• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Behavioral Macro and Complexity
      • Econometrics and Data Science Methods for Business and Economics and Finance
      • Experimenting with Communication – A Hands-on Summer School
      • Inequalities in Health and Healthcare
      • Introduction in Genome-Wide Data Analysis
      • Research on Productivity, Trade, and Growth
      • Summer School Business Data Science Program
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
  • Summer School
  • Alumni
  • Times
Home | People | Chen Zhou
 placeholder

Chen Zhou

Research Fellow

University
Erasmus University Rotterdam
Research field
Econometrics
Interests
Banking, Finance, Risk Management

List of publications

Oorschot, J.A. and Zhou, C. (2021). Tail dependence of OLS Econometric Theory, accepted:.

Qin, X. and Zhou, C. (2021). Systemic risk allocation using the asymptotic marginal expected shortfall Journal of Banking and Finance, accepted:.

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:.

De Haan, L. and Zhou, C. (2020). Trends in extreme value indices Journal of the American Statistical Association, accepted:.

Einmahl, J., Yang, F and Zhou, C. (2020). Testing the multivariate regular variation model Journal of Business and Economic Statistics, accepted:.

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.

Zhou, C. (2019). Book review: Risk Theory: A Heavy Tail Approach Journal of the American Statistical Association, :.

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.

van Oordt, M.R.C. and Zhou, C. (2017). Estimating systematic risk under extremely adverse market conditions Journal of Financial Econometrics, accepted:.

de Haan, L., Mercadier, C. and Zhou, C. (2016). 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, 51(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.G. 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.

van Oordt, M.R.C. and Zhou, C. (2012). The simple econometrics of tail dependence Economics Letters, 116(3):371--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.