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
- 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
- Laurens de Haan & Chen Zhou (2022) - Bootstrapping Extreme Value Estimators - Journal of the American Statistical Association, 00 - doi: 10.1080/01621459.2022.2120400 - [link]
- 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]
- Jochem Oorschot & Chen Zhou (2021) - TAIL DEPENDENCE OF OLS - Econometric Theory, 38 (2), 273-300 - doi: 10.1017/S0266466621000311 - [link]
- X Qin & Chen Zhou (2021) - Systemic risk allocation using the asymptotic marginal expected shortfall - Journal of Banking and Finance, 126 - doi: 10.1016/j.jbankfin.2021.106099 - [link]
- N Nolde & Chen Zhou (2021) - Extreme value analysis for financial risk management - Annual Review of Statistics and Its Application, 8, 217-240 - doi: 10.1146/annurev-statistics-042720-015705 - [link]
Altas Technologies
- Start date approval
- september 2022
- End date approval
- september 2025
- Place
- ROTTERDAM
- Description
- Research for investment strategies
Seminar Financial Case Studies
- Level
- master
- Year Level
- master
- Year
- 2022
- Course Code
- FEM21019
Market & Systemic Risk Management
- Level
- Master
- Year Level
- Master
- Year
- 2022
- Course Code
- TI169
Major & Master Orientation(econometrics)
- Year
- 2022
- Course Code
- FEB62010
Seminar Case Studies in Appl. Econometr.
- Level
- master
- Year Level
- master
- Year
- 2022
- Course Code
- FEM21022
Markov Processen
- Year Level
- bachelor 2, pre-master
- Year
- 2022
- Course Code
- FEB22008
Quantitative Risk Management
- Level
- master
- Year Level
- master
- Year
- 2022
- Course Code
- FEM21034
Markov Processes
- Year Level
- bachelor 2, bachelor 3, pre-master
- Year
- 2022
- Course Code
- FEB22008X
Internship Hub
- Year
- 2022
- Course Code
- FEB63017
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