13
H index
15
i10 index
460
Citations
Erasmus Universiteit Rotterdam (83% share) | 13 H index 15 i10 index 460 Citations RESEARCH PRODUCTION: 25 Articles 44 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Chen Zhou. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Journal of Multivariate Analysis | 3 |
Journal of the American Statistical Association | 2 |
Economics Letters | 2 |
International Journal of Central Banking | 2 |
Journal of the Royal Statistical Society Series B | 2 |
Journal of Empirical Finance | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
MPRA Paper / University Library of Munich, Germany | 5 |
Tinbergen Institute Discussion Papers / Tinbergen Institute | 2 |
Year | Title of citing document |
---|---|
2021 | Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices. (2020). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Papers. RePEc:arx:papers:2010.01844. Full description at Econpapers || Download paper |
2021 | Long-term prediction intervals with many covariates. (2020). Chudy, Marek ; Karmakar, Sayar ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2012.08223. Full description at Econpapers || Download paper |
2021 | GARCH-UGH: A bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series. (2021). STUPFLER, Gilles ; Kawasaki, Yoshinori ; Kaibuchi, Hibiki. In: Papers. RePEc:arx:papers:2104.09879. Full description at Econpapers || Download paper |
2021 | Can Tail Risk Predict Asia-Pacific Exchange Rates Out of Sample?. (2021). Adediran, Idris A. In: Asian Economics Letters. RePEc:ayb:jrnael:42. Full description at Econpapers || Download paper |
2021 | Systemic Risk and Portfolio Diversification: Evidence from the Futures Market. (2021). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:21-50. Full description at Econpapers || Download paper |
2021 | Firms inflation expectations and pricing strategies during Covid-19. (2021). Tagliabracci, Alex ; Riggi, Marianna ; Conflitti, Cristina ; Bottone, Marco. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_619_21. Full description at Econpapers || Download paper |
2021 | The anchoring of long-term inflation expectations of consumers: insights from a new survey. (2021). van Rooij, Maarten ; Moessner, Richhild ; Galati, Gabriele. In: BIS Working Papers. RePEc:bis:biswps:936. Full description at Econpapers || Download paper |
2021 | Simulating risk measures via asymptotic expansions for relative errors. (2021). Kou, Steven ; Jiang, Wei. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:3:p:907-942. Full description at Econpapers || Download paper |
2021 | International Effects of Euro Area Forward Guidance. (2021). Siklos, Pierre ; Feldkircher, Martin ; Böck, Maximilian ; Bock, Maximilian. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1066-1110. Full description at Econpapers || Download paper |
2020 | Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lpâ€optimization. (2020). STUPFLER, Gilles ; Girard, Stephane ; Gardes, Laurent. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:47:y:2020:i:3:p:922-949. Full description at Econpapers || Download paper |
2021 | Effects of Inflation Expectations on Inflation. (2021). Moessner, Richhild. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9467. Full description at Econpapers || Download paper |
2021 | Determinants of Inflation Expectations. (2021). Moessner, Richhild. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9485. Full description at Econpapers || Download paper |
2021 | Systemic Risk in Indian Banking: Measurement and Impact of COVID-19. (2021). Trivedi, Krina. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2021:i:1:p:143-151. Full description at Econpapers || Download paper |
2021 | Climate change and monetary policy in the euro area. (2021). Röhe, Oke ; Popov, Alexander ; Petroulakis, Filippos ; Papadopoulou, Niki ; Parker, Miles ; Mistretta, Alessandro ; Lozej, Matija ; Grüning, Patrick ; Giovannini, Alessandro ; Garcia Sanchez, Pablo ; DARRACQ PARIES, Matthieu ; Breitenfellner, Andreas ; Bun, Maurice ; Manzanares, Andres ; Diez-Caballero, Arturo ; Prammer, Doris ; Cruz, Lia Vaz ; Weber, Pierre-Franois ; Gruning, Patrick ; Stracca, Livio ; Farkas, Matyas ; Roos, Madelaine ; Aubrechtova, Jana ; Kapp, Daniel ; Osiewicz, Malgorzata ; Holthausen, Cornelia ; Bua, Giovanna ; Manninen, Otso ; di Nino, Virginia ; van den End, Jan Willem ; Moench, Emanuel ; Sotomayor, Beatriz ; Faiella, Ivan ; Rohe, Oke ; Dinino, Virginia ; Isgro, Lorenzo ; Nerlich, Carolin ; Drudi, Francesco ; Garcia-Sanche |
2021 | Mental accounts with horizon and asymmetry preferences. (2021). Lejeune, Thomas ; Hübner, Georges ; Hubner, Georges. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002042. Full description at Econpapers || Download paper |
2021 | Time–frequency quantile dependence between Bitcoin and global equity markets. (2021). Abdoh, Hussein ; Maghyereh, Aktham. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302369. Full description at Econpapers || Download paper |
