Hao Zhou 周皓
Senior Economist
Risk Analysis Section, Federal Reserve Board, Washington DC 20551, USA
Phone: 1-202-452-3360, Email: hao.zhou@frb.gov, Fax: 1-202-728-5887
Fields of Interest: Asset Pricing, Derivatives, Macroeconomics, Risk Management
Academic CV (pdf) and Short Biography (pdf)
Working Paper:
- Credit Default Swap Spreads and Variance Risk Premia (with Hao Wang and Yi Zhou), Federal Reserve Board, 2009.
- Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty, Federal Reserve Board, 2009. Economic Uncertainty Index: Variance Risk Premium (pdf figure) and Underlying Raw Data (txt file).
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 observation of VIX-squared 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. The variance risk premium series is updated till October 2009, and the graph above also shows difference of the square-roots of implied and expected variances (in annualized percentage) and the log ratio of implied and expected variances. The variance risk premium variable has been used in several of my research papers: "Volatility Puzzles: A Simple Framework for Gauging Return-Volatility Regressions" (with Tim Bollerslev in Journal of Econometrics 2006), "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities" (with Tim Bollerslev and Mike Gibson in Journal of Econometrics forthcoming), and "Expected Stock Returns and Variance Risk Premia" (with Tim Bollerslev and George Tauchen in Review of Financial Studies forthcoming).
- Assessing the Systemic Risk of a Heterogeneous Portfolio of Banks during Recent Financial Crisis (with Xin Huang and Haibin Zhu), Federal Reserve Board, 2009.
- 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.
Research Publication:
(Working paper versions are available at http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=43702.)
- ''Bond Risk Premia and Realized Jump Risk'' (with Jonathan Wright), Journal of Banking and Finance forthcoming (2009).
- ''A Framework for Assessing the Systemic Risk of Major Financial Institutions'' (with Xin Huang and Haibin Zhu), Journal of Banking and Finance forthcoming (2009).
- ''Dynamic
Estimation of Volatility Risk Premia and Investor Risk Aversion from
Option-Implied and Realized Volatilities'' (with Tim Bollerslev and
Michael Gibson), Journal of Econometrics forthcoming (2009).
- ''Expected Stock Returns and Variance Risk Premia'' (with Tim Bollerslev and George Tauchen), Review of Financial Studies forthcoming (2009).
- ''Realized Jumps on Financial Markets and Predicting Credit Spreads'' (with George Tauchen), Journal of Econometrics forthcoming (2009).
- ''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 (2009).
- ''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.
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