prof.dr. Chen Zhou

Search results

• 2024

  Non-Standard Errors*

  van Dijk, M., Menkveld, A. J., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neususs, S., Razen, M., Wagner, W., Verwijmeren, P., Vogel, S., van der Wel, M., Mazzola, F., Yang, A. & Zhou, C., Jun 2024, In: Journal of Finance. 69 p.

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

  Open Access

  • Sample Statistic 100%

• Extreme value statistics in semi-supervised models

  Ahmed, H., Einmahl, J. H. J. & Zhou, C., 15 May 2024, In: Journal of the American Statistical Association.

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

  • Covariate 100%
  • Extreme Value Statistics 100%
  • Extreme Value 50%
  • Simulation Study 50%
  • Asymptotic Variance 50%

• 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

  • Extreme Value 100%
  • Real-World Data 100%
  • Covariate 100%
  • Tail Empirical Process 100%
  • Weak Convergence 100%
  2 Citations (Scopus)

• Bootstrapping Extreme Value Estimators

  de Haan, L. & Zhou, C., 2024, In: Journal of the American Statistical Association. 119, 545, p. 382-393 12 p.

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

  Open Access

  File

  • Extreme Value 100%
  • Asymptotic Expansion 100%
  • Quantile Process 100%
  • Probability Theory 100%
  • Moment Estimator 100%
  3 Citations (Scopus)

  5 Downloads (Pure)

• Tail copula estimation for heteroscedastic extremes

  Einmahl, J. H. J. & Zhou, C., 2024, (Accepted/In press) In: Econometrics and Statistics.

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

  Open Access

  • Copula 100%
  • Marginals 100%
  • Bivariate 66%
  • Random Vector 66%
  • Stationarity 33%
• 2023

  Tail inference using extreme U-statistics: Dedicated to the memory of James Pickands III (1931–2022)

  Oorschot, J., Segers, J. & Zhou, C., 2023, In: Electronic Journal of Statistics. 17, 1, p. 1113-1159 47 p.

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

  Open Access

  File

  • Unbiased Statistic 100%
  • Order Statistics 40%
  • Extreme Value 20%
  • Maximum Likelihood Estimator 20%
  • Asymptotic Normality 20%
  1 Citation (Scopus)

  8 Downloads (Pure)
• 2022

  Adapting the Hill estimator to distributed inference: dealing with the bias

  Chen, L., Li, D. & Zhou, C., Sept 2022, In: Extremes. 25, 3, p. 389-416 28 p.

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

  Open Access

  File

  • hill estimator α 100%
  • Extreme Value Index 25%
  • Extreme Value Statistics 25%
  • Asymptotic Bias 25%
  • Divide and Conquer 25%
  59 Downloads (Pure)

• Asymptotic analysis of portfolio diversification

  Cui, H., Tan, K. S., Yang, F. & Zhou, C., Sept 2022, In: Insurance: Mathematics and Economics. 106, p. 302-325 24 p.

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

  Open Access

  File

  • Portfolio Selection 100%
  • Portfolio Diversification 100%
  • Risk Factor 100%
  2 Citations (Scopus)

  102 Downloads (Pure)

• Distributed inference for the extreme value index

  Chen, L., Li, D. & Zhou, C., Mar 2022, In: Biometrika. A Journal for the Statistical Study of Biological Problems. 109, 1, p. 257-264 8 p.

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

  Open Access

  File

  • Extreme Value Index 100%
  • Necessary Condition 50%
  • Extreme Value 50%
  • Asymptotic Theory 50%
  • Total Sample Size 50%
  3 Citations (Scopus)

  174 Downloads (Pure)

• Spatial dependence and space-time trend in extreme events

  Einmahl, J., Ferreira, A., De Haan, L., Neves, C. & Zhou, C., Feb 2022, In: Annals of Statistics. 50, 1, p. 30-52 23 p., 50(1).

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

  Open Access

  File

  • Time Trend 100%
  • Stationarity 100%
  • Asymptotic Theory 100%
  • Extreme Value Index 100%
  • Tail Empirical Process 100%
  4 Citations (Scopus)

  42 Downloads (Pure)
• 2021

  A Horse Race between the Block Maxima Method and the Peak–over–Threshold Approach

  Buecher, A. & Zhou, C., Aug 2021, In: Statistical Science. 36, 3, p. 360-378 19 p.

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

  • Serial Dependence 100%
  • Extreme Value Statistics 100%
  • Quantile 100%
  • Extreme Value 100%
  16 Citations (Scopus)

• TAIL DEPENDENCE OF OLS

  Oorschot, J. & Zhou, C., 2 Jul 2021, In: Econometric Theory. 38, 2, p. 273-300 28 p.

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

  Open Access

  • Least Square 100%
  • Square Estimator 66%
  • Sum of Squares 66%
  • Stochastics 66%
  • Random Variable 66%
  1 Citation (Scopus)

• Systemic risk allocation using the asymptotic marginal expected shortfall

  Qin, X. & Zhou, C., May 2021, In: Journal of Banking and Finance. 126, 106099.

