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.
Chen Zhou
University
Erasmus University Rotterdam
E-mail
Research field
Data Science and Econometrics
Interests
Banking, Finance, Risk Management
Website
Key publications
Chen, L. and Zhou, C. (2026). High-dimensional inference for extreme value indices Journal of the American Statistical Association.
Ahmed, H., Einmahl, JohnH.J. and Zhou, C. (2025). Extreme value statistics in semi-supervised models Journal of the American Statistical Association, 120(549):291--304.
de Haan, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393.
Menkveld, AlbertJ., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neususs, S., Razen, M., Weitzel, U., Abad-Diaz, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, JamieT., Alexeev, V., Aloosh, A., Amato, L., Amaya, D., Angel, JamesJ., Avetikian, AlejandroT., Bach, A., Baidoo, E., Bakalli, G., Bao, L., Barbon, A., Bashchenko, O., Bindra, ParampreetC., Bjønnes, GeirH., Black, JeffreyR., Black, BernhardS., Bogoev, D., Bohorquez Correa, S., Bondarenko, O., Bos, CharlesS., Bosch-Rosa, C., Bouri, E., Brownlees, C., Calamia, A., Cao, V.N., Capelle-Blancard, G., Capera Romero, LauraM., Mazzola, F., van Dijk, M., Verwijmeren, P., Vogel, S., Wagner, W., van der Wel, M., Yang, A. and Zhou, C. (2024). Nonstandard Errors The Journal of Finance, 79(3):2339--2390.
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.
Qin, X. and Zhou, C. (2021). Systemic risk allocation using the asymptotic marginal expected shortfall Journal of Banking and Finance, 126.
Einmahl, JohnH.J., Yang, F. and Zhou, C. (2021). Testing the Multivariate Regular Variation Model Journal of Business and Economic Statistics, 39(4):907--919.
Zhou, C. (2020). Discussion on ‘Graphical models for extremes’ by Sebastian Engelke and Adrien Hitz Journal of the Royal Statistical Society. Series B. Statistical Methodology, 82(4):928--928.
de Haan, L. and Zhou, C. (2020). Trends in extreme value indices Journal of the American Statistical Association, 116(535):1265--1279.
Zhou, C. (2019). Book review: Risk Theory: A Heavy Tail Approach Journal of the American Statistical Association, 114:1424--1425.
Einmahl, J., De Haan, L. and Zhou, C. (2016). Statistics of heteroscedastic extremes Journal of the Royal Statistical Society. Series B. Statistical Methodology, 78(1):31--51.
Cai, J., Einmahl, J., De Haan, L. and Zhou, C. (2014). Estimation of the marginal expected shortfall: the mean when a related variable is extreme Journal of the Royal Statistical Society. Series B. Statistical Methodology, 77(2):417--442.
de Haan, L., de Vries, C. and Zhou, C. (2013). The number of active bidders in internet auctions Journal of Economic Theory, 148(4):1726--1736.
Huurman, C., Ravazzolo, F. and Zhou, C. (2012). The power of weather Computational Statistics and Data Analysis, 56(11):3793--3807.
Publications
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.
Chen, L. and Zhou, C. (2026). High-dimensional inference for extreme value indices Journal of the American Statistical Association.
Ahmed, H., Einmahl, JohnH.J. and Zhou, C. (2025). Extreme value statistics in semi-supervised models Journal of the American Statistical Association, 120(549):291--304.
de Haan, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393.
Menkveld, AlbertJ., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neususs, S., Razen, M., Weitzel, U., Abad-Diaz, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, JamieT., Alexeev, V., Aloosh, A., Amato, L., Amaya, D., Angel, JamesJ., Avetikian, AlejandroT., Bach, A., Baidoo, E., Bakalli, G., Bao, L., Barbon, A., Bashchenko, O., Bindra, ParampreetC., Bjønnes, GeirH., Black, JeffreyR., Black, BernhardS., Bogoev, D., Bohorquez Correa, S., Bondarenko, O., Bos, CharlesS., Bosch-Rosa, C., Bouri, E., Brownlees, C., Calamia, A., Cao, V.N., Capelle-Blancard, G., Capera Romero, LauraM., Mazzola, F., van Dijk, M., Verwijmeren, P., Vogel, S., Wagner, W., van der Wel, M., Yang, A. and Zhou, C. (2024). Nonstandard Errors The Journal of Finance, 79(3):2339--2390.
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. (2021). TAIL DEPENDENCE OF OLS Econometric Theory, 38(2):273--300.
Qin, X. and Zhou, C. (2021). Systemic risk allocation using the asymptotic marginal expected shortfall Journal of Banking and Finance, 126.
Chen, L., Li, D.(. and Zhou, C. (2021). Distributed Inference for Extreme Value Index Biometrika, accepted:.
Einmahl, JohnH.J., Yang, F. and Zhou, C. (2021). Testing the Multivariate Regular Variation Model Journal of Business and Economic Statistics, 39(4):907--919.
Zhou, C. (2020). Discussion on ‘Graphical models for extremes’ by Sebastian Engelke and Adrien Hitz Journal of the Royal Statistical Society. Series B. Statistical Methodology, 82(4):928--928.
de Haan, L. and Zhou, C. (2020). Trends in extreme value indices Journal of the American Statistical Association, 116(535):1265--1279.
Van Oordt, MaartenR.C. and Zhou, C. (2019). Estimating Systematic Risk under Extremely Adverse Market Conditions Journal of Financial Econometrics, 17(3):432--461.
Zhou, C. (2019). Book review: Risk Theory: A Heavy Tail Approach Journal of the American Statistical Association, 114:1424--1425.
van Oordt, M. and Zhou, C. (2019). Systemic risk and bank business models Journal of Applied Econometrics, 34(3):365--384.
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.
Xiao, X. and Zhou, C. (2018). The decomposition of jump risks in individual stock returns Journal of Empirical Finance, 47:207--228.
de Haan, L., Mercadier, C. and Zhou, C. (2015). 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. Statistical Methodology, 78(1):31--51.
Sun, P. and Zhou, C. (2014). Diagnosing the distribution of GARCH innovations Journal of Empirical Finance, 29:287--303.
Cai, J., Einmahl, J., De Haan, L. and Zhou, C. (2014). Estimation of the marginal expected shortfall: the mean when a related variable is extreme Journal of the Royal Statistical Society. Series B. Statistical Methodology, 77(2):417--442.
de Haan, L., de Vries, C. and Zhou, C. (2013). The number of active bidders in internet auctions Journal of Economic Theory, 148(4):1726--1736.
Huurman, C., Ravazzolo, F. and Zhou, C. (2012). The power of weather Computational Statistics and Data Analysis, 56(11):3793--3807.
van Oordt, M.(. and Zhou, C. (2012). The simple econometrics of tail dependence Economics Letters, 116(3):371--373.
Zhou, C. (2010). Dependence structure of risk factors and diversification effects Insurance, 46(3):531--540.