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.