2022 | Did small or large US banks transmit more risk during the Subprime crisis?. (2022). Pino, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s106294082100190x. Full description at Econpapers || Download paper |
2021 | Market power and banking regulations: Evidence from RDD application to the Brazilian banking market. (2021). Camacho, Pedro Ivo ; de Genaro, Alan ; Fernandes, Ivan Filipe. In: Economics Letters. RePEc:eee:ecolet:v:202:y:2021:i:c:s0165176521000987. Full description at Econpapers || Download paper |
2021 | ExpectHill estimation, extreme risk and heavy tails. (2021). Stupfler, Gilles ; Girard, Stephane ; Daouia, Abdelaati. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:97-117. Full description at Econpapers || Download paper |
2020 | Digital technology diffusion: A matter of capabilities, incentives or both?. (2020). Andrews, Dan ; Nicoletti, Giuseppe ; von Rueden, Christina. In: European Economic Review. RePEc:eee:eecrev:v:128:y:2020:i:c:s0014292120301446. Full description at Econpapers || Download paper |
2021 | Bank stocks, risk factors, and tail behavior. (2021). Huang, Lin ; Marcus, Alan J ; Cai, Jun ; Yang, Huan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:203-229. Full description at Econpapers || Download paper |
2021 | Tail risk measurement in crypto-asset markets. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302477. Full description at Econpapers || Download paper |
2021 | Not all bank systemic risks are alike: Deposit insurance and bank risk revisited. (2021). Hamori, Shigeyuki ; Kinkyo, Takuji ; Zhang, Zhiwen ; Chen, Wang. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s105752192100185x. Full description at Econpapers || Download paper |
2021 | Leverage and systemic risk pro-cyclicality in the Chinese financial system. (2021). Urga, Giovanni ; Pellini, Elisabetta ; Cincinelli, Peter. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002210. Full description at Econpapers || Download paper |
2021 | Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets. (2021). Zaremba, Adam ; Bilgin, Mehmet ; Szczygielski, Jan J ; Mercik, Aleksander ; Long, Huaigang. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002349. Full description at Econpapers || Download paper |
2022 | The Eurozone banking sector in the time of COVID-19: Measuring volatility connectedness. (2022). Angelini, Eliana ; Addi, Abdelhamid ; Foglia, Matteo. In: Global Finance Journal. RePEc:eee:glofin:v:51:y:2022:i:c:s1044028321000752. Full description at Econpapers || Download paper |
2022 | Asymptotic results on marginal expected shortfalls for dependent risks. (2022). Li, Jinzhu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:146-168. Full description at Econpapers || Download paper |
2022 | Statistical inference for tail-based cumulative residual entropy. (2022). Hu, Taizhong ; Chen, YU ; Sun, Hongfang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:66-95. Full description at Econpapers || Download paper |
2021 | Tail dependence and heavy tailedness in extreme risks. (2021). Yang, Fan ; Tan, Ken Seng ; Ji, Liuyan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:282-293. Full description at Econpapers || Download paper |
2021 | Does boardroom gender diversity decrease credit risk in the financial sector? Worldwide evidence. (2021). Sohel, Nurul ; Scagnelli, Simone D ; Zaman, Rashid ; Choudhury, Tonmoy ; Kinateder, Harald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000664. Full description at Econpapers || Download paper |
2021 | On the predictive power of network statistics for financial risk indicators. (2021). , Mike ; Zhang, Zhepei ; Song, Jianhua. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001347. Full description at Econpapers || Download paper |
2021 | Bank liquidity creation and systemic risk. (2021). Vähämaa, Sami ; Yasar, Sara ; Vahamaa, Sami ; Davydov, Denis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302922. Full description at Econpapers || Download paper |
2021 | Complexity, interconnectedness and stability: New perspectives applied to the European banking system. (2021). Bertrand, Jean-Louis ; Chabot, Miia. In: Journal of Business Research. RePEc:eee:jbrese:v:129:y:2021:i:c:p:784-800. Full description at Econpapers || Download paper |
2021 | How economic crises affect inflation beliefs: Evidence from the Covid-19 pandemic. (2021). van der Klaauw, Wilbert ; topa, giorgio ; Kosar, Gizem ; Smith, Kyle ; Skandalis, Daphne ; Pomerantz, Rachel ; Koar, Gizem ; Armantier, Olivier. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:189:y:2021:i:c:p:443-469. Full description at Econpapers || Download paper |
2021 | Semi-parametric estimation of multivariate extreme expectiles. (2021). Mailhot, Melina ; di Bernardino, Elena ; Beck, Nicholas. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:184:y:2021:i:c:s0047259x21000361. Full description at Econpapers || Download paper |
