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Details about Casper G. de Vries

E-mail:
Homepage:http://people.few.eur.nl/cdevries/
Postal address:Dept of Economics, H8-33 Erasmus Universiteit Rotterdam PO Box 1738 3000DR Rotterdam Netherlands
Workplace:Faculteit der Economische Wetenschappen (Erasmus School of Economics), Erasmus Universiteit Rotterdam (Erasmus University of Rotterdam), (more information at EDIRC)

Access statistics for papers by Casper G. de Vries.

Last updated 2014-09-05. Update your information in the RePEc Author Service.

Short-id: pde225


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Working Papers

2013

  1. Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk
    Working Papers, Chapman University, Economic Science Institute Downloads
  2. The Impact of Competition on Prices with Numerous Firms
    Working Papers, Chapman University, Economic Science Institute Downloads View citations (2)
  3. The cross-section of tail risks in stock returns
    MPRA Paper, University Library of Munich, Germany Downloads
  4. The drivers of downside equity tail risk
    MPRA Paper, University Library of Munich, Germany Downloads

2012

  1. The forward premium puzzle and latent factors day by day
    Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association Downloads View citations (1)
    Also in Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) Downloads
    DNB Working Papers, Netherlands Central Bank, Research Department (2010) Downloads

2011

  1. Risk Measures for Autocorrelated Hedge Fund Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2011) Downloads

2010

  1. Global Stochastic Properties of Dynamic Models and their Linear Approximations
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2010)
  2. The Downside Risk of Heavy Tails induces Low Diversification
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  3. The Herodotus Paradox
    Working Papers, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy Downloads View citations (1)
    Also in CESifo Working Paper Series, CESifo Group Munich (2010) Downloads View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2010) Downloads View citations (1)

    See also Journal Article in Games and Economic Behavior (2012)
  4. World Equity Premium Based Risk Aversion Estimates
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2010) Downloads

2009

  1. Contests with Rank-Order Spillovers
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    Also in Working Papers, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy (2008) Downloads View citations (6)

    See also Journal Article in Economic Theory (2012)

2008

  1. The Extent of Internet Auction Markets
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2007

  1. IMF Support and Inter-regime Exchange rate Volatility
    Working Papers, Business School - Economics, University of Glasgow Downloads
    See also Journal Article in Open Economies Review (2012)
  2. The Forward Premium Puzzle only emerges gradually
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. The Forward Premium Puzzle: new evidence from futures contracts
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads
  4. Weak & Strong Financial Fragility
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)

2006

  1. Consistent Measures of Risk
    FMG Discussion Papers, Financial Markets Group Downloads
  2. Fundamental volatility is regime specific
    Nyenrode Research Papers Series, Nyenrode Business Universiteit Downloads
    Also in Working Papers, Business School - Economics, University of Glasgow (2005) Downloads
  3. Large Swings in Currencies driven by Fundamentals
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  4. Portfolio Selection with Heavy Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Empirical Finance (2007)
  5. Tail Probabilities for Regression Estimators
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2005

  1. Auctions with Numerous Bidders
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  2. Banking System Stability: A Cross-Atlantic Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (43)
    Also in Working Paper Series, European Central Bank (2005) Downloads View citations (24)

    See also Chapter (2007)
  3. Comparing Downside Risk Measures for Heavy Tailed Distributions
    FMG Discussion Papers, Financial Markets Group Downloads
    See also Journal Article in Economics Letters (2006)
  4. Portfolio Diversification Effects of Downside Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (7)
  5. Risk Diversification by European Financial Conglomerates
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (10)
  6. Subadditivity Re–Examined: the Case for Value-at-Risk
    FMG Discussion Papers, Financial Markets Group Downloads View citations (17)

