prof.dr. (Chen) C Zhou

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

Email: zhou@ese.eur.nl
Room: ET-48
Location: Burg. Oudlaan 50, Rotterdam

Work

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]
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]