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Details about Chen Zhou

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

Access statistics for papers by Chen Zhou.

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

Short-id: pzh286


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Working Papers

2021

  1. Extreme Value Statistics in Semi-Supervised Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2021) Downloads
  2. Non-Standard Errors
    Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz Downloads View citations (1)
    Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) Downloads View citations (6)

2020

  1. Spatial Dependence and Space-Time Trend in Extreme Events
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2020) Downloads

2018

  1. Testing the Multivariate Regular Variation Model
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2018) Downloads

    See also Journal Article Testing the Multivariate Regular Variation Model, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) Downloads View citations (3) (2021)

2016

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

2015

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

2014

  1. Statistics of Heteroscedastic Extremes
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (1)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2014) Downloads View citations (1)

    See also Journal Article Statistics of heteroscedastic extremes, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2016) Downloads View citations (35) (2016)
  2. The determinants of systemic importance
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (3)

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 (11)
  2. Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk
    Working Papers, Chapman University, Economic Science Institute Downloads
  3. The cross-section of tail risks in stock returns
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
  4. 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 (6)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2012) Downloads 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) Downloads View citations (30) (2015)

2011

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

2010

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

2008

  1. The Extent of Internet Auction Markets
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. 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

2022

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

2021

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

2019

  1. Estimating Systematic Risk under Extremely Adverse Market Conditions
    Journal of Financial Econometrics, 2019, 17, (3), 432-461 Downloads View citations (5)
    See also Working Paper Estimating Systematic Risk Under Extremely Adverse Market Conditions, Staff Working Papers (2016) Downloads (2016)
  2. Risk Theory: A Heavy Tail Approach
    Journal of the American Statistical Association, 2019, 114, (527), 1424-1425 Downloads
  3. Systemic risk and bank business models
    Journal of Applied Econometrics, 2019, 34, (3), 365-384 Downloads View citations (20)

2018

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

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 (8)
  2. Statistics of heteroscedastic extremes
    Journal of the Royal Statistical Society Series B, 2016, 78, (1), 31-51 Downloads View citations (35)
    See also Working Paper Statistics of Heteroscedastic Extremes, Other publications TiSEM (2014) Downloads View citations (1) (2014)
  3. Systematic Tail Risk
    Journal of Financial and Quantitative Analysis, 2016, 51, (2), 685-705 Downloads View citations (45)

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 (30)
    See also Working Paper Estimation of the Marginal Expected Shortfall: The Mean when a Related Variable is Extreme, Discussion Paper (2012) Downloads View citations (6) (2012)

2014

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

2013

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

2012

  1. Exceedance probability of the integral of a stochastic process
    Journal of Multivariate Analysis, 2012, 105, (1), 241-257 Downloads View citations (2)
  2. The power of weather
    Computational Statistics & Data Analysis, 2012, 56, (11), 3793-3807 Downloads View citations (43)
  3. The simple econometrics of tail dependence
    Economics Letters, 2012, 116, (3), 371-373 Downloads View citations (8)

2011

  1. Did the Crisis Affect Inflation Expectations?
    International Journal of Central Banking, 2011, 7, (1), 167-207 Downloads View citations (82)

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 (91)
  2. Dependence structure of risk factors and diversification effects
    Insurance: Mathematics and Economics, 2010, 46, (3), 531-540 Downloads View citations (23)
  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 (9)
 
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