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 2023-09-13. Update your information in the RePEc Author Service.

Short-id: pde225

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Working Papers

2021

1. Covariates Hiding in the Tails
   Staff Working Papers, Bank of Canada

2020

2. Currency Futures' Risk Premia and Risk Factors
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research

2019

3. Asset-Based Lending
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   Also in CESifo Working Paper Series, CESifo (2019)
4. Tail Index Estimation: Quantile-Driven Threshold Selection
   Staff Working Papers, Bank of Canada View citations (10)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (12)

2018

5. Challenges in Implementing Worst-Case Analysis
   Staff Working Papers, Bank of Canada View citations (1)
6. Estimating a Latent Risk Premium in Exchange Rate Futures
   Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research

2016

7. Monetary Policy in the Presence of Random Wage Indexation
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2015

8. Extreme Linkages in Financial Markets: Macro Shocks and Systemic Risk
   PIER Discussion Papers, Puey Ungphakorn Institute for Economic Research
9. Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
   CESifo Working Paper Series, CESifo
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015)

2013

10. Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk
    Working Papers, Chapman University, Economic Science Institute
11. The Impact of Competition on Prices with Numerous Firms
    Working Papers, Chapman University, Economic Science Institute View citations (18)
    See also Journal Article The impact of competition on prices with numerous firms, Journal of Economic Theory, Elsevier (2016) View citations (54) (2016)
12. The cross-section of tail risks in stock returns
    MPRA Paper, University Library of Munich, Germany View citations (4)
13. The drivers of downside equity tail risk
    MPRA Paper, University Library of Munich, Germany View citations (1)

2012

14. The forward premium puzzle and latent factors day by day
    VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (4)
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) View citations (3)

2011

15. Risk Measures for Autocorrelated Hedge Fund Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2011)
    See also Journal Article Risk Measures for Autocorrelated Hedge Fund Returns, Journal of Financial Econometrics, Oxford University Press (2015) View citations (1) (2015)

2010

16. Global Stochastic Properties of Dynamic Models and their Linear Approximations
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    See also Journal Article Global stochastic properties of dynamic models and their linear approximations, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (1) (2010)
17. The Downside Risk of Heavy Tails induces Low Diversification
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
18. The Herodotus Paradox
    Working Papers, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2010) View citations (1)
    CESifo Working Paper Series, CESifo (2010) View citations (1)
    See also Journal Article The Herodotus paradox, Games and Economic Behavior, Elsevier (2012) View citations (4) (2012)
19. World Equity Premium Based Risk Aversion Estimates
    CESifo Working Paper Series, CESifo View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2010) View citations (1)

2009

20. Contests with Rank-Order Spillovers
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
    Also in Working Papers, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy (2008) View citations (6)
    See also Journal Article Contests with rank-order spillovers, Economic Theory, Springer (2012) View citations (48) (2012)

2008

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

2007

22. IMF Support and Inter-regime Exchange rate Volatility
    Working Papers, Business School - Economics, University of Glasgow
    See also Journal Article IMF Support and Inter-Regime Exchange Rate Volatility, Open Economies Review, Springer (2012) View citations (1) (2012)
23. The Forward Premium Puzzle only emerges gradually
    Tinbergen Institute Discussion Papers, Tinbergen Institute
24. Weak & Strong Financial Fragility
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (13)

2006

25. Consistent Measures of Risk
    FMG Discussion Papers, Financial Markets Group View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2006) View citations (2)
26. Large Swings in Currencies driven by Fundamentals
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
27. Portfolio Selection with Heavy Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Portfolio selection with heavy tails, Journal of Empirical Finance, Elsevier (2007) View citations (23) (2007)
28. Tail Probabilities for Regression Estimators
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)

2005

29. Auctions with Numerous Bidders
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
30. Banking System Stability: A Cross-Atlantic Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (66)
    Also in Working Paper Series, European Central Bank (2005) View citations (52)
    See also Chapter Banking System Stability. A Cross-Atlantic Perspective, NBER Chapters, National Bureau of Economic Research, Inc (2007) View citations (11) (2007)
31. Comparing Downside Risk Measures for Heavy Tailed Distributions
    FMG Discussion Papers, Financial Markets Group
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005)
    See also Journal Article Comparing downside risk measures for heavy tailed distributions, Economics Letters, Elsevier (2006) View citations (24) (2006)
32. Fundamental Volatility is Regime Specific
    Working Papers, Business School - Economics, University of Glasgow
33. Portfolio Diversification Effects of Downside Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (18)
34. Risk Diversification by European Financial Conglomerates
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
35. Subadditivity Re–Examined: the Case for Value-at-Risk
    FMG Discussion Papers, Financial Markets Group View citations (34)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005) View citations (20)
36. VaR stress for highly non-linear portfolios
    Other publications TiSEM, Tilburg University, School of Economics and Management

2004

37. 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 Tinbergen Institute Discussion Papers, Tinbergen Institute (2000) View citations (1)
    CESifo Working Paper Series, CESifo (2000) View citations (37)
    Purdue University Economics Working Papers, Purdue University, Department of Economics (2000) View citations (1)
    CIG Working Papers, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG) (2000) View citations (16)
38. Credit Rationing Effects of Credit Value-at-Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute
39. Fundamentals and Joint Currency Crises
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    Also in Working Paper Series, European Central Bank (2004) View citations (10)
40. Generational Accounting, Solidarity and Pension Losses
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in IZA Discussion Papers, Institute of Labor Economics (IZA) (2003) View citations (2)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2003) View citations (1)
    See also Journal Article Generational Accounting, Solidarity and Pension Losses, De Economist, Springer (2006) View citations (44) (2006)
41. Optimal Confidence Intervals for the Tail Index and High Quantiles
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
42. Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2004)
    See also Journal Article Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities, Insurance: Mathematics and Economics, Elsevier (2006) View citations (7) (2006)

