Chen Zhou : Citation Profile

Are you Chen Zhou?

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

12

H index

13

i10 index

542

Citations

RESEARCH PRODUCTION:

25

Articles

24

Papers

RESEARCH ACTIVITY:

   15 years (2007 - 2022). See details.
   Cites by year: 36
   Journals where Chen Zhou has often published
   Relations with other researchers
   Recent citing documents: 105.    Total self citations: 15 (2.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pzh286
   Updated: 2024-12-03    RAS profile: 2022-04-19    
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Relations with other researchers

Works with:

Einmahl, John (3)

Foucault, Thierry (2)

Ranaldo, Angelo (2)

Sarno, Lucio (2)

Tonks, Ian (2)

Rinne, Kalle (2)

Park, Andreas (2)

Johannesson, Magnus (2)

Vogel, Sebastian (2)

Jalkh, Naji (2)

Harris, Jeffrey (2)

Frömmel, Michael (2)

Ødegaard, Bernt (2)

Taylor, Nick (2)

Regis, Luca (2)

Brownlees, Christian (2)

Hautsch, Nikolaus (2)

Ait-Sahalia, Yacine (2)

Hurlin, Christophe (2)

Nielsson, Ulf (2)

Menkveld, Albert (2)

Adrian, Tobias (2)

Shachar, Or (2)

van Kervel, Vincent (2)

Kearney, Fearghal (2)

Wilhelmsson, Anders (2)

Pasquariello, Paolo (2)

Heath, Davidson (2)

Xia, Shuo (2)

Smales, Lee (2)

Abudy, Menachem (2)

Frijns, Bart (2)

LINTON, OLIVER (2)

Schenk-Hoppé, Klaus (2)

Vilkov, Grigory (2)

Mihet, Roxana (2)

He, Xuezhong (Tony) (2)

Roy, Saurabh (2)

Colliard, Jean-Edouard (2)

Chernov, Mikhail (2)

Dimpfl, Thomas (2)

Zhang, S. Sarah (2)

PASCUAL, ROBERTO (2)

Scaillet, Olivier (2)

Bjønnes, Geir (2)

Moinas, Sophie (2)

Huang, Wenqian (2)

Lof, Matthijs (2)

Davies, Ryan (2)

Dumitrescu, Ariadna (2)

Söderlind, Paul (2)

Ferrara, Gerardo (2)

Verousis, Thanos (2)

Lopez-Lira, Alejandro (2)

Schwarz, Marco (2)

Schuerhoff, Norman (2)

Caporin, Massimiliano (2)

Palan, Stefan (2)

Reitz, Stefan (2)

Pelizzon, Loriana (2)

Holzmeister, Felix (2)

Patel, Vinay (2)

Stefanova, Denitsa (2)

Rakowski, David (2)

Bouri, Elie (2)

Horenstein, Alex (2)

Chow, Nikolai Sheung-Chi (2)

Talavera, Oleksandr (2)

Gerritsen, Dirk (2)

Walther, Thomas (2)

Deku, Solomon (2)

van Oordt, Maarten (2)

Liew, Chee (2)

Alexeev, Vitali (2)

Prokopczuk, Marcel (2)

Wong, Wing-Keung (2)

Xiu, Dacheng (2)

Putnins, Talis (2)

Patton, Andrew (2)

Bos, Charles (2)

Füllbrunn, Sascha (2)

Sojli, Elvira (2)

Theissen, Erik (2)

Voigt, Stefan (2)

Kassner, Bernhard (2)

Deev, Oleg (2)

Jurkatis, Simon (2)

Degryse, Hans (2)

Gorbenko, Arseny (2)

Renault, Thomas (2)

Korajczyk, Robert (2)

Gehrig, Thomas (2)

Dreber, Anna (2)

CAPELLE-BLANCARD, Gunther (2)

Lajaunie, Quentin (2)

Pastor, Lubos (2)

Bohorquez Correa, Santiago (2)

Hjalmarsson, Erik (2)

FERROUHI, EL MEHDI (2)

