Chen Zhou : Citation Profile


Are you Chen Zhou?

Erasmus Universiteit Rotterdam (83% share)
de Nederlandsche Bank (17% share)

13

H index

15

i10 index

460

Citations

RESEARCH PRODUCTION:

25

Articles

44

Papers

RESEARCH ACTIVITY:

   14 years (2007 - 2021). See details.
   Cites by year: 32
   Journals where Chen Zhou has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 24 (4.96 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh286
   Updated: 2022-06-22    RAS profile: 2022-04-19    
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Relations with other researchers


Works with:

Einmahl, John (6)

van Oordt, Maarten (3)

Bohorquez Correa, Santiago (2)

Nielsson, Ulf (2)

Gehrig, Thomas (2)

Wong, Wing-Keung (2)

Wilhelmsson, Anders (2)

Palan, Stefan (2)

Deev, Oleg (2)

Lopez-Lira, Alejandro (2)

Chow, Nikolai Sheung-Chi (2)

Dreber, Anna (2)

Tonks, Ian (2)

Ferrara, Gerardo (2)

Moinas, Sophie (2)

van Kervel, Vincent (2)

Bouri, Elie (2)

Jalkh, Naji (2)

Bos, Charles (2)

Regis, Luca (2)

Hurlin, Christophe (2)

Lof, Matthijs (2)

Caporin, Massimiliano (2)

Pelizzon, Loriana (2)

Wolff, Christian (2)

Foucault, Thierry (2)

Park, Andreas (2)

Rakowski, David (2)

Vilkov, Grigory (2)

CAPELLE-BLANCARD, Gunther (2)

Xiu, Dacheng (2)

Reitz, Stefan (2)

Frijns, Bart (2)

Talavera, Oleksandr (2)

Schwarz, Marco (2)

Liew, Chee (2)

Xia, Shuo (2)

Harris, Jeffrey (2)

Ranaldo, Angelo (2)

Stefanova, Denitsa (2)

Davies, Ryan (2)

Hautsch, Nikolaus (2)

Pastor, Lubos (2)

Johannesson, Magnus (2)

Sarno, Lucio (2)

Kassner, Bernhard (2)

FERROUHI, EL MEHDI (2)

Theissen, Erik (2)

PASCUAL, ROBERTO (2)

Taylor, Nick (2)

Abudy, Menachem (2)

Colliard, Jean-Edouard (2)

Roy, Saurabh (2)

Brownlees, Christian (2)

Dumitrescu, Ariadna (2)

Menkveld, Albert (2)

Adrian, Tobias (2)

Ait-Sahalia, Yacine (2)

Alexeev, Vitali (2)

Patton, Andrew (2)

LINTON, OLIVER (2)

Pasquariello, Paolo (2)

Lajaunie, Quentin (2)

Patel, Vinay (2)

Holzmeister, Felix (2)

Schenk-Hoppé, Klaus (2)

Putnins, Talis (2)

Verousis, Thanos (2)

Smales, Lee (2)

Gorbenko, Arseny (2)

Scaillet, Olivier (2)

Walther, Thomas (2)

Rinne, Kalle (2)

Dimpfl, Thomas (2)

Heath, Davidson (2)

Jurkatis, Simon (2)

Gerritsen, Dirk (2)

Horenstein, Alex (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Chen Zhou.

Is cited by:

Moessner, Richhild (16)

Galati, Gabriele (9)

Nautz, Dieter (9)

Ravazzolo, Francesco (8)

Dovern, Jonas (7)

STUPFLER, Gilles (7)

van Rooij, Maarten (6)

Rodríguez Caballero, Carlos (6)

Garita, Gus (6)

Vander Vennet, Rudi (5)

Hoeberichts, Marco (5)

Cites to:

de Vries, Casper (64)

Acharya, Viral (31)

Jansen, Dennis (21)

Straetmans, Stefan (20)

Hartmann, Philipp (18)

Zhou, Hao (17)

Rochet, Jean (14)

BORIO, Claudio (13)

Bollerslev, Tim (13)

Milesi-Ferretti, Gian Maria (12)

Tarashev, Nikola (12)

Main data


Where Chen Zhou has published?


Journals with more than one article published# docs
Journal of Multivariate Analysis3
Journal of the American Statistical Association2
Economics Letters2
International Journal of Central Banking2
Journal of the Royal Statistical Society Series B2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany5
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Chen Zhou (2022 and 2021)


YearTitle of citing document
2021Deep 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.

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2021Long-term prediction intervals with many covariates. (2020). Chudy, Marek ; Karmakar, Sayar ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2012.08223.

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2021GARCH-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.

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2021Can Tail Risk Predict Asia-Pacific Exchange Rates Out of Sample?. (2021). Adediran, Idris A. In: Asian Economics Letters. RePEc:ayb:jrnael:42.

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2021Systemic Risk and Portfolio Diversification: Evidence from the Futures Market. (2021). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:21-50.

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2021Firms 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.

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2021The 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.

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2021Simulating 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.

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2021International 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.