2021 | Anchoring of inflation expectations in large emerging economies. (2021). Alex, Dony. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:23:y:2021:i:c:s1703494921000074. Full description at Econpapers || Download paper |
2021 | Estimating the market risk of clean energy technologies companies using the expected shortfall approach. (2021). Pradhan, Ashis ; Tiwari, Aviral Kumar. In: Renewable Energy. RePEc:eee:renene:v:177:y:2021:i:c:p:95-100. Full description at Econpapers || Download paper |
2021 | Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365. Full description at Econpapers || Download paper |
2022 | Testing for changes in the tail behavior of Brown–Resnick Pareto processes. (2022). Robert, Christian Y. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:144:y:2022:i:c:p:312-368. Full description at Econpapers || Download paper |
2020 | Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions. (2020). Zeldea, Cristina. In: Administrative Sciences. RePEc:gam:jadmsc:v:10:y:2020:i:3:p:52-:d:396470. Full description at Econpapers || Download paper |
2021 | Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic. (2021). Just, Magorzata ; Echaust, Krzysztof. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:14:p:4147-:d:591470. Full description at Econpapers || Download paper |
2021 | Modeling of Bank Credit Risk Management Using the Cost Risk Model. (2021). Yanenkova, Iryna ; Berezovska, Lyudmyla ; Zavhorodnii, Andrii ; Drobyazko, Svetlana ; Nehoda, Yuliia. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:211-:d:549906. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2021 | Inflation News and Euro-Area Inflation Expectations. (2021). Sebastian, ; Garcia, Juan Angel. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2021:q:3:a:1. Full description at Econpapers || Download paper |
2021 | Extreme Value Theory and Auction Models. (2021). Morganti, Paolo Riccardo. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:2:a:10. Full description at Econpapers || Download paper |
2021 | Extreme Value Theory and Auction Models. (2021). Morganti, Paolo Riccardo. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:2:p:1-15. Full description at Econpapers || Download paper |
2021 | Too big to fail? An analysis of the Colombian banking system through compositional data.. (2021). Vega, Juan David ; Santolino, Miguel. In: IREA Working Papers. RePEc:ira:wpaper:202111. Full description at Econpapers || Download paper |
2021 | Accrual mispricing, value-at-risk, and expected stock returns. (2021). Simlai, Prodosh. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:4:d:10.1007_s11156-021-00985-2. Full description at Econpapers || Download paper |
2021 | Media sentiment on monetary policy: determinants and relevance for inflation expectations. (2021). Renault, Thomas ; Pinter, Julien ; Picault, Matthieu. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2895. Full description at Econpapers || Download paper |
2021 | Non-Performing Loans and Systemic Risk of Indian Banks. (2021). Dash, Mihir. In: Journal of Applied Management and Investments. RePEc:ods:journl:v:10:y:2021:i:1:p:10-20. Full description at Econpapers || Download paper |
2021 | Forecasting Electricity Prices with Expert, Linear and Non-Linear Models. (2021). Ravazzolo, Francesco ; del Grosso, Filippo ; Gianfreda, Angelica ; Bille, Anna Gloria. In: Working Paper series. RePEc:rim:rimwps:21-20. Full description at Econpapers || Download paper |
2021 | Effects of Monetary Policy Decisions on Professional Forecasters Expectations and Expectation Uncertainty. (2021). Viren, Matti ; Oinonen, Sami. In: Economia Internazionale / International Economics. RePEc:ris:ecoint:0897. Full description at Econpapers || Download paper |
2021 | Atheoretical Regression Trees for classifying risky financial institutions. (2021). Durso, Pierpaolo ; Maddaloni, Angela ; Iorio, Francesca ; Cappelli, Carmela . In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03406-9. Full description at Econpapers || Download paper |
2021 | Bayesian estimation of stochastic tail index from high-frequency financial data. (2021). Doan, Osman ; Bera, Anil K ; Tapinar, Suleyman. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:5:d:10.1007_s00181-020-01969-2. Full description at Econpapers || Download paper |
2020 | A nonparametric estimator for the conditional tail index of Pareto-type distributions. (2020). Huang, Wei ; Wei, BO ; Ma, Yaolan. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:83:y:2020:i:1:d:10.1007_s00184-019-00723-8. Full description at Econpapers || Download paper |
2022 | QE: Implications for Bank Risk-Taking, Profitability, and Systemic Risk. (2022). Velic, Adnan ; Kapoor, Supriya. In: Trinity Economics Papers. RePEc:tcd:tcduee:tep0122. Full description at Econpapers || Download paper |
