Publications

Publications in refereed journals

• Chen, L. and Zhou, C. (2026+) High-dimensional inference for extreme value indices. Journal of the American Statistical Association, forthcoming. [doi] [arxiv]
• Nolde, N., Zhou, C. and Zhou, M. (2026+) Tail risk in the tail: estimating high quantiles when a related variable is extreme. Journal of the American Statistical Association, forthcoming. [doi]
• Ahmed, H., Einmahl, J. and Zhou, C. (2025) Extreme value statistics in semi-supervised models. Journal of the American Statistical Association, 120(549), 291–304.
• Chen, L., Li, D. and Zhou, C. (2024+) Distributed inference for tail risks. Statistica Sinica, accepted.
• Einmahl, J. and Zhou, C. (2024+) Tail copula estimation for heteroscedastic extremes. Econometrics and Statistics, accepted.
• Kiriliouk, A. and Zhou, C. (2024) Tail risk analysis for financial time series. In: Handbook on Statistics of Extremes. Edited by de Carvalho, M., Huser, R., Naveau, P. and Reich, B., Chapman & Hall/CRC.
• Aghbalou, A., Portier, F., Sabourin, A. and Zhou, C. (2024) Tail inverse regression: dimension reduction for prediction of extremes. Bernoulli, 30(1), 503–533.
• Menkveld et al. (Zhou, C. among 343 co-authors) (2024) Non-standard errors. Journal of Finance, 79(3), 2339–2390.
• de Haan, L. and Zhou, C. (2024) Bootstrapping extreme value estimators. Journal of the American Statistical Association, 119(545), 382–393.
• Oorschot, J., Segers, J. and Zhou, C. (2023) Tail inference using extreme U-statistics. Electronic Journal of Statistics, 17(1), 1113–1159.
• Cui, H., Fan, Y., Tan, K.S. and Zhou, C. (2022) Asymptotic analysis of portfolio diversification. Insurance: Mathematics and Economics, 106, 302–325.
• Chen, L., Li, D. and Zhou, C. (2022) Adapting the Hill estimator to distributed inference: dealing with the bias. Extremes, 25, 389–416.
• Einmahl, J., Ferreira, A., de Haan, L., Neves, C. and Zhou, C. (2022) Spatial dependence and space-time trend in extreme events. Annals of Statistics, 50(1), 30–52.
• Oorschot, J. and Zhou, C. (2022) Tail dependence of OLS. Econometric Theory, 38(2), 273–300.
• Chen, L., Li, D. and Zhou, C. (2022) Distributed inference for extreme value index. Biometrika, 109(1), 257–264.
• Qin, X. and Zhou, C. (2021) Systemic risk allocation using the asymptotic marginal expected shortfall. Journal of Banking and Finance, 126, 106099.
• Nolde, N. and Zhou, C. (2021) Extreme value analysis for financial risk management. Annual Review of Statistics and Its Application, 8, 217–240.
• Bücher, A. and Zhou, C. (2021) A horse race between the block maxima method and the peak-over-threshold approach. Statistical Science, 36(3), 360–378.
• Einmahl, J., Yang, F. and Zhou, C. (2021) Testing the multivariate regular variation model. Journal of Business and Economic Statistics, 39, 907–919.
• de Haan, L. and Zhou, C. (2021) Trend in extreme value indices. Journal of the American Statistical Association, 116(535), 1265–1279.
• Zhou, C. (2020) Discussion on ‘Graphical models for extremes’ by Sebastian Engelke and Adrien Hitz. Journal of the Royal Statistical Society, Series B, 82(4), 928.
• Zhou, C. (2019) Book review: Risk Theory: A Heavy Tail Approach. Journal of the American Statistical Association, 114(527), 1424–1425.
• van Oordt, M.R.C. and Zhou, C. (2019) Systemic risk and bank business models. Journal of Applied Econometrics, 34(3), 365–384.
• van Oordt, M.R.C. and Zhou, C. (2019) Estimating systematic risk under extremely adverse market conditions. Journal of Financial Econometrics, 17(3), 432–461.
• Leng, X., Peng, L., Wang, X. and Zhou, C. (2019) Endpoint estimation for observations with normal measurement errors. Extremes, 22(1), 77–96.
• Xiao, X. and Zhou, C. (2018) The decomposition of jump risks in individual stock returns. Journal of Empirical Finance, 47, 207–228.
