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Home | People | Chen Zhou

Chen Zhou

Research Fellow

Erasmus University Rotterdam
Research field
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:.

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. (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.

Sun, P. and Zhou, C. (2014). Diagnosing the distribution of GARCH innovations Journal of Empirical Finance, 29:287--303.

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.