prof.dr. (Chen) C Zhou
Full Professor Erasmus School of Economics Econometrics
- Location
- Burg. Oudlaan 50, Rotterdam
- Room
- ET-48
- Telephone
- 0104082269
- zhou@ese.eur.nl
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Profile
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.
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.
- X. Leng, L. Peng, X. Wang & C. Zhou (2019). Endpoint estimation for observations with normal measurement errors. Extremes, 22 (1), 71-96. doi: 10.1007/s10687-018-0332-x
- L. De Haan & C. Zhou (2019). Trends in extreme value indices. Journal of the American Statistical Association, accepted.
- C. Zhou (2018). Discussion on "Human life is unlimited but short" by Holger Rootzen and Dmitrii Zholud. Extremes, accepted, 1-6. doi: 10.1007/s10687-018-0322-z
- G. Galati, Z. Gorge, R. Moessner & C. Zhou (2018). Deflation risk in the euro area and central bank credibility. Economics Letters, 167, 124-126. doi: 10.1016/j.econlet.2018.03.028
- M. Oesting, M. Schlather & C. Zhou (2018). Exact and Fast Simulation of Max-Stable Processes on a Compact Set Using the Normalized Spectral Representation. Bernoulli, 24 (2), 1497-1530. doi: 10.3150/16-BEJ905
- X. Xiao & C. Zhou (2018). The decomposition of jump risks in individual stock returns. Journal of Empirical Finance, 47, 207-228. doi: 10.1016/j.jempfin.2018.04.002
- M.R.C. van Oordt & C. Zhou (2017). Estimating systematic risk under extremely adverse market conditions. Journal of Financial Econometrics, accepted. doi: 10.1093/jjfinec/nbx033
- C. Zhou (2017). Discussion on "Elicitability and backtesting: Perspectives for banking regulation". Annals of Applied Statistics, 11 (4), 1888-1893. doi: 10.1214/17-AOAS1041D
- C. Zhou (2017). Book review: quantitative risk management: concepts, techniques and tools. Extremes, 20 (2), 489-491. doi: 10.1007/s10687-017-0286-4
- L. de Haan, C. Mercadier & C. Zhou (2016). Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. Finance and Stochastics, 20 (2), 321-354. doi: 10.1007/s00780-015-0287-6
- J. Einmahl, L. De Haan & C. Zhou (2016). Statistics of heteroscedastic extremes. Journal of the Royal Statistical Society. Series B. Statistical Methodology, 78 (1), 31-51. doi: 10.1111/rssb.12099
- M.R.C. van Oordt & C. Zhou (2016). Systematic tail risk. Journal of Financial and Quantitative Analysis, 51 (2), 685-705. doi: 10.1017/S0022109016000193
- J. Cai, J. Einmahl, L. De Haan & C. Zhou (2015). 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. doi: 10.1111/rssb.12069
- P. Sun & C. Zhou (2014). Diagnosing the distribution of GARCH innovations. Journal of Empirical Finance, 29, 287-303. doi: 10.1016/j.jempfin.2014.08.005
- C. Zhou (2013). The impact of imposing capital requirement on systemic risk. Journal of Financial Stability, 9 (3), 320-329. doi: 10.1016/j.jfs.2013.06.002
- L. de Haan, C.G. de Vries & C. Zhou (2013). The number of active bidders in internet auctions. Journal of Economic Theory, 148 (4), 1726-1736. doi: 10.1016/j.jet.2013.04.017
- C.I. Huurman, F. Ravazzolo & C. Zhou (2012). The power of weather. Computational Statistics & Data Analysis, 56 (11), 3793-3807. doi: 10.2139/ssrn.1341745
- J. Cai., L. de Haan & C. Zhou (2012). Bias correction in extreme value statistics with index around zero. Extremes, 16 (2), 173-201. doi: 10.1007/s10687-012-0158-x
- M.R.C. van Oordt & C. Zhou (2012). The simple econometrics of tail dependence. Economics Letters, 116 (3), 371-373. doi: 10.1016/j.econlet.2012.04.016
- L. de Haan, A. Ferreira & C. Zhou (2011). Exceedance probability of the integral of a stochastic process. Journal of Multivariate Analysis, 105 (1), 241-257. doi: 10.1016/j.jmva.2011.08.020
- L. de Haan & C. Zhou (2011). Extreme residual dependence for random vectors and processes. Advances in Applied Probability, 43 (1), 217-242. doi: 10.1239/aap/1300198520
- G. Galati, S. Poelhekke & C. Zhou (2011). Did the crisis affect inflation expectations? International Journal of Central Banking, 7 (1), 167-208.
