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Chen Zhou

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
    • Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023. "Non-Standard Errors," LIDAM Reprints LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022. "Non-Standard Errors," Swiss Finance Institute Research Paper Series 22-09, Swiss Finance Institute.
    • Moinas, Sophie & Declerck, Fany & Menkveld, Albert J. & Dreber, Anna, 2023. "Non-Standard Errors," TSE Working Papers 23-1451, Toulouse School of Economics (TSE).
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024. "Nonstandard errors," LSE Research Online Documents on Economics 123002, London School of Economics and Political Science, LSE Library.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024. "Nonstandard Errors," Post-Print hal-04676112, HAL.
    • Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023. "Non-Standard Errors," Rationality and Competition Discussion Paper Series 385, CRC TRR 190 Rationality and Competition.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Miloš Fišar & Ben Greiner & Christoph Huber & Elena Katok & Ali I Ozkes & The Management Science Reproducibility Collaboration, 2024. "Reproducibility in Management Science," Post-Print hal-04370984, HAL.
    2. Soebhag, Amar & Van Vliet, Bart & Verwijmeren, Patrick, 2024. "Non-standard errors in asset pricing: Mind your sorts," Journal of Empirical Finance, Elsevier, vol. 78(C).
    3. Anna Dreber & Magnus Johannesson, 2025. "A framework for evaluating reproducibility and replicability in economics," Economic Inquiry, Western Economic Association International, vol. 63(2), pages 338-356, April.
    4. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    5. Huntington-Klein, Nick & Pörtner, Claus C. & Acharya, Yubraj & Adamkovic, Matus & Adema, Joop & Agasa, Lameck Ondieki & Ahmad, Imtiaz & Akbulut-Yuksel, Mevlude & Andresen, Martin Eckhoff & Angenendt, , 2025. "The Sources of Researcher Variation in Economics," I4R Discussion Paper Series 209, The Institute for Replication (I4R).
    6. van Dolder, Dennie & Vandenbroucke, Jurgen, 2024. "Behavioral risk profiling: Measuring loss aversion of individual investors," Journal of Banking & Finance, Elsevier, vol. 168(C).
    7. Christoph Huber & Christian König-Kersting & Matteo M. Marini, 2022. "Experimenting with Financial Professionals," Working Papers 2022-07, Faculty of Economics and Statistics, Universität Innsbruck, revised Jun 2024.
    8. Christophe Pérignon & Olivier Akmansoy & Christophe Hurlin & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johanneson & Michael Kirchler & Albert Menkveld & Michael Razen & Utz Weitzel, 2022. "Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance," Working Papers hal-03810013, HAL.
    9. Stephen A. Gorman & Frank J. Fabozzi, 2023. "Alternative risk premium: specification noise," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 459-473, October.
    10. Fišar, Miloš & Greiner, Ben & Huber, Christoph & Katok, Elena & Ozkes, Ali & Collaboration, Management Science Reproducibility, 2023. "Reproducibility in Management Science," OSF Preprints mydzv_v1, Center for Open Science.
    11. Nate Breznau & Eike Mark Rinke & Alexander Wuttke & Hung H. V. Nguyen & Muna Adem & Jule Adriaans & Amalia Alvarez-Benjumea & Henrik K. Andersen & Daniel Auer & Flavio Azevedo & Oke Bahnsen & Dave Bal, 2022. "Observing many researchers using the same data and hypothesis reveals a hidden universe of uncertainty," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 119(44), pages 2203150119-, November.

  2. Einmahl, John & Yang, Fan & Zhou, Chen, 2018. "Testing the Multivariate Regular Variation Model," Discussion Paper 2018-044, Tilburg University, Center for Economic Research.

    Cited by:

    1. Pere, Jaakko & Ilmonen, Pauliina & Viitasaari, Lauri, 2024. "On extreme quantile region estimation under heavy-tailed elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
    2. Lee, Bill & Carlisle, Liam, 2024. "Interpreting an escape from an eviction trap as a social account: A Gramscian reading of a credit union’s policies in support of social housing tenants," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 98(C).
    3. Einmahl, John & Krajina, Andrea, 2023. "Empirical Likelihood Based Testing for Multivariate Regular Variation," Other publications TiSEM 261583f5-c571-48c6-8cea-9, Tilburg University, School of Economics and Management.
    4. Einmahl, John & Krajina, Andrea, 2023. "Empirical Likelihood Based Testing for Multivariate Regular Variation," Discussion Paper 2023-001, Tilburg University, Center for Economic Research.
    5. Chen, Shaoying & Tong, Zhiwei & Yang, Yang, 2025. "Portfolio default losses driven by idiosyncratic risks," European Journal of Operational Research, Elsevier, vol. 320(3), pages 765-776.

  3. Maarten van Oordt & Chen Zhou, 2016. "Estimating Systematic Risk Under Extremely Adverse Market Conditions," Staff Working Papers 16-22, Bank of Canada.

    Cited by:

    1. Radoslav Raykov & Consuelo Silva-Buston, 2022. "Asymmetric Systemic Risk," Staff Working Papers 22-19, Bank of Canada.
    2. Davydov, Denis & Vähämaa, Sami & Yasar, Sara, 2021. "Bank liquidity creation and systemic risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
    3. Junshu Jiang & Jordan Richards & Raphael Huser & David Bolin, 2024. "The Efficient Tail Hypothesis: An Extreme Value Perspective on Market Efficiency," Papers 2408.06661, arXiv.org, revised Feb 2025.
    4. Maroun, George & Fromentin, Vincent, 2024. "Financial instability in Lebanon: Do the liquidity creation and performance of banks matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 96(C).
    5. Maarten van Oordt, 2018. "Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests," Staff Working Papers 18-54, Bank of Canada.
    6. Fang, Yi & Wang, Yanru & Wang, Qi & Zhao, Yang, 2023. "Policy uncertainty and bank systemic risk: A perspective of risk decomposition," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    7. Jeongseop Song & Kim Hiang Liow, 2023. "Industrial tail exposure risk and asset price: Evidence from US REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(5), pages 1209-1245, September.
    8. Wu, Baohui & Zhu, Pingheng & Yin, Hua & Wen, Fenghua, 2023. "The risk spillover of high carbon enterprises in China: Evidence from the stock market," Energy Economics, Elsevier, vol. 126(C).

  4. Danielsson, Jon & Zhou, Chen, 2015. "Why risk is so hard to measure," LSE Research Online Documents on Economics 62002, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Kubitza, Christian & Gründl, Helmut, 2016. "Systemic risk: Time-lags and persistence," ICIR Working Paper Series 20/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    2. Fabio Caccioli & Imre Kondor & G'abor Papp, 2015. "Portfolio Optimization under Expected Shortfall: Contour Maps of Estimation Error," Papers 1510.04943, arXiv.org.
    3. Alexandra-Maria Chiper, 2023. "Financial Risk Optimisation Methods: A Survey," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 31, pages 155-168, June.
    4. Semih Atakan & Kerem Bülbül & Nilay Noyan, 2017. "Minimizing value-at-risk in single-machine scheduling," Annals of Operations Research, Springer, vol. 248(1), pages 25-73, January.
    5. Magdalena Grothe, 2020. "Monitoring Vulnerabilities in the Residential Real Estate Sector in Poland," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 2, pages 5-24.
    6. Bengtsson, Elias & Grothe, Magdalena & Lepers, Etienne, 2017. "Home, safe home: cross-country monitoring framework for vulnerabilities in the residential real estate sector," Working Paper Series 2096, European Central Bank.

  5. Moore, Kyle & Zhou, Chen, 2014. "The determinants of systemic importance," LSE Research Online Documents on Economics 59289, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Mateusz Mokrogulski, 2019. "Macroprudential policy in Poland," Proceedings of Economics and Finance Conferences 9511877, International Institute of Social and Economic Sciences.
    2. Mihir Dash, 2021. "Non-Performing Loans and Systemic Risk of Indian Banks," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 10(1), pages 10-20, April.
    3. Abhinav Anand & John Cotter, 2019. "Integration Among US Banks," Working Papers 201913, Geary Institute, University College Dublin.

  6. Einmahl, J.H.J. & de Haan, L.F.M. & Zhou, C., 2014. "Statistics of Heteroscedastic Extremes," Other publications TiSEM 19952ae4-25ff-4e1b-8627-d, Tilburg University, School of Economics and Management.

    Cited by:

    1. Robert, Christian Y., 2022. "Testing for changes in the tail behavior of Brown–Resnick Pareto processes," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 312-368.

  7. Einmahl, J.H.J. & de Haan, L.F.M. & Zhou, C., 2014. "Statistics of Heteroscedastic Extremes," Discussion Paper 2014-015, Tilburg University, Center for Economic Research.

    Cited by:

