Chen Zhou

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

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

SCHOLARLY PAPERS

5

DOWNLOADS

498

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

'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 277 (109,326)
Citation 1

Abstract:

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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 138 (210,525)
Citation 2

Abstract:

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

3.
Downloads 26 (265,235)

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 26 (502,600)

Abstract:

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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
The Bank of Korea and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 57 (365,963)

Abstract:

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Exchange market pressure, systemic risk, capital flows

5.

The Decomposition of Jump Risks in Individual Stock Returns

Journal of Empirical Finance, Vol. 47, No. 207--228, 2018
Posted: 02 Feb 2017 Last Revised: 19 Dec 2018
Xiao Xiao and Chen Zhou
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

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jump-diffusion model, GARCH filtering, asset pricing