2004

  1. Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach
    Working Papers, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy Downloads
    Also in CESifo Working Paper Series, CESifo Group Munich (2000) Downloads View citations (30)
    CIG Working Papers, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG) (2000) Downloads View citations (16)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2000) Downloads View citations (1)
    Purdue University Economics Working Papers, Purdue University, Department of Economics (2000) Downloads View citations (1)
  2. Credit Rationing Effects of Credit Value-at-Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Fundamentals and Joint Currency Crises
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Working Paper Series, European Central Bank (2004) Downloads View citations (4)
  4. Generational Accounting, Solidarity and Pension Losses
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2003) Downloads View citations (4)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2003) Downloads View citations (1)

    See also Journal Article in De Economist (2006)
  5. Optimal Confidence Intervals for the Tail Index and High Quantiles
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  6. The simple economics of bank fragility
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department Downloads View citations (3)
    See also Journal Article in Journal of Banking & Finance (2005)
  7. Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2006)

2002

  1. The Forex Regime and EMU Expansion
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article in Open Economies Review (2003)

2001

  1. Asset Market Linkages in Crisis Periods
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (14)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (64)
    Working Papers, Quebec a Montreal - Recherche en gestion (2001) View citations (14)
    Working Paper Series, European Central Bank (2001) Downloads View citations (14)

    See also Journal Article in The Review of Economics and Statistics (2004)
  2. Incentives for Effective Risk Management
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Banking & Finance (2002)
  3. Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  4. Portfolio Diversification Effects and Regular Variation in Financial Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

1999

  1. Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Endogenous Financial Structure and the Transmission of ECB Policy
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (8)

1998

  1. A Hybrid Joint Moment Ratio Test for Financial Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)
  2. Abnormal Returns, Risk, and Options in Large Data Sets
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  3. Beyond the Sample: Extreme Quantile and Probability Estimation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (12)
    Also in FMG Discussion Papers, Financial Markets Group (1998) Downloads View citations (29)
  4. The EURO, Prudent Coherence?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
  5. Value-at-Risk and Extreme Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (46)
    See also Journal Article in Annales d'Economie et de Statistique (2000)

1997

  1. The Incidence of Overdissipation in Rent-Seeking Contests
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (16)
    See also Journal Article in Public Choice (1999)
  2. Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (9)
    See also Journal Article in Journal of Multivariate Analysis (2001)

1995

  1. Fiat Exchange in Finite Economies
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
    Also in Purdue University Economics Working Papers, Purdue University, Department of Economics (1995)
  2. The All-Pay Auction with Complete Information
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) View citations (4)
    Also in Working Papers, Pennsylvania State - Department of Economics (1992) View citations (90)
    Purdue University Economics Working Papers, Purdue University, Department of Economics (1991)

    See also Journal Article in Economic Theory (1996)

1994

  1. Between Realignments and Intervention: the Belgian Franc in the European Monetary System
    Working Papers, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER)
  2. Stylized Facts of Nominal Exchange Rate Returns
    Working Papers, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER) View citations (29)

1993

  1. Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist
    Working Papers, Pennsylvania State - Department of Economics
  2. The Solution to the Tullock Rent-Seeking Game when R > 2: Mixed Strategy Equilibria and Mean Dissipation Rates
    Working Papers, Pennsylvania State - Department of Economics View citations (22)
    Also in Purdue University Economics Working Papers, Purdue University, Department of Economics (1993) View citations (22)

1992

  1. Rigging the Lobbying Process: An Application of the All- Pay Auction
    Working Papers, Pennsylvania State - Department of Economics View citations (121)
    Also in Purdue University Economics Working Papers, Purdue University, Department of Economics (1991) View citations (37)

    See also Journal Article in American Economic Review (1993)

1989

  1. INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY
    Working Papers, Erasmus University of Rotterdam - Institute for Economic Research View citations (10)
    See also Journal Article in European Economic Review (1992)

1988

  1. On the frequency of large stock returns: putting booms and busts into perspective
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (27)
    See also Journal Article in The Review of Economics and Statistics (1991)

Undated

  1. The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets
    Working Papers, Olsen and Associates Downloads View citations (12)