    1. Kang, Sang Hoon & Islam, Faridul & Kumar Tiwari, Aviral, 2019. "The dynamic relationships among CO2 emissions, renewable and non-renewable energy sources, and economic growth in India: Evidence from time-varying Bayesian VAR model," Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 90-101.
    2. He, Yi & Einmahl, John, 2024. "Extreme Value Inference for General Heterogeneous Data," Discussion Paper 2024-014, Tilburg University, Center for Economic Research.
    3. Ljungberg, Anders, 2016. "Marginal cost-pricing in the Swedish transport sector – An efficient and sustainable way of funding local and regional public transport in the future?," Research in Transportation Economics, Elsevier, vol. 59(C), pages 159-166.
    4. Dan Andrews & Giuseppe Nicoletti & Christina Timiliotis, 2018. "Digital technology diffusion: A matter of capabilities, incentives or both?," OECD Economics Department Working Papers 1476, OECD Publishing.
    5. Einmahl, John & He, Y., 2022. "Extreme Value Inference for General Heterogeneous Data," Other publications TiSEM fd8dd91c-086f-40e6-ac29-3, Tilburg University, School of Economics and Management.
    6. Alois Guger, 1996. "Redistribution by the State in Austria," Austrian Economic Quarterly, WIFO, vol. 1(4), pages 185-196, October.
    7. Einmahl, John & Yang, Fan & Zhou, Chen, 2018. "Testing the Multivariate Regular Variation Model," Discussion Paper 2018-044, Tilburg University, Center for Economic Research.
    8. Nicolau, João & Rodrigues, Paulo M.M. & Stoykov, Marian Z., 2023. "Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics," Journal of Econometrics, Elsevier, vol. 235(2), pages 2266-2284.
    9. Einmahl, John & He, Y., 2020. "Unified Extreme Value Estimation for Heterogeneous Data," Other publications TiSEM dfe6c38c-823b-4394-b4fd-a, Tilburg University, School of Economics and Management.
    10. Enzo D'Innocenzo & Andre Lucas & Bernd Schwaab & Xin Zhang, 2024. "Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter," Tinbergen Institute Discussion Papers 24-069/III, Tinbergen Institute.
    11. Einmahl, John & Zhou, C., 2024. "Tail Copula Estimation for Heteroscedastic Extremes," Other publications TiSEM 6bcb09c5-8b19-48b8-9320-b, Tilburg University, School of Economics and Management.
    12. Dominković, D.F. & Bačeković, I. & Ćosić, B. & Krajačić, G. & Pukšec, T. & Duić, N. & Markovska, N., 2016. "Zero carbon energy system of South East Europe in 2050," Applied Energy, Elsevier, vol. 184(C), pages 1517-1528.
    13. Jacek Wójcik, 2017. "Consequences of the Cognitive Digital Divide on the Consumer Market," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 44, pages 69-80.
    14. Ahmed, Hanan, 2022. "Extreme value statistics using related variables," Other publications TiSEM 246f0f13-701c-4c0d-8e09-e, Tilburg University, School of Economics and Management.
    15. Einmahl, John & Yang, Fan & Zhou, Chen, 2018. "Testing the Multivariate Regular Variation Model," Other publications TiSEM dd3c4dd0-7181-40f3-af44-f, Tilburg University, School of Economics and Management.
    16. Einmahl, John & Ferreira, Ana & de Haan, Laurens & Neves, C. & Zhou, C., 2020. "Spatial Dependence and Space-Time Trend in Extreme Events," Discussion Paper 2020-009, Tilburg University, Center for Economic Research.
    17. Demichelis, Francesca & Fiore, Silvia & Pleissner, Daniel & Venus, Joachim, 2018. "Technical and economic assessment of food waste valorization through a biorefinery chain," Renewable and Sustainable Energy Reviews, Elsevier, vol. 94(C), pages 38-48.
    18. Pinchasik, Daniel Ruben & Hovi, Inger Beate, 2017. "A CO2-fund for the transport industry: The case of Norway," Transport Policy, Elsevier, vol. 53(C), pages 186-195.
    19. Yaolan Ma & Bo Wei & Wei Huang, 2020. "A nonparametric estimator for the conditional tail index of Pareto-type distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 83(1), pages 17-44, January.
    20. Magdeldin, Mohamed & Kohl, Thomas & Järvinen, Mika, 2017. "Techno-economic assessment of the by-products contribution from non-catalytic hydrothermal liquefaction of lignocellulose residues," Energy, Elsevier, vol. 137(C), pages 679-695.
    21. Robert, Christian Y., 2022. "Testing for changes in the tail behavior of Brown–Resnick Pareto processes," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 312-368.
    22. Wittenberg, Raphael & Sharpin, Luke & McCormick, Barry & Hurst, Jeremy, 2017. "The ageing society and emergency hospital admissions," Health Policy, Elsevier, vol. 121(8), pages 923-928.
    23. Fuchs, Johann & Hummel, Markus & Hutter, Christian & Gehrke, Britta & Wanger, Susanne & Weber, Enzo & Weigand, Roland & Zika, Gerd, 2016. "IAB-Prognose 2016: Beschäftigung und Arbeitskräfteangebot so hoch wie nie (IAB forecast 2016: Employment and labour supply are higher than ever before)," IAB-Kurzbericht 201606, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    24. Li, Wei & Lu, Can & Ding, Yi & Zhang, Yan-Wu, 2017. "The impacts of policy mix for resolving overcapacity in heavy chemical industry and operating national carbon emission trading market in China," Applied Energy, Elsevier, vol. 204(C), pages 509-524.
    25. Hou, Yanxi & Leng, Xuan & Peng, Liang & Zhou, Yinggang, 2024. "Panel quantile regression for extreme risk," Journal of Econometrics, Elsevier, vol. 240(1).
    26. Brook T. Russell & Whitney K. Huang, 2021. "Modeling short‐ranged dependence in block extrema with application to polar temperature data," Environmetrics, John Wiley & Sons, Ltd., vol. 32(3), May.
    27. Einmahl, John & Zhou, C., 2024. "Tail Copula Estimation for Heteroscedastic Extremes," Discussion Paper 2024-003, Tilburg University, Center for Economic Research.
    28. Cui, Hengxin & Tan, Ken Seng & Yang, Fan & Zhou, Chen, 2022. "Asymptotic analysis of portfolio diversification," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 302-325.
    29. Schweiger, Gerald & Rantzer, Jonatan & Ericsson, Karin & Lauenburg, Patrick, 2017. "The potential of power-to-heat in Swedish district heating systems," Energy, Elsevier, vol. 137(C), pages 661-669.
    30. Borozan, Djula, 2018. "Regional-level household energy consumption determinants: The european perspective," Renewable and Sustainable Energy Reviews, Elsevier, vol. 90(C), pages 347-355.
    31. Chen, Yu & Ma, Mengyuan & Sun, Hongfang, 2023. "Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 142-162.
    32. Andrea Kunnert, 2016. "Leistbarkeit von Wohnen in Österreich. Operationalisierung und demographische Komponenten," WIFO Studies, WIFO, number 58932.
    33. Lu, Ying & Prato, Carlo G. & Sipe, Neil & Kimpton, Anthony & Corcoran, Jonathan, 2022. "The role of household modality style in first and last mile travel mode choice," Transportation Research Part A: Policy and Practice, Elsevier, vol. 158(C), pages 95-109.
    34. Everard, Mark & Longhurst, James & Pontin, John & Stephenson, Wendy & Brooks, Joss, 2017. "Developed-developing world partnerships for sustainable development (2): An illustrative case for a payments for ecosystem services (PES) approach," Ecosystem Services, Elsevier, vol. 24(C), pages 253-260.
    35. Einmahl, John & He, Y., 2020. "Unified Extreme Value Estimation for Heterogeneous Data," Discussion Paper 2020-025, Tilburg University, Center for Economic Research.
    36. Powell, Robert J. & Vo, Duc H. & Pham, Thach N. & Singh, Abhay K., 2017. "The long and short of commodity tails and their relationship to Asian equity markets," Journal of Asian Economics, Elsevier, vol. 52(C), pages 32-44.
    37. Joos, Michael & Staffell, Iain, 2018. "Short-term integration costs of variable renewable energy: Wind curtailment and balancing in Britain and Germany," Renewable and Sustainable Energy Reviews, Elsevier, vol. 86(C), pages 45-65.
    38. Einmahl, John & Ferreira, Ana & de Haan, Laurens & Neves, C. & Zhou, C., 2020. "Spatial Dependence and Space-Time Trend in Extreme Events," Other publications TiSEM ae5818cd-f071-4275-9577-d, Tilburg University, School of Economics and Management.

  8. Moore, Kyle & Sun, Pengei & de Vries, Casper G. & Zhou, Chen, 2013. "The drivers of downside equity tail risk," MPRA Paper 45591, University Library of Munich, Germany.

    Cited by:

    1. Dolf Diemont & Kyle Moore & Aloy Soppe, 2016. "The Downside of Being Responsible: Corporate Social Responsibility and Tail Risk," Journal of Business Ethics, Springer, vol. 137(2), pages 213-229, August.

  9. Moore, Kyle & Sun, Pengfei & de Vries, Casper G. & Zhou, Chen, 2013. "The cross-section of tail risks in stock returns," MPRA Paper 45592, University Library of Munich, Germany.

    Cited by:

    1. Georges Hübner & Thomas Lejeune, 2015. "Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon," Working Paper Research 289, National Bank of Belgium.
    2. Cui, Hengxin & Tan, Ken Seng & Yang, Fan & Zhou, Chen, 2022. "Asymptotic analysis of portfolio diversification," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 302-325.
    3. Dolf Diemont & Kyle Moore & Aloy Soppe, 2016. "The Downside of Being Responsible: Corporate Social Responsibility and Tail Risk," Journal of Business Ethics, Springer, vol. 137(2), pages 213-229, August.
    4. Hübner, Georges & Lejeune, Thomas, 2021. "Mental accounts with horizon and asymmetry preferences," Economic Modelling, Elsevier, vol. 103(C).

  10. Moore, Kyle & Zhou, Chen, 2013. ""Too big to fail" or "Too non-traditional to fail"?: The determinants of banks' systemic importance," MPRA Paper 45589, University Library of Munich, Germany.

    Cited by:

    1. Giordana, Gastón & Ziegelmeyer, Michael, 2020. "Stress testing household balance sheets in Luxembourg," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 115-138.
    2. Qin, Xiao & Zhou, Chunyang, 2019. "Financial structure and determinants of systemic risk contribution," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    3. Masciantonio, Sergio, 2013. "Identifying, ranking and tracking systemically important financial institutions (SIFIs), from a global, EU and Eurozone perspective," MPRA Paper 46788, University Library of Munich, Germany.
    4. Van Son Lai & Xiaoxia Ye, 2019. "How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?," Working Papers 2019-012, Department of Research, Ipag Business School.
    5. Gurgone, Andrea & Iori, Giulia, 2020. "Macroprudential capital buffers in heterogeneous banking networks: Insights from an ABM with liquidity crises," BERG Working Paper Series 164, Bamberg University, Bamberg Economic Research Group.
    6. Gaston Giordana & Ingmar Schumacher, 2012. "An Empirical Study on the Impact of Basel III Standards on Banks? Default Risk: The Case of Luxembourg," BCL working papers 79, Central Bank of Luxembourg.
    7. Iryna Yanenkova & Yuliia Nehoda & Svetlana Drobyazko & Andrii Zavhorodnii & Lyudmyla Berezovska, 2021. "Modeling of Bank Credit Risk Management Using the Cost Risk Model," JRFM, MDPI, vol. 14(5), pages 1-15, May.
    8. X. Qin & X. Zhu, 2014. "Too non-traditional to fail? Determinants of systemic risk for BRICs banks," Applied Economics Letters, Taylor & Francis Journals, vol. 21(4), pages 261-264, March.

  11. Cai, J. & Einmahl, J.H.J. & de Haan, L.F.M. & Zhou, C., 2012. "Estimation of the Marginal Expected Shortfall : The Mean when a Related Variable is Extreme," Other publications TiSEM e96e039f-cb6b-4cd5-805b-5, Tilburg University, School of Economics and Management.

    Cited by:

    1. Areski Cousin & Elena Di Bernardino, 2013. "On Multivariate Extensions of Conditional-Tail-Expectation," Working Papers hal-00877386, HAL.
    2. Chen, Yu & Gao, Yu & Shu, Lei & Zhu, Xiaonan, 2023. "Network effects on risk co-movements: A network quantile autoregression-based analysis," Finance Research Letters, Elsevier, vol. 56(C).
    3. S. Tavolaro & F. Visnovsky, 2014. "What is the information content of the SRISK measure as a supervisory tool?," Debats Economiques et financiers 10, Banque de France.
    4. Hua, Lei & Joe, Harry, 2014. "Strength of tail dependence based on conditional tail expectation," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 143-159.
    5. Takashi Isogai, 2014. "Benchmarking of Unconditional VaR and ES Calculation Methods: A Comparative Simulation Analysis with Truncated Stable Distribution," Bank of Japan Working Paper Series 14-E-1, Bank of Japan.

  12. Cai, J. & Einmahl, J.H.J. & de Haan, L.F.M. & Zhou, C., 2012. "Estimation of the Marginal Expected Shortfall : The Mean when a Related Variable is Extreme," Discussion Paper 2012-080, Tilburg University, Center for Economic Research.

