11
H index
12
i10 index
473
Citations
Erasmus Universiteit Rotterdam (83% share) | 11 H index 12 i10 index 473 Citations RESEARCH PRODUCTION: 25 Articles 24 Papers RESEARCH ACTIVITY: 15 years (2007 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pzh286 |
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 |
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Journal of Multivariate Analysis | 3 |
Journal of Empirical Finance | 2 |
Journal of the Royal Statistical Society Series B | 2 |
Economics Letters | 2 |
International Journal of Central Banking | 2 |
Journal of the American Statistical Association | 2 |
Working Papers Series with more than one paper published | # docs |
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MPRA Paper / University Library of Munich, Germany | 5 |
Tinbergen Institute Discussion Papers / Tinbergen Institute | 2 |
Year | Title of citing document |
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2023 | Hybridising Neurofuzzy Model the Seasonal Autoregressive Models for Electricity Price Forecasting on Germany’s Spot Market. (2023). Bag, Raul Cristian ; Ben-Amor, Souhir ; Balasoiu, Narciz ; Paraschiv, Dorel Mihai. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:25:y:2023:i:63:p:463. Full description at Econpapers || Download paper |
2023 | FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera. Full description at Econpapers || Download paper |
2023 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper |
2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper |
2023 | New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025. Full description at Econpapers || Download paper |
2023 | Tail Risk and Systemic Risk Estimation of Cryptocurrencies: an Expectiles and Marginal Expected Shortfall based approach. (2023). Teruzzi, Andrea. In: Papers. RePEc:arx:papers:2311.17239. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765. Full description at Econpapers || Download paper |
2023 | Multivariate probabilistic forecasting of intraday electricity prices using normalizing flows. (2023). Dahmen, Manuel ; Mitsos, Alexander ; Witthaut, Dirk ; Cramer, Eike. In: Applied Energy. RePEc:eee:appene:v:346:y:2023:i:c:s0306261923007341. Full description at Econpapers || Download paper |
2023 | Are low frequency macroeconomic variables important for high frequency electricity prices?. (2023). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003972. Full description at Econpapers || Download paper |
2023 | Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics. (2023). Rodrigues, Paulo ; Stoykov, Marian Z ; Nicolau, Joo. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2266-2284. Full description at Econpapers || Download paper |
2023 | A Weissman-type estimator of the conditional marginal expected shortfall. (2023). Qin, Jing ; le Ho, Nguyen Khanh ; Guillou, Armelle ; Goegebeur, Yuri. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:173-196. Full description at Econpapers || Download paper |
2023 | Determinants of connectedness in financial institutions: Evidence from Taiwan. (2023). Mo, Wan-Shin ; Chiang, Shu-Hen ; Chen, Yu-Lun. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000681. Full description at Econpapers || Download paper |
2023 | Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective. (2023). Xiong, Xiong ; Jia, Kai-Wen ; Wu, Zhuo-Cheng ; Zhao, Min ; Gong, Xiao-Li. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001767. Full description at Econpapers || Download paper |
2023 | Explain systemic risk of commodity futures market by dynamic network. (2023). Zhang, Zuominyang ; Wang, Tianqi ; Lin, Jianwu ; Huang, KE ; He, Chengying. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001746. Full description at Econpapers || Download paper |
2023 | Network effects on risk co-movements: A network quantile autoregression-based analysis. (2023). Zhu, Xiaonan ; Shu, Lei ; Gao, YU ; Chen, YU. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004427. Full description at Econpapers || Download paper |
2023 | Does systematic tail risk matter?. (2023). Pereverzin, Aleksandr ; Nguyen, Linh H ; Polanski, Arnold ; Stoja, Evarist. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001706. Full description at Econpapers || Download paper |
2023 | Social capital, trust, and bank tail risk: The value of ESG rating and the effects of crisis shocks. (2023). Elnahass, Marwa ; Li, Teng ; Cao, Ngan Duong ; Trinh, Vu Quang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443123000082. Full description at Econpapers || Download paper |
2023 | A multifractal model of asset (in)variances. (2023). Grobys, Klaus. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000355. Full description at Econpapers || Download paper |
2023 | Forecasting electricity prices with expert, linear, and nonlinear models. (2023). Ravazzolo, Francesco ; del Grosso, Filippo ; Gianfreda, Angelica ; Bille, Anna Gloria. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:570-586. Full description at Econpapers || Download paper |
2023 | Share pledge financing network and systemic risks: Evidence from China. (2023). Wang, ZE ; Qin, Xiao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:152:y:2023:i:c:s037842662300095x. Full description at Econpapers || Download paper |
2023 | Nonparametric estimation of conditional marginal excess moments. (2023). Qin, Jing ; le Ho, Nguyen Khanh ; Guillou, Armelle ; Goegebeur, Yuri. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:193:y:2023:i:c:s0047259x22001129. Full description at Econpapers || Download paper |
2023 | Extreme partial least-squares. (2023). Enjolras, Geoffroy ; Girard, Stephane ; Bousebata, Meryem. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:194:y:2023:i:c:s0047259x22000926. Full description at Econpapers || Download paper |
2023 | Gold and tail risks. (2023). Salisu, Afees ; Adediran, Idris ; Tchankam, Jean Paul ; Omoke, Philip C. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005979. Full description at Econpapers || Download paper |
2023 | Asymmetric effects of oil price shocks on the demand for money in Algeria. (2023). Alsamara, Mouyad ; Boumimez, Fayal ; Chelghoum, Amirouche. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:1-11. Full description at Econpapers || Download paper |
