Publications in refereed journals

 

1. van Oordt, M.R.C. and Zhou, C. (2017) Estimating systematic risk under extremely adverse market conditions. Journal of Financial Econometrics, accepted.

2. Zhou, C. (2017) Discussion on "Elicitability and backtesting: Perspectives for banking regulation". Annals of Applied Statistics, accepted.

3. Zhou, C. (2017) Book review: quantitative risk management: concepts, techniques and tools. Extremes, 20, 489-491.

4. Oesting, M., Schlather, M. and Zhou, C. (2017) Exact and fast simulation of max-stable processes on a compact set using the normalized spectral representation. Bernoulli, forthcoming.

5. de Haan, L., Mercadier, C. and Zhou, C. (2016) Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. Finance and Stochastics, 20(2), 321-354.

6. van Oordt, M.R.C. and Zhou, C. (2016) Systemic risk of European banks: regulators and markets. In: Effective Macroprudential Instruments in Macroeconomic Policy Making, Series 5. Edited by P. Mizen, M. Rubio and P. Turner. Cambridge University Press. Forthcoming.

7. Einmahl, J., de Haan, L. and Zhou, C. (2016) Statistics of heteroskadastic extremes, Journal of the Royal Statistical Society, Series B, 78(1), 31-51.

8. van Oordt, M.R.C. and Zhou, C. (2016) Systematic tail risk, Journal of Financial and Quantitative Analysis, 51(2), 685-705.

9. Cai, J., Einmahl, J., de Haan, L. and Zhou, C. (2015) Estimation of the marginal expected shortfall: the mean when a related variable is extreme, Journal of the Royal Statistical Society, Series B, 77(2), 417-442.

10. Sun, P. and Zhou, C. (2014) Diagnosing the Distribution of GARCH Innovations, Journal of Empirical Finance, 29, 287-303.

11. Zhou, C. (2013) The impact of imposing capital requirement on systemic risk, Journal of Financial Stability, 9(3), 320-329.

12. de Haan, L., de Vries, C.G. and Zhou, C. (2013) The number of active bidders in internet auctions, Journal of Economic Theory,148(4), 1726-1736.

13. Cai, J., de Haan, L. and Zhou, C. (2012) Bias correction in extreme value statistics with index around zero, Extremes, 16(2), 173-201.

14. van Oordt, M.R.C. and Zhou, C. (2012) The simple econometrics of tail dependence, Economics Letter, 116(3), 371-373.

15. Huurman, C., Ravazzolo, F. and Zhou, C. (2012) The power of weather, Computational Statistics and Data Analysis, 56(11), 3793-3807.

16. de Haan, L., Ferreira, A. and Zhou, C. (2011) Exceedance probability of the integral of a stochastic process, Journal of Multivariate Analysis, 105(1), 241-257.

17. de Haan, L. and Zhou, C. (2011) Extreme residual dependence for random vectors and processes, Advances in Applied Probability, 43(1), 217-242.

18. Galati, G., Poelhekke, S. and Zhou, C. (2011) Did the crisis affect inflation expectations? International Journal of Central Banking, 7(1), 167-208.

19. Zhou, C. (2010) Are banks too big to fail? Measuring systemic importance of financial institutions, International Journal of Central Banking, 6(4), 205-250.

20. Zhou, C. (2010) Dependence structure of risk factors and diversification effects, Insurance: Mathematics and Economics, 46(3), 531-540.

21. Zhou, C. (2010) The extent of the maximum likelihood estimator for the extreme value index, Journal of Multivariate Analysis, 101(4), 971-983.

22. de Haan, L., de Vries, C.G. and Zhou, C. (2009) The expected payoff to Internet auctions, Extremes, 12(3), 219-238.

23. Zhou, C. (2009) Existence and consistency of the maximum likelihood estimator for the extreme value index, Journal of Multivariate Analysis, 100(4), 794-815.

24. Zhou, C. (2008) A 2-step estimator of the extreme value index, Extremes, 11(3), 281-302.

25. Buishand, A., de Haan, L. and Zhou, C. (2008) On spatial extremes: with application to a rainfall problem, Annals of Applied Statistics, 2(2), 624-642.

26. de Haan L. and Zhou, C. (2007) On extreme value analysis of a spatial process, Revstat, 6(1), 71-81.

27. de Vries, C.G. and Zhou, C. (2006) Discussion of "Copulas: Tales and facts", by Thomas Mikosch, Extremes, 9, 23-25.


Policy publications

Zhou C. and Tarashev N. (2013) Looking at the tail: price-based measures of systemic importance. BIS Quarterly Review, June 2013. Bank for International Settlement.


Public opinion and media attention

1. Danielsson, J. and Zhou, C. Why risk is hard to measure? VoXEU, April 25, 2015. Based on the working paper “Why risk is so hard to measures?”

2. Tracy Alloway ‘Capital requirements increase systemic risk’ Discuss. Financial Times Alphaville, Aug 6, 2010. Based on the paper “Why the micro-prudential regulation fails?”


PhD Thesis

Zhou, C. (2008) On extreme value statistics, Tinbergen Institute Research Series 432, Thela Thesis.

To obtain an electronic copy, please email me. A hard copy is also possible in some cases.

 

 

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