Details about Chen Zhou

Access statistics for papers by Chen Zhou.

Last updated 2022-04-19. Update your information in the RePEc Author Service.

Short-id: pzh286

Working Papers

2021

1. Extreme Value Statistics in Semi-Supervised Models
   Discussion Paper, Tilburg University, Center for Economic Research
2. Non-Standard Errors
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck View citations (6)

2020

3. Spatial Dependence and Space-Time Trend in Extreme Events
   Discussion Paper, Tilburg University, Center for Economic Research

2018

4. Testing the Multivariate Regular Variation Model
   Discussion Paper, Tilburg University, Center for Economic Research
   See also Journal Article Testing the Multivariate Regular Variation Model, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (5) (2021)

2016

5. Estimating Systematic Risk Under Extremely Adverse Market Conditions
   Staff Working Papers, Bank of Canada
   See also Journal Article Estimating Systematic Risk under Extremely Adverse Market Conditions, Journal of Financial Econometrics, Oxford University Press (2019) View citations (8) (2019)

2015

6. Why risk is so hard to measure
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (7)

2014

7. Statistics of Heteroscedastic Extremes
   Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
   See also Journal Article Statistics of heteroscedastic extremes, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2016) View citations (37) (2016)
8. The determinants of systemic importance
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (3)

2013

9. "Too big to fail" or "Too non-traditional to fail"?: The determinants of banks' systemic importance
   MPRA Paper, University Library of Munich, Germany View citations (11)
10. Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk
    Working Papers, Chapman University, Economic Science Institute
11. The cross-section of tail risks in stock returns
    MPRA Paper, University Library of Munich, Germany View citations (4)
12. The drivers of downside equity tail risk
    MPRA Paper, University Library of Munich, Germany View citations (1)

2012

13. Estimation of the Marginal Expected Shortfall: The Mean when a Related Variable is Extreme
    Discussion Paper, Tilburg University, Center for Economic Research View citations (6)
    See also Journal Article Estimation of the marginal expected shortfall: the mean when a related variable is extreme, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2015) View citations (34) (2015)

2011

14. Averting Currency Crises: The Pros and Cons of Financial Openness
    MPRA Paper, University Library of Munich, Germany

2010

15. Can Financial Openness Help Avoid Currency Crises?
    MPRA Paper, University Library of Munich, Germany

2008

16. The Extent of Internet Auction Markets
    Tinbergen Institute Discussion Papers, Tinbergen Institute
17. The power of weather. Some empirical evidence on predicting day-ahead power prices through weather forecasts
    Working Paper, Norges Bank View citations (1)

2007

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

Journal Articles

2022

1. TAIL DEPENDENCE OF OLS
   Econometric Theory, 2022, 38, (2), 273-300 View citations (1)

2021

2. Systemic risk allocation using the asymptotic marginal expected shortfall
   Journal of Banking & Finance, 2021, 126, (C) View citations (6)
3. Testing the Multivariate Regular Variation Model
   Journal of Business & Economic Statistics, 2021, 39, (4), 907-919 View citations (5)
   See also Working Paper Testing the Multivariate Regular Variation Model, Discussion Paper (2018) (2018)
4. Trends in Extreme Value Indices
   Journal of the American Statistical Association, 2021, 116, (535), 1265-1279 View citations (9)

2019

5. Estimating Systematic Risk under Extremely Adverse Market Conditions
   Journal of Financial Econometrics, 2019, 17, (3), 432-461 View citations (8)
   See also Working Paper Estimating Systematic Risk Under Extremely Adverse Market Conditions, Staff Working Papers (2016) (2016)
6. Risk Theory: A Heavy Tail Approach
   Journal of the American Statistical Association, 2019, 114, (527), 1424-1425
7. Systemic risk and bank business models
   Journal of Applied Econometrics, 2019, 34, (3), 365-384 View citations (24)

2018

8. Deflation risk in the euro area and central bank credibility
   Economics Letters, 2018, 167, (C), 124-126 View citations (14)
9. The decomposition of jump risks in individual stock returns
   Journal of Empirical Finance, 2018, 47, (C), 207-228 View citations (3)

2016

10. Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
    Finance and Stochastics, 2016, 20, (2), 321-354 View citations (13)
11. Statistics of heteroscedastic extremes
    Journal of the Royal Statistical Society Series B, 2016, 78, (1), 31-51 View citations (37)
    See also Working Paper Statistics of Heteroscedastic Extremes, Discussion Paper (2014) View citations (1) (2014)
12. Systematic Tail Risk
    Journal of Financial and Quantitative Analysis, 2016, 51, (2), 685-705 View citations (55)

2015

13. 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 View citations (34)
    See also Working Paper Estimation of the Marginal Expected Shortfall: The Mean when a Related Variable is Extreme, Discussion Paper (2012) View citations (6) (2012)

2014

14. Diagnosing the distribution of GARCH innovations
    Journal of Empirical Finance, 2014, 29, (C), 287-303 View citations (19)

2013

15. Looking at the tail: price-based measures of systemic importance
    BIS Quarterly Review, 2013 View citations (4)
16. The impact of imposing capital requirements on systemic risk
    Journal of Financial Stability, 2013, 9, (3), 320-329 View citations (16)
17. The number of active bidders in internet auctions
    Journal of Economic Theory, 2013, 148, (4), 1726-1736 View citations (3)

2012

18. Exceedance probability of the integral of a stochastic process
    Journal of Multivariate Analysis, 2012, 105, (1), 241-257 View citations (2)
19. The power of weather
    Computational Statistics & Data Analysis, 2012, 56, (11), 3793-3807 View citations (46)
20. The simple econometrics of tail dependence
    Economics Letters, 2012, 116, (3), 371-373 View citations (9)

2011

21. Did the Crisis Affect Inflation Expectations?
    International Journal of Central Banking, 2011, 7, (1), 167-207 View citations (88)

2010

22. Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions
    International Journal of Central Banking, 2010, 6, (34), 205-250 View citations (92)
23. Dependence structure of risk factors and diversification effects
    Insurance: Mathematics and Economics, 2010, 46, (3), 531-540 View citations (23)
24. The extent of the maximum likelihood estimator for the extreme value index
    Journal of Multivariate Analysis, 2010, 101, (4), 971-983 View citations (5)

2009

25. Existence and consistency of the maximum likelihood estimator for the extreme value index
    Journal of Multivariate Analysis, 2009, 100, (4), 794-815 View citations (10)