Hao Zhou

Overview

Hao Zhou is a financial economist at the Division of Research and Statistics, Federal Reserve Board (Washington, DC). His research focuses on option-implied information, stochastic volatility risk premia, and the empirical measurement of return-volatility linkages. He is best known for joint work with Tim Bollerslev on estimating and interpreting the volatility risk premium using realized and implied volatility measures.

Key Contributions

• Bollerslev-Zhou (2002): Journal of Econometrics 109: 33–65. Estimated stochastic volatility diffusion parameters using conditional moments of integrated volatility; derived closed-form moment conditions from the Heston model used in the 2006 paper.
• Bollerslev-Zhou (2006): Provided a closed-form Heston-based framework reconciling three return-volatility regression puzzles — the ambiguous sign of the volatility feedback effect, stronger leverage asymmetry in implied than realized volatility, and implied-vol forecasting bias — via two structural parameters: instantaneous leverage $\rho < 0$ and negative volatility risk premium $\lambda_v < 0$.

Related

• Tim Bollerslev
• Stochastic Volatility
• Realized Volatility
• Risk-Return Tradeoff
• Bollerslev-Zhou (2006)