Wolff, Christian (2)

Roy, Saurabh (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 (12)

STUPFLER, Gilles (8)

Rossini, Luca (7)

Ravazzolo, Francesco (7)

Einmahl, John (6)

Gianfreda, Angelica (6)

Galati, Gabriele (6)

Dovern, Jonas (6)

Weron, Rafał (5)

Huber, Christoph (5)

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)

Dreber, Anna (8)

Kaminsky, Graciela (8)

Weron, Rafał (8)

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
Journal of the Royal Statistical Society Series B2
Journal of Empirical Finance2
International Journal of Central Banking2
Economics Letters2

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 (2024 and 2023)

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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2023FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera.

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2024Common 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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2023Tail 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.

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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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2023Multivariate 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.

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2024Electricity market price forecasting using ELM and Bootstrap analysis: A case study of the German and Finnish Day-Ahead markets. (2024). Georghiou, George E ; Kyprianou, Andreas ; Loizidis, Stylianos. In: Applied Energy. RePEc:eee:appene:v:363:y:2024:i:c:s0306261924004410.

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2024Tail risk connectedness in G7 stock markets: Understanding the impact of COVID-19 and related variants. (2024). Corbet, Shaen ; Hou, Yang ; Hu, Yang ; Lang, Chunlin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000042.

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2024Interpreting an escape from an eviction trap as a social account: A Gramscian reading of a credit union’s policies in support of social housing tenants. (2024). Carlisle, Liam ; Lee, Bill. In: CRITICAL PERSPECTIVES ON ACCOUNTING. RePEc:eee:crpeac:v:98:y:2024:i:c:s1045235423000308.

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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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2023Inflation in the aftermath of financial crises. (2023). Weber, Christoph S ; Kaehler, Juergen. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003243.

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2023Tail 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.

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2024Panel quantile regression for extreme risk. (2024). Zhou, Yinggang ; Peng, Liang ; Leng, Xuan. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000204.

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2023A 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.

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2024A simulation-based method for estimating systemic risk measures. (2024). Chen, Pengzhan ; Zhou, YI ; Ye, Wuyi ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324.

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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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2024Enforcement actions and systemic risk. (2024). Lee, Chien-Chiang ; Tian, Yiming ; Zhang, Xiaoming. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000104.

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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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2023The risk spillover of high carbon enterprises in China: Evidence from the stock market. (2023). Yin, Hua ; Zhu, Pingheng ; Wu, Baohui ; Wen, Fenghua. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004371.

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2024Wholesale electricity price forecasting by Quantile Regression and Kalman Filter method. (2024). Movahedi, Akram ; Amiri, Hossein ; Monjazeb, Mohammad Reza. In: Energy. RePEc:eee:energy:v:290:y:2024:i:c:s0360544223033194.

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2023Explain 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.

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2023Extreme downside risk in the cross-section of asset returns. (2023). Ergun, Lerby M. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003563.

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2023Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295.

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2024Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic. (2024). Al-Faryan, Mamdouh Abdulaziz Sa ; Ur, Mobeen ; Kashif, Muhammad ; Palwishah, Rana. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004350.

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2024Environmental policy stringency and bank risks: Does green economy matter?. (2024). Lee, Chien-Chiang ; Hong, Pei-Hsuan ; Wang, Chih-Wei ; Lin, Weizheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005562.

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2024Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2023Network 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.

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2023The tail risk surface. (2023). Ahn, Yongkil. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008693.

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2024Do global and local economic policy uncertainties matter for systemic risk in the international banking system. (2024). Li, Sijing ; Deng, Yuanyue. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011248.

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2024The spillover effects of U.S. uncertainties on the systemic tail risk of Chinese enterprises. (2024). Li, Jixin ; Xu, Jietian ; Liu, Liping. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004690.

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2024Extreme illiquidity and cross-sectional corporate bond returns. (2024). Wu, DI ; Wang, Junbo ; Chen, XI. In: Journal of Financial Markets. RePEc:eee:finmar:v:68:y:2024:i:c:s1386418124000132.