2023 | Financial networks and systemic risk vulnerabilities: A tale of Indian banks. (2023). Bekiros, Stelios ; Khan, Mohammad Azeem ; Wadhwani, Akshay ; Tiwari, Shiv Ratan ; Ahmad, Wasim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000880. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv. Full description at Econpapers || Download paper |
2023 | Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium. (2023). Wang, Tong. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:1:p:325-367.. Full description at Econpapers || Download paper |
2023 | Anchoring of Inflation Expectations and the Role of Monetary Policy and Cost-Push Factors. (2023). Czudaj, Robert L. In: MPRA Paper. RePEc:pra:mprapa:119029. Full description at Econpapers || Download paper |
2023 | Tail risk, beta anomaly, and demand for lottery: what explains cross-sectional variations in equity returns?. (2023). Badhani, K N ; Ali, Asgar. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-022-02355-w. Full description at Econpapers || Download paper |
2023 | Crisis transmission degree measurement under crisis propagation model. (2023). Jilani, Faouzi ; Hallara, Slaheddine ; Bedoui-Belghith, Imen. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00361-9. Full description at Econpapers || Download paper |
2023 | Macroprudential Regulation: A Risk Management Approach. (2023). Dimitrov, Daniel ; van Wijnbergen, Sweder. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230002. Full description at Econpapers || Download paper |
2023 | Empirical Likelihood Based Testing for Multivariate Regular Variation. (2023). Einmahl, John ; Krajina, Andrea. In: Discussion Paper. RePEc:tiu:tiucen:261583f5-c571-48c6-8cea-945ba6542026. Full description at Econpapers || Download paper |
2023 | Empirical Likelihood Based Testing for Multivariate Regular Variation. (2023). Krajina, Andrea ; Einmahl, John. In: Other publications TiSEM. RePEc:tiu:tiutis:261583f5-c571-48c6-8cea-945ba6542026. Full description at Econpapers || Download paper |
2023 | Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527. Full description at Econpapers || Download paper |
2023 | Stable sums to infer high return levels of multivariate rainfall time series. (2023). Naveau, Philippe ; Buritica, Gloria. In: Environmetrics. RePEc:wly:envmet:v:34:y:2023:i:4:n:e2782. Full description at Econpapers || Download paper |
2023 | Deep distributional time series models and the probabilistic forecasting of intraday electricity prices. (2023). Nott, David J ; Smith, Michael Stanley ; Klein, Nadja. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:4:p:493-511. Full description at Econpapers || Download paper |
2023 | Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market?Based Stress Tests. (2023). van Oordt, Maarten. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:2-3:p:465-501. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2016 | Estimating Systematic Risk Under Extremely Adverse Market Conditions In: Staff Working Papers. [Full Text][Citation analysis] | paper | 3 |
2019 | Estimating Systematic Risk under Extremely Adverse Market Conditions.(2019) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | 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 | 34 |
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 nother version. Agregated cites: 34 | 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 nother version. Agregated cites: 34 | paper | |
2016 | Statistics of heteroscedastic extremes In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 30 |
2014 | Statistics of Heteroscedastic Extremes.(2014) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
2014 | Statistics of Heteroscedastic Extremes.(2014) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | 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 | 40 |
2012 | The power of weather In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 42 |
2012 | The simple econometrics of tail dependence In: Economics Letters. [Full Text][Citation analysis] | article | 8 |
2018 | Deflation risk in the euro area and central bank credibility In: Economics Letters. [Full Text][Citation analysis] | article | 14 |
2014 | Diagnosing the distribution of GARCH innovations In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 16 |
2018 | The decomposition of jump risks in individual stock returns In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 3 |
2013 | The impact of imposing capital requirements on systemic risk In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 15 |
2010 | Dependence structure of risk factors and diversification effects In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 16 |
2021 | Systemic risk allocation using the asymptotic marginal expected shortfall In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
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 | 8 |
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 | 2 |
2014 | The determinants of systemic importance In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 3 |
2015 | Why risk is so hard to measure In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 7 |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 4 |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | 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 | 88 |
2011 | Did the Crisis Affect Inflation Expectations? In: International Journal of Central Banking. [Full Text][Citation analysis] | article | 80 |
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 | 11 |
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 | 4 |
2016 | Adapting extreme value statistics to financial time series: dealing with bias and serial dependence In: Finance and Stochastics. [Full Text][Citation analysis] | article | 8 |
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 | 3 |
2021 | Testing the Multivariate Regular Variation Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 2 |
2018 | Testing the Multivariate Regular Variation Model.(2018) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2018 | Testing the Multivariate Regular Variation Model.(2018) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | 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 nother 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 nother version. Agregated cites: 0 | paper | |
2019 | Systemic risk and bank business models In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 15 |
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