- C. Zhou (2010). The extent of the maximum likelihood estimator for the extreme value index. Journal of Multivariate Analysis, 101 (4), 971-983. doi: 10.1016/j.jmva.2009.09.013
- C. Zhou (2010). Are banks too big to fail? Measuring systemic importance of financial institutions. International Journal of Central Banking, 6 (4), 205-250. doi: 10.2139/ssrn.1546384
- C. Zhou (2010). Dependence structure of risk factors and diversification effects. Insurance, 46 (3), 531-540. doi: 10.1016/j.insmatheco.2010.01.010
- L. de Haan, C.G. de Vries & C. Zhou (2009). The expected payoff to Internet auctions. Extremes, 12 (3), 219-238. doi: 10.1007/s10687-008-0077-z
- C. Zhou (2009). Existence and consistency of the maximum likelihood estimator for the extreme value index. Journal of Multivariate Analysis, 100 (4), 794-815. doi: 10.1016/j.jmva.2008.08.009
- C. Zhou (2008). A 2-step estimator of the extreme value index. Extremes, 11 (3), 281-302. doi: 10.1007/s10687-008-0058-2
- A. Buishand, L. de Haan & C. Zhou (2008). On spatial extremes: with application to a rainfall problem. Annals of Applied Statistics, 2 (2), 624-642. doi: 10.1214/08-AOAS159
- C.G. de Vries & C. Zhou (2006). Discussion of “Copulas: Tales and facts”, by Thomas Mikosch. Extremes, 9 (1), 23-25. doi: 10.1007/s10687-006-0017-8
- M.R.C. van Oordt & C. Zhou (2015). Systemic risk of European banks: regulators and markets. In P. Mizen, M. Rubio & P. Turner (Eds.), Effective Macroprudential Instruments in Macroeconomic Policy Making (5). Cambridge University Press
- C. Zhou (2019). Book review: Risk Theory: A Heavy Tail Approach. [Bespreking van het boek Risk Theory: A Heavy Tail Approach]. Journal of the American Statistical Association, 114, 1424-1425. [go to publisher's site]
- C. Zhou & N. Tarashev (2013). Looking at the tail: price-based measures of systemic importance. (June 2013). BIS Quaterly Review: Bank for International Settlement
- C. Zhou (2008, november 13). On Extreme Value Statistics. EUR Prom./coprom.: prof.dr. C.G. de Vries.
De Nederlandsche Bank
- Start date approval
- Oct/2019
- End date approval
- Oct/2022
- Place
- AMSTERDAM
- Description
- Senior Economist
Cross Cultural Management
- Title
- Cross Cultural Management
- Year
- 2019
- Year level
- (bachelor 2) (bachelor 2)
Kansrekening
- Title
- Kansrekening
- Year
- 2019
- Year level
- (bachelor 1)
Probability Theory
- Title
- Probability Theory
- Year
- 2019
- Year level
- (bachelor 1) (bachelor 1)
Markov processen
- Title
- Markov processen
- Year
- 2019
- Year level
- (bachelor 2) (pre-master)
Markov Processes
- Title
- Markov Processes
- Year
- 2019
- Year level
- (bachelor 2) (bachelor 3) (pre-master)
Quantitative Risk Management
- Title
- Quantitative Risk Management
- Year
- 2019
- Year level
- (master)
Market & Systemic Risk Management
- Title
- Market & Systemic Risk Management
- Year
- 2019
- Year level
- (Master)
Extremes
- Role
- Associate Editor
- Start date approval
- Jan/2015
Full Professor
- University
- Erasmus University Rotterdam
- School
- Erasmus School of Economics
- Department
- Econometrics
- Country
- The Netherlands
- Telephone
- 0104082269
De Nederlandsche Bank
- Role
- Senior Economist
- Obtained Wage
- yes