    Cited by:

    1. Popescu, Alexandra & Turcu, Camelia, 2017. "Sovereign debt and systemic risk in the eurozone," Economic Modelling, Elsevier, vol. 67(C), pages 275-284.
    2. Areski Cousin & Elena Di Bernardino, 2013. "On Multivariate Extensions of Conditional-Tail-Expectation," Working Papers hal-00877386, HAL.
    3. Chen, Yu & Gao, Yu & Shu, Lei & Zhu, Xiaonan, 2023. "Network effects on risk co-movements: A network quantile autoregression-based analysis," Finance Research Letters, Elsevier, vol. 56(C).
    4. Yuri Goegebeur & Armelle Guillou & Jing Qin, 2024. "Estimation of the conditional tail moment for Weibull‐type distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 51(4), pages 1782-1815, December.
    5. Fan Yang & Yi Zhang, 2024. "Asymptotics of Sum of Heavy-tailed Risks with Copulas," Papers 2411.09657, arXiv.org.
    6. Li, Jinzhu, 2022. "Asymptotic results on marginal expected shortfalls for dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 146-168.
    7. Bousebata, Meryem & Enjolras, Geoffroy & Girard, Stéphane, 2023. "Extreme partial least-squares," Journal of Multivariate Analysis, Elsevier, vol. 194(C).
    8. Das, Bikramjit & Fasen-Hartmann, Vicky, 2018. "Risk contagion under regular variation and asymptotic tail independence," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 194-215.
    9. Goegebeur, Yuri & Guillou, Armelle & Ho, Nguyen Khanh Le & Qin, Jing, 2023. "A Weissman-type estimator of the conditional marginal expected shortfall," Econometrics and Statistics, Elsevier, vol. 27(C), pages 173-196.
    10. Tiantian Mao & Gilles Stupfler & Fan Yang, 2024. "Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks," Papers 2411.07212, arXiv.org.
    11. Cristina Zeldea, 2020. "Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions," Administrative Sciences, MDPI, vol. 10(3), pages 1-14, August.
    12. Bikramjit Das & Vicky Fasen, 2016. "Risk contagion under regular variation and asymptotic tail independence," Papers 1603.09406, arXiv.org, revised Apr 2017.
    13. Gribkova, N.V. & Su, J. & Zitikis, R., 2022. "Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 199-222.
    14. N. V. Gribkova & J. Su & R. Zitikis, 2022. "Empirical tail conditional allocation and its consistency under minimal assumptions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(4), pages 713-735, August.
    15. Andrea Teruzzi, 2023. "Tail Risk and Systemic Risk Estimation of Cryptocurrencies: an Expectiles and Marginal Expected Shortfall based approach," Papers 2311.17239, arXiv.org.
    16. Goegebeur, Yuri & Guillou, Armelle & Ho, Nguyen Khanh Le & Qin, Jing, 2023. "Nonparametric estimation of conditional marginal excess moments," Journal of Multivariate Analysis, Elsevier, vol. 193(C).
    17. Landsman, Zinoviy & Makov, Udi & Shushi, Tomer, 2016. "Multivariate tail conditional expectation for elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 216-223.
    18. Goegebeur, Yuri & Guillou, Armelle & Qin, Jing, 2024. "Dependent conditional tail expectation for extreme levels," Stochastic Processes and their Applications, Elsevier, vol. 171(C).
    19. S. Tavolaro & F. Visnovsky, 2014. "What is the information content of the SRISK measure as a supervisory tool?," Debats Economiques et financiers 10, Banque de France.
    20. Ling, Chengxiu, 2019. "Asymptotics of multivariate conditional risk measures for Gaussian risks," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 205-215.
    21. Qin, Xiao & Zhou, Chunyang, 2019. "Financial structure and determinants of systemic risk contribution," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    22. Laurent Gardes & Stéphane Girard & Gilles Stupfler, 2020. "Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp‐optimization," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(3), pages 922-949, September.
    23. Hua, Lei & Joe, Harry, 2014. "Strength of tail dependence based on conditional tail expectation," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 143-159.
    24. Rodrigo S. Targino & Gareth W. Peters & Pavel V. Shevchenko, 2014. "Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models," Papers 1410.1101, arXiv.org, revised Feb 2015.
    25. Das Bikramjit & Fasen-Hartmann Vicky, 2019. "Conditional excess risk measures and multivariate regular variation," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 1-23, December.
    26. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2021. "ExpectHill estimation, extreme risk and heavy tails," Journal of Econometrics, Elsevier, vol. 221(1), pages 97-117.
    27. Ji, Liuyan & Tan, Ken Seng & Yang, Fan, 2021. "Tail dependence and heavy tailedness in extreme risks," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 282-293.
    28. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
    29. Liu, Ruicheng & Pun, Chi Seng, 2022. "Machine-Learning-enhanced systemic risk measure: A Two-Step supervised learning approach," Journal of Banking & Finance, Elsevier, vol. 136(C).
    30. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2017. "Extreme M-quantiles as risk measures: From L1 to Lp optimization," TSE Working Papers 17-841, Toulouse School of Economics (TSE).
    31. Qin, Xiao & Zhou, Chen, 2021. "Systemic risk allocation using the asymptotic marginal expected shortfall," Journal of Banking & Finance, Elsevier, vol. 126(C).
    32. Beatriz de la Flor & Javier Ojea-Ferreiro & Eva Ferreira, 2022. "The Hedging Cost of Forgetting the Exchange Rate," Documentos de Trabajo del ICAE 2022-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    33. Takashi Isogai, 2014. "Benchmarking of Unconditional VaR and ES Calculation Methods: A Comparative Simulation Analysis with Truncated Stable Distribution," Bank of Japan Working Paper Series 14-E-1, Bank of Japan.
    34. Yannick Hoga, 2023. "The Estimation Risk in Extreme Systemic Risk Forecasts," Papers 2304.10349, arXiv.org.
    35. Asimit, Alexandru V. & Li, Jinzhu, 2016. "Extremes for coherent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 332-341.
    36. Hou, Yanxi & Wang, Xing, 2019. "Nonparametric inference for distortion risk measures on tail regions," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 92-110.
    37. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
    38. Sun, Hongfang & Chen, Yu & Hu, Taizhong, 2022. "Statistical inference for tail-based cumulative residual entropy," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 66-95.

  13. Christian Huurman & Francesco Ravazzolo & Chen Zhou, 2008. "The power of weather. Some empirical evidence on predicting day-ahead power prices through weather forecasts," Working Paper 2008/08, Norges Bank.

    Cited by:

    1. Huisman, Ronald, 2008. "The influence of temperature on spike probability in day-ahead power prices," Energy Economics, Elsevier, vol. 30(5), pages 2697-2704, September.

Articles

  1. Oorschot, Jochem & Zhou, Chen, 2022. "Tail Dependence Of Ols," Econometric Theory, Cambridge University Press, vol. 38(2), pages 273-300, April.

    Cited by:

    1. Janus, Thorsten, 2024. "Does export underreporting contribute to the resource curse?," World Development, Elsevier, vol. 181(C).

  2. Laurens de Haan & Chen Zhou, 2021. "Trends in Extreme Value Indices," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 116(535), pages 1265-1279, July.

    Cited by:

    1. Murphy-Barltrop, C.J.R. & Wadsworth, J.L., 2024. "Modelling non-stationarity in asymptotically independent extremes," Computational Statistics & Data Analysis, Elsevier, vol. 199(C).
    2. He, Yi & Einmahl, John, 2024. "Extreme Value Inference for General Heterogeneous Data," Discussion Paper 2024-014, Tilburg University, Center for Economic Research.
    3. Einmahl, John & He, Y., 2022. "Extreme Value Inference for General Heterogeneous Data," Other publications TiSEM fd8dd91c-086f-40e6-ac29-3, Tilburg University, School of Economics and Management.
    4. Enzo D'Innocenzo & Andre Lucas & Bernd Schwaab & Xin Zhang, 2024. "Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter," Tinbergen Institute Discussion Papers 24-069/III, Tinbergen Institute.
    5. Natalia Markovich & Marijus Vaičiulis, 2023. "Extreme Value Statistics for Evolving Random Networks," Mathematics, MDPI, vol. 11(9), pages 1-35, May.
    6. Di Bernardino, Elena & Laloë, Thomas & Pakzad, Cambyse, 2024. "Estimation of extreme multivariate expectiles with functional covariates," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
    7. He, Yi & Einmahl, John, 2024. "Extreme Value Inference for General Heterogeneous Data," Other publications TiSEM 5d01cb7e-d528-406d-8c24-c, Tilburg University, School of Economics and Management.
    8. Gebhard Geiger, 2024. "Catastrophic risk: indication, quantitative assessment and management of rare extreme events using a non-expected utility framework," Annals of Operations Research, Springer, vol. 343(1), pages 223-261, December.

  3. Qin, Xiao & Zhou, Chen, 2021. "Systemic risk allocation using the asymptotic marginal expected shortfall," Journal of Banking & Finance, Elsevier, vol. 126(C).

    Cited by:

    1. Qicheng Zhao & Zhouwei Wang & Yuping Song, 2024. "Systematic Research on Multi-dimensional and Multiple Correlation Contagion Networks of Extreme Risk in China’s Banking Industry," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 1137-1162, August.
    2. Ye, Wuyi & Zhou, Yi & Chen, Pengzhan & Wu, Bin, 2024. "A simulation-based method for estimating systemic risk measures," European Journal of Operational Research, Elsevier, vol. 313(1), pages 312-324.
    3. Shaowei Chen & Long Guo & Weike Zhang, 2023. "Financial Risk Measurement and Spatial Spillover Effects Based on an Imported Financial Risk Network: Evidence from Countries along the Belt and Road," Mathematics, MDPI, vol. 11(6), pages 1-25, March.
    4. Qin, Xiao & Wang, Ze, 2023. "Share pledge financing network and systemic risks: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 152(C).
    5. Yannick Hoga, 2023. "The Estimation Risk in Extreme Systemic Risk Forecasts," Papers 2304.10349, arXiv.org.
    6. Tian, Sihua & Li, Shaofang & Gu, Qinen, 2023. "Measurement and contagion modelling of systemic risk in China's financial sectors: Evidence for functional data analysis and complex network," International Review of Financial Analysis, Elsevier, vol. 90(C).

  4. John H. J. Einmahl & Fan Yang & Chen Zhou, 2021. "Testing the Multivariate Regular Variation Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 907-919, October.
    See citations under working paper version above.
  5. Maarten van Oordt & Chen Zhou, 2019. "Systemic risk and bank business models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 365-384, April.

    Cited by:

    1. Fang, Yi & Wang, Qi & Wang, Yanru & Yuan, Yan, 2024. "Media sentiment, deposit stability and bank systemic risk: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 1150-1172.
    2. Zhang, Xiaoming & Tian, Yiming & Lee, Chien-Chiang, 2024. "Enforcement actions and systemic risk," Emerging Markets Review, Elsevier, vol. 59(C).
    3. Meuleman, Elien & Vander Vennet, Rudi, 2020. "Macroprudential policy and bank systemic risk," Journal of Financial Stability, Elsevier, vol. 47(C).
    4. Radoslav Raykov & Consuelo Silva-Buston, 2022. "Asymmetric Systemic Risk," Staff Working Papers 22-19, Bank of Canada.
    5. Chen, Yi-Pei & Chen, Yu-Lun & Chiang, Shu-Hen & Mo, Wan-Shin, 2023. "Determinants of connectedness in financial institutions: Evidence from Taiwan," Emerging Markets Review, Elsevier, vol. 55(C).
    6. Davydov, Denis & Vähämaa, Sami & Yasar, Sara, 2021. "Bank liquidity creation and systemic risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
    7. Deng, Yuanyue & Li, Sijing, 2024. "Do global and local economic policy uncertainties matter for systemic risk in the international banking system," Finance Research Letters, Elsevier, vol. 59(C).
    8. Kinateder, Harald & Choudhury, Tonmoy & Zaman, Rashid & Scagnelli, Simone D. & Sohel, Nurul, 2021. "Does boardroom gender diversity decrease credit risk in the financial sector? Worldwide evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    9. Lartey, Theophilus & James, Gregory A. & Danso, Albert & Boateng, Agyenim, 2022. "Bank business models, failure risk and earnings opacity: A short- versus long-term perspective," International Review of Financial Analysis, Elsevier, vol. 80(C).
    10. Chen, Wang & Zhang, Zhiwen & Hamori, Shigeyuki & Kinkyo, Takuji, 2021. "Not all bank systemic risks are alike: Deposit insurance and bank risk revisited," International Review of Financial Analysis, Elsevier, vol. 77(C).
    11. Mihir Dash, 2021. "Non-Performing Loans and Systemic Risk of Indian Banks," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 10(1), pages 10-20, April.
    12. Lee, Chien-Chiang & Wang, Chih-Wei & Hong, Pei-Hsuan & Lin, Weizheng, 2024. "Environmental policy stringency and bank risks: Does green economy matter?," International Review of Financial Analysis, Elsevier, vol. 91(C).
    13. David Grossmann & Peter Scholz, 2019. "The golden rule of banking: funding cost risks of bank business models," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(2), pages 174-196, June.
    14. Maarten van Oordt, 2018. "Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests," Staff Working Papers 18-54, Bank of Canada.
    15. Fang, Yi & Wang, Yanru & Wang, Qi & Zhao, Yang, 2023. "Policy uncertainty and bank systemic risk: A perspective of risk decomposition," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    16. Linda Mhalla & Julien Hambuckers & Marie Lambert, 2022. "Extremal connectedness of hedge funds," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 988-1009, August.
    17. Lovena Ramdani & Sharanam Abbana & Ferina Marimuthu, 2024. "Enhancing Operational Risk Management in the Mauritian Banking Sector: A Structured Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 14(4), pages 1-8, July.
    18. Neill, Ashleigh, 2024. "Banking on resilience: EU macroprudential policy and systemic risk," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 678-699.
    19. He, Chengying & Huang, Ke & Lin, Jianwu & Wang, Tianqi & Zhang, Zuominyang, 2023. "Explain systemic risk of commodity futures market by dynamic network," International Review of Financial Analysis, Elsevier, vol. 88(C).
    20. Wu, Baohui & Zhu, Pingheng & Yin, Hua & Wen, Fenghua, 2023. "The risk spillover of high carbon enterprises in China: Evidence from the stock market," Energy Economics, Elsevier, vol. 126(C).
    21. Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Shahzad, Syed Jawad Hussain & Výrost, Tomáš, 2020. "Increasing systemic risk during the Covid-19 pandemic: A cross-quantilogram analysis of the banking sector," EconStor Preprints 222580, ZBW - Leibniz Information Centre for Economics.
    22. Mingyue Fu & Yanyan Jia, 2025. "The Impact of Environmental Social and Governance Performance on Systematic Tail Risk of Chinese Corporations," Sustainability, MDPI, vol. 17(5), pages 1-23, February.

