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Home | People | Chen Zhou
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Chen Zhou

Research Fellow

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

List of publications

Galati,G. and Gorge,Z. and 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. and Mercadier,C. and Zhou,C.. 2016. Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. Finance and Stochastics, 20, 321--354

van Oordt,M.R.C. and Zhou,C.. 2016. Systematic tail risk. Journal of Financial and Quantitative Analysis, 51, 685--705

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

de Haan,L. and de Vries,C.G. and Zhou,C.. 2013. The number of active bidders in internet auctions. Journal of Economic Theory, 148, 1726--1736

Zhou,C.. 2013. The impact of imposing capital requirement on systemic risk. Journal of Financial Stability, 9, 320--329

van Oordt,M.R.C. and Zhou,C.. 2012. The simple econometrics of tail dependence. Economics Letters, 116, 371--373

Galati,G. and Poelhekke,S. and Zhou,C.. 2011. Did the crisis affect inflation expectations?. International Journal of Central Banking, 7, 167--208

Zhou,C.. 2010. Are banks too big to fail? Measuring systemic importance of financial institutions. International Journal of Central Banking, 6, 205--250

Zhou,C.. 2010. Dependence structure of risk factors and diversification effects. Insurance, 46, 531--540