Biography
Chen Zhou is Full Professor of Mathematical Statistics and Risk Management at Econometric Institute with Erasmus School of Economics of Erasmus University Rotterdam. His main research areas are extreme value statistics and financial risk management. His work has been published in journals in the fields of statistics, financial econometrics and finance. He teaches in the Bachelor program of Econometrics and Management Science, the MSc program specializing in Quantitative Finance and Tinbergen Institute. He is a member of the Research Advisory Committee of Erasmus School of Economics.
Erasmus School of Economics
Full professor | Econometrics
- zhou@ese.eur.nl
- Room
- ET-48
- Location
- Burg. Oudlaan 50, Rotterdam
More information
Work
- Anass Aghbalou, François Portier, Anne Sabourin & Chen Zhou (2024) - Tail inverse regression: Dimension reduction for prediction of extremes - Bernoulli, 30 (1), 503-533 - doi: 10.3150/23-BEJ1606 - [link]
- Laurens de Haan & Chen Zhou (2024) - Bootstrapping Extreme Value Estimators - Journal of the American Statistical Association, 119 (545), 382-393 - doi: 10.1080/01621459.2022.2120400 - [link]
- Mathijs van Dijk, Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Sebastian Neususs, Michael Razen, Wolf Wagner, Patrick Verwijmeren, Sebastian Vogel, Michel van der Wel, Francesco Mazzola, Antti Yang & Chen Zhou (2023) - Non-Standard Errors* - Journal of Finance - doi: 10.2139/ssrn.3961574 - [link]
- Jochem Oorschot, Johan Segers & Chen Zhou (2023) - Tail inference using extreme U-statistics: Dedicated to the memory of James Pickands III (1931–2022) - Electronic Journal of Statistics, 17 (1), 1113-1159 - doi: 10.1214/23-EJS2129 - [link]
- Liujun Chen, Deyuan Li & Chen Zhou (2022) - Adapting the Hill estimator to distributed inference: dealing with the bias - Extremes, 25 (3), 389-416 - doi: 10.1007/s10687-022-00440-y - [link]
- Hengxin Cui, Ken Seng Tan, Fan Yang & Chen Zhou (2022) - Asymptotic analysis of portfolio diversification - Insurance: Mathematics and Economics, 106, 302-325 - doi: 10.1016/j.insmatheco.2022.07.010 - [link]
- Liujun Chen, Deyuan Li & Chen Zhou (2022) - Distributed inference for the extreme value index - Biometrika. A Journal for the Statistical Study of Biological Problems, 109 (1), 257-264 - doi: 10.1093/biomet/asab001 - [link]
- J Einmahl, A Ferreira, L De Haan, C Neves & Chen Zhou (2022) - Spatial dependence and space-time trend in extreme events - Annals of Statistics, 50 (1), 30-52 - doi: 10.1214/21-AOS2067 - [link]
- Chen Zhou (2022) - A tale of risk
- A Buecher & Chen Zhou (2021) - A Horse Race between the Block Maxima Method and the Peak–over–Threshold Approach - Statistical Science, 36 (3), 360-378 - doi: 10.1214/20-STS795 - [link]
Markov Processen
- Year Level
- bachelor 2, pre-master
- Year
- 2023
- Course Code
- FEB22008
Seminar Financial Case Studies
- Level
- master
- Year Level
- master
- Year
- 2023
- Course Code
- FEM21019
Seminar Case Studies in Appl. Econometr.
- Level
- master
- Year Level
- master
- Year
- 2023
- Course Code
- FEM21022
Estimation and Testing under Sparsity
- Level
- Master
- Year Level
- Master
- Year
- 2023
- Course Code
- TI203
Statistics
- Level
- Master
- Year Level
- Master
- Year
- 2023
- Course Code
- TI2307
Market & Systemic Risk Management
- Level
- Master
- Year Level
- Master
- Year
- 2023
- Course Code
- TI169
Internship Hub
- Year
- 2023
- Course Code
- FEB63017
Quantitative Risk Management
- Level
- master
- Year Level
- master
- Year
- 2023
- Course Code
- FEM21034
Markov Processes
- Year Level
- bachelor 2, bachelor 3, pre-master
- Year
- 2023
- Course Code
- FEB22008X