  6. Maarten R C van Oordt & Chen Zhou, 2019. "Estimating Systematic Risk under Extremely Adverse Market Conditions," Journal of Financial Econometrics, Oxford University Press, vol. 17(3), pages 432-461.
    See citations under working paper version above.
  7. Xiao, Xiao & Zhou, Chen, 2018. "The decomposition of jump risks in individual stock returns," Journal of Empirical Finance, Elsevier, vol. 47(C), pages 207-228.

    Cited by:

    1. Chen, Xi & Wang, Junbo & Wu, Chunchi, 2022. "Jump and volatility risk in the cross-section of corporate bond returns," Journal of Financial Markets, Elsevier, vol. 60(C).
    2. Zhe Li, 2020. "Equity Option Pricing with Systematic and Idiosyncratic Volatility and Jump Risks," JRFM, MDPI, vol. 13(1), pages 1-18, January.
    3. Dutta, Anupam & Soytas, Ugur & Das, Debojyoti & Bhattacharyya, Asit, 2022. "In search of time-varying jumps during the turmoil periods: Evidence from crude oil futures markets," Energy Economics, Elsevier, vol. 114(C).

  8. Galati, Gabriele & Gorgi, Zion & Moessner, Richhild & Zhou, Chen, 2018. "Deflation risk in the euro area and central bank credibility," Economics Letters, Elsevier, vol. 167(C), pages 124-126.

    Cited by:

    1. Nikos Apokoritis & Gabriele Galati & Richhild Moessner, 2025. "Inflation Expectations Anchoring: New Insights from Microevidence of a Survey at High Frequency and of Distributions," International Journal of Central Banking, International Journal of Central Banking, vol. 21(1), pages 201-234, January.
    2. Gabriele Galati & Richhild Moessner & Maarten van Rooij, 2021. "Anchoring of consumers’ long-term euro area inflation expectations during the pandemic," Working Papers 715, DNB.
    3. Richhild Moessner & Előd Takáts, 2020. "How well-anchored are long-term inflation expectations?," BIS Working Papers 869, Bank for International Settlements.
    4. Christelis, Dimitris & Georgarakos, Dimitris & Jappelli, Tullio & van Rooij, Maarten, 2020. "Trust in the central bank and inflation expectation," Working Paper Series 2375, European Central Bank.
    5. Gabriele Galati & Richhild Moessner & Maarten van Rooij, 2023. "The anchoring of long-term inflation expectations of consumers: insights from a new survey," Oxford Economic Papers, Oxford University Press, vol. 75(1), pages 96-116.
    6. Richhild Moessner, 2021. "Determinants of Inflation Expectations," CESifo Working Paper Series 9485, CESifo.
    7. Grégory Levieuge & Yannick Lucotte & Sébastien Ringuedé, 2015. "Central bank credibility and the expectations channel: Evidence based on a new credibility index," NBP Working Papers 209, Narodowy Bank Polski.
    8. Juan Angel Garcia & Sebastian Werner, 2018. "Inflation News and Euro Area Inflation Expectations," IMF Working Papers 2018/167, International Monetary Fund.
    9. Juan Angel García & Sebastian E. V. Werner, 2021. "Inflation News and Euro-Area Inflation Expectations," International Journal of Central Banking, International Journal of Central Banking, vol. 17(3), pages 1-60, September.
    10. Richhild Moessner, 2022. "Determinants of Inflation Expectations in the Euro Area," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 57(2), pages 99-102, March.

  9. van Oordt, Maarten R. C. & Zhou, Chen, 2016. "Systematic Tail Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(2), pages 685-705, April.

    Cited by:

    1. Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2020. "Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns," Journal of Financial Economics, Elsevier, vol. 135(3), pages 725-753.
    2. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    3. Radoslav Raykov & Consuelo Silva-Buston, 2022. "Asymmetric Systemic Risk," Staff Working Papers 22-19, Bank of Canada.
    4. Cui, Wei & Yao, Juan, 2020. "Funds of hedge funds: Are they really the high society for little guys?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 346-361.
    5. Chen, Xi & Wang, Junbo & Wu, Chunchi & Wu, Di, 2024. "Extreme illiquidity and cross-sectional corporate bond returns," Journal of Financial Markets, Elsevier, vol. 68(C).
    6. Bellenzier, Lucia & Vitting Andersen, Jørgen & Rotundo, Giulia, 2016. "Contagion in the world's stock exchanges seen as a set of coupled oscillators," Economic Modelling, Elsevier, vol. 59(C), pages 224-236.
    7. Zaremba, Adam & Bilgin, Mehmet Huseyin & Long, Huaigang & Mercik, Aleksander & Szczygielski, Jan J., 2021. "Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 78(C).
    8. Prodosh Simlai, 2021. "Accrual mispricing, value-at-risk, and expected stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1487-1517, November.
    9. Davydov, Denis & Vähämaa, Sami & Yasar, Sara, 2021. "Bank liquidity creation and systemic risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
    10. Fracasso, Laís Martins & Müller, Fernanda Maria & Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2023. "Is there a risk premium? Evidence from thirteen measures," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 182-199.
    11. Qin, Yiyi & Cai, Jun & Wang, James J.D. & Webb, Robert I., 2023. "Gold-mining stocks, risk factors, and tail patterns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    12. Yang, Huan & Cai, Jun & Huang, Lin & Marcus, Alan J., 2021. "Bank stocks, risk factors, and tail behavior," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 203-229.
    13. Maghyereh, Aktham & Abdoh, Hussein, 2021. "Time–frequency quantile dependence between Bitcoin and global equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    14. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
    15. Tong Wang, 2023. "Bear Beta or Speculative Beta?—Reconciling the Evidence on Downside Risk Premium," Review of Finance, European Finance Association, vol. 27(1), pages 325-367.
    16. Jo~ao Nicolau & Paulo M. M. Rodrigues, 2024. "A simple but powerful tail index regression," Papers 2409.13531, arXiv.org.
    17. Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Risk," Papers 2208.14267, arXiv.org, revised Nov 2024.
    18. Radoslav Raykov, 2024. "Is This Normal? The Cost of Assuming that Derivatives Have Normal Returns," Staff Working Papers 24-46, Bank of Canada.
    19. Rhee, S. Ghon & Wu, Feng (Harry), 2020. "Conditional extreme risk, black swan hedging, and asset prices," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 412-435.
    20. Krzysztof Echaust & Małgorzata Just, 2021. "Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic," Energies, MDPI, vol. 14(14), pages 1-21, July.
    21. Cheng, Tingting & Liu, Fei & Liu, Junli & Yao, Wenying, 2024. "Tail connectedness: Measuring the volatility connectedness network of equity markets during crises," Pacific-Basin Finance Journal, Elsevier, vol. 87(C).
    22. Ni, He & Zhang, Qin & Guo, Xingjian & Mirza, Sultan Sikandar, 2024. "Portfolio optimization by enhanced LinUCB," Finance Research Letters, Elsevier, vol. 70(C).
    23. Fatemeh Mojtahedi & Seyed Mojtaba Mojaverian & Daniel Felix Ahelegbey & Paolo Giudici, 2020. "Tail Risk Transmission: A Study of Iran Food Industry," DEM Working Papers Series 189, University of Pavia, Department of Economics and Management.
    24. Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023. "Fed-Driven Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications," Working Papers 2023-016, Federal Reserve Bank of St. Louis, revised 30 Mar 2025.
    25. Lu, Xinjie & Zeng, Qing & Zhong, Juandan & Zhu, Bo, 2024. "International stock market volatility: A global tail risk sight," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    26. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
    27. Gong, Xiao-Li & Zhao, Min & Wu, Zhuo-Cheng & Jia, Kai-Wen & Xiong, Xiong, 2023. "Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective," Energy Economics, Elsevier, vol. 121(C).
    28. Białkowski, Jędrzej & Dang, Huong Dieu & Wei, Xiaopeng, 2022. "High policy uncertainty and low implied market volatility: An academic puzzle?," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1185-1208.
    29. Jeongseop Song & Kim Hiang Liow, 2023. "Industrial tail exposure risk and asset price: Evidence from US REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(5), pages 1209-1245, September.
    30. Stoja, Evarist & Polanski, Arnold & Nguyen, Linh H. & Pereverzin, Aleksandr, 2023. "Does systematic tail risk matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    31. Salisu, Afees A. & Adediran, Idris & Omoke, Philip C. & Tchankam, Jean Paul, 2023. "Gold and tail risks," Resources Policy, Elsevier, vol. 80(C).
    32. Asgar Ali & K. N. Badhani, 2023. "Tail risk, beta anomaly, and demand for lottery: what explains cross-sectional variations in equity returns?," Empirical Economics, Springer, vol. 65(2), pages 775-804, August.
    33. Linda Mhalla & Julien Hambuckers & Marie Lambert, 2022. "Extremal connectedness of hedge funds," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 988-1009, August.
    34. Harris, Richard D.F. & Nguyen, Linh H. & Stoja, Evarist, 2019. "Systematic extreme downside risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 128-142.
    35. Palwishah, Rana & Kashif, Muhammad & Rehman, Mobeen Ur & Al-Faryan, Mamdouh Abdulaziz Saleh, 2024. "Asymmetric liquidity risk and currency returns before and during COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 91(C).
    36. Lian, Ziying & Cai, Jun & Webb, Robert I., 2020. "Oil stocks, risk factors, and tail behavior," Energy Economics, Elsevier, vol. 91(C).
    37. Ahn, Jungkyu & Ahn, Yongkil, 2023. "The tail risk surface," Finance Research Letters, Elsevier, vol. 58(PC).
    38. Bi, Jia & Zhu, Yifeng, 2020. "Value at risk, cross-sectional returns and the role of investor sentiment," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 1-18.
    39. Long, Huaigang & Jiang, Yuexiang & Zhu, Yanjian, 2018. "Idiosyncratic tail risk and expected stock returns: Evidence from the Chinese stock markets," Finance Research Letters, Elsevier, vol. 24(C), pages 129-136.
    40. Fousseni Chabi-Yo & Markus Huggenberger & Florian Weigert, 2019. "Multivariate Crash Risk," Working Papers on Finance 1901, University of St. Gallen, School of Finance.
    41. Liu, Liping & Xu, Jietian & Li, Jixin, 2024. "The spillover effects of U.S. uncertainties on the systemic tail risk of Chinese enterprises," Finance Research Letters, Elsevier, vol. 64(C).
    42. Lang, Chunlin & Hu, Yang & Corbet, Shaen & Hou, Yang (Greg), 2024. "Tail risk connectedness in G7 stock markets: Understanding the impact of COVID-19 and related variants," Journal of Behavioral and Experimental Finance, Elsevier, vol. 41(C).
    43. Aleksy Leeuwenkamp & Wentao Hu, 2023. "New general dependence measures: construction, estimation and application to high-frequency stock returns," Papers 2309.00025, arXiv.org.
    44. Khasawneh, Maher & McMillan, David G. & Kambouroudis, Dimos, 2024. "Left-tail risk and UK stock return predictability: Underreaction, overreaction, and arbitrage difficulties," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    45. Ergun, Lerby M., 2023. "Extreme downside risk in the cross-section of asset returns," International Review of Financial Analysis, Elsevier, vol. 90(C).
    46. Long, Huaigang & Zhu, Yanjian & Chen, Lifang & Jiang, Yuexiang, 2019. "Tail risk and expected stock returns around the world," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 162-178.
    47. Ba, Shusong & Li, Lu & Huang, Wenli & Yang, Chen, 2020. "Heterogeneity risks and negative externality," Economic Modelling, Elsevier, vol. 87(C), pages 401-415.
    48. Wang, Chen & Xiong, Xiong & Shen, Dehua, 2022. "Tail risks, firm characteristics, and stock returns," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    49. Zhao, Zifeng & Zhang, Zhengjun & Chen, Rong, 2018. "Modeling maxima with autoregressive conditional Fréchet model," Journal of Econometrics, Elsevier, vol. 207(2), pages 325-351.
    50. Idris A. Adediran, 2021. "Can Tail Risk Predict Asia-Pacific Exchange Rates Out of Sample?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-6.
    51. Quang Trinh, Vu & Duong Cao, Ngan & Li, Teng & Elnahass, Marwa, 2023. "Social capital, trust, and bank tail risk: The value of ESG rating and the effects of crisis shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
    52. Yang, Liuyong & Long, Yijia & Long, Huaigang & Zaremba, Adam & Zhou, Wenyu, 2022. "Is tail risk priced in the cross-section of Chinese mutual fund returns?," Finance Research Letters, Elsevier, vol. 50(C).
    53. Sheng Fang & Paul Egan, 2021. "Tail dependence between oil prices and China's A‐shares: Evidence from firm‐level data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1469-1487, January.

