13
H index
14
i10 index
567
Citations
Erasmus Universiteit Rotterdam (83% share) | 13 H index 14 i10 index 567 Citations RESEARCH PRODUCTION: 25 Articles 24 Papers RESEARCH ACTIVITY:
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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 |
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 |
Economics Letters | 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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2024 | Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267. Full description at Econpapers || Download paper |
2024 | Is This Normal? The Cost of Assuming that Derivatives Have Normal Returns. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-46. Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
2024 | Electricity 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. Full description at Econpapers || Download paper |
2024 | Tail 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. Full description at Econpapers || Download paper |
2024 | Interpreting 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. Full description at Econpapers || Download paper |
2024 | Modelling non-stationarity in asymptotically independent extremes. (2024). Murphy-Barltrop, C. J. R., ; Wadsworth, J L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:199:y:2024:i:c:s0167947324001099. Full description at Econpapers || Download paper |
2024 | Panel 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. Full description at Econpapers || Download paper |
2024 | A 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. Full description at Econpapers || Download paper |
2025 | Portfolio default losses driven by idiosyncratic risks. (2025). Yang, Yang ; Tong, Zhiwei ; Chen, Shaoying. In: European Journal of Operational Research. RePEc:eee:ejores:v:320:y:2025:i:3:p:765-776. Full description at Econpapers || Download paper |
2024 | Enforcement 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. Full description at Econpapers || Download paper |
2024 | Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525. Full description at Econpapers || Download paper |
2024 | Weather conditions, climate change, and the price of electricity. (2024). Uribe, Jorge ; Mosquera-López, Stephania ; Joaqui-Barandica, Orlando ; Mosquera-Lopez, Stephania. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004973. Full description at Econpapers || Download paper |
2024 | Wholesale 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. Full description at Econpapers || Download paper |
2024 | Asymmetric 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. Full description at Econpapers || Download paper |
2024 | Environmental 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. Full description at Econpapers || Download paper |
2024 | Non-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. Full description at Econpapers || Download paper |
2024 | Do 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. Full description at Econpapers || Download paper |
2024 | The 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. Full description at Econpapers || Download paper |
2024 | Portfolio optimization by enhanced LinUCB. (2024). Guo, Xingjian ; Mirza, Sultan Sikandar ; Zhang, Qin ; Ni, HE. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324012959. Full description at Econpapers || Download paper |
2024 | Extreme 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. Full description at Econpapers || Download paper |
2024 | International 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. Full description at Econpapers || Download paper |
2024 | Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). Vandenbroucke, Jurgen ; van Dolder, Dennie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073. Full description at Econpapers || Download paper |
2024 | Tail connectedness: Measuring the volatility connectedness network of equity markets during crises. (2024). Yao, Wenying ; Liu, Junli ; Cheng, Tingting. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x2400249x. Full description at Econpapers || Download paper |
2024 | Media 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. Full description at Econpapers || Download paper |
2024 | Cryptocurrency volatility: A review, synthesis, and research agenda. (2024). Kumar, Satish ; Ahmed, Mohamed Shaker ; Al-Maghyereh, Aktham I ; El-Masry, Ahmed A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002654. Full description at Econpapers || Download paper |
2024 | Dependent 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. Full description at Econpapers || Download paper |
2025 | Forecasting Half-Hourly Electricity Prices Using a Mixed-Frequency Structural VAR Framework. (2025). Kapoor, Gaurav ; Zhang, Wenjun ; Li, Mengheng ; Wichitaksorn, Nuttanan. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:1:p:2-:d:1562219. Full description at Econpapers || Download paper |
