systemic Risk of a Heterogeneous
Portfolio of Banks during the Recent Financial Crisis,” with Xin Huang
and Haibin Zhu, BankScope Best Paper Prize of the 22nd
Australasian Finance and Banking Conference (AFBC), 2009.
- “Credit Default Swap Spreads and Variance Risk Premia,” with Hao Wang and Yi Zhou，Imperial College London Centre for Hedge Fund Research (CHFR) Research Proposal Award, 2009.
- “Credit Default Swap Spreads and Variance Risk Premia,” with Hao Wang and Yi Zhou，Global Association of Risk Professionals (GARP) Research Proposal Award, 2009.
- “A Framework for Assessing the Systemic Risk of Major Financial Institutions,” with Xin Huang and Haibin Zhu, Bocconi Centre for Applied Research in Finance (CAREFIN) Research Proposal Award, 2008.
- “Short Course on Asset Pricing Puzzles,” China Center for Economic Research (CCER) of Peking University, Oversea Young Chinese Forum (OYCF) Gregory C. and Paula K. Chow Teaching Fellowship, 2005.
Research Publication:
(Working paper versions are available at http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=43702)
- “Systemic Risk Contributions,” with Xin Huang and Haibin Zhu, Journal of Financial Services Research, forthcoming, 2011.
- “Assessing the Systemic Risk of a Heterogeneous
Portfolio of Banks during the Recent Financial Crisis,” with Xin Huang
and Haibin Zhu, Journal of Financial Stability, forthcoming, 2011.
- “Realized Jumps on Financial Markets and Predicting Credit Spreads,” with George Tauchen, Journal of Econometrics, vol. 160, pages 235-245, 2011.
- “Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities,” with Tim Bollerslev and Mike Gibson, Journal of Econometrics, vol. 160, pages 102-118, 2011.
- “Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms,” with Ben Zhang and Haibin Zhu, Review of Financial Studies, vol. 22, pages 5099-5131, 2009.
- “Bond Risk Premia and Realized Jump Risk,” with Jonathan Wright, Journal of Banking and Finance, vol. 33, pages 2333-2345, 2009.
- “A Framework for Assessing the Systemic Risk of Major Financial Institutions,” with Xin Huang and Haibin Zhu, Journal of Banking and Finance, vol. 33, pages 2036-2049, 2009.
- “Expected Stock Returns and Variance Risk Premia,” with Tim Bollerslev and George Tauchen, Review of Financial Studies, vol. 22, pages 4463-4492, 2009.
- “Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regressions,” with Tim Bollerslev, Journal of Econometrics, vol. 131, pages 123-150, 2006.
- “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, pages 396-409, 2004.
- “Ito Conditional Moment Generator and the Estimation of Short Rate Processes,” Journal of Financial Econometrics, vol. 1, pages 250-271, 2003.
- “Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility,” with Tim Bollerslev, Journal of Econometrics, vol. 109, pages 33-65, 2002.
- “Term Structure of Interest Rates with Regime Shifts,” with Ravi Bansal, Journal of Finance, vol. 57, pages 1997-2043, 2002.
- “Finite Sample Properties of EMM, GMM, QMLE, and MLE for a Square-Root Interest Rate Diffusion Model,” Journal of Computational Finance, vol. 2, pages 89-122, 2001.
- “Rural-Urban Disparity and Sectoral Labor Allocation in China,” with Dennis Tao Yang, Journal of Development Studies, vol. 35, pages 105-133, 1999.
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