2002

43. The Forex Regime and EMU Expansion
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article The Forex Regime and EMU Expansion, Open Economies Review, Springer (2003) View citations (3) (2003)

2001

44. Asset Market Linkages in Crisis Periods
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (75)
    Also in Working Paper Series, European Central Bank (2001) View citations (45)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2001) View citations (40)
    Working Papers, Quebec a Montreal - Recherche en gestion (2001) View citations (32)
    Proceedings, Federal Reserve Bank of Chicago (2001) View citations (9)
    See also Journal Article Asset Market Linkages in Crisis Periods, The Review of Economics and Statistics, MIT Press (2004) View citations (359) (2004)
45. Incentives for Effective Risk Management
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article Incentives for effective risk management, Journal of Banking & Finance, Elsevier (2002) View citations (16) (2002)
46. Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
47. Portfolio Diversification Effects and Regular Variation in Financial Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

2000

48. Using a bootstrap method to choose the sample fraction in tail index estimation
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (4)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1997) View citations (3)
    See also Journal Article Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation, Journal of Multivariate Analysis, Elsevier (2001) View citations (67) (2001)

1999

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

1998

51. A Hybrid Joint Moment Ratio Test for Financial Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (11)
52. Abnormal Returns, Risk, and Options in Large Data Sets
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    See also Journal Article Abnormal returns, risk, and options in large data sets, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (1998) View citations (2) (1998)
53. An experimental examination of rational rentseeking
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (53)
    See also Journal Article An experimental examination of rational rent-seeking, European Journal of Political Economy, Elsevier (1998) View citations (185) (1998)
54. Beyond the Sample: Extreme Quantile and Probability Estimation
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
    Also in FMG Discussion Papers, Financial Markets Group (1998) View citations (25)
55. The EURO, Prudent Coherence?
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
56. Value-at-Risk and Extreme Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (18)
    See also Journal Article Value-at-Risk and Extreme Returns, Annals of Economics and Statistics, GENES (2000) View citations (97) (2000)

1997

57. The Incidence of Overdissipation in Rent-Seeking Contests
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article The Incidence of Overdissipation in Rent-Seeking Contests, Public Choice, Springer (1999) View citations (55) (1999)

1996

58. Tail Index and Quantile Estimation with Very High Frequency Data
    CESifo Working Paper Series, CESifo View citations (16)

1995

59. 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)
60. 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 (141)
    CESifo Working Paper Series, CESifo (1995)
    Discussion Paper, Tilburg University, Center for Economic Research (1990) View citations (9)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1990) View citations (8)
    Purdue University Economics Working Papers, Purdue University, Department of Economics (1991)
    See also Journal Article The all-pay auction with complete information (*), Economic Theory, Springer (1996) View citations (660) (1996)

1994

61. 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)
62. 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 (62)

1993

63. It takes two to tango: Equilibria in a model of sales
    Other publications TiSEM, Tilburg University, School of Economics and Management
    See also Journal Article It takes two to tango: Equilibria in a model of sales, Games and Economic Behavior, Elsevier (1992) View citations (116) (1992)
64. Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist
    Working Papers, Pennsylvania State - Department of Economics
65. 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 (24)
    Also in Purdue University Economics Working Papers, Purdue University, Department of Economics (1993) View citations (22)

1992

66. Rigging the Lobbying Process: An Application of the All- Pay Auction
    Working Papers, Pennsylvania State - Department of Economics View citations (145)
    Also in Purdue University Economics Working Papers, Purdue University, Department of Economics (1991) View citations (36)
    See also Journal Article Rigging the Lobbying Process: An Application of the All-Pay Auction, American Economic Review, American Economic Association (1993) View citations (413) (1993)

1991

67. On the relation between GARCH and stable processes
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (33)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1990)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1990)
    See also Journal Article On the relation between GARCH and stable processes, Journal of Econometrics, Elsevier (1991) View citations (36) (1991)

1989

68. INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY
    Working Papers, Erasmus University of Rotterdam - Institute for Economic Research View citations (10)
    See also Journal Article International trade and exchange rate volatility, European Economic Review, Elsevier (1992) View citations (125) (1992)

1988

69. On the frequency of large stock returns: putting booms and busts into perspective
    Working Papers, Federal Reserve Bank of St. Louis View citations (26)
    See also Journal Article On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective, The Review of Economics and Statistics, MIT Press (1991) View citations (268) (1991)

Undated

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

Journal Articles

2022

1. The Term Structure of Currency Futures' Risk Premia
   Journal of Money, Credit and Banking, 2022, 54, (1), 5-38 View citations (3)

2018

2. Exploiting tail shape biases to discriminate between stable and student t alternatives
   Journal of Applied Econometrics, 2018, 33, (5), 708-726 View citations (1)

2016

3. The impact of competition on prices with numerous firms
   Journal of Economic Theory, 2016, 165, (C), 1-24 View citations (54)
   