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Chen Zhou

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prof.dr. Chen Zhou

 https://orcid.org/0000-0003-2106-1702

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Research interests

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 Council for the Appointments and Promotions (CBBA) of Erasmus School of Economics.

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  • Tail risk in the tail: Estimating high quantiles when a related variable is extreme

    Nolde, N., Zhou, C. & Zhou, M., 16 Mar 2026, (E-pub ahead of print) In: Journal of the American Statistical Association.

    Research output: Contribution to journal › Article › Academic › peer-review

  • Extreme value statistics in semi-supervised models

    Ahmed, H., Einmahl, J. H. J. & Zhou, C., 2025, In: Journal of the American Statistical Association. 120, 549, p. 291-304 14 p.

    Research output: Contribution to journal › Article › Academic › peer-review

    Open Access
    File
    2 Citations (Scopus)
    28 Downloads (Pure)

  • Tail Risk Analysis for Financial Time Series

    Kiriliouk, A. & Zhou, C., 2025, Handbook on Statistics of Extremes.

    Research output: Chapter/Conference proceeding › Chapter › Academic

    Open Access

  • Nonstandard Errors

    Menkveld, A. J., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neususs, S., Razen, M., Weitzel, U., Abad-Diaz, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, J. T., Alexeev, V., Aloosh, A., Amato, L., Amaya, D. & Angel, J. J. & 30 others, Avetikian, A. T., Bach, A., Baidoo, E., Bakalli, G., Bao, L., Barbon, A., Bashchenko, O., Bindra, P. C., Bjønnes, G. H., Black, J. R., Black, B. S., Bogoev, D., Bohorquez Correa, S., Bondarenko, O., Bos, C. S., Bosch-Rosa, C., Bouri, E., Brownlees, C., Calamia, A., Cao, V. N., Capelle-Blancard, G., Capera Romero, L. M., Mazzola, F., van Dijk, M., Verwijmeren, P., Vogel, S., Wagner, W., van der Wel, M., Yang, A. & Zhou, C., Jun 2024, In: Journal of Finance. 79, 3, p. 2339-2390 52 p.

    Research output: Contribution to journal › Article › Academic › peer-review

    Open Access
    File
    54 Citations (Scopus)
    28 Downloads (Pure)

  • Tail inverse regression: Dimension reduction for prediction of extremes

    Aghbalou, A., Portier, F., Sabourin, A. & Zhou, C., Feb 2024, In: Bernoulli. 30, 1, p. 503-533 31 p.

    Research output: Contribution to journal › Article › Academic › peer-review

    Open Access
    File
    7 Citations (Scopus)
    90 Downloads (Pure)
View all 56 research outputs
  • 1 Editorial work

  • Extremes (Journal)

    Zhou, C. (Editor)

    1 Jan 2015 → …

    Activity: Publication peer-review and editorial work › Editorial work › Academic