2025 | The Impact of Environmental Social and Governance Performance on Systematic Tail Risk of Chinese Corporations. (2025). Fu, Mingyue ; Jia, Yanyan. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:5:p:1854-:d:1596981. Full description at Econpapers || Download paper |
2024 | Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07. Full description at Econpapers || Download paper |
2025 | The Sources of Researcher Variation in Economics. (2025). Gallegos, Sebastian ; Huntington-Klein, Nick ; Portner, Claus C. In: IZA Discussion Papers. RePEc:iza:izadps:dp17744. Full description at Econpapers || Download paper |
2024 | Expected 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. Full description at Econpapers || Download paper |
2025 | The tale of two tails and stock returns for two major emerging markets. (2025). Sehgal, Sanjay ; Deisting, Florent ; Agrawal, Tarunika Jain. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:64:y:2025:i:1:d:10.1007_s11156-024-01301-4. Full description at Econpapers || Download paper |
2025 | Firm ownership and systemic risk: mechanism and evidence from China. (2025). Liu, Chenye ; Xu, Jiawen. In: Risk Management. RePEc:pal:risman:v:27:y:2025:i:2:d:10.1057_s41283-025-00159-7. Full description at Econpapers || Download paper |
2024 | Asymptotics for credit portfolio losses due to defaults in a multi-sector model. (2024). Zhang, Zhimin ; Yang, Yang ; Chen, Shaoying. In: Annals of Operations Research. RePEc:spr:annopr:v:337:y:2024:i:1:d:10.1007_s10479-024-05934-5. Full description at Econpapers || Download paper |
2024 | Catastrophic risk: indication, quantitative assessment and management of rare extreme events using a non-expected utility framework. (2024). Geiger, Gebhard. In: Annals of Operations Research. RePEc:spr:annopr:v:343:y:2024:i:1:d:10.1007_s10479-024-06259-z. Full description at Econpapers || Download paper |
2024 | Understanding relationships with the Aggregate Zonal Imbalance using copulas. (2024). Ravazzolo, F ; Gatto, A ; Durante, F. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:33:y:2024:i:2:d:10.1007_s10260-023-00736-8. Full description at Econpapers || Download paper |
2024 | Extreme Value Inference for General Heterogeneous Data. (2024). Einmahl, John ; He, YI. In: Discussion Paper. RePEc:tiu:tiucen:5d01cb7e-d528-406d-8c24-c004b13014bb. Full description at Econpapers || Download paper |
2024 | Extreme Value Inference for General Heterogeneous Data. (2024). Einmahl, John ; He, YI. In: Other publications TiSEM. RePEc:tiu:tiutis:5d01cb7e-d528-406d-8c24-c004b13014bb. Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
2025 | . Full description at Econpapers || Download paper |
2024 | 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 | 8 |
2019 | Estimating Systematic Risk under Extremely Adverse Market Conditions.(2019) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | 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 | 40 |
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: 40 | 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: 40 | paper | |
2016 | Statistics of heteroscedastic extremes In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 34 |
2014 | Statistics of Heteroscedastic Extremes.(2014) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
2014 | Statistics of Heteroscedastic Extremes.(2014) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | 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 | 1 |
2016 | Systematic Tail Risk In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 56 |
2012 | The power of weather In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 47 |
2012 | The simple econometrics of tail dependence In: Economics Letters. [Full Text][Citation analysis] | article | 9 |
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 | 16 |
2010 | Dependence structure of risk factors and diversification effects In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 18 |
2021 | Systemic risk allocation using the asymptotic marginal expected shortfall In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 6 |
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 | 9 |
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 | 5 |
2010 | Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions In: International Journal of Central Banking. [Full Text][Citation analysis] | article | 89 |
2011 | Did the Crisis Affect Inflation Expectations? In: International Journal of Central Banking. [Full Text][Citation analysis] | article | 88 |
2021 | Non-Standard Errors In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
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 | 13 |
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 | 9 |
2021 | Testing the Multivariate Regular Variation Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 6 |
2018 | Testing the Multivariate Regular Variation Model.(2018) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2018 | Testing the Multivariate Regular Variation Model.(2018) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | 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 | 25 |
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