prof.dr. C (Chen) 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

Work

Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Sebastian Neususs, Michael Razen, Utz Weitzel, David Abad-Diaz, Meni Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie T. Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James J. Angel, Alejandro T. Avetikian, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Li Bao, Andrea Barbon, Oksana Bashchenko, Parampreet C. Bindra, Geir H. Bjønnes, Jeffrey R. Black, Bernhard S. Black, Dimitar Bogoev, Santiago Bohorquez Correa, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura M. Capera Romero, Francesco Mazzola, Mathijs van Dijk, Patrick Verwijmeren, Sebastian Vogel, Wolf Wagner, Michel van der Wel, Antti Yang & Chen Zhou (2024) - Nonstandard Errors - Journal of Finance, 79 (3), 2339-2390 - doi: 10.1111/jofi.13337 - [link]
H Ahmed, John H.J. Einmahl & Chen Zhou (2024) - Extreme value statistics in semi-supervised models - Journal of the American Statistical Association, 120 (549), 291-304 - doi: 10.1080/01621459.2024.2333582 - [link]
Anass Aghbalou, François Portier, Anne Sabourin & Chen Zhou (2024) - Tail inverse regression: Dimension reduction for prediction of extremes - Bernoulli, 30 (1), 503-533 - doi: 10.3150/23-BEJ1606 - [link]
Laurens de Haan & Chen Zhou (2024) - Bootstrapping Extreme Value Estimators - Journal of the American Statistical Association, 119 (545), 382-393 - doi: 10.1080/01621459.2022.2120400 - [link]
John H.J. Einmahl & Chen Zhou (2024) - Tail copula estimation for heteroscedastic extremes - Econometrics and Statistics - doi: 10.1016/j.ecosta.2024.09.004 - [link]
Jochem Oorschot, Johan Segers & Chen Zhou (2023) - Tail inference using extreme U-statistics: Dedicated to the memory of James Pickands III (1931–2022) - Electronic Journal of Statistics, 17 (1), 1113-1159 - doi: 10.1214/23-EJS2129 - [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
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]
John H.J. Einmahl, Fan Yang & Chen Zhou (2021) - Testing the Multivariate Regular Variation Model - Journal of Business and Economic Statistics, 39 (4), 907-919 - doi: 10.1080/07350015.2020.1737533 - [link]
Laurens de Haan & Chen Zhou (2020) - Trends in extreme value indices - Journal of the American Statistical Association, 116 (535), 1265-1279 - doi: 10.1080/01621459.2019.1705307 - [link]
Chen Zhou (2020) - Discussion on ‘Graphical models for extremes’ by Sebastian Engelke and Adrien Hitz - Journal of the Royal Statistical Society. Series B. Statistical Methodology, 82 (4), 928-928 - doi: 10.1111/rssb.12355 - [link]