Prof. dr. C. (Chen) Zhou

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. (2024). Non-Standard Errors*. Journal of Finance. https://doi.org/10.2139/ssrn.3961574

Aghbalou, A., Portier, F., Sabourin, A., & Zhou, C. (2024). Tail inverse regression: Dimension reduction for prediction of extremes. Bernoulli, 30(1), 503-533. https://doi.org/10.3150/23-BEJ1606

de Haan, L., & Zhou, C. (2024). Bootstrapping Extreme Value Estimators. Journal of the American Statistical Association, 119(545), 382-393. https://doi.org/10.1080/01621459.2022.2120400

Ahmed, H., Einmahl, J. H. J., & Zhou, C. (Accepted/In press). Extreme value statistics in semi-supervised models. Journal of the American Statistical Association. https://doi.org/10.1080/01621459.2024.2333582

Oorschot, J., Segers, J., & Zhou, C. (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. https://doi.org/10.1214/23-EJS2129

Chen, L., Li, D., & Zhou, C. (2022). Adapting the Hill estimator to distributed inference: dealing with the bias. Extremes, 25(3), 389-416. https://doi.org/10.1007/s10687-022-00440-y

Cui, H., Tan, K. S., Yang, F., & Zhou, C. (2022). Asymptotic analysis of portfolio diversification. Insurance: Mathematics and Economics, 106, 302-325. https://doi.org/10.1016/j.insmatheco.2022.07.010

Chen, L., Li, D., & Zhou, C. (2022). Distributed inference for the extreme value index. Biometrika. A Journal for the Statistical Study of Biological Problems, 109(1), 257-264. https://doi.org/10.1093/biomet/asab001, https://doi.org/10.1093/biomet/asab001

Einmahl, J., Ferreira, A., De Haan, L., Neves, C., & Zhou, C. (2022). Spatial dependence and space-time trend in extreme events. Annals of Statistics, 50(1), 30-52. Article 50(1). https://doi.org/10.1214/21-AOS2067

Buecher, A., & Zhou, C. (2021). A Horse Race between the Block Maxima Method and the Peak–over–Threshold Approach. Statistical Science, 36(3), 360-378. https://doi.org/10.1214/20-STS795

Oorschot, J., & Zhou, C. (2021). TAIL DEPENDENCE OF OLS. Econometric Theory, 38(2), 273-300. https://doi.org/10.1017/S0266466621000311

Qin, X., & Zhou, C. (2021). Systemic risk allocation using the asymptotic marginal expected shortfall. Journal of Banking and Finance, 126, Article 106099. https://doi.org/10.1016/j.jbankfin.2021.106099

Nolde, N., & Zhou, C. (2021). Extreme value analysis for financial risk management. Annual Review of Statistics and Its Application, 8, 217-240. https://doi.org/10.1146/annurev-statistics-042720-015705

Einmahl, J. H. J., Yang, F., & Zhou, C. (2021). Testing the Multivariate Regular Variation Model. Journal of Business and Economic Statistics, 39(4), 907-919. https://doi.org/10.1080/07350015.2020.1737533

de Haan, L., & Zhou, C. (2020). Trends in extreme value indices. Journal of the American Statistical Association, 116(535), 1265-1279. https://doi.org/10.1080/01621459.2019.1705307

Zhou, C. (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. https://doi.org/10.1111/rssb.12355

Van Oordt, M. R. C., & Zhou, C. (2019). Estimating Systematic Risk under Extremely Adverse Market Conditions. Journal of Financial Econometrics, 17(3), 432-461. Article nbx033. https://doi.org/10.1093/jjfinec/nbx033

van Oordt, M., & Zhou, C. (2019). Systemic risk and bank business models. Journal of Applied Econometrics, 34(3), 365-384. https://doi.org/10.1002/jae.2666

Leng, X., Peng, L., Wang, X., & Zhou, C. (2018). Endpoint estimation for observations with normal measurement errors. Extremes, 22(1), 71-96. https://doi.org/10.1007/s10687-018-0332-x

Oesting, M., Schlather, M., & Zhou, C. (2018). Exact and Fast Simulation of Max-Stable Processes on a Compact Set Using the Normalized Spectral Representation. Bernoulli, 24(2), 1497-1530. https://doi.org/10.3150/16-BEJ905

Galati, G., Gorge, Z., Moessner, R., & Zhou, C. (2018). Deflation risk in the euro area and central bank credibility. Economics Letters, 167, 124-126. https://doi.org/10.1016/j.econlet.2018.03.028

Zhou, C. (2018). Discussion on "Human life is unlimited but short" by Holger Rootzen and Dmitrii Zholud. Extremes, accepted, 1-6. https://doi.org/10.1007/s10687-018-0322-z

Xiao, X., & Zhou, C. (2018). The decomposition of jump risks in individual stock returns. Journal of Empirical Finance, 47, 207-228. https://doi.org/10.1016/j.jempfin.2018.04.002

