Chen Zhou : Citation Profile

Are you Chen Zhou?

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

11

H index

12

i10 index

462

Citations

RESEARCH PRODUCTION:

25

Articles

24

Papers

RESEARCH ACTIVITY:

   15 years (2007 - 2022). See details.
   Cites by year: 30
   Journals where Chen Zhou has often published
   Relations with other researchers
   Recent citing documents: 76.    Total self citations: 15 (3.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh286
   Updated: 2023-11-04    RAS profile: 2022-04-19    
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Relations with other researchers

Works with:

Einmahl, John (5)

Deev, Oleg (2)

Sarno, Lucio (2)

Pastor, Lubos (2)

Ferrara, Gerardo (2)

van Kervel, Vincent (2)

Reitz, Stefan (2)

Wolff, Christian (2)

Liew, Chee (2)

Sojli, Elvira (2)

Verousis, Thanos (2)

Holzmeister, Felix (2)

Dimpfl, Thomas (2)

Lof, Matthijs (2)

Ranaldo, Angelo (2)

Lajaunie, Quentin (2)

Putnins, Talis (2)

Nielsson, Ulf (2)

Vilkov, Grigory (2)

FERROUHI, EL MEHDI (2)

He, Xuezhong (Tony) (2)

Hautsch, Nikolaus (2)

Colliard, Jean-Edouard (2)

Hurlin, Christophe (2)

PASCUAL, ROBERTO (2)

Brownlees, Christian (2)

Caporin, Massimiliano (2)

Bos, Charles (2)

Foucault, Thierry (2)

Xiu, Dacheng (2)

Renault, Thomas (2)

Dumitrescu, Ariadna (2)

Frijns, Bart (2)

Palan, Stefan (2)

LINTON, OLIVER (2)

Rakowski, David (2)

Xia, Shuo (2)

Jurkatis, Simon (2)

Mihet, Roxana (2)

Chernov, Mikhail (2)

Kassner, Bernhard (2)

Tonks, Ian (2)

van Oordt, Maarten (2)

Park, Andreas (2)

Rinne, Kalle (2)

Taylor, Nick (2)

Pelizzon, Loriana (2)

Ødegaard, Bernt (2)

Smales, Lee (2)

Patton, Andrew (2)

Horenstein, Alex (2)

Harris, Jeffrey (2)

Theissen, Erik (2)

Moinas, Sophie (2)

Bohorquez Correa, Santiago (2)

Gerritsen, Dirk (2)

Lopez-Lira, Alejandro (2)

Abudy, Menachem (2)

Gorbenko, Arseny (2)

Prokopczuk, Marcel (2)

Wong, Wing-Keung (2)

Heath, Davidson (2)

Schuerhoff, Norman (2)

Ait-Sahalia, Yacine (2)

Scaillet, Olivier (2)

Hjalmarsson, Erik (2)

Menkveld, Albert (2)

Bouri, Elie (2)

Patel, Vinay (2)

Walther, Thomas (2)

Dreber, Anna (2)

Adrian, Tobias (2)

Regis, Luca (2)

Talavera, Oleksandr (2)

Deku, Solomon (2)

Pasquariello, Paolo (2)

Jalkh, Naji (2)

CAPELLE-BLANCARD, Gunther (2)

Alexeev, Vitali (2)

Johannesson, Magnus (2)

Vogel, Sebastian (2)

Schenk-Hoppé, Klaus (2)

Gehrig, Thomas (2)

Schwarz, Marco (2)

Chow, Nikolai Sheung-Chi (2)

Kearney, Fearghal (2)

Roy, Saurabh (2)

Wilhelmsson, Anders (2)

Korajczyk, Robert (2)

Davies, Ryan (2)

Stefanova, Denitsa (2)

Frömmel, Michael (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 (15)

Nautz, Dieter (9)

STUPFLER, Gilles (8)

Ravazzolo, Francesco (7)

Rossini, Luca (7)

Galati, Gabriele (6)

Dovern, Jonas (6)

Weron, Rafał (5)

van Rooij, Maarten (5)

Hoeberichts, Marco (4)

Giordana, Gastón (4)

Cites to:

de Vries, Casper (50)

Hartmann, Philipp (21)

Straetmans, Stefan (16)

Jansen, Dennis (15)

Acharya, Viral (14)

Bollerslev, Tim (12)

Zhou, Hao (10)

Tarashev, Nikola (9)

Kaminsky, Graciela (8)

Weron, Rafał (8)

Milesi-Ferretti, Gian Maria (8)

Main data

Where Chen Zhou has published?