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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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2023A 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.

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2023Gold-mining stocks, risk factors, and tail patterns. (2023). , James ; Cai, Jun ; Qin, Yiyi ; Webb, Robert I. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000914.

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2023Policy uncertainty and bank systemic risk: A perspective of risk decomposition. (2023). Wang, QI ; Fang, YI ; Zhao, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000951.

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2024International stock market volatility: A global tail risk sight. (2024). Zhu, BO ; Zhong, Juandan ; Zeng, Qing ; Lu, Xinjie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001725.

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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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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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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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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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2023Is there a risk premium? Evidence from thirteen measures. (2023). Ramos, Henrique Pinto ; Muller, Fernanda Maria ; Fracasso, Lais Martins ; Righi, Marcelo Brutti. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:92:y:2023:i:c:p:182-199.

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2024Media sentiment, deposit stability and bank systemic risk: Evidence from China. (2024). Yuan, Yan ; Wang, Yanru ; Fang, YI. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:1150-1172.

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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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2023.

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2024Dependent conditional tail expectation for extreme levels. (2024). Qin, Jing ; Guillou, Armelle ; Goegebeur, Yuri. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:171:y:2024:i:c:s030441492400036x.

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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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2023.

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2023.

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2024Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

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2024Expected inflation and interest-rate dynamics in the COVID era: evidence from the time–frequency domain. (2024). Mutascu, Mihai Ioan ; Hegerty, Scott W. In: Empirica. RePEc:kap:empiri:v:51:y:2024:i:2:d:10.1007_s10663-024-09610-6.

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2023Competition and moral behavior: A meta-analysis of forty-five crowd-sourced experimental designs. (2023). Urbig, Diemo ; Spantig, Lisa ; Soraperra, Ivan ; Schmitz, Jan ; Schudy, Simeon ; Schram, Arthur ; Saral, Ali Seyhun ; Nieken, Petra ; Nesterov, Alexander ; Khadjavi, Menusch ; Johannesson, Magnus ; Huber, Christoph ; Holzmeister, Felix ; Glogowsky, Ulrich ; Freddi, Eleonora ; Fiala, Lenka ; Dreber, Anna ; Dold, Malte ; Demiral, Elif ; Bulutay, Muhammed ; Brütt, Katharina ; Barron, Kai ; Pirrone, Angelo ; Theodoropoulou, Andriana ; Cornelissen, Gert ; Mak, Vincent ; Weitzel, Utz ; Htter, Mandy ; Gasiorowska, Agata ; Peters, Kim ; Suetens, Sigrid ; Claassen, Maria Almudena ; Lucas, Brian ; Kirchler, Michael ; Hudja, Stanton ; Schneider, Florian ; Fries, Tilman ; Palumbo, Helena ; Steinme
2023Inflation expectations and monetary policy. (2023). Wauters, Joris ; De Backer, Bruno ; Zimmer, H ; Stevens, A. In: Economic Review. RePEc:nbb:ecrart:y:2023:m:october.

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2023Reproducibility 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.

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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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2023Alternative risk premium: specification noise. (2023). Fabozzi, Frank J ; Gorman, Stephen A. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00327-y.

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2023Anchoring of Inflation Expectations and the Role of Monetary Policy and Cost-Push Factors. (2023). Czudaj, Robert L. In: MPRA Paper. RePEc:pra:mprapa:119029.

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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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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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2023Cryptocurrency factor momentum. (2023). Zaremba, Adam ; Metko, Daniel ; Liedtke, Gerrit ; Fieberg, Christian. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:12:p:1853-1869.

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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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2024Extreme Value Inference for General Heterogeneous Data. (2024). Einmahl, John ; He, YI. In: Discussion Paper. RePEc:tiu:tiucen:5d01cb7e-d528-406d-8c24-c004b13014bb.

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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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2024Extreme Value Inference for General Heterogeneous Data. (2024). Einmahl, John ; He, YI. In: Other publications TiSEM. RePEc:tiu:tiutis:5d01cb7e-d528-406d-8c24-c004b13014bb.

