Chen Zhou

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

SCHOLARLY PAPERS

6

DOWNLOADS

529

CITATIONS

2

Scholarly Papers (6)

'Too Big to Fail' or 'Too Non-Traditional to Fail'?: The Determinants of Banks' Systemic Importance

Number of pages: 34 Posted: 29 Jan 2012 Last Revised: 27 Mar 2013
Kyle Moore and Chen Zhou
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 227 (106,698)
Citation 2

Abstract:

too big to fail, too connected to fail, determinants of systemic importance, systemically important financial institution, systemic risk, systemic importance, multivariate extreme value theory

2.

The Drivers of Downside Equity Tail Risk

Number of pages: 36 Posted: 27 Mar 2013
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 104 (187,387)

Abstract:

Extreme Value Theory, Hypothesis Testing, Tail Index, Tail Risk

3.
Downloads 23 (229,340)

The Power of Weather

De Nederlandsche Bank Working Paper No. 236
Number of pages: 34 Posted: 20 Oct 2011
Financial Engineering Associates, Free University of Bolzano and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 23 (426,735)

Abstract:

Electricity prices, weather forecasts, point and density forecasts, GARCH models

4.

Averting Currency Crises: The Pros and Cons of Financial Openness

Number of pages: 42 Posted: 12 Apr 2011
Gus Garita and Chen Zhou
Bank of Korea and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 52 (299,122)

Abstract:

Exchange market pressure, systemic risk, capital flows

5.

The Decomposition of Jump Risks in Individual Stock Returns

Number of pages: 57 Posted: 02 Feb 2017
Xiao Xiao and Chen Zhou
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 0 (362,634)

Abstract:

jump-diffusion model, GARCH filtering, asset pricing

6.

Entropy-Based Implied Volatility and its Information Content

Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 47 Posted: 01 Oct 2015 Last Revised: 02 Feb 2017
Xiao Xiao and Chen Zhou
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 0 (270,937)

Abstract:

Option pricing, risk neutral distribution, variance risk premium