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.
J.A. Oorschot & C. Zhou (2021). Tail dependence of OLS. Econometric Theory, accepted.
L. Chen, D. Li & C. Zhou (2021). Distributed Inference for Extreme Value Index. Biometrika. A Journal for the Statistical Study of Biological Problems, accepted.
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
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
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
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