  10. John H. J. Einmahl & Laurens Haan & Chen Zhou, 2016. "Statistics of heteroscedastic extremes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(1), pages 31-51, January.
    See citations under working paper version above.
  11. Laurens Haan & Cécile Mercadier & Chen Zhou, 2016. "Adapting extreme value statistics to financial time series: dealing with bias and serial dependence," Finance and Stochastics, Springer, vol. 20(2), pages 321-354, April.

    Cited by:

    1. Chavez-Demoulin, Valérie & Guillou, Armelle, 2018. "Extreme quantile estimation for β-mixing time series and applications," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 59-74.
    2. Osman Doğan & Süleyman Taşpınar & Anil K. Bera, 2021. "Bayesian estimation of stochastic tail index from high-frequency financial data," Empirical Economics, Springer, vol. 61(5), pages 2685-2711, November.
    3. Haoyu Chen & Tiantian Mao & Fan Yang, 2024. "Estimation of the adjusted standard‐deviatile for extreme risks," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 51(2), pages 643-671, June.
    4. Anna Kiriliouk & Chen Zhou, 2024. "Tail Risk Analysis for Financial Time Series," Papers 2409.18643, arXiv.org.
    5. Haoyu Chen & Tiantian Mao & Fan Yang, 2024. "Estimation of the Adjusted Standard-deviatile for Extreme Risks," Papers 2411.07203, arXiv.org.
    6. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2017. "Extreme M-quantiles as risk measures: From L1 to Lp optimization," TSE Working Papers 17-841, Toulouse School of Economics (TSE).
    7. H. Kaibuchi & Y. Kawasaki & G. Stupfler, 2022. "GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series," Quantitative Finance, Taylor & Francis Journals, vol. 22(7), pages 1277-1294, July.
    8. Gloria Buriticá & Philippe Naveau, 2023. "Stable sums to infer high return levels of multivariate rainfall time series," Environmetrics, John Wiley & Sons, Ltd., vol. 34(4), June.
    9. Virta, Joni & Lietzén, Niko & Viitasaari, Lauri & Ilmonen, Pauliina, 2024. "Latent model extreme value index estimation," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
    10. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
    11. Sagaceta-Mejía Alma Rocío & Sánchez-Gutiérrez Máximo Eduardo & Fresán-Figueroa Julián Alberto, 2024. "An Intelligent Approach for Predicting Stock Market Movements in Emerging Markets Using Optimized Technical Indicators and Neural Networks," Economics - The Open-Access, Open-Assessment Journal, De Gruyter, vol. 18(1), pages 1-14.
    12. Buriticá, Gloria & Mikosch, Thomas & Wintenberger, Olivier, 2023. "Large deviations of ℓp-blocks of regularly varying time series and applications to cluster inference," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 68-101.

  12. Juan-Juan Cai & John H. J. Einmahl & Laurens Haan & Chen Zhou, 2015. "Estimation of the marginal expected shortfall: the mean when a related variable is extreme," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 77(2), pages 417-442, March.
    See citations under working paper version above.
  13. Sun, Pengfei & Zhou, Chen, 2014. "Diagnosing the distribution of GARCH innovations," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 287-303.

    Cited by:

    1. Halkos, George & Tzirivis, Apostolos, 2018. "Effective energy commodities’ risk management: Econometric modeling of price volatility," MPRA Paper 90781, University Library of Munich, Germany.
    2. Marc S. Paolella, 2016. "Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability," Econometrics, MDPI, vol. 4(2), pages 1-28, May.
    3. Horváth, Roman & Šopov, Boril, 2016. "GARCH models, tail indexes and error distributions: An empirical investigation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 1-15.
    4. Damek, Ewa & Matsui, Muneya, 2022. "Tails of bivariate stochastic recurrence equation with triangular matrices," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 147-191.
    5. Muneya Matsui & Witold Świątkowski, 2021. "Tail indices for $$\mathbf{A}\mathbf{X}+\mathbf{B}$$ A X + B Recursion with Triangular Matrices," Journal of Theoretical Probability, Springer, vol. 34(4), pages 1831-1869, December.
    6. León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
    7. Sheng, Xin & Brzeszczyński, Janusz & Ibrahim, Boulis M., 2017. "International stock return co-movements and trading activity," Finance Research Letters, Elsevier, vol. 23(C), pages 12-18.
    8. Nirusa Sirivariskul, 2020. "The Mediating Impact of New Product Innovativeness on the Relationship between Learning Orientation and New Product Performance in Thailand ISO 1900 Industry," International Review of Management and Marketing, Econjournals, vol. 10(1), pages 1-6.
    9. Herwartz, Helmut, 2017. "Stock return prediction under GARCH — An empirical assessment," International Journal of Forecasting, Elsevier, vol. 33(3), pages 569-580.
    10. Imen Bedoui-Belghith & Slaheddine Hallara & Faouzi Jilani, 2023. "Crisis transmission degree measurement under crisis propagation model," SN Business & Economics, Springer, vol. 3(1), pages 1-27, January.
    11. Maarten van Oordt & Chen Zhou, 2016. "Estimating Systematic Risk Under Extremely Adverse Market Conditions," Staff Working Papers 16-22, Bank of Canada.
    12. Danielsson, Jon & Zhou, Chen, 2015. "Why risk is so hard to measure," LSE Research Online Documents on Economics 62002, London School of Economics and Political Science, LSE Library.
    13. Chappell, Daniel, 2018. "Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models," MPRA Paper 90682, University Library of Munich, Germany.
    14. Grobys, Klaus, 2023. "A multifractal model of asset (in)variances," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    15. Halkos, George E. & Tsirivis, Apostolos S., 2019. "Effective energy commodity risk management: Econometric modeling of price volatility," Economic Analysis and Policy, Elsevier, vol. 63(C), pages 234-250.
    16. Laurens Haan & Cécile Mercadier & Chen Zhou, 2016. "Adapting extreme value statistics to financial time series: dealing with bias and serial dependence," Finance and Stochastics, Springer, vol. 20(2), pages 321-354, April.
    17. BenSaïda, Ahmed, 2015. "The frequency of regime switching in financial market volatility," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 63-79.
    18. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.

  14. Zhou, Chen, 2013. "The impact of imposing capital requirements on systemic risk," Journal of Financial Stability, Elsevier, vol. 9(3), pages 320-329.

    Cited by:

    1. Gündüz, Yalin, 2020. "The market impact of systemic risk capital surcharges," Discussion Papers 09/2020, Deutsche Bundesbank.
    2. Bluhm, Marcel & Krahnen, Jan Pieter, 2014. "Systemic risk in an interconnected banking system with endogenous asset markets," Journal of Financial Stability, Elsevier, vol. 13(C), pages 75-94.
    3. Mr. Itai Agur, 2014. "Bank Risk Within and Across Equilibria," IMF Working Papers 2014/116, International Monetary Fund.
    4. Riccetti, Luca & Russo, Alberto & Mauro, Gallegati, 2013. "Financial Regulation in an Agent Based Macroeconomic Model," MPRA Paper 51013, University Library of Munich, Germany.
    5. Jingyi TIAN & Jun NAGAYASU, 2024. "AI and Financial Systemic Risk in the Global Market," TUPD Discussion Papers 55, Graduate School of Economics and Management, Tohoku University.
    6. Qianqian Gao & Hong Fan, 2020. "Macroprudential regulation for a dynamic Chinese banking system with a scale-free network," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 579-611, July.
    7. Chao, Xiangrui & Ran, Qin & Chen, Jia & Li, Tie & Qian, Qian & Ergu, Daji, 2022. "Regulatory technology (Reg-Tech) in financial stability supervision: Taxonomy, key methods, applications and future directions," International Review of Financial Analysis, Elsevier, vol. 80(C).
    8. Qianqian Gao & Hong Fan & Shanshan Jiang, 2018. "Macroprudential Regulation for the Chinese Banking Network System with Complete and Random Structures," Sustainability, MDPI, vol. 11(1), pages 1-22, December.
    9. Andre R. Neveu, 2018. "A survey of network-based analysis and systemic risk measurement," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 241-281, July.
    10. De Genaro, Alan & Salvador, Pedro Ivo Camacho A. & Fernandes, Ivan Filipe, 2021. "Market power and banking regulations: Evidence from RDD application to the Brazilian banking market," Economics Letters, Elsevier, vol. 202(C).
    11. Radoslav Raykov, 2021. "Systemic Risk and Portfolio Diversification: Evidence from the Futures Market," Staff Working Papers 21-50, Bank of Canada.
    12. Lei Zhao, 2018. "Market†based estimates of implicit government guarantees in European financial institutions," European Financial Management, European Financial Management Association, vol. 24(1), pages 79-112, January.
    13. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.
    14. Luis Goncalves de Faria, 2022. "An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation," Papers 2206.09772, arXiv.org.

  15. de Haan, Laurens & de Vries, Casper G. & Zhou, Chen, 2013. "The number of active bidders in internet auctions," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1726-1736.

    Cited by:

    1. Platt, Brennan C., 2017. "Inferring ascending auction participation from observed bidders," International Journal of Industrial Organization, Elsevier, vol. 54(C), pages 65-88.
    2. Paolo Riccardo Morganti, 2021. "Extreme Value Theory and Auction Models," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(2), pages 1-15, Abril - J.

  16. Chen Zhou & Nikola Tarashev, 2013. "Looking at the tail: price-based measures of systemic importance," BIS Quarterly Review, Bank for International Settlements, June.