• Zhou, C. (2018) Discussion on “Human life is unlimited – but short” by Holger Rootzén and Dmitrii Zholud. Extremes, 21(3), 405–410.
• Galati, G., Gorge, Z., Moessner, R. and Zhou, C. (2018) Deflation risk in the euro area and central bank credibility. Economics Letters, 167, 124–126.
• Oesting, M., Schlather, M. and Zhou, C. (2018) Exact and fast simulation of max-stable processes on a compact set using the normalized spectral representation. Bernoulli, 24(2), 1497–1530.
• van Oordt, M.R.C. and Zhou, C. (2018) Systemic risk of European banks: regulators and markets. In: Macroprudential Policy and Practice, 205–224, Edited by P. Mizen, M. Rubio and P. Turner. Cambridge University Press.
• Zhou, C. (2017) Discussion on “Elicitability and backtesting: perspectives for banking regulation”. Annals of Applied Statistics, 11(4), 1888–1893.
• Zhou, C. (2017) Book review: Quantitative Risk Management: Concepts, Techniques and Tools. Extremes, 20, 489–491.
• 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.
• Einmahl, J., de Haan, L. and Zhou, C. (2016) Statistics of heteroscedastic extremes. Journal of the Royal Statistical Society, Series B, 78(1), 31–51.
• van Oordt, M.R.C. and Zhou, C. (2016) Systematic tail risk. Journal of Financial and Quantitative Analysis, 51(2), 685–705.
• 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.
• Sun, P. and Zhou, C. (2014) Diagnosing the distribution of GARCH innovations. Journal of Empirical Finance, 29, 287–303.
• Zhou, C. (2013) The impact of imposing capital requirement on systemic risk. Journal of Financial Stability, 9(3), 320–329.
• 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.
• Cai, J., de Haan, L. and Zhou, C. (2012) Bias correction in extreme value statistics with index around zero. Extremes, 16(2), 173–201.
• van Oordt, M.R.C. and Zhou, C. (2012) The simple econometrics of tail dependence. Economics Letters, 116(3), 371–373.
• Huurman, C., Ravazzolo, F. and Zhou, C. (2012) The power of weather. Computational Statistics and Data Analysis, 56(11), 3793–3807.
• de Haan, L., Ferreira, A. and Zhou, C. (2012) Exceedance probability of the integral of a stochastic process. Journal of Multivariate Analysis, 105(1), 241–257.
• de Haan, L. and Zhou, C. (2011) Extreme residual dependence for random vectors and processes. Advances in Applied Probability, 43(1), 217–242.
• Galati, G., Poelhekke, S. and Zhou, C. (2011) Did the crisis affect inflation expectations? International Journal of Central Banking, 7(1), 167–208.
• Zhou, C. (2010) Are banks too big to fail? Measuring systemic importance of financial institutions. International Journal of Central Banking, 6(4), 205–250.
• Zhou, C. (2010) Dependence structure of risk factors and diversification effects. Insurance: Mathematics and Economics, 46(3), 531–540.
• Zhou, C. (2010) The extent of the maximum likelihood estimator for the extreme value index. Journal of Multivariate Analysis, 101(4), 971–983.
• de Haan, L., de Vries, C.G. and Zhou, C. (2009) The expected payoff to internet auctions. Extremes, 12(3), 219–238.
• Zhou, C. (2009) Existence and consistency of the maximum likelihood estimator for the extreme value index. Journal of Multivariate Analysis, 100(4), 794–815.
• Zhou, C. (2008) A 2-step estimator of the extreme value index. Extremes, 11(3), 281–302.
• 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.
• de Haan, L. and Zhou, C. (2008) On extreme value analysis of a spatial process. Revstat, 6(1), 71–81.
• 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 Settlements.

Public opinion and media attention

• Danielsson, J. and Zhou, C. Why risk is hard to measure? VoxEU, April 25, 2015.
• 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.

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