Research interest

My research focuses on Extreme Value Theory (EVT) and its applications in economics and finance. Particularly, I focus on applying EVT to financial risk management, financial stability analysis and measuring systemic risk.


Working papers

1. de Haan, L. and Zhou, C. (2017) Trend in extreme value indices.

2. Leng, X., Peng, L., Wang, X. and Zhou, C. (2017) Endpoint estimation for observations with normally distributed measurement errors.

3. Cui, H., Tan, K.S., Yang, F. and Zhou, C. (2017) Asymptotic analysis of portfolio diversification.

4. Xiao, X. and Zhou, C. (2017) Systematic and idiosyncratic jump risks in the expected stock returns.

5. Muns, S. and Zhou, C. (2016) The impact of bank size, capital strucgture and asset dependence on social welfare.

6. Xiao, X. and Zhou, C. (2016) Entropy-based implied volatility and its information content.

7. Galati, G., Gorgi, Z., Moessener, R. and Zhou, C. (2016) Deflation risk in the euro area and central bank credibility. DNB Working Paper No. 509.

8. Danielsson, J. and Zhou, C. (2015) Why risk is so hard to measure? DNB Working Paper No. 494.

9. van Oordt, M. and Zhou, C. (2014) Systemic risk and bank business model. DNB Working Paper No. 442.

10. Qin, X. and Zhou, C. (2013) Systemic risk allocation for system with a small number of banks. DNB Working Paper No. 378.

11. Moore, K., Sun, P., de Vries, C.G. and Zhou, C. (2013) The Cross-Section of Tail Risks in Stock Returns. Working paper.

12. Moore, K. and Zhou, C. (2012) “Too big to fail” or “Too non-traditional to fail”? The determinants of banks' systemic importance. DNB Working Paper No. 347.

13. Galati, G. Lewis, J., Poelhekke, S. and Zhou, C. (2011) Have market views on the sustainability of fiscal burdens influenced monetary authorities' credibility? DNB Working Paper No. 304.

14. Garita, G. and Zhou, C. (2009) Can open capital markets help avoid currency crises? DNB Working Paper No. 205.


Working in progress

1. Value-at-Risk prediction using option-implied information (jointly with Schindelhauer, K.)

2. Bias correction for the maximum likelihood estimator of the extreme value index (jointly with Leng, X.)

3. The bootstrap in extreme value theory (jointly with de Haan, L. and Koning, A.)

4. An entropy-based test for multivariate tail dependence structure (jointly with Engelke, S. and Naveau, P.)


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