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2020Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐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.

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2021Effects of Inflation Expectations on Inflation. (2021). Moessner, Richhild. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9467.

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2021Determinants of Inflation Expectations. (2021). Moessner, Richhild. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9485.

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2021Systemic 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.

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2021Climate 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
2021Mental 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.

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2021Time–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.

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2022Did 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.

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2021Market 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.

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2021ExpectHill 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.

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2020Digital 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.

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2021Bank 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.

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2021Tail 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.

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2021Not 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.

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2021Leverage 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.

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2021Up 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.

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2022The 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.

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2022Asymptotic 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.

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2022Statistical 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.

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2021Tail 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.

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2021Does 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.

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2021On 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.

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2021Bank 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.

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2021Complexity, 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.

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2021How 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.

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2021Semi-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.

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2021Anchoring 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.

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2021Estimating 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.

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2021Systemic-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.

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2022Testing 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.

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2020Modeling 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.

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2021Tail 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.

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2021Modeling 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.

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2021.

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2021.

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2021Inflation 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.

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2021Extreme 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.

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2021Extreme 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.

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2021Too 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.

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2021Accrual 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.

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2021Media 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.

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2021Non-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.

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2021Forecasting 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.

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2021Effects 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.

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2021Atheoretical 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.

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2021Bayesian 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.

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2020A 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.

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2022QE: Implications for Bank Risk-Taking, Profitability, and Systemic Risk. (2022). Velic, Adnan ; Kapoor, Supriya. In: Trinity Economics Papers. RePEc:tcd:tcduee:tep0122.

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2020Unified Extreme Value Estimation for Heterogeneous Data. (2020). Einmahl, John ; He, Y. In: Discussion Paper. RePEc:tiu:tiucen:dfe6c38c-823b-4394-b4fd-ad1924403551.

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2020Unified Extreme Value Estimation for Heterogeneous Data. (2020). He, Y ; Einmahl, John. In: Other publications TiSEM. RePEc:tiu:tiutis:dfe6c38c-823b-4394-b4fd-ad1924403551.

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2021Modeling 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.

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2021Tail 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.

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2021The 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.

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2021Systemic 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.

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Works by Chen Zhou:


YearTitleTypeCited
2016Estimating Systematic Risk Under Extremely Adverse Market Conditions In: Staff Working Papers.
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paper1
2019Estimating Systematic Risk under Extremely Adverse Market Conditions.(2019) In: Journal of Financial Econometrics.
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2013Looking at the tail: price-based measures of systemic importance In: BIS Quarterly Review.
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article4
2015Estimation of the marginal expected shortfall: the mean when a related variable is extreme In: Journal of the Royal Statistical Society Series B.
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article23
2012Estimation of the Marginal Expected Shortfall : The Mean when a Related Variable is Extreme.(2012) In: Discussion Paper.
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This paper has another version. Agregated cites: 23
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2012Estimation of the Marginal Expected Shortfall : The Mean when a Related Variable is Extreme.(2012) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 23
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2016Statistics of heteroscedastic extremes In: Journal of the Royal Statistical Society Series B.
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article23
2014Statistics of Heteroscedastic Extremes.(2014) In: Discussion Paper.
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This paper has another version. Agregated cites: 23
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2014Statistics of Heteroscedastic Extremes.(2014) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 23
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2008The power of weather. Some empirical evidence on predicting day-ahead power prices through weather forecasts In: Working Paper.
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paper1
2013Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk In: Working Papers.
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paper0
2022TAIL DEPENDENCE OF OLS In: Econometric Theory.
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article0
2016Systematic Tail Risk In: Journal of Financial and Quantitative Analysis.
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article26
2013Systematic tail risk.(2013) In: DNB Working Papers.
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This paper has another version. Agregated cites: 26
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2008Did the anchor of inflation expectations in the euro area turn adrift? In: DNB Working Papers.
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paper2
2009Can Open Capital Markets Help Avoid Currency Crises? In: DNB Working Papers.
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paper5
2009Did the crisis affect inflation expectations? In: DNB Working Papers.
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paper82
2011Did the Crisis Affect Inflation Expectations?.(2011) In: International Journal of Central Banking.
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This paper has another version. Agregated cites: 82
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2009Are banks too big to fail? In: DNB Working Papers.
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paper25
2010The power of weather In: DNB Working Papers.
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paper35
2012The power of weather.(2012) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 35
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2010Why the micro-prudential regulation fails? The impact on systemic risk by imposing a capital requirement In: DNB Working Papers.
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paper2
2011Systematic risk under extremely adverse market condition In: DNB Working Papers.
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paper5
2011The simple econometrics of tail dependence In: DNB Working Papers.
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paper7
2012The simple econometrics of tail dependence.(2012) In: Economics Letters.
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This paper has another version. Agregated cites: 7
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2011Have market views on the sustainability of fiscal burdens influenced monetary authorities credibility? In: DNB Working Papers.
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paper2
2012Identifying systemically important financial institutions: size and other determinants In: DNB Working Papers.
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paper13
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