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

  Open Access

  File

  • Estimation Theory 100%
  • Financial Institution 100%
  • Asymptotics 100%
  • Systemic Risk 100%
  • Theory of Value 50%
  9 Citations (Scopus)

  53 Downloads (Pure)

• Extreme value analysis for financial risk management

  Nolde, N. & Zhou, C., 7 Mar 2021, In: Annual Review of Statistics and Its Application. 8, p. 217-240 24 p.

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

  • Value Analysis 100%
  • Financial Risk Management 100%
  • Extreme Value 100%
  • Risk Management 100%
  • Dependent Data 66%
  8 Citations (Scopus)

• Testing the Multivariate Regular Variation Model

  Einmahl, J. H. J., Yang, F. & Zhou, C., 2021, In: Journal of Business and Economic Statistics. 39, 4, p. 907-919 13 p.

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

  Open Access

  • Multivariate Regular Variation 100%
  • Extreme Value Index 50%
  • Simulation Study 25%
  • Conditionals 25%
  • Regular Variation 25%
  9 Citations (Scopus)
• 2020

  Trends in extreme value indices

  de Haan, L. & Zhou, C., 24 Jan 2020, In: Journal of the American Statistical Association. 116, 535, p. 1265-1279

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

  Open Access
  14 Citations (Scopus)

• Discussion on ‘Graphical models for extremes’ by Sebastian Engelke and Adrien Hitz

  Zhou, C., 2020, In: Journal of the Royal Statistical Society. Series B. Statistical Methodology. 82, 4, p. 928-928 1 p.

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

  Open Access

  File
  64 Citations (Scopus)

  13 Downloads (Pure)
• 2019

  Estimating Systematic Risk under Extremely Adverse Market Conditions

  Van Oordt, M. R. C. & Zhou, C., 1 Jun 2019, In: Journal of Financial Econometrics. 17, 3, p. 432-461 30 p., nbx033.

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

  Open Access

  File

  • Conditionals 100%
  • Linear Models 50%
  • Explanatory Variable 50%
  • Asymptotic Property 50%
  • Squared Error 50%
  16 Citations (Scopus)

  65 Downloads (Pure)

• Systemic risk and bank business models

  van Oordt, M. & Zhou, C., 1 Apr 2019, In: Journal of Applied Econometrics. 34, 3, p. 365-384 20 p.

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

  Open Access

  • Business Model 100%
  • Theory of Value 50%
  • Banking Regulation 50%
  • Extreme Value 50%
  46 Citations (Scopus)
• 2018

  Endpoint estimation for observations with normal measurement errors

  Leng, X., Peng, L., Wang, X. & Zhou, C., 28 Jun 2018, In: Extremes. 22, 1, p. 71-96 26 p.

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

  Open Access

  File
  1 Citation (Scopus)

  31 Downloads (Pure)

• Deflation risk in the euro area and central bank credibility

  Galati, G., Gorge, Z., Moessner, R. & Zhou, C., 2018, In: Economics Letters. 167, p. 124-126 3 p.

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

  Open Access

  File
  7 Citations (Scopus)

  28 Downloads (Pure)

• Discussion on "Human life is unlimited but short" by Holger Rootzen and Dmitrii Zholud

  Zhou, C., 2018, In: Extremes. accepted, p. 1-6 6 p.

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

  Open Access

  File
  1 Citation (Scopus)

  10 Downloads (Pure)

• Exact and Fast Simulation of Max-Stable Processes on a Compact Set Using the Normalized Spectral Representation

  Oesting, M., Schlather, M. & Zhou, C., 2018, In: Bernoulli. 24, 2, p. 1497-1530 34 p.

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

  • Stable Process 100%
  • Compact Set 100%
  • Spectral Representation 100%
  • Optimization Problem 25%
  • Approximation (Algorithm) 25%
  15 Citations (Scopus)

• The decomposition of jump risks in individual stock returns

  Xiao, X. & Zhou, C., 2018, In: Journal of Empirical Finance. 47, p. 207-228 22 p.

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

  Open Access

  File
  5 Citations (Scopus)

  35 Downloads (Pure)
• 2017

  Book review: quantitative risk management: concepts, techniques and tools

  Zhou, C., 2017, In: Extremes. 20, 2, p. 489-491 3 p.

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

• Discussion on "Elicitability and backtesting: Perspectives for banking regulation"

  Zhou, C., 2017, In: Annals of Applied Statistics. 11, 4, p. 1888-1893 6 p.

  Research output: Contribution to journal › Article › Academic › peer-review
• 2016

  Statistics of heteroscedastic extremes

  Einmahl, J., De Haan, L. & Zhou, C., 2016, In: Journal of the Royal Statistical Society. Series B. Statistical Methodology. 78, 1, p. 31-51 21 p.

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

  • Asymptotic Normality 100%
  • Extreme Value Index 100%
  • Tail Empirical Process 50%
  • High Quantile 50%
  • Weak Convergence 50%
  65 Citations (Scopus)

• Systematic tail risk

  van Oordt, M. & Zhou, C., 2016, In: Journal of Financial and Quantitative Analysis. 51, 2, p. 685-705 21 p.