Journal Articles

2013

  1. Fat tails, VaR and subadditivity
    Journal of Econometrics, 2013, 172, (2), 283-291 Downloads View citations (7)
  2. Heavy tails of OLS
    Journal of Econometrics, 2013, 172, (2), 205-221 Downloads
  3. Systemic risk and diversification across European banks and insurers
    Journal of Banking & Finance, 2013, 37, (3), 773-785 Downloads View citations (3)

2012

  1. Contests with rank-order spillovers
    Economic Theory, 2012, 51, (2), 315-350 Downloads View citations (3)
    See also Working Paper (2009)
  2. IMF Support and Inter-Regime Exchange Rate Volatility
    Open Economies Review, 2012, 23, (1), 193-211 Downloads
    See also Working Paper (2007)
  3. Simulating and calibrating diversification against black swans
    Journal of Economic Dynamics and Control, 2012, 36, (8), 1162-1175 Downloads View citations (2)
  4. The Herodotus paradox
    Games and Economic Behavior, 2012, 74, (1), 399-406 Downloads
    See also Working Paper (2010)

2010

  1. Global stochastic properties of dynamic models and their linear approximations
    Journal of Economic Dynamics and Control, 2010, 34, (5), 817-824 Downloads View citations (1)
    See also Working Paper (2010)
  2. Heavy tails and currency crises
    Journal of Empirical Finance, 2010, 17, (2), 241-254 Downloads View citations (7)

2008

  1. Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
    Annals of Finance, 2008, 4, (3), 345-367 Downloads View citations (5)

2007

  1. Portfolio selection with heavy tails
    Journal of Empirical Finance, 2007, 14, (3), 383-400 Downloads View citations (11)
    See also Working Paper (2006)

2006

  1. Comparing downside risk measures for heavy tailed distributions
    Economics Letters, 2006, 92, (2), 202-208 Downloads View citations (10)
    See also Working Paper (2005)
  2. Generational Accounting, Solidarity and Pension Losses
    De Economist, 2006, 154, (1), 63-83 Downloads View citations (14)
    See also Working Paper (2004)
  3. Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
    Insurance: Mathematics and Economics, 2006, 38, (1), 39-56 Downloads View citations (8)
    See also Working Paper (2004)

2005

  1. The simple economics of bank fragility
    Journal of Banking & Finance, 2005, 29, (4), 803-825 Downloads View citations (22)
    See also Working Paper (2004)
  2. VaR stress tests for highly non-linear portfolios
    Journal of Risk Finance, 2005, 6, (5), 382-387 Downloads

2004

  1. Asset Market Linkages in Crisis Periods
    The Review of Economics and Statistics, 2004, 86, (1), 313-326 Downloads View citations (125)
    See also Working Paper (2001)

2003

  1. The Forex Regime and EMU Expansion
    Open Economies Review, 2003, 14, (3), 285-298 Downloads View citations (2)
    See also Working Paper (2002)

2002

  1. Incentives for effective risk management
    Journal of Banking & Finance, 2002, 26, (7), 1407-1425 Downloads View citations (7)
    See also Working Paper (2001)

2001

  1. Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
    Journal of Multivariate Analysis, 2001, 76, (2), 226-248 Downloads View citations (23)
    See also Working Paper (1997)

2000

  1. Endogeneity in European money demand
    European Journal of Political Economy, 2000, 16, (4), 587-609 Downloads View citations (8)
  2. Portfolio selection with limited downside risk
    Journal of Empirical Finance, 2000, 7, (3-4), 247-269 Downloads View citations (23)
  3. Value-at-Risk and Extreme Returns
    Annales d'Economie et de Statistique, 2000, (60), 239-270 Downloads View citations (22)
    See also Working Paper (1998)

1999

  1. The Incidence of Overdissipation in Rent-Seeking Contests
    Public Choice, 1999, 99, (3-4), 439-54 Downloads View citations (22)
    See also Working Paper (1997)