    Cited by:

    1. Federico Nucera & Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015. "The Information in Systemic Risk Rankings," Tinbergen Institute Discussion Papers 15-070/III/DSF94, Tinbergen Institute.
    2. Carmela Cappelli & Francesca Iorio & Angela Maddaloni & Pierpaolo D’Urso, 2021. "Atheoretical Regression Trees for classifying risky financial institutions," Annals of Operations Research, Springer, vol. 299(1), pages 1357-1377, April.
    3. Paul Glasserman & H. Peyton Young, 2016. "Contagion in Financial Networks," Journal of Economic Literature, American Economic Association, vol. 54(3), pages 779-831, September.

  17. van Oordt, Maarten R.C. & Zhou, Chen, 2012. "The simple econometrics of tail dependence," Economics Letters, Elsevier, vol. 116(3), pages 371-373.

    Cited by:

    1. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017. "Specification Testing in Hawkes Models," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 139-171.
    2. Christophe Boucher & Sessi Tokpavi, 2019. "Stocks and Bonds: Flight-to-Safety for Ever?," Post-Print hal-02067096, HAL.
    3. Qiubin Huang & Jakob De Haan & Bert Scholtens, 2019. "Analysing Systemic Risk in the Chinese Banking System," Pacific Economic Review, Wiley Blackwell, vol. 24(2), pages 348-372, May.
    4. Ahmed, Mohamed Shaker & El-Masry, Ahmed A. & Al-Maghyereh, Aktham I. & Kumar, Satish, 2024. "Cryptocurrency volatility: A review, synthesis, and research agenda," Research in International Business and Finance, Elsevier, vol. 71(C).
    5. Sessi Tokpavi & Christophe Boucher, 2018. "Stocks and Bonds: Flight-to-Safety for Ever?," EconomiX Working Papers 2018-39, University of Paris Nanterre, EconomiX.
    6. Algieri, Bernardina & Leccadito, Arturo, 2017. "Assessing contagion risk from energy and non-energy commodity markets," Energy Economics, Elsevier, vol. 62(C), pages 312-322.
    7. Christophe Boucher & Sessi Tokpavi, 2018. "Stocks and Bonds: Flight-to-Safety for Ever?," Working Papers hal-04141705, HAL.
    8. Christina Bui, 2018. "Bank Regulation and Financial Stability," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2018, January-A.
    9. JOOCHEOl KIM & SUNGHO KIM, 2014. "Multivariate Tail Dependence in Financial Markets," Working papers 2014rwp-71, Yonsei University, Yonsei Economics Research Institute.

  18. Huurman, Christian & Ravazzolo, Francesco & Zhou, Chen, 2012. "The power of weather," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3793-3807.

    Cited by:

    1. Dovern, Jonas & Manner, Hans, 2016. "Order Invariant Evaluation of Multivariate Density Forecasts," Working Papers 0608, University of Heidelberg, Department of Economics.
    2. Gianfreda, Angelica & Ravazzolo, Francesco & Rossini, Luca, 2020. "Comparing the forecasting performances of linear models for electricity prices with high RES penetration," International Journal of Forecasting, Elsevier, vol. 36(3), pages 974-986.
    3. Dorel Mihai Paraschiv & Narciz Balasoiu & Souhir Ben-Amor & Raul Cristian Bag, 2023. "Hybridising Neurofuzzy Model the Seasonal Autoregressive Models for Electricity Price Forecasting on Germany’s Spot Market," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 25(63), pages 463-463, April.
    4. Foroni, Claudia & Ravazzolo, Francesco & Rossini, Luca, 2019. "Forecasting daily electricity prices with monthly macroeconomic variables," Working Paper Series 2250, European Central Bank.
    5. Sayar Karmakar & Marek Chudý & Wei Biao Wu, 2022. "Long‐term prediction intervals with many covariates," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 587-609, July.
    6. Jonas Dovern & Hans Manner, 2018. "Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts," CESifo Working Paper Series 7023, CESifo.
    7. Andrea Monticini & Francesco Ravazzolo, 2014. "Forecasting the intraday market price of money," DISCE - Working Papers del Dipartimento di Economia e Finanza def010, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    8. Mosquera-López, Stephania & Uribe, Jorge M., 2022. "Pricing the risk due to weather conditions in small variable renewable energy projects," Applied Energy, Elsevier, vol. 322(C).
    9. Rafal Weron & Florian Ziel, 2018. "Electricity price forecasting," HSC Research Reports HSC/18/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    10. Gaurav Kapoor & Nuttanan Wichitaksorn & Mengheng Li & Wenjun Zhang, 2025. "Forecasting Half-Hourly Electricity Prices Using a Mixed-Frequency Structural VAR Framework," Econometrics, MDPI, vol. 13(1), pages 1-26, January.
    11. Drudi, Francesco & Moench, Emanuel & Holthausen, Cornelia & Weber, Pierre-François & Ferrucci, Gianluigi & Setzer, Ralph & Adao, Bernardino & Dées, Stéphane & Alogoskoufis, Spyros & Téllez, Mar Delgad, 2021. "Climate change and monetary policy in the euro area," Occasional Paper Series 271, European Central Bank.
    12. Raviv, Eran & Bouwman, Kees E. & van Dijk, Dick, 2015. "Forecasting day-ahead electricity prices: Utilizing hourly prices," Energy Economics, Elsevier, vol. 50(C), pages 227-239.
    13. Mawuli Segnon & Chi Keung Lau & Bernd Wilfling & Rangan Gupta, 2017. "Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data," Working Papers 201739, University of Pretoria, Department of Economics.
    14. Nadja Klein & Michael Stanley Smith & David J. Nott, 2020. "Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices," Papers 2010.01844, arXiv.org, revised May 2021.
    15. Dovern, Jonas & Manner, Hans, 2016. "Robust Evaluation of Multivariate Density Forecasts," VfS Annual Conference 2016 (Augsburg): Demographic Change 145547, Verein für Socialpolitik / German Economic Association.
    16. Foroni, Claudia & Ravazzolo, Francesco & Rossini, Luca, 2023. "Are low frequency macroeconomic variables important for high frequency electricity prices?," Economic Modelling, Elsevier, vol. 120(C).
    17. Ergemen, Yunus Emre & Haldrup, Niels & Rodríguez-Caballero, Carlos Vladimir, 2016. "Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads," Energy Economics, Elsevier, vol. 60(C), pages 79-96.
    18. Billé, Anna Gloria & Gianfreda, Angelica & Del Grosso, Filippo & Ravazzolo, Francesco, 2023. "Forecasting electricity prices with expert, linear, and nonlinear models," International Journal of Forecasting, Elsevier, vol. 39(2), pages 570-586.
    19. Claudio Monteiro & Ignacio J. Ramirez-Rosado & L. Alfredo Fernandez-Jimenez, 2018. "Probabilistic Electricity Price Forecasting Models by Aggregation of Competitive Predictors," Energies, MDPI, vol. 11(5), pages 1-25, April.
    20. Jakub Nowotarski & Rafal Weron, 2016. "Recent advances in electricity price forecasting: A review of probabilistic forecasting," HSC Research Reports HSC/16/07, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    21. Mosquera-López, Stephania & Uribe, Jorge M. & Joaqui-Barandica, Orlando, 2024. "Weather conditions, climate change, and the price of electricity," Energy Economics, Elsevier, vol. 137(C).
    22. Monjazeb, Mohammad Reza & Amiri, Hossein & Movahedi, Akram, 2024. "Wholesale electricity price forecasting by Quantile Regression and Kalman Filter method," Energy, Elsevier, vol. 290(C).
    23. Bigerna, Simona, 2018. "Estimating temperature effects on the Italian electricity market," Energy Policy, Elsevier, vol. 118(C), pages 257-269.
    24. Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    25. Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2023. "Large Time‐Varying Volatility Models for Hourly Electricity Prices," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 545-573, June.
    26. Ziel, Florian & Steinert, Rick, 2018. "Probabilistic mid- and long-term electricity price forecasting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 94(C), pages 251-266.
    27. Nadja Klein & Michael Stanley Smith & David J. Nott, 2023. "Deep distributional time series models and the probabilistic forecasting of intraday electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 493-511, June.
    28. Mosquera-López, Stephanía & Uribe, Jorge M. & Manotas-Duque, Diego Fernando, 2017. "Nonlinear empirical pricing in electricity markets using fundamental weather factors," Energy, Elsevier, vol. 139(C), pages 594-605.
    29. Cramer, Eike & Witthaut, Dirk & Mitsos, Alexander & Dahmen, Manuel, 2023. "Multivariate probabilistic forecasting of intraday electricity prices using normalizing flows," Applied Energy, Elsevier, vol. 346(C).
    30. Loizidis, Stylianos & Kyprianou, Andreas & Georghiou, George E., 2024. "Electricity market price forecasting using ELM and Bootstrap analysis: A case study of the German and Finnish Day-Ahead markets," Applied Energy, Elsevier, vol. 363(C).
    31. Sayar Karmakar & Marek Chudy & Wei Biao Wu, 2020. "Long-term prediction intervals with many covariates," Papers 2012.08223, arXiv.org, revised Sep 2021.
    32. Mosquera-López, Stephanía & Uribe, Jorge M. & Manotas-Duque, Diego F., 2018. "Effect of stopping hydroelectric power generation on the dynamics of electricity prices: An event study approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 94(C), pages 456-467.
    33. Boneva, Lena & Ferrucci, Gianluigi, 2022. "Inflation and climate change: the role of climate variables in inflation forecasting and macro modelling," LSE Research Online Documents on Economics 115533, London School of Economics and Political Science, LSE Library.

  19. Ferreira, Ana & de Haan, Laurens & Zhou, Chen, 2012. "Exceedance probability of the integral of a stochastic process," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 241-257.

    Cited by:

    1. Raphaël de Fondeville & Anthony C. Davison, 2022. "Functional peaks‐over‐threshold analysis," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(4), pages 1392-1422, September.
    2. Richards, Jordan & Tawn, Jonathan A., 2022. "On the tail behaviour of aggregated random variables," Journal of Multivariate Analysis, Elsevier, vol. 192(C).

  20. Gabriela Galati & Steven Poelhekke & Chen Zhou, 2011. "Did the Crisis Affect Inflation Expectations?," International Journal of Central Banking, International Journal of Central Banking, vol. 7(1), pages 167-207, March.

    Cited by:

    1. Nautz, Dieter & Strohsal, Till & Netšunajev, Aleksei, 2019. "The Anchoring Of Inflation Expectations In The Short And In The Long Run," Macroeconomic Dynamics, Cambridge University Press, vol. 23(5), pages 1959-1977, July.
    2. Meredith Beechey & P�r Österholm, 2014. "Policy interest-rate expectations in Sweden: a forecast evaluation," Applied Economics Letters, Taylor & Francis Journals, vol. 21(14), pages 984-991, September.
    3. K. Istrefi & A. Piloiu, 2014. "Economic Policy Uncertainty and Inflation Expectations," Working papers 511, Banque de France.
    4. James Yetman, 2017. "The evolution of inflation expectations in Canada and the US," Canadian Journal of Economics, Canadian Economics Association, vol. 50(3), pages 711-737, August.
    5. Petra Gerlach-Kristen & Richhild Moessner & Rina Rosenblatt-Wisch, 2018. "Computing Long-Term Market Inflation Expectations for Countries without Inflation Expectation Markets," Russian Journal of Money and Finance, Bank of Russia, vol. 77(3), pages 23-48, September.
    6. Nikos Apokoritis & Gabriele Galati & Richhild Moessner, 2025. "Inflation Expectations Anchoring: New Insights from Microevidence of a Survey at High Frequency and of Distributions," International Journal of Central Banking, International Journal of Central Banking, vol. 21(1), pages 201-234, January.
    7. Christophe Blot, 2022. "La hausse de l’inflation peut-elle modifier l’ancrage des anticipations ?," SciencePo Working papers Main hal-03794336, HAL.
    8. Juan Camilo Galvis Ciro & Juan Camilo Anzoategui-Zapata, 2019. "Efectos de los anuncios de política monetaria y la credibilidad sobre las expectativas de inflación: evidencia para Colombia," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, vol. 38(67), pages 73-94, February.
    9. Michael Ehrmann, 2014. "Targeting Inflation from Below - How Do Inflation Expectations Behave?," Staff Working Papers 14-52, Bank of Canada.
    10. Richhild Moessner & Előd Takáts, 2020. "How well-anchored are long-term inflation expectations?," BIS Working Papers 869, Bank for International Settlements.
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    22. Marco Bottone & Cristina Conflitti & Marianna Riggi & Alex Tagliabracci, 2021. "Firms' inflation expectations and pricing strategies during Covid-19," Questioni di Economia e Finanza (Occasional Papers) 619, Bank of Italy, Economic Research and International Relations Area.
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    26. Maximilian Böck & Martin Feldkircher & Pierre L. Siklos, 2021. "International Effects of Euro Area Forward Guidance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1066-1110, October.
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    29. Olivier Armantier & Gizem Koşar & Rachel Pomerantz & Daphne Skandalis & Kyle Smith & Giorgio Topa & Wilbert Van der Klaauw, 2020. "How Economic Crises Affect Inflation Beliefs: Evidence from the COVID-19 Pandemic," Staff Reports 949, Federal Reserve Bank of New York.
    30. Filippo Natoli & Laura Sigalotti, 2017. "An indicator of inflation expectations anchoring," Temi di discussione (Economic working papers) 1103, Bank of Italy, Economic Research and International Relations Area.
    31. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers 2016-11, University of Connecticut, Department of Economics.
    32. Kenny, Geoff & Dovern, Jonas, 2017. "The long-term distribution of expected inflation in the euro area: what has changed since the great recession?," Working Paper Series 1999, European Central Bank.
    33. Speck, Christian, 2016. "Inflation Anchoring in the Euro Area," VfS Annual Conference 2016 (Augsburg): Demographic Change 145697, Verein für Socialpolitik / German Economic Association.
    34. Kose,Ayhan & Matsuoka,Hideaki & Panizza,Ugo G. & Vorisek,Dana Lauren, 2019. "Inflation Expectations : Review and Evidence," Policy Research Working Paper Series 8785, The World Bank.
    35. James Yetman, 2020. "The pass-through from short-horizon to long-horizon inflation expectations," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation dynamics in Asia and the Pacific, volume 111, pages 55-66, Bank for International Settlements.
    36. Gabriele Galati & Peter Heemeijer & Richhild Moessner, 2011. "How do inflation expectations form? New insights from a high-frequency survey," BIS Working Papers 349, Bank for International Settlements.
    37. Scharnagl, Michael & Stapf, Jelena, 2015. "Inflation, deflation, and uncertainty: What drives euro-area option-implied inflation expectations, and are they still anchored in the sovereign debt crisis?," Economic Modelling, Elsevier, vol. 48(C), pages 248-269.
    38. Strohsal, Till & Melnick, Rafi & Nautz, Dieter, 2016. "The time-varying degree of inflation expectations anchoring," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 62-71.
    39. Jan Acedanski & Julia Wlodarczyk, 2015. "Dispersion of inflation expectations in the European Union during the global financial crisis," Working Papers 145/2015, Institute of Economic Research, revised May 2015.
    40. Philipp Hartman & Frank Smets, 2018. "The European Central Bank’s Monetary Policy during Its First 20 Years," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 1-146.
    41. Sohei Kaihatsu & Jouchi Nakajima, 2015. "Has Trend Inflation Shifted?: An Empirical Analysis with a Regime-Switching Model," Bank of Japan Working Paper Series 15-E-3, Bank of Japan.
    42. Scharnagl, Michael & Stapf, Jelena, 2014. "Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?," Discussion Papers 24/2014, Deutsche Bundesbank.
    43. Oinonen, Sami & Viren, Matti, 2021. "Effects of Monetary Policy Decisions on Professional Forecasters' Expectations and Expectation Uncertainty," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 74(2), pages 245-280.
    44. Nautz, Dieter & Strohsal, Till, 2015. "Are US inflation expectations re-anchored?," Economics Letters, Elsevier, vol. 127(C), pages 6-9.
    45. Alex, Dony, 2021. "Anchoring of inflation expectations in large emerging economies," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).
    46. B. De Backer & A. Stevens & J. Wauters & H. Zimmer, 2023. "Inflation expectations and monetary policy," Economic Review, National Bank of Belgium, pages 1-38, October.
    47. Dumitriu, Ramona & Stefanescu, Răzvan, 2020. "Provocări pentru Finanţele Comportamentale în contextul COVID-19 [Some challenges for the Behavioral Finance in the Context of COVID-19]," MPRA Paper 99675, University Library of Munich, Germany, revised 16 Apr 2020.
    48. James Yetman, 2020. "Pass-through from short-horizon to long-horizon inflation expectations, and the anchoring of inflation expectations," BIS Working Papers 895, Bank for International Settlements.
    49. Juan Angel Garcia & Sebastian Werner, 2018. "Inflation News and Euro Area Inflation Expectations," IMF Working Papers 2018/167, International Monetary Fund.
    50. Speck, Christian, 2016. "Inflation anchoring in the euro area," Discussion Papers 04/2016, Deutsche Bundesbank.
    51. Bodo Herzog, 2015. "Anchoring of expectations: The role of credible targets in a game experiment," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 3(6), pages 1-15, December.
    52. Mayes, David G. & Paloviita, Maritta & Virén, Matti, 2016. "EMU and the Anchoring of Inflation Expectations," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(4), pages 341-364.
    53. Pedro Pires Ribeiro & José Dias Curto, 2018. "How do zero-coupon inflation swaps predict inflation rates in the euro area? Evidence of efficiency and accuracy on 1-year contracts," Empirical Economics, Springer, vol. 54(4), pages 1451-1475, June.
    54. Jean-Alexandre Vaglio & Dorian Henricot & Juraj Falath & Marc de la Barrera, 2017. "The Impact of Forward Guidance on Inflation Expectations: Evidence from the ECB," Working Papers 1010, Barcelona School of Economics.
    55. Richhild Moessner, 2022. "Determinants of Inflation Expectations in the Euro Area," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 57(2), pages 99-102, March.
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    57. Tomasz Lyziak, 2016. "Financial crisis, low inflation environment and short-term inflation expectations in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 47(3), pages 285-300.
    58. Levin, Andrew T., 2014. "The design and communication of systematic monetary policy strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 49(C), pages 52-69.
    59. Strohsal, Till & Winkelmann, Lars, 2015. "Assessing the anchoring of inflation expectations," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 33-48.
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    63. Juan Carlos Berganza & Pedro del Río & Fructuoso Borrallo, 2016. "Determinants and implications of low global inflation rates," Occasional Papers 1608, Banco de España.
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    65. Diwa C Guinigundo, 2016. "The role of expectations in inflation dynamics in the Philippines - has it changed following the global financial crisis?," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation mechanisms, expectations and monetary policy, volume 89, pages 291-302, Bank for International Settlements.

  21. Zhou, Chen, 2010. "Dependence structure of risk factors and diversification effects," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 531-540, June.

    Cited by:

    1. Kyle Moore & Pengfei Sun & Casper de Vries & Chen Zhou, 2013. "Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk," Working Papers 13-13, Chapman University, Economic Science Institute.
    2. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "Linking the problems of estimating and allocating unconditional capital," Documentos de Trabajo del ICAE 2014-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    3. Kley, Oliver & Klüppelberg, Claudia & Paterlini, Sandra, 2020. "Modelling extremal dependence for operational risk by a bipartite graph," Journal of Banking & Finance, Elsevier, vol. 117(C).
    4. Moore, Kyle & Sun, Pengfei & de Vries, Casper G. & Zhou, Chen, 2013. "The cross-section of tail risks in stock returns," MPRA Paper 45592, University Library of Munich, Germany.
    5. Einmahl, John & Yang, Fan & Zhou, Chen, 2018. "Testing the Multivariate Regular Variation Model," Discussion Paper 2018-044, Tilburg University, Center for Economic Research.
    6. Kellner, Ralf & Gatzert, Nadine, 2013. "Estimating the basis risk of index-linked hedging strategies using multivariate extreme value theory," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4353-4367.
    7. Tong, Bin & Wu, Chongfeng & Xu, Weidong, 2012. "Risk concentration of aggregated dependent risks: The second-order properties," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 139-149.
    8. Gatzert, Nadine & Kellner, Ralf, 2011. "The influence of non-linear dependencies on the basis risk of industry loss warranties," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 132-144, July.
    9. Georg Mainik & Georgi Mitov & Ludger Ruschendorf, 2015. "Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz," Papers 1505.04045, arXiv.org.
    10. Einmahl, John & Yang, Fan & Zhou, Chen, 2018. "Testing the Multivariate Regular Variation Model," Other publications TiSEM dd3c4dd0-7181-40f3-af44-f, Tilburg University, School of Economics and Management.
    11. Paolo Tasca & Stefano Battiston, "undated". "Diversification and Financial Stability," Working Papers CCSS-11-001, ETH Zurich, Chair of Systems Design.
    12. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    13. Chia-Chi Sun, 2021. "An Assessment Model for Wealth Management Banks Based on the Fuzzy Evaluation Method," Mathematics, MDPI, vol. 9(19), pages 1-16, October.
    14. Oliver Kley & Claudia Kluppelberg & Gesine Reinert, 2014. "Risk in a large claims insurance market with bipartite graph structure," Papers 1410.8671, arXiv.org, revised Nov 2015.
    15. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
    16. Oliver Kley & Claudia Klüppelberg & Gesine Reinert, 2016. "Risk in a Large Claims Insurance Market with Bipartite Graph Structure," Operations Research, INFORMS, vol. 64(5), pages 1159-1176, October.
    17. Zhou, Chen, 2013. "The impact of imposing capital requirements on systemic risk," Journal of Financial Stability, Elsevier, vol. 9(3), pages 320-329.
    18. Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009. "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance 2009/26, University of Stavanger.
    19. Mainik, Georg & Mitov, Georgi & Rüschendorf, Ludger, 2015. "Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 115-134.
    20. Cui, Hengxin & Tan, Ken Seng & Yang, Fan & Zhou, Chen, 2022. "Asymptotic analysis of portfolio diversification," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 302-325.
    21. Moore, Kyle & Sun, Pengei & de Vries, Casper G. & Zhou, Chen, 2013. "The drivers of downside equity tail risk," MPRA Paper 45591, University Library of Munich, Germany.
    22. Tasca, Paolo & Battiston, Stefano & Deghi, Andrea, 2017. "Portfolio diversification and systemic risk in interbank networks," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 96-124.

  22. Zhou, Chen, 2010. "The extent of the maximum likelihood estimator for the extreme value index," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 971-983, April.

    Cited by:

    1. Cai, J., 2012. "Estimation concerning risk under extreme value conditions," Other publications TiSEM a92b089f-bc4c-41c2-b297-c, Tilburg University, School of Economics and Management.
    2. Wolfgang Kössler & Janine Ott, 2019. "Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(3), pages 437-452, September.
    3. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    4. Araújo Santos, P. & Fraga Alves, M.I., 2013. "Forecasting Value-at-Risk with a duration-based POT method," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 295-309.
    5. M. Ivette Gomes & Armelle Guillou, 2015. "Extreme Value Theory and Statistics of Univariate Extremes: A Review," International Statistical Review, International Statistical Institute, vol. 83(2), pages 263-292, August.

  23. Chen Zhou, 2010. "Are Banks Too Big to Fail? Measuring Systemic Importance of Financial Institutions," International Journal of Central Banking, International Journal of Central Banking, vol. 6(34), pages 205-250, December.

