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Dependence structure of risk factors and diversification effects. (2010). Zhou, Chen.
In: Insurance: Mathematics and Economics.
RePEc:eee:insuma:v:46:y:2010:i:3:p:531-540.

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  1. Asymptotic analysis of portfolio diversification. (2022). Zhou, Chen ; Yang, Fan ; Tan, Ken Seng ; Cui, Hengxin.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:106:y:2022:i:c:p:302-325.

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  2. .

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  3. Modelling extremal dependence for operational risk by a bipartite graph. (2020). Paterlini, Sandra ; Kluppelberg, Claudia ; Kley, Oliver.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:117:y:2020:i:c:s0378426620301217.

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  4. Testing the Multivariate Regular Variation Model. (2018). Zhou, Chen ; Einmahl, John ; Yang, Fan.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:dd3c4dd0-7181-40f3-af44-f9f1eb224ff1.

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  5. Testing the Multivariate Regular Variation Model. (2018). Einmahl, John ; Zhou, Chen ; Yang, Fan.
    In: Discussion Paper.
    RePEc:tiu:tiucen:dd3c4dd0-7181-40f3-af44-f9f1eb224ff1.

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  6. Portfolio diversification and systemic risk in interbank networks. (2017). Tasca, Paolo ; Deghi, Andrea ; Battiston, Stefano.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:82:y:2017:i:c:p:96-124.

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  7. Risk in a Large Claims Insurance Market with Bipartite Graph Structure. (2016). Kluppelberg, Claudia ; Kley, Oliver ; Reinert, Gesine .
    In: Operations Research.
    RePEc:inm:oropre:v:64:y:2016:i:5:p:1159-1176.

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  8. Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz. (2015). Ruschendorf, Ludger ; Mitov, Georgi ; Mainik, Georg .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:32:y:2015:i:c:p:115-134.

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  9. Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz. (2015). Mainik, Georg ; Ruschendorf, Ludger ; Mitov, Georgi .
    In: Papers.
    RePEc:arx:papers:1505.04045.

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  10. Risk in a large claims insurance market with bipartite graph structure. (2015). Kluppelberg, Claudia ; Kley, Oliver ; Reinert, Gesine .
    In: Papers.
    RePEc:arx:papers:1410.8671.

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  11. Linking the problems of estimating and allocating unconditional capital. (2014). Ferrer, Alex ; Sotoca, Sonia ; Casals, Jose .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1413.

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  12. The cross-section of tail risks in stock returns. (2013). Zhou, Chen ; Moore, Kyle ; de Vries, Casper ; Sun, Pengfei.
    In: MPRA Paper.
    RePEc:pra:mprapa:45592.

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  13. The drivers of downside equity tail risk. (2013). Zhou, Chen ; Moore, Kyle ; de Vries, Casper ; Sun, Pengei .
    In: MPRA Paper.
    RePEc:pra:mprapa:45591.

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  14. Estimating the basis risk of index-linked hedging strategies using multivariate extreme value theory. (2013). Gatzert, Nadine ; Kellner, Ralf .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4353-4367.

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  15. The impact of imposing capital requirements on systemic risk. (2013). Zhou, Chen.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:9:y:2013:i:3:p:320-329.

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  16. Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk. (2013). Zhou, Chen ; de Vries, Casper ; Sun, Pengfei ; Moore, Kyle .
    In: Working Papers.
    RePEc:chu:wpaper:13-13.

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  17. International diversification: An extreme value approach. (2012). Lu, Ching-Chih ; de la Pea, Victor ; Chollete, Lorn .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:3:p:871-885.

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  18. Risk concentration of aggregated dependent risks: The second-order properties. (2012). Tong, Bin ; Xu, Weidong ; Wu, Chongfeng.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:50:y:2012:i:1:p:139-149.

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  19. The influence of non-linear dependencies on the basis risk of industry loss warranties. (2011). Gatzert, Nadine ; Kellner, Ralf .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:1:p:132-144.

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  20. Systematic risk under extremely adverse market condition. (2011). Zhou, Chen ; van Oordt, Maarten.
    In: DNB Working Papers.
    RePEc:dnb:dnbwpp:281.

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  21. Extreme value theory for finance: a survey. (2011). Rocco, Marco .
    In: Questioni di Economia e Finanza (Occasional Papers).
    RePEc:bdi:opques:qef_99_11.

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  22. International Diversification: An Extreme Value Approach. (2009). Lu, Ching-Chih ; de la Pena, Victor ; Chollete, Loran .
    In: UiS Working Papers in Economics and Finance.
    RePEc:hhs:stavef:2009_026.

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  23. Diversification and Financial Stability. (). Tasca, Paolo ; battiston, stefano.
    In: Working Papers.
    RePEc:stz:wpaper:ccss-11-001.

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