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

  • Risk Premium 100%
  90 Citations (Scopus)
• 2015

  Adapting extreme value statistics to financial time series: dealing with bias and serial dependence

  de Haan, L., Mercadier, C. & Zhou, C., 21 Aug 2015, In: Finance and Stochastics. 20, 2, p. 321-354 34 p.

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

  Open Access

  File

  • Serial Dependence 100%
  • Extreme Value Statistics 100%
  • Extreme Value 100%
  • Time Series 100%
  • Unbiased Estimator 66%
  42 Citations (Scopus)

  19 Downloads (Pure)
• 2014

  Estimation of the marginal expected shortfall: the mean when a related variable is extreme

  Cai, J., Einmahl, J., De Haan, L. & Zhou, C., 15 May 2014, In: Journal of the Royal Statistical Society. Series B. Statistical Methodology. 77, 2, p. 417-442 26 p.

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

  • Extreme Value 100%
  • Parametric 100%
  • Simulation Study 100%
  • Asymptotic Normality 100%
  • Limit Theorem 100%
  77 Citations (Scopus)

• Diagnosing the distribution of GARCH innovations

  Sun, P. & Zhou, C., 2014, In: Journal of Empirical Finance. 29, p. 287-303 17 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  30 Citations (Scopus)
• 2013

  The impact of imposing capital requirement on systemic risk

  Zhou, C., 2013, In: Journal of Financial Stability. 9, 3, p. 320-329 10 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  19 Citations (Scopus)

• The number of active bidders in internet auctions

  de Haan, L., de Vries, C. & Zhou, C., 2013, In: Journal of Economic Theory. 148, 4, p. 1726-1736 11 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  2 Citations (Scopus)
• 2012

  Bias correction in extreme value statistics with index around zero

  Cai., J., de Haan, L. & Zhou, C., 2012, In: Extremes. 16, 2, p. 173-201 29 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  35 Citations (Scopus)

• The power of weather

  Huurman, C., Ravazzolo, F. & Zhou, C., 2012, In: Computational Statistics & Data Analysis. 56, 11, p. 3793-3807 15 p.

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

  • Price 100%
  • Weather Forecast 100%
  • Realtime 100%
  • Predictive Power 100%
  • Real Time 33%
  46 Citations (Scopus)

• The simple econometrics of tail dependence

  van Oordt, M. & Zhou, C., 2012, In: Economics Letters. 116, 3, p. 371-373 3 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  11 Citations (Scopus)
• 2011

  Did the crisis affect inflation expectations?

  Galati, G., Poelhekke, S. & Zhou, C., 2011, In: International Journal of Central Banking. 7, 1, p. 167-208 42 p.

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

• Exceedance probability of the integral of a stochastic process

  de Haan, L., Ferreira, A. & Zhou, C., 2011, In: Journal of Multivariate Analysis. 105, 1, p. 241-257 17 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  12 Citations (Scopus)

• Extreme residual dependence for random vectors and processes

  de Haan, L. & Zhou, C., 2011, In: Advances in Applied Probability. 43, 1, p. 217-242 26 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  21 Citations (Scopus)
• 2010

  Are banks too big to fail? Measuring systemic importance of financial institutions

  Zhou, C., 2010, In: International Journal of Central Banking. 6, 4, p. 205-250 46 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  105 Citations (Scopus)

• Dependence structure of risk factors and diversification effects

  Zhou, C., 2010, In: Insurance. 46, 3, p. 531-540 10 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  28 Citations (Scopus)

• The extent of the maximum likelihood estimator for the extreme value index

  Zhou, C., 2010, In: Journal of Multivariate Analysis. 101, 4, p. 971-983 13 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  16 Citations (Scopus)
• 2009

  Existence and consistency of the maximum likelihood estimator for the extreme value index

  Zhou, C., 2009, In: Journal of Multivariate Analysis. 100, 4, p. 794-815 22 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  36 Citations (Scopus)

• The expected payoff to Internet auctions

  de Haan, L., de Vries, C. & Zhou, C., 2009, In: Extremes. 12, 3, p. 219-238 20 p.

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

  Open Access

  File
  1 Citation (Scopus)

  15 Downloads (Pure)
• 2008

  A 2-step estimator of the extreme value index

  Zhou, C., 2008, In: Extremes. 11, 3, p. 281-302 22 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  6 Citations (Scopus)

• On spatial extremes: with application to a rainfall problem

  Buishand, A., de Haan, L. & Zhou, C., 2008, In: Annals of Applied Statistics. 2, 2, p. 624-642 19 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  125 Citations (Scopus)
• 2006

  Discussion of “Copulas: Tales and facts”, by Thomas Mikosch

  de Vries, C. & Zhou, C., 2006, In: Extremes. 9, 1, p. 23-25 3 p.

  Research output: Contribution to journal › Article › Academic › peer-review
  5 Citations (Scopus)