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Systematic risk under extremely adverse market conditions
Oordt, Maarten van; Chen Zhou - 2011
Persistent link: https://www.econbiz.de/10008901175
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Estimating systematic risk under extremely adverse market conditions
Oordt, Maarten R. C. van; Chen Zhou - In: Journal of financial econometrics 17 (2019) 3, pp. 432–461
Persistent link: https://www.econbiz.de/10012054463
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Dependence structure of risk factors and diversification effects
Chen Zhou - 2009
Persistent link: https://www.econbiz.de/10003865271
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Systemic risk allocation for systems with a small number of banks
Qin, Xiao; Chen Zhou - 2013
Persistent link: https://www.econbiz.de/10009746621
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Systematic tail risk
Oordt, Maarten van; Chen Zhou - 2013
Persistent link: https://www.econbiz.de/10010225580
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Systemic risk allocation using the asymptotic marginal expected shortfall
Qin, Xiao; Chen Zhou - In: Journal of banking & finance 126 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012820456
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Outlier detection in TARGET2 risk indicators
Heijmans, Ronald; Chen Zhou - 2019
Persistent link: https://www.econbiz.de/10011966026
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The simple econometrics of tail dependence
Oordt, Maarten R. C. van; Chen Zhou - 2011
Persistent link: https://www.econbiz.de/10009011307
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The simple econometrics of tail dependence
Oordt, Maarten R. C. van; Chen Zhou - In: Economics letters 116 (2012) 3, pp. 371-373
Persistent link: https://www.econbiz.de/10009674350
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Statistics of heteroscedastic extremes
Einmahl, John H. J.; Haan, Laurens de; Chen Zhou - 2014
Persistent link: https://www.econbiz.de/10010395089