11
H index
12
i10 index
462
Citations
Erasmus Universiteit Rotterdam (83% share) | 11 H index 12 i10 index 462 Citations RESEARCH PRODUCTION: 25 Articles 24 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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 |
Economics Letters | 2 |
Journal of the American Statistical Association | 2 |
Journal of Empirical Finance | 2 |
Journal of the Royal Statistical Society Series B | 2 |
International Journal of Central Banking | 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 |
2022 | Tail inference using extreme U-statistics. (2022). Zhou, Chen ; Segers, Johan ; Oorschot, Jochem. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022014. Full description at Econpapers || Download paper |
2022 | Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566. Full description at Econpapers || Download paper |
2022 | An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772. 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 |
2022 | Asymmetric Systemic Risk. (2022). Silva Buston, Consuelo ; Raykov, Radoslav ; Silva-Buston, Consuelo. In: Staff Working Papers. RePEc:bca:bocawp:22-19. Full description at Econpapers || Download paper |
2022 | Long?term prediction intervals with many covariates. (2022). Wu, Wei Biao ; Chud, Marek ; Karmakar, Sayar. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:587-609. 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 |
2022 | Pricing the risk due to weather conditions in small variable renewable energy projects. (2022). Uribe, Jorge M ; Mosquera-Lopez, Stephania. In: Applied Energy. RePEc:eee:appene:v:322:y:2022:i:c:s0306261922008029. 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 |
2022 | Identifying systemically important financial institutions in complex network: A case study of Chinese stock market. (2022). Jiang, Cheng ; Hou, Xiaoli ; Chen, Wei. In: Emerging Markets Review. RePEc:eee:ememar:v:50:y:2022:i:c:s1566014121000443. 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 |
2022 | In search of time-varying jumps during the turmoil periods: Evidence from crude oil futures markets. (2022). Bhattacharyya, Asit ; Das, Debojyoti ; Soytas, Ugur ; Dutta, Anupam. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s014098832200411x. 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 |
2022 | Regulatory technology (Reg-Tech) in financial stability supervision: Taxonomy, key methods, applications and future directions. (2022). Ergu, Daji ; Qian, Qian ; Li, Tie ; Chen, Jia ; Ran, Qin ; Chao, Xiangrui. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000035. Full description at Econpapers || Download paper |
2022 | Bank business models, failure risk and earnings opacity: A short- versus long-term perspective. (2022). Boateng, Agyenim ; Danso, Albert ; James, Gregory A ; Lartey, Theophilus. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000205. Full description at Econpapers || Download paper |
2022 | Investor reactions to major events in the sub-prime mortgage crisis. (2022). Bulut, Emre ; Gunsur, Baak Tanyeri. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000319. Full description at Econpapers || Download paper |
2022 | Is tail risk priced in the cross-section of Chinese mutual fund returns?. (2022). Zhou, Wenyu ; Zaremba, Adam ; Long, Huaigang ; Yang, Liuyong. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004810. Full description at Econpapers || Download paper |
2022 | Jump and volatility risk in the cross-section of corporate bond returns. (2022). Wu, Chunchi ; Wang, Junbo ; Chen, XI. In: Journal of Financial Markets. RePEc:eee:finmar:v:60:y:2022:i:c:s138641812200026x. 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 |
2022 | Asymptotic analysis of portfolio diversification. (2022). Zhou, Chen ; Yang, Fan ; Tan, Ken Seng ; Cui, Hengxin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:302-325. Full description at Econpapers || Download paper |
2022 | Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants. (2022). Zitikis, R ; Su, J ; Gribkova, N V. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:199-222. Full description at Econpapers || Download paper |
2023 | Extreme quantile estimation for β-mixing time series and applications. (2018). Chavez-Demoulin, Valerie ; Guillou, Armelle. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:59-74. 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 | 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 |
2022 | Machine-Learning-enhanced systemic risk measure: A Two-Step supervised learning approach. (2022). Pun, Chi Seng ; Liu, Ruicheng. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:136:y:2022:i:c:s0378426622000164. 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 |
2022 | High policy uncertainty and low implied market volatility: An academic puzzle?. (2022). Wei, Xiaopeng ; Dang, Huong Dieu ; Biakowski, Jdrzej. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:3:p:1185-1208. Full description at Econpapers || Download paper |
2022 | Multivariate crash risk. (2022). Weigert, Florian ; Huggenberger, Markus ; Chabi-Yo, Fousseni. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:1:p:129-153. Full description at Econpapers || Download paper |
2022 | Media sentiment on monetary policy: Determinants and relevance for inflation expectations. (2022). Renault, Thomas ; Pinter, Julien ; Picault, Matthieu. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:124:y:2022:i:c:s0261560622000298. Full description at Econpapers || Download paper |