Zhou, C. (2017). Book review: quantitative risk management: concepts, techniques and tools. Extremes, 20(2), 489-491. https://doi.org/10.1007/s10687-017-0286-4

Zhou, C. (2017). Discussion on "Elicitability and backtesting: Perspectives for banking regulation". Annals of Applied Statistics, 11(4), 1888-1893. https://doi.org/10.1214/17-AOAS1041D

Einmahl, J., De Haan, L., & Zhou, C. (2016). Statistics of heteroscedastic extremes. Journal of the Royal Statistical Society. Series B. Statistical Methodology, 78(1), 31-51. https://doi.org/10.1111/rssb.12099

van Oordt, MRC., & Zhou, C. (2016). Systematic tail risk. Journal of Financial and Quantitative Analysis, 51(2), 685-705. https://doi.org/10.1017/S0022109016000193

de Haan, L., Mercadier, C., & Zhou, C. (2015). Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. Finance and Stochastics, 20(2), 321-354. https://doi.org/10.1007/s00780-015-0287-6

Cai, J., Einmahl, J., De Haan, L., & Zhou, C. (2014). Estimation of the marginal expected shortfall: the mean when a related variable is extreme. Journal of the Royal Statistical Society. Series B. Statistical Methodology, 77(2), 417-442. https://doi.org/10.1111/rssb.12069

Sun, P., & Zhou, C. (2014). Diagnosing the distribution of GARCH innovations. Journal of Empirical Finance, 29, 287-303. https://doi.org/10.1016/j.jempfin.2014.08.005

de Haan, L., de Vries, C., & Zhou, C. (2013). The number of active bidders in internet auctions. Journal of Economic Theory, 148(4), 1726-1736. https://doi.org/10.1016/j.jet.2013.04.017

Zhou, C. (2013). The impact of imposing capital requirement on systemic risk. Journal of Financial Stability, 9(3), 320-329. https://doi.org/10.1016/j.jfs.2013.06.002

Huurman, CI., Ravazzolo, F., & Zhou, C. (2012). The power of weather. Computational Statistics & Data Analysis, 56(11), 3793-3807. https://doi.org/10.2139/ssrn.1341745

van Oordt, MRC., & Zhou, C. (2012). The simple econometrics of tail dependence. Economics Letters, 116(3), 371-373. https://doi.org/10.1016/j.econlet.2012.04.016

Cai., J., de Haan, L., & Zhou, C. (2012). Bias correction in extreme value statistics with index around zero. Extremes, 16(2), 173-201. https://doi.org/10.1007/s10687-012-0158-x

Galati, G., Poelhekke, S., & Zhou, C. (2011). Did the crisis affect inflation expectations? International Journal of Central Banking, 7(1), 167-208.

de Haan, L., & Zhou, C. (2011). Extreme residual dependence for random vectors and processes. Advances in Applied Probability, 43(1), 217-242. https://doi.org/10.1239/aap/1300198520

de Haan, L., Ferreira, A., & Zhou, C. (2011). Exceedance probability of the integral of a stochastic process. Journal of Multivariate Analysis, 105(1), 241-257. https://doi.org/10.1016/j.jmva.2011.08.020

Zhou, C. (2010). The extent of the maximum likelihood estimator for the extreme value index. Journal of Multivariate Analysis, 101(4), 971-983. https://doi.org/10.1016/j.jmva.2009.09.013

Zhou, C. (2010). Dependence structure of risk factors and diversification effects. Insurance, 46(3), 531-540. https://doi.org/10.1016/j.insmatheco.2010.01.010

Zhou, C. (2010). Are banks too big to fail? Measuring systemic importance of financial institutions. International Journal of Central Banking, 6(4), 205-250. https://doi.org/10.2139/ssrn.1546384

de Haan, L., de Vries, C., & Zhou, C. (2009). The expected payoff to Internet auctions. Extremes, 12(3), 219-238. https://doi.org/10.1007/s10687-008-0077-z

Zhou, C. (2009). Existence and consistency of the maximum likelihood estimator for the extreme value index. Journal of Multivariate Analysis, 100(4), 794-815. https://doi.org/10.1016/j.jmva.2008.08.009

Buishand, A., de Haan, L., & Zhou, C. (2008). On spatial extremes: with application to a rainfall problem. Annals of Applied Statistics, 2(2), 624-642. https://doi.org/10.1214/08-AOAS159

Zhou, C. (2008). A 2-step estimator of the extreme value index. Extremes, 11(3), 281-302. https://doi.org/10.1007/s10687-008-0058-2

de Vries, C., & Zhou, C. (2006). Discussion of “Copulas: Tales and facts”, by Thomas Mikosch. Extremes, 9(1), 23-25. https://doi.org/10.1007/s10687-006-0017-8

Zhou, C. (2019). Book review: Risk Theory: A Heavy Tail Approach. Journal of the American Statistical Association, 114, 1424-1425. https://doi.org/10.1080/01621459.2019.1662244