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

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 (2023 and 2022)

YearTitle of citing document
2023Hybridising 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.

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2022Tail inference using extreme U-statistics. (2022). Zhou, Chen ; Segers, Johan ; Oorschot, Jochem. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022014.

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2022Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566.

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2022An 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.

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2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025.

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2022Asymmetric Systemic Risk. (2022). Silva Buston, Consuelo ; Raykov, Radoslav ; Silva-Buston, Consuelo. In: Staff Working Papers. RePEc:bca:bocawp:22-19.

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2022Long?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.

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2023.

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2023Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765.

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2022Pricing 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.

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2023Are 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.

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2022Identifying 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.

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2023Determinants 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.

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2022In 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.

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2023Research 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.

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2022Regulatory 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.

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2022Bank 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.

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2022Investor 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.

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2022Is 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.

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2022Jump 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.

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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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2022Asymptotic 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.

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2022Inference 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.

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2023Extreme 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.

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2023Does 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.

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2023Social 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.

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2023Forecasting 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.

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2022Machine-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.

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2023Share 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.

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2022High 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.

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2022Multivariate 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.

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2022Media 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.

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2022On 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.

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2023Nonparametric 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.

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2023Extreme 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.

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2023Gold 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.

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2022Too 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.

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2022Tail 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.

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2023Asymmetric 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.

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2023Financial 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.

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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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2022Tails 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.

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2023Large 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.

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2022The 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.

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2022Inflation 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.

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2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2022.

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2023.

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2023.

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2022La hausse de l’inflation peut-elle modifier l’ancrage des anticipations ?. (2022). Blot, Christophe. In: Post-Print. RePEc:hal:journl:hal-03794336.

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2022.

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2022Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

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2023Bear 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..

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2022Provocări pentru Finanţele Comportamentale în contextul COVID-19. (2020). Stefanescu, Rzvan ; Dumitriu, Ramona. In: MPRA Paper. RePEc:pra:mprapa:99675.

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2022Empirical 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.

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2023Tail 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.

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2022Determinants 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.

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2023Crisis 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.

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2022Quantifying 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.

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2023Macroprudential Regulation: A Risk Management Approach. (2023). Dimitrov, Daniel ; van Wijnbergen, Sweder. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230002.

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2023Empirical Likelihood Based Testing for Multivariate Regular Variation. (2023). Einmahl, John ; Krajina, Andrea. In: Discussion Paper. RePEc:tiu:tiucen:261583f5-c571-48c6-8cea-945ba6542026.

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2022Extreme Value Inference for General Heterogeneous Data. (2022). Einmahl, John ; He, Y. In: Discussion Paper. RePEc:tiu:tiucen:fd8dd91c-086f-40e6-ac29-3785bd0b56cd.

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2022Extreme value statistics using related variables. (2022). Ahmed, Hanan. In: Other publications TiSEM. RePEc:tiu:tiutis:246f0f13-701c-4c0d-8e09-ed005d8b6f70.

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2023Empirical Likelihood Based Testing for Multivariate Regular Variation. (2023). Krajina, Andrea ; Einmahl, John. In: Other publications TiSEM. RePEc:tiu:tiutis:261583f5-c571-48c6-8cea-945ba6542026.

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2022Extreme Value Inference for General Heterogeneous Data. (2022). He, Y ; Einmahl, John. In: Other publications TiSEM. RePEc:tiu:tiutis:fd8dd91c-086f-40e6-ac29-3785bd0b56cd.

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2023Stable 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.

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2022Extremal 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.

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2023Deep 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.

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2023Calibrating 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.

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2022A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022.

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Works by Chen Zhou:

YearTitleTypeCited
2016Estimating Systematic Risk Under Extremely Adverse Market Conditions In: Staff Working Papers.
[Full Text][Citation analysis]		paper3
2019Estimating 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
2013Looking at the tail: price-based measures of systemic importance In: BIS Quarterly Review.
[Full Text][Citation analysis]		article4
2015Estimation 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]		article31
2012Estimation 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
2012Estimation 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
2016Statistics of heteroscedastic extremes In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article29
2014Statistics of Heteroscedastic Extremes.(2014) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
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