2020 | Unified Extreme Value Estimation for Heterogeneous Data. (2020). Einmahl, John ; He, Y. In: Discussion Paper. RePEc:tiu:tiucen:dfe6c38c-823b-4394-b4fd-ad1924403551. Full description at Econpapers || Download paper |
2020 | Unified Extreme Value Estimation for Heterogeneous Data. (2020). He, Y ; Einmahl, John. In: Other publications TiSEM. RePEc:tiu:tiutis:dfe6c38c-823b-4394-b4fd-ad1924403551. Full description at Econpapers || Download paper |
2021 | Modeling short?ranged dependence in block extrema with application to polar temperature data. (2021). Huang, Whitney K ; Russell, Brook T. In: Environmetrics. RePEc:wly:envmet:v:32:y:2021:i:3:n:e2661. Full description at Econpapers || Download paper |
2021 | Tail dependence between oil prices and Chinas A?shares: Evidence from firm?level data. (2021). Egan, Paul ; Fang, Sheng. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:1469-1487. Full description at Econpapers || Download paper |
2021 | The triple (T3) dimension of systemic risk: Identifying systemically important banks. (2021). Angelini, Eliana ; Foglia, Matteo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:7-26. Full description at Econpapers || Download paper |
2021 | Systemic risk in the Chinese financial system: A copula?based network approach. (2021). Zhang, Dayong ; Ji, Qiang ; Wu, Fei. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2044-2063. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
2016 | Estimating Systematic Risk Under Extremely Adverse Market Conditions In: Staff Working Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Estimating Systematic Risk under Extremely Adverse Market Conditions.(2019) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2013 | Looking at the tail: price-based measures of systemic importance In: BIS Quarterly Review. [Full Text][Citation analysis] | article | 4 |
2015 | Estimation of the marginal expected shortfall: the mean when a related variable is extreme In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 23 |
2012 | Estimation of the Marginal Expected Shortfall : The Mean when a Related Variable is Extreme.(2012) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2012 | Estimation of the Marginal Expected Shortfall : The Mean when a Related Variable is Extreme.(2012) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2016 | Statistics of heteroscedastic extremes In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 23 |
2014 | Statistics of Heteroscedastic Extremes.(2014) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2014 | Statistics of Heteroscedastic Extremes.(2014) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2008 | The power of weather. Some empirical evidence on predicting day-ahead power prices through weather forecasts In: Working Paper. [Full Text][Citation analysis] | paper | 1 |
2013 | Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | TAIL DEPENDENCE OF OLS In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
2016 | Systematic Tail Risk In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 26 |
2013 | Systematic tail risk.(2013) In: DNB Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
2008 | Did the anchor of inflation expectations in the euro area turn adrift? In: DNB Working Papers. [Full Text][Citation analysis] | paper | 2 |
2009 | Can Open Capital Markets Help Avoid Currency Crises? In: DNB Working Papers. [Full Text][Citation analysis] | paper | 5 |
2009 | Did the crisis affect inflation expectations? In: DNB Working Papers. [Full Text][Citation analysis] | paper | 82 |
2011 | Did the Crisis Affect Inflation Expectations?.(2011) In: International Journal of Central Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 82 | article | |
2009 | Are banks too big to fail? In: DNB Working Papers. [Full Text][Citation analysis] | paper | 25 |
2010 | The power of weather In: DNB Working Papers. [Full Text][Citation analysis] | paper | 35 |
2012 | The power of weather.(2012) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | article | |
2010 | Why the micro-prudential regulation fails? The impact on systemic risk by imposing a capital requirement In: DNB Working Papers. [Full Text][Citation analysis] | paper | 2 |
2011 | Systematic risk under extremely adverse market condition In: DNB Working Papers. [Full Text][Citation analysis] | paper | 5 |
2011 | The simple econometrics of tail dependence In: DNB Working Papers. [Full Text][Citation analysis] | paper | 7 |
2012 | The simple econometrics of tail dependence.(2012) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2011 | Have market views on the sustainability of fiscal burdens influenced monetary authorities credibility? In: DNB Working Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | Identifying systemically important financial institutions: size and other determinants In: DNB Working Papers. [Full Text][Citation analysis] | paper | 13 |
