de Haan, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393.
Chen Zhou
University
Erasmus University Rotterdam
E-mail
Research field
Econometrics
Interests
Banking, Finance, Risk Management
Website
Key publications
Ahmed, H., Einmahl, JohnH.J. and Zhou, C. (2024). Extreme value statistics in semi-supervised models Journal of the American Statistical Association, :.
Einmahl, JohnH.J., Yang, F. and Zhou, C. (2021). Testing the Multivariate Regular Variation Model Journal of Business and Economic Statistics, 39(4):907--919.
de Haan, L. and Zhou, C. (2020). Trends in extreme value indices Journal of the American Statistical Association, 116(535):1265--1279.
Zhou, C. (2019). Book review: Risk Theory: A Heavy Tail Approach Journal of the American Statistical Association, 114:1424--1425.
van Oordt, M. and Zhou, C. (2019). Systemic risk and bank business models Journal of Applied Econometrics, 34(3):365--384.
de Haan, L., de Vries, C. and Zhou, C. (2013). The number of active bidders in internet auctions Journal of Economic Theory, 148(4):1726--1736.
List of publications
de Haan, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393.
Ahmed, H., Einmahl, JohnH.J. and Zhou, C. (2024). Extreme value statistics in semi-supervised models Journal of the American Statistical Association, :.
Oorschot, J. and Zhou, C. (2021). TAIL DEPENDENCE OF OLS Econometric Theory, 38(2):273--300.
Qin, X. and Zhou, C. (2021). Systemic risk allocation using the asymptotic marginal expected shortfall Journal of Banking and Finance, 126:.
Einmahl, J., Ferreira, A., De Haan, L., Neves, C. and Zhou, C. (2021). Spatial dependence and space-time trend in extreme events Annals of Statistics, accepted:.
Chen, L., Li, D.(. and Zhou, C. (2021). Distributed Inference for Extreme Value Index Biometrika, accepted:.
Einmahl, JohnH.J., Yang, F. and Zhou, C. (2021). Testing the Multivariate Regular Variation Model Journal of Business and Economic Statistics, 39(4):907--919.
Zhou, C. (2020). Discussion on {\textquoteleft}Graphical models for extremes{\textquoteright} by Sebastian Engelke and Adrien Hitz Journal of the Royal Statistical Society. Series B. Statistical Methodology, 82(4):928--928.
de Haan, L. and Zhou, C. (2020). Trends in extreme value indices Journal of the American Statistical Association, 116(535):1265--1279.
Van Oordt, M.R.C. and Zhou, C. (2019). Estimating systematic risk under extremely adverse market conditions Journal of Financial Econometrics, 17(3):432--461.
Zhou, C. (2019). Book review: Risk Theory: A Heavy Tail Approach Journal of the American Statistical Association, 114:1424--1425.
van Oordt, M. and Zhou, C. (2019). Systemic risk and bank business models Journal of Applied Econometrics, 34(3):365--384.
Galati, G., Gorge, Z., Moessner, R. and Zhou, C. (2018). Deflation risk in the euro area and central bank credibility Economics Letters, 167:124--126.
Xiao, X. and Zhou, C. (2018). The decomposition of jump risks in individual stock returns Journal of Empirical Finance, 47:207--228.
de Haan, L., Mercadier, C. and Zhou, C. (2015). Adapting extreme value statistics to financial time series: dealing with bias and serial dependence Finance and Stochastics, 20(2):321--354.
Van Oordt, M.R.C. and Zhou, C. (2016). Systematic tail risk Journal of Financial and Quantitative Analysis, 52(2):685--705.
Einmahl, J., De Haan, L. and Zhou, C. (2016). Statistics of heteroscedastic extremes Journal of the Royal Statistical Society. Series B. Statistical Methodology, 78(1):31--51.
Sun, P. and Zhou, C. (2014). Diagnosing the distribution of GARCH innovations Journal of Empirical Finance, 29:287--303.
Cai, J., Einmahl, J., De Haan, L. and Zhou, C. (2014). Estimation of the marginal expected shortfall: the mean when a related variable is extreme Journal of the Royal Statistical Society. Series B. Statistical Methodology, 77(2):417--442.
de Haan, L., de Vries, C. and Zhou, C. (2013). The number of active bidders in internet auctions Journal of Economic Theory, 148(4):1726--1736.
Zhou, C. (2013). The impact of imposing capital requirement on systemic risk Journal of Financial Stability, 9(3):320--329.
Oordt, MaartenR.C.van and Zhou, C. (2012). The simple econometrics of tail dependence Economics Letters, 116(3):313--373.
Galati, G., Poelhekke, S. and Zhoua, C. (2011). Did the crisis affect inflation expectations? International Journal of Central Banking, 7(1):167--207.
Zhou, C. (2010). Are banks too big to fail? Measuring systemic importance of financial institutions International Journal of Central Banking, 6(4):205--250.
Zhou, C. (2010). Dependence structure of risk factors and diversification effects Insurance, 46(3):531--540.