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    1. Monika Wieczorek-Kosmala, 2019. "The Concept of Risk Capital and Its Application in Non-Financial Companies: A Sustainable Dimension," Sustainability, MDPI, vol. 11(3), pages 1-20, February.
    2. Lu, Jing & Hu, Xiaohong, 2014. "Novel three-bank model for measuring the systemic importance of commercial banks," Economic Modelling, Elsevier, vol. 43(C), pages 238-246.
    3. Zachary Feinstein, 2015. "Financial Contagion and Asset Liquidation Strategies," Papers 1506.00937, arXiv.org, revised Nov 2016.
    4. Souza, Sergio Rubens Stancato de & Silva, Thiago Christiano & Tabak, Benjamin Miranda & Guerra, Solange Maria, 2016. "Evaluating systemic risk using bank default probabilities in financial networks," Journal of Economic Dynamics and Control, Elsevier, vol. 66(C), pages 54-75.
    5. Xingxing Ye & Raphaël Douady, 2019. "Risk and Financial Management Article Systemic Risk Indicators Based on Nonlinear PolyModel," Post-Print hal-02488592, HAL.
    6. Ahmad, Wasim & Tiwari, Shiv Ratan & Wadhwani, Akshay & Khan, Mohammad Azeem & Bekiros, Stelios, 2023. "Financial networks and systemic risk vulnerabilities: A tale of Indian banks," Research in International Business and Finance, Elsevier, vol. 65(C).
    7. Günsür, Başak Tanyeri & Bulut, Emre, 2022. "Investor reactions to major events in the sub-prime mortgage crisis," Finance Research Letters, Elsevier, vol. 47(PB).
    8. Fabrizio Cipollini & Giampiero Gallo & Andrea Ugolini, 2016. "Median Response to Shocks: A Model for VaR Spillovers in East Asia," Econometrics Working Papers Archive 2016_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    9. Liu, Xiaochun, 2017. "Measuring systemic risk with regime switching in tails," Economic Modelling, Elsevier, vol. 67(C), pages 55-72.
    10. Yaya Su & Zhehao Huang & Benjamin M. Drakeford, 2019. "Monetary Policy, Industry Heterogeneity and Systemic Risk—Based on a High Dimensional Network Analysis," Sustainability, MDPI, vol. 11(22), pages 1-15, November.
    11. Manfred Jaeger-Ambrozewicz, 2012. "Closed form solutions of measures of systemic risk," Papers 1211.4173, arXiv.org.
    12. Carlos Castro & Stijn Ferrari, 2012. "Measuring and testing for the systemically important financial institutions," Working Paper Research 228, National Bank of Belgium.
    13. Céline Gauthier & Toni Gravelle & Xuezhi Liu & Moez Souissi, 2011. "What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?," Discussion Papers 11-9, Bank of Canada.
    14. Kreis, Yvonne & Leisen, Dietmar P.J., 2018. "Systemic risk in a structural model of bank default linkages," Journal of Financial Stability, Elsevier, vol. 39(C), pages 221-236.
    15. Deyan Radev, 2024. "Dynamic Measures of Sovereign Systemic Risk," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 3-24.
    16. Wang, Gang-Jin & Jiang, Zhi-Qiang & Lin, Min & Xie, Chi & Stanley, H. Eugene, 2018. "Interconnectedness and systemic risk of China's financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 1-18.
    17. Rui Fang & Xiaohu Li, 2018. "Some Results on Measures of Interaction between Paired Risks," Risks, MDPI, vol. 6(3), pages 1-15, August.
    18. Chabot, Miia & Bertrand, Jean-Louis, 2021. "Complexity, interconnectedness and stability: New perspectives applied to the European banking system," Journal of Business Research, Elsevier, vol. 129(C), pages 784-800.
    19. Tomas Fiala & Tomas Havranek, 2014. "Ailing Mothers, Healthy Daughters? Contagion in the Central European Banking Sector," William Davidson Institute Working Papers Series wp1069, William Davidson Institute at the University of Michigan.
    20. Olivier de Bandt & Jean-Cyprien Héam & Claire Labonne & Santiago Tavolaro, 2015. "La mesure du risque systémique après la crise financière," Revue économique, Presses de Sciences-Po, vol. 66(3), pages 481-500.
    21. Daniel Dimitrov & Sweder van Wijnbergen, 2022. "Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector," Tinbergen Institute Discussion Papers 22-034/VI, Tinbergen Institute.
    22. Yong Tang & Jason Jie Xiong & Zi-Yang Jia & Yi-Cheng Zhang, 2018. "Complexities in Financial Network Topological Dynamics: Modeling of Emerging and Developed Stock Markets," Complexity, Hindawi, vol. 2018, pages 1-31, November.
    23. David VanHoose, 2011. "Systemic Risks and Macroprudential Bank Regulation: A Critical Appraisal," NFI Policy Briefs 2011-PB-04, Indiana State University, Scott College of Business, Networks Financial Institute.
    24. Germán López-Espinosa & Antonio Moreno & Antonio Rubia & Laura Valderrama, 2012. "Short-term Wholesale Funding and Systemic Risk: A Global CoVaR Approach," Faculty Working Papers 02/12, School of Economics and Business Administration, University of Navarra.
    25. Vega Baquero, Juan David & Santolino, Miguel, 2022. "Too big to fail? An analysis of the Colombian banking system through compositional data," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(2).
    26. Beck, Roland & Ferrucci, Gianluigi & Hantzsche, Arno & Rau-Göhring, Matthias, 2017. "Determinants of sub-sovereign bond yield spreads – The role of fiscal fundamentals and federal bailout expectations," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 72-98.
    27. Andrievskaya, Irina, 2012. "Measuring systemic funding liquidity risk in the Russian banking system," BOFIT Discussion Papers 12/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
    28. Yiting Fan & Rui Fang, 2022. "Some Results on Measures of Interaction among Risks," Mathematics, MDPI, vol. 10(19), pages 1-19, October.
    29. Juan David Vega Baquero & Miguel Santolino, 2021. ""Too big to fail? An analysis of the Colombian banking system through compositional data"," IREA Working Papers 202111, University of Barcelona, Research Institute of Applied Economics, revised Apr 2021.
    30. Straetmans, Stefan & Chaudhry, Sajid M., 2015. "Tail risk and systemic risk of US and Eurozone financial institutions in the wake of the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 191-223.
    31. Moore, Kyle & Zhou, Chen, 2014. "The determinants of systemic importance," LSE Research Online Documents on Economics 59289, London School of Economics and Political Science, LSE Library.
    32. Trabelsi, Nader & Naifar, Nader, 2017. "Are Islamic stock indexes exposed to systemic risk? Multivariate GARCH estimation of CoVaR," Research in International Business and Finance, Elsevier, vol. 42(C), pages 727-744.
    33. Wang, Gang-Jin & Xie, Chi & Zhao, Longfeng & Jiang, Zhi-Qiang, 2018. "Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 205-230.
    34. Mainik Georg & Schaanning Eric, 2014. "On dependence consistency of CoVaRand some other systemic risk measures," Statistics & Risk Modeling, De Gruyter, vol. 31(1), pages 49-77, March.
    35. López-Espinosa, Germán & Moreno, Antonio & Rubia, Antonio & Valderrama, Laura, 2015. "Systemic risk and asymmetric responses in the financial industry," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 471-485.
    36. Zachary Feinstein & Fatena El-Masri, 2015. "The Effects of Leverage Requirements and Fire Sales on Financial Contagion via Asset Liquidation Strategies in Financial Networks," Papers 1507.01847, arXiv.org, revised Oct 2016.
    37. Moore, Kyle & Zhou, Chen, 2013. ""Too big to fail" or "Too non-traditional to fail"?: The determinants of banks' systemic importance," MPRA Paper 45589, University Library of Munich, Germany.
    38. Girardi, Giulio & Tolga Ergün, A., 2013. "Systemic risk measurement: Multivariate GARCH estimation of CoVaR," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3169-3180.
    39. Georg Mainik & Eric Schaanning, 2012. "On dependence consistency of CoVaR and some other systemic risk measures," Papers 1207.3464, arXiv.org, revised Aug 2012.
    40. Qiubin Huang & Jakob De Haan & Bert Scholtens, 2019. "Analysing Systemic Risk in the Chinese Banking System," Pacific Economic Review, Wiley Blackwell, vol. 24(2), pages 348-372, May.
    41. Qin, Xiao & Zhou, Chunyang, 2019. "Financial structure and determinants of systemic risk contribution," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    42. Qi Zhang & Francesco Vallascas & Kevin Keasey & Charlie X. Cai, 2015. "Are Market‐Based Measures of Global Systemic Importance of Financial Institutions Useful to Regulators and Supervisors?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1403-1442, October.
    43. Mutiara Aini & Deddy Priatmodjo Koesrindartoto, 2020. "The Determinants Of Systemic Risk: Evidence From Indonesian Commercial Banks," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 23(1), pages 101-120, April.
    44. Carlos León & Clara Machado & Andrés Murcia, 2016. "Assessing Systemic Importance With a Fuzzy Logic Inference System," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 121-153, January.
    45. Toni Gravelle & Fuchun Li, 2011. "Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach," Staff Working Papers 11-19, Bank of Canada.
    46. Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," Finance and Economics Discussion Series 2011-08, Board of Governors of the Federal Reserve System (U.S.).
    47. Kalpakam G & Krina TRIVEDI, 2021. "Systemic Risk in Indian Banking: Measurement and Impact of COVID-19," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 1, pages 143-151.
    48. Sweder van Wijnbergen & Daniël Dimitrov, 2023. "Macroprudential Regulation: A Risk Management Approach," Tinbergen Institute Discussion Papers 23-002/IV, Tinbergen Institute.
    49. Feinstein Zachary & El-Masri Fatena, 2017. "The effects of leverage requirements and fire sales on financial contagion via asset liquidation strategies in financial networks," Statistics & Risk Modeling, De Gruyter, vol. 34(3-4), pages 113-139, September.
    50. Gaston Giordana & Ingmar Schumacher, 2012. "An Empirical Study on the Impact of Basel III Standards on Banks? Default Risk: The Case of Luxembourg," BCL working papers 79, Central Bank of Luxembourg.
    51. Charilaos Mertzanis, 2013. "Risk Management Challenges after the Financial Crisis," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 42(3), pages 285-320, November.
    52. Matteo Foglia & Eliana Angelini, 2021. "The triple (T3) dimension of systemic risk: Identifying systemically important banks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 7-26, January.
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    Cited by:

    1. Wolfgang Kössler & Janine Ott, 2019. "Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(3), pages 437-452, September.
    2. Ahmed, Hanan, 2022. "Extreme value statistics using related variables," Other publications TiSEM 246f0f13-701c-4c0d-8e09-e, Tilburg University, School of Economics and Management.
    3. Erhan Bayraktar & Nikolaos Kolliopoulos, 2024. "On the mean-field limit of diffusive games through the master equation: extreme value analysis," Papers 2410.18869, arXiv.org, revised Dec 2024.
    4. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
    5. Zhou, Chen, 2010. "The extent of the maximum likelihood estimator for the extreme value index," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 971-983, April.
    6. Deyuan Li & Liang Peng & Yongcheng Qi, 2011. "Empirical likelihood confidence intervals for the endpoint of a distribution function," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 353-366, August.
    7. Mavis Pararai & Broderick O. Oluyede & Gayan Warahena-Liyanage, 2016. "The Beta Lindley-Poisson Distribution with Applications," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 5(4), pages 1-1.
    8. Oorschot, Jochem & Segers, Johan & Zhou, Chen, 2022. "Tail inference using extreme U-statistics," LIDAM Discussion Papers ISBA 2022014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. M. Ivette Gomes & Armelle Guillou, 2015. "Extreme Value Theory and Statistics of Univariate Extremes: A Review," International Statistical Review, International Statistical Institute, vol. 83(2), pages 263-292, August.
    10. Broderick O. Oluyede & Boikanyo Makubate & Adeniyi F. Fagbamigbe & Precious Mdlongwa, 2018. "A New Burr XII-Weibull-Logarithmic Distribution for Survival and Lifetime Data Analysis: Model, Theory and Applications," Stats, MDPI, vol. 1(1), pages 1-15, June.

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