2013 | Systemic Risk Allocation for Systems with A Small Number of Banks In: DNB Working Papers. [Full Text][Citation analysis] | paper | 4 |
2014 | Systemic risk and bank business models In: DNB Working Papers. [Full Text][Citation analysis] | paper | 15 |
2019 | Systemic risk and bank business models.(2019) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article | |
2015 | Systemic risk of European banks: Regulators and markets In: DNB Working Papers. [Full Text][Citation analysis] | paper | 2 |
2016 | Why risk is so hard to measure In: DNB Working Papers. [Full Text][Citation analysis] | paper | 18 |
2015 | Why risk is so hard to measure.(2015) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2016 | Deflation risk in the euro area and central bank credibility In: DNB Working Papers. [Full Text][Citation analysis] | paper | 14 |
2018 | Deflation risk in the euro area and central bank credibility.(2018) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2017 | Entropy-based implied moments In: DNB Working Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Value-at-Risk prediction using option-implied risk measures In: DNB Working Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Outlier detection in TARGET2 risk indicators In: DNB Working Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Micro-prudential regulation and banks systemic risk In: DNB Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Diagnosing the distribution of GARCH innovations In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 12 |
2018 | The decomposition of jump risks in individual stock returns In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 1 |
2013 | The impact of imposing capital requirements on systemic risk In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 13 |
2010 | Dependence structure of risk factors and diversification effects In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 14 |
2021 | Systemic risk allocation using the asymptotic marginal expected shortfall In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
2013 | The number of active bidders in internet auctions In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 3 |
2009 | Existence and consistency of the maximum likelihood estimator for the extreme value index In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 6 |
2010 | The extent of the maximum likelihood estimator for the extreme value index In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 5 |
2012 | Exceedance probability of the integral of a stochastic process In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 0 |
2014 | The determinants of systemic importance In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 3 |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 0 |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2010 | Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions In: International Journal of Central Banking. [Full Text][Citation analysis] | article | 73 |
2010 | Can Financial Openness Help Avoid Currency Crises? In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2011 | Averting Currency Crises: The Pros and Cons of Financial Openness In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2013 | Too big to fail or Too non-traditional to fail?: The determinants of banks systemic importance In: MPRA Paper. [Full Text][Citation analysis] | paper | 10 |
2013 | The drivers of downside equity tail risk In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
2013 | The cross-section of tail risks in stock returns In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
2016 | Adapting extreme value statistics to financial time series: dealing with bias and serial dependence In: Finance and Stochastics. [Full Text][Citation analysis] | article | 6 |
2019 | Risk Theory: A Heavy Tail Approach. In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 0 |
2021 | Trends in Extreme Value Indices In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 0 |
2021 | Testing the Multivariate Regular Variation Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
2018 | Testing the Multivariate Regular Variation Model.(2018) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2018 | Testing the Multivariate Regular Variation Model.(2018) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2007 | The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | The Extent of Internet Auction Markets In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Extreme Value Statistics in Semi-Supervised Models In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
2021 | Extreme Value Statistics in Semi-Supervised Models.(2021) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2020 | Spatial Dependence and Space-Time Trend in Extreme Events In: Discussion Paper. [Full Text][Citation analysis] | paper | 0 |
2020 | Spatial Dependence and Space-Time Trend in Extreme Events.(2020) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team