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Details about Chen Zhou

E-mail:
Homepage:http://people.few.eur.nl/zhou
Workplace:de Nederlandsche Bank (Netherlands Central Bank), (more information at EDIRC)
Econometrisch Instituut (Econometric Institute), Faculteit der Economische Wetenschappen (Erasmus School of Economics), Erasmus Universiteit Rotterdam (Erasmus University of Rotterdam), (more information at EDIRC)

Access statistics for papers by Chen Zhou.

Last updated 2018-12-11. Update your information in the RePEc Author Service.

Short-id: pzh286


Jump to Journal Articles

Working Papers

2016

  1. Deflation risk in the euro area and central bank credibility
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (3)
  2. Estimating Systematic Risk Under Extremely Adverse Market Conditions
    Staff Working Papers, Bank of Canada Downloads
  3. Why risk is so hard to measure
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) Downloads View citations (2)

2015

  1. Systemic risk of European banks: Regulators and markets
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (2)

2014

  1. Statistics of Heteroscedastic Extremes
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    See also Journal Article in Journal of the Royal Statistical Society Series B (2016)
  2. Systemic risk and bank business models
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (7)
  3. The determinants of systemic importance
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads

2013

  1. "Too big to fail" or "Too non-traditional to fail"?: The determinants of banks' systemic importance
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
  2. Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk
    Working Papers, Chapman University, Economic Science Institute Downloads
  3. Systematic tail risk
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (3)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2016)
  4. Systemic Risk Allocation for Systems with A Small Number of Banks
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (1)
  5. The cross-section of tail risks in stock returns
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  6. The drivers of downside equity tail risk
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2012

  1. Estimation of the Marginal Expected Shortfall: The Mean when a Related Variable is Extreme
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (5)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2015)
  2. Identifying systemically important financial institutions: size and other determinants
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (11)

2011

  1. Averting Currency Crises: The Pros and Cons of Financial Openness
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Have market views on the sustainability of fiscal burdens influenced monetary authorities' credibility?
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (2)
  3. Systematic risk under extremely adverse market condition
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (6)
  4. The simple econometrics of tail dependence
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads
    See also Journal Article in Economics Letters (2012)

2010

  1. Can Financial Openness Help Avoid Currency Crises?
    MPRA Paper, University Library of Munich, Germany Downloads
  2. The power of weather
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2012)
  3. Why the micro-prudential regulation fails? The impact on systemic risk by imposing a capital requirement
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (1)

2009

  1. Are banks too big to fail?
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (17)
  2. Can Open Capital Markets Help Avoid Currency Crises?
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (7)
  3. Did the crisis affect inflation expectations?
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (12)
    See also Journal Article in International Journal of Central Banking (2011)

2008

  1. Did the anchor of inflation expectations in the euro area turn adrift?
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (2)
  2. The Extent of Internet Auction Markets
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. The power of weather. Some empirical evidence on predicting day-ahead power prices through weather forecasts
    Working Paper, Norges Bank Downloads View citations (1)

2007

  1. The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

Journal Articles

2016

  1. Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
    Finance and Stochastics, 2016, 20, (2), 321-354 Downloads View citations (4)
  2. Statistics of heteroscedastic extremes
    Journal of the Royal Statistical Society Series B, 2016, 78, (1), 31-51 Downloads View citations (16)
    See also Working Paper (2014)
  3. Systematic Tail Risk
    Journal of Financial and Quantitative Analysis, 2016, 51, (2), 685-705 Downloads View citations (3)
    See also Working Paper (2013)

2015

  1. Estimation of the marginal expected shortfall: the mean when a related variable is extreme
    Journal of the Royal Statistical Society Series B, 2015, 77, (2), 417-442 Downloads View citations (8)
    See also Working Paper (2012)

2014

  1. Diagnosing the distribution of GARCH innovations
    Journal of Empirical Finance, 2014, 29, (C), 287-303 Downloads View citations (13)

2013

  1. Looking at the tail: price-based measures of systemic importance
    BIS Quarterly Review, 2013 Downloads View citations (3)
  2. The impact of imposing capital requirements on systemic risk
    Journal of Financial Stability, 2013, 9, (3), 320-329 Downloads View citations (8)
  3. The number of active bidders in internet auctions
    Journal of Economic Theory, 2013, 148, (4), 1726-1736 Downloads View citations (1)

2012

  1. Exceedance probability of the integral of a stochastic process
    Journal of Multivariate Analysis, 2012, 105, (1), 241-257 Downloads
  2. The power of weather
    Computational Statistics & Data Analysis, 2012, 56, (11), 3793-3807 Downloads View citations (22)
    See also Working Paper (2010)
  3. The simple econometrics of tail dependence
    Economics Letters, 2012, 116, (3), 371-373 Downloads View citations (6)
    See also Working Paper (2011)

2011

  1. Did the Crisis Affect Inflation Expectations?
    International Journal of Central Banking, 2011, 7, (1), 167-207 Downloads View citations (47)
    See also Working Paper (2009)

2010

  1. Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions
    International Journal of Central Banking, 2010, 6, (34), 205-250 Downloads View citations (50)
  2. Dependence structure of risk factors and diversification effects
    Insurance: Mathematics and Economics, 2010, 46, (3), 531-540 Downloads View citations (18)
  3. The extent of the maximum likelihood estimator for the extreme value index
    Journal of Multivariate Analysis, 2010, 101, (4), 971-983 Downloads View citations (5)

2009

  1. Existence and consistency of the maximum likelihood estimator for the extreme value index
    Journal of Multivariate Analysis, 2009, 100, (4), 794-815 Downloads View citations (6)
 
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