1998

  1. An EMS target zone model in discrete time
    Journal of Applied Econometrics, 1998, 13, (1), 31-48 Downloads View citations (10)
  2. An experimental examination of rational rent-seeking
    European Journal of Political Economy, 1998, 14, (4), 783-800 Downloads View citations (98)
  3. The value of value at risk: statistical, financial, and regulatory considerations (summary)
    Economic Policy Review, 1998, (Oct), 107-108 Downloads

1996

  1. The all-pay auction with complete information (*)
    Economic Theory, 1996, 8, (2), 291-305 View citations (227)
    See also Working Paper (1995)

1995

  1. A note on the relationship between GARCH and symmetric stable processes
    Journal of Empirical Finance, 1995, 2, (3), 253-264 Downloads View citations (9)
  2. New evidence on the effectiveness of foreign exchange market intervention
    European Economic Review, 1995, 39, (3-4), 501-508 Downloads View citations (3)
  3. Piecemeal versus Precipitous Factor Market Integration
    International Economic Review, 1995, 36, (3), 569-82 Downloads View citations (9)

1994

  1. The Solution to the Tullock Rent-Seeking Game When R Is Greater Than 2: Mixed-Strategy Equilibria and Mean Dissipation Rates
    Public Choice, 1994, 81, (3-4), 363-80 View citations (20)

1993

  1. Fixing soft margins
    Journal of International Economics, 1993, 34, (3-4), 359-374 Downloads View citations (2)
  2. Rigging the Lobbying Process: An Application of the All-Pay Auction
    American Economic Review, 1993, 83, (1), 289-94 Downloads View citations (119)
    See also Working Paper (1992)

1992

  1. Differences between foreign exchange rate regimes: The view from the tails
    Journal of International Money and Finance, 1992, 11, (5), 462-473 Downloads View citations (18)
  2. International trade and exchange rate volatility
    European Economic Review, 1992, 36, (6), 1311-1321 Downloads View citations (63)
    See also Working Paper (1989)
  3. It takes two to tango: Equilibria in a model of sales
    Games and Economic Behavior, 1992, 4, (4), 493-510 Downloads View citations (47)
  4. Mixed Strategy Trade Equilibria
    Canadian Journal of Economics, 1992, 25, (2), 281-93 Downloads View citations (6)
  5. Optimal Localized Production Experience and Schooling
    International Economic Review, 1992, 33, (1), 91-110 Downloads View citations (3)

1991

  1. On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective
    The Review of Economics and Statistics, 1991, 73, (1), 18-24 Downloads View citations (109)
    See also Working Paper (1988)
  2. On the relation between GARCH and stable processes
    Journal of Econometrics, 1991, 48, (3), 313-324 Downloads View citations (21)
  3. The Limiting Distribution of Extremal Exchange Rate Returns
    Journal of Applied Econometrics, 1991, 6, (3), 287-302 Downloads View citations (35)

1990

  1. The customs union argument for a monetary union
    Journal of Banking & Finance, 1990, 14, (5), 877-887 Downloads

1989

  1. Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes
    Stochastic Processes and their Applications, 1989, 32, (2), 213-224 Downloads View citations (41)

1988

  1. Simulating currency substitution bias
    Economics Letters, 1988, 28, (3), 269-272 Downloads View citations (1)
  2. Theory and Relevance of Currency Substitution with Case Studies for Canada and the Netherlands Antilles
    The Review of Economics and Statistics, 1988, 70, (3), 512-15 Downloads View citations (3)

1983

  1. International Growth with Free Trade in Equities and Goods: A Comment
    International Economic Review, 1983, 24, (3), 761-69 Downloads

Chapters

2007

  1. Banking System Stability. A Cross-Atlantic Perspective
    A chapter in The Risks of Financial Institutions, 2007, pp 133-192 Downloads View citations (1)
    See also Working Paper (2005)
 
Page updated 2014-09-30