Details about Casper G. de Vries

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

Access statistics for papers by Casper G. de Vries.

Last updated 2009-10-13. Update your information in the RePEc Author Service.

Short-id: pde225

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Working Papers

2009

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

2008

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

2007

3. IMF Support and Inter-regime Exchange rate Volatility
   Working Papers, Department of Economics, University of Glasgow
4. The Forward Premium Puzzle only emerges gradually
   Tinbergen Institute Discussion Papers, Tinbergen Institute
5. The Forward Premium Puzzle: new evidence from futures contracts
   DNB Working Papers, Netherlands Central Bank, Research Department
6. Weak & Strong Financial Fragility
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2006

7. Consistent Measures of Risk
   FMG Discussion Papers, Financial Markets Group
8. Fundamental volatility is regime specific
   Nyenrode Research Papers Series, Nyenrode Business Universiteit
   Also in Working Papers, Department of Economics, University of Glasgow (2005)
9. Large Swings in Currencies driven by Fundamentals
   Tinbergen Institute Discussion Papers, Tinbergen Institute
10. Tail Probabilities for Regression Estimators
    Tinbergen Institute Discussion Papers, Tinbergen Institute

2005

11. Auctions with Numerous Bidders
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
12. Banking System Stability: A Cross-Atlantic Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Working Paper Series, European Central Bank (2005) View citations
    See also Chapter (2007)
13. Comparing Downside Risk Measures for Heavy Tailed Distributions
    FMG Discussion Papers, Financial Markets Group
    See also Journal Article in Economics Letters (2006)
14. Subadditivity Re–Examined: the Case for Value-at-Risk
    FMG Discussion Papers, Financial Markets Group View citations

2004

15. Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach
    Working Papers, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy
    Also in CESifo Working Paper Series, CESifo Group Munich (2000) View citations
    CIG Working Papers, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG) (2000) View citations
    Purdue University Economics Working Papers, Purdue University, Department of Economics (2000) View citations
16. Credit Rationing Effects of Credit Value-at-Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute
17. Fundamentals and Joint Currency Crises
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Paper Series, European Central Bank (2004) View citations
18. Generational Accounting, Solidarity and Pension Losses
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in IZA Discussion Papers, Institute for the Study of Labor (IZA) (2003)
    See also Journal Article in De Economist (2006)
19. Optimal Confidence Intervals for the Tail Index and High Quantiles
    Tinbergen Institute Discussion Papers, Tinbergen Institute
20. The simple economics of bank fragility
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department
    See also Journal Article in Journal of Banking & Finance (2005)

2001

21. Asset Market Linkages in Crisis Periods
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Papers, Quebec a Montreal - Recherche en gestion (2001) View citations
    Working Paper Series, European Central Bank (2001) View citations
    See also Journal Article in The Review of Economics and Statistics (2004)

2000

22. Using a bootstrap method to choose the sample fraction in tail index estimation
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1997)
    See also Journal Article in Journal of Multivariate Analysis (2001)

1999

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

1998

25. A Hybrid Joint Moment Ratio Test for Financial Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
26. Abnormal Returns, Risk, and Options in Large Data Sets
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
27. An Experimental Examination of Rational Rent-Seeking
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    See also Journal Article in European Journal of Political Economy (1998)
28. Beyond the Sample: Extreme Quantile and Probability Estimation
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    Also in FMG Discussion Papers, Financial Markets Group (1998) View citations
29. The EURO, Prudent Coherence?
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
30. Value-at-Risk and Extreme Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    See also Journal Article in Annales d'Economie et de Statistique (2000)

1997

31. Big News in Small Samples
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
32. The Incidence of Overdissipation in Rent-Seeking Contests
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    See also Journal Article in Public Choice (1999)

1995

33. Fiat Exchange in Finite Economies
    Purdue University Economics Working Papers, Purdue University, Department of Economics
    Also in UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) (1995)
34. 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
    Also in Working Papers, Pennsylvania State - Department of Economics (1992) View citations
    Purdue University Economics Working Papers, Purdue University, Department of Economics (1991)
    See also Journal Article in Economic Theory (1996)

1994

35. 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)
36. 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

1993

37. Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist
    Working Papers, Pennsylvania State - Department of Economics
38. 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
    Also in Purdue University Economics Working Papers, Purdue University, Department of Economics (1993) View citations

1992

39. Rigging the Lobbying Process: An Application of the All- Pay Auction
    Working Papers, Pennsylvania State - Department of Economics View citations
    Also in Purdue University Economics Working Papers, Purdue University, Department of Economics (1991) View citations
    See also Journal Article in American Economic Review (1993)

1989

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

1988

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

Undated

42. Risk Diversification by European Financial Conglomerates
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
43. The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets
    Working Papers, Olsen and Associates View citations

Journal Articles

2008

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

2007

2. Portfolio selection with heavy tails
   Journal of Empirical Finance, 2007, 14, (3), 383-400 View citations

2006

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

2005

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

2004

8. Asset Market Linkages in Crisis Periods
   The Review of Economics and Statistics, 2004, 86, (1), 313-326 View citations
   Also in Proceedings, 2001, (May), 555-576 (2001) View citations
   See also Working Paper (2001)

2003

9. The Forex Regime and EMU Expansion
   Open Economies Review, 2003, 14, (3), 285-298 View citations

2002

10. Incentives for effective risk management
    Journal of Banking & Finance, 2002, 26, (7), 1407-1425 View citations

2001

11. Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
    Journal of Multivariate Analysis, 2001, 76, (2), 226-248
    See also Working Paper (2000)

2000

12. Endogeneity in European money demand
    European Journal of Political Economy, 2000, 16, (4), 587-609 View citations
13. Portfolio selection with limited downside risk
    Journal of Empirical Finance, 2000, 7, (3-4), 247-269 View citations
14. Value-at-Risk and Extreme Returns
    Annales d'Economie et de Statistique, 2000, (60), 11 View citations
    See also Working Paper (1998)

1999

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

1998

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

1996

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

1995

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

1994

23. 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

1993

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

1992

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

1991

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

1990

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

1988

35. Simulating currency substitution bias
    Economics Letters, 1988, 28, (3), 269-272 View citations
36. 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 View citations

1983

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

Chapters

2007

1. Banking System Stability. A Cross-Atlantic Perspective
   A chapter in The Risks of Financial Institutions, 2007, pp 133-192
   See also Working Paper (2005)