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.
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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 (2024) - Non-Standard Errors* - Journal of Finance - doi: 10.2139/ssrn.3961574 - [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]
Altas Technologies
- Start date approval
- september 2022
- End date approval
- september 2025
- Place
- ROTTERDAM
- Description
- Research for investment strategies
Seminar Case Studies in Appl. Econometr.
- Year
- 2024
- Course Code
- FEM21022
Estimation and Testing under Sparsity
- Level
- Master
- Year Level
- Master
- Year
- 2024
- Course Code
- TIF20135
Market & Systemic Risk Management
- Level
- Master
- Year Level
- Master
- Year
- 2024
- Course Code
- TIF10010
Major & Master Orientation(econometrics)
- Year
- 2024
- Course Code
- FEB62010
Quantitative Risk Management
- Year
- 2024
- Course Code
- FEM21034
Internship Hub
- Year
- 2024
- Course Code
- FEB63017
Seminar Financial Case Studies
- Year
- 2024
- Course Code
- FEM21019
Topics in Advanced Statistics
- Year
- 2024
- Course Code
- FEM21039
Thesis BDS
- Year
- 2024
- Course Code
- TIC20899