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2023Reproducibility 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.

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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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2023Tail 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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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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More than 100 citations found, this list is not complete...

Works by Chen Zhou:

YearTitleTypeCited
2016Estimating Systematic Risk Under Extremely Adverse Market Conditions In: Staff Working Papers.
[Full Text][Citation analysis]		paper7
2019Estimating Systematic Risk under Extremely Adverse Market Conditions.(2019) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 7		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]		article38
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 nother version. Agregated cites: 38		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 nother version. Agregated cites: 38		paper
2016Statistics of heteroscedastic extremes In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article34
2014Statistics of Heteroscedastic Extremes.(2014) In: Discussion Paper.
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This paper has nother version. Agregated cites: 34		paper
2014Statistics of Heteroscedastic Extremes.(2014) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2008The power of weather. Some empirical evidence on predicting day-ahead power prices through weather forecasts In: Working Paper.
[Full Text][Citation analysis]		paper1
2013Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk In: Working Papers.
[Full Text][Citation analysis]		paper0
2022TAIL DEPENDENCE OF OLS In: Econometric Theory.
[Full Text][Citation analysis]		article1
2016Systematic Tail Risk In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article51
2012The power of weather In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article44
2012The simple econometrics of tail dependence In: Economics Letters.
[Full Text][Citation analysis]		article8
2018Deflation risk in the euro area and central bank credibility In: Economics Letters.
[Full Text][Citation analysis]		article14
2014Diagnosing the distribution of GARCH innovations In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article16
2018The decomposition of jump risks in individual stock returns In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article3
2013The impact of imposing capital requirements on systemic risk In: Journal of Financial Stability.
[Full Text][Citation analysis]		article16
2010Dependence structure of risk factors and diversification effects In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article17
2021Systemic risk allocation using the asymptotic marginal expected shortfall In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2013The number of active bidders in internet auctions In: Journal of Economic Theory.
[Full Text][Citation analysis]		article3
2009Existence and consistency of the maximum likelihood estimator for the extreme value index In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article9
2010The extent of the maximum likelihood estimator for the extreme value index In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article5
2012Exceedance probability of the integral of a stochastic process In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article2
2014The determinants of systemic importance In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper3
2015Why risk is so hard to measure In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper7
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2010Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions In: International Journal of Central Banking.
[Full Text][Citation analysis]		article89
2011Did the Crisis Affect Inflation Expectations? In: International Journal of Central Banking.
[Full Text][Citation analysis]		article88
2021Non-Standard Errors In: Working Papers.
[Full Text][Citation analysis]		paper9
2010Can Financial Openness Help Avoid Currency Crises? In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2011Averting Currency Crises: The Pros and Cons of Financial Openness In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2013Too big to fail or Too non-traditional to fail?: The determinants of banks systemic importance In: MPRA Paper.
[Full Text][Citation analysis]		paper11
2013The drivers of downside equity tail risk In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2013The cross-section of tail risks in stock returns In: MPRA Paper.
[Full Text][Citation analysis]		paper4
2016Adapting extreme value statistics to financial time series: dealing with bias and serial dependence In: Finance and Stochastics.
[Full Text][Citation analysis]		article12
2019Risk Theory: A Heavy Tail Approach. In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article0
2021Trends in Extreme Value Indices In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article7
2021Testing the Multivariate Regular Variation Model In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article4
2018Testing the Multivariate Regular Variation Model.(2018) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2018Testing the Multivariate Regular Variation Model.(2018) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2007The 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]		paper0
2008The Extent of Internet Auction Markets In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2021Extreme Value Statistics in Semi-Supervised Models In: Discussion Paper.
[Full Text][Citation analysis]		paper0
2021Extreme Value Statistics in Semi-Supervised Models.(2021) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2020Spatial Dependence and Space-Time Trend in Extreme Events In: Discussion Paper.
[Full Text][Citation analysis]		paper0
2020Spatial 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
2019Systemic risk and bank business models In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article23

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