2022 | On the tail behaviour of aggregated random variables. (2022). Tawn, Jonathan A ; Richards, Jordan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x22000732. 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 |
2022 | Too big to fail? An analysis of the Colombian banking system through compositional data. (2022). Santolino, Miguel ; Vega, Juan David. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:3:y:2022:i:2:s2666143822000151. Full description at Econpapers || Download paper |
2022 | Tail risks, firm characteristics, and stock returns. (2022). Shen, Dehua ; Xiong, Xiong ; Wang, Chen. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:75:y:2022:i:c:s0927538x22001494. 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 |
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 |
2022 | Tails of bivariate stochastic recurrence equation with triangular matrices. (2022). Matsui, Muneya ; Damek, Ewa. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:150:y:2022:i:c:p:147-191. Full description at Econpapers || Download paper |
2023 | Large deviations of ?p-blocks of regularly varying time series and applications to cluster inference. (2023). Wintenberger, Olivier ; Mikosch, Thomas ; Buritica, Gloria. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:161:y:2023:i:c:p:68-101. Full description at Econpapers || Download paper |
2022 | The role of household modality style in first and last mile travel mode choice. (2022). Corcoran, Jonathan ; Kimpton, Anthony ; Sipe, Neil ; Prato, Carlo G ; Lu, Ying. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:158:y:2022:i:c:p:95-109. Full description at Econpapers || Download paper |
2022 | Inflation and climate change: the role of climate variables in inflation forecasting and macro modelling. (2022). Ferrucci, Gianluigi ; Boneva, Lena. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:115533. 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 |
2022 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2022 | La hausse de l’inflation peut-elle modifier l’ancrage des anticipations ?. (2022). Blot, Christophe. In: Post-Print. RePEc:hal:journl:hal-03794336. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2022 | Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07. 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 |
2022 | Provocări pentru Finanţele Comportamentale în contextul COVID-19. (2020). Stefanescu, Rzvan ; Dumitriu, Ramona. In: MPRA Paper. RePEc:pra:mprapa:99675. Full description at Econpapers || Download paper |
2022 | Empirical tail conditional allocation and its consistency under minimal assumptions. (2022). Zitikis, R ; Su, J ; Gribkova, N V. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:74:y:2022:i:4:d:10.1007_s10463-021-00813-3. 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 |
2022 | Determinants of Inflation Expectations in the Euro Area. (2022). Moessner, Richhild. In: Intereconomics: Review of European Economic Policy. RePEc:spr:intere:v:57:y:2022:i:2:d:10.1007_s10272-022-1037-6. 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 |
2022 | Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector. (2022). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220034. 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 |
2022 | Extreme Value Inference for General Heterogeneous Data. (2022). Einmahl, John ; He, Y. In: Discussion Paper. RePEc:tiu:tiucen:fd8dd91c-086f-40e6-ac29-3785bd0b56cd. Full description at Econpapers || Download paper |
2022 | Extreme value statistics using related variables. (2022). Ahmed, Hanan. In: Other publications TiSEM. RePEc:tiu:tiutis:246f0f13-701c-4c0d-8e09-ed005d8b6f70. 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 |
2022 | Extreme Value Inference for General Heterogeneous Data. (2022). He, Y ; Einmahl, John. In: Other publications TiSEM. RePEc:tiu:tiutis:fd8dd91c-086f-40e6-ac29-3785bd0b56cd. 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 |
2022 | Extremal connectedness of hedge funds. (2022). Lambert, Marie ; Hambuckers, Julien ; Mhalla, Linda. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:5:p:988-1009. 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 |
2022 | A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022. 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 another 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 | 31 |
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: 31 | 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: 31 | paper | |
2016 | Statistics of heteroscedastic extremes In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 29 |
2014 | Statistics of Heteroscedastic Extremes.(2014) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
2014 | Statistics of Heteroscedastic Extremes.(2014) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | 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 | 41 |
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 | 15 |
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 | 6 |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 2 |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | 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 | 79 |
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 another version. Agregated cites: 2 | paper | |
2018 | Testing the Multivariate Regular Variation Model.(2018) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another 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 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 |
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