dr. (Chen) C. Zhou

All publications (31)

• Article (28)

  • C. Zhou (2018). Discussion on "Human life is unlimited but short" by Holger Rootzen and Dmitrii Zholud. Extremes, accepted.
  • 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[go to publisher's site]
  • X. Xiao & C. Zhou (2018). The decomposition of jump risks in individual stock returns. Journal of Empirical Finance, accepted. doi: 10.1016/j.jempfin.2018.04.002
  • 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.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[go to publisher's site]
  • C. Zhou (2017). Book review: quantitative risk management: concepts, techniques and tools. Extremes, 20, 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: http://dx.doi.org/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: http://dx.doi.org/10.1111/rssb.12099[go to publisher's site]
  • M.R.C. van Oordt & C. Zhou (2016). Systematic tail risk. Journal of Financial and Quantitative Analysis, 51 (2), 685-705. doi: http://dx.doi.org/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: http://dx.doi.org/10.1111/rssb.12069[go to publisher's site]
  • P. Sun & C. Zhou (2014). Diagnosing the distribution of GARCH innovations. Journal of Empirical Finance, 29, 287-303. doi: http://dx.doi.org/10.1016/j.jempfin.2014.08.005[go to publisher's site]
  • 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: http://dx.doi.org/10.1016/j.jet.2013.04.017
  • C. Zhou (2013). The impact of imposing capital requirement on systemic risk. Journal of Financial Stability, 9 (3), 320-329. doi: http://dx.doi.org/10.1016/j.jfs.2013.06.002
  • M.R.C. van Oordt & C. Zhou (2012). The simple econometrics of tail dependence. Economics Letters, 116 (3), 371-373. doi: http://dx.doi.org/10.1016/j.econlet.2012.04.016
  • 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: http://dx.doi.org/10.1007/s10687-012-0158-x
  • 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: http://dx.doi.org/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: http://dx.doi.org/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: http://dx.doi.org/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: http://dx.doi.org/10.1016/j.insmatheco.2010.01.010[go to publisher's site]
  • L. de Haan, C.G. de Vries & C. Zhou (2009). The expected payoff to Internet auctions. Extremes, 12 (3), 219-238. doi: http://dx.doi.org/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: http://dx.doi.org/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: http://dx.doi.org/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: http://dx.doi.org/10.1007/s10687-006-0017-8

• Part of book - Chapter (1)

  • 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

• Report (1)

  • C. Zhou & N. Tarashev (2013). Looking at the tail: price-based measures of systemic importance. (June 2013). BIS Quaterly Review: Bank for International Settlement

• Doctoral thesis (1)

  • C. Zhou (2008, november 13). On Extreme Value Statistics. EUR Prom./coprom.: prof.dr. C.G. de Vries.

Ancillary activities (1)

PhD list (1)

Editorial positions (1)

Present position