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.
- Ahmed, H., Einmahl, J. and Zhou, C. (2021) Extreme Value Statistics in Semi-Supervised Models. CentER Discussion Paper. 2021-007.
- Oorschot J. and Zhou, C. (2020) All Block Maxima method for estimating the extreme value index. Submitted.
- de Haan, L. and Zhou, C. (2020) Bootstrapping Extreme Value Estimators. Submitted.
- de Haan, J., Jin, Z. and Zhou, C. (2019) Micro-prudential regulation and banks’ systemic risk. DNB Working Paper No. 656.
- Heijmans, R. and Zhou, C. (2019) Outlier detection in TARGET2 risk indicators. DNB Working Paper No. 624.
- Schindelhauer, K. and Zhou, C. (2018) Value-at-Risk prediction using option-implied risk measures. DNB Working Paper, No. 613. Submitted.
- Cui, H., Tan, K.S., Yang, F. and Zhou, C. (2017) Asymptotic analysis of portfolio diversification. Submitted.
- Muns, S. and Zhou, C. (2016) The impact of bank size, capital structure and asset dependence on social welfare. Working paper.
- Xiao, X. and Zhou, C. (2016) Entropy-based implied volatility and its information content. DNB Working Paper No. 581.
- Danielsson, J. and Zhou, C. (2015) Why risk is so hard to measure? DNB Working Paper No. 494.
- Moore, K., Sun, P., de Vries, C.G. and Zhou, C. (2013) The Cross-Section of Tail Risks in Stock Returns. Working paper.
- 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.
- 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.
- Garita, G. and Zhou, C. (2009) Can open capital markets help avoid currency crises? DNB Working Paper No. 205.
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