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

Zhang, Benjamin Yibin; Zhou, Hao; Zhu, Haibin - 2005

Persistent link: https://www.econbiz.de/10003113897

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

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

Zhang, Benjamin Yibin; Zhou, Hao; Zhu, Haibin - 2005

Persistent link: https://www.econbiz.de/10003234544

Jump-diffusion term structure and Itô conditional moment generator

Zhou, Hao - 2001

Persistent link: https://www.econbiz.de/10001607156

Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty

Zhou, Hao - In: Annual review of financial economics 10 (2018), pp. 481-497

Persistent link: https://www.econbiz.de/10011959905

Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Bollerslev, Tim; Zhou, Hao - In: Journal of econometrics 109 (2002) 1, pp. 33-65

Persistent link: https://www.econbiz.de/10001663892

Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Bollerslev, Tim; Zhou, Hao - 2001

Persistent link: https://www.econbiz.de/10001637889

Volatility puzzles : a unified framework for gauging return-volatility regressions

Bollerslev, Tim; Zhou, Hao - 2003

Persistent link: https://www.econbiz.de/10001787397

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

Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - 2004

Persistent link: https://www.econbiz.de/10002368551

Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty

Zhou, Hao - 2018

This article reviews the predictability evidence on the variance risk premium: ( a) It predicts significant positive risk premia across equity, bond, currency, and credit markets; ( b) the predictability peaks at few-month horizons and dies out afterward; ( c) such a short-run predictability is...

Persistent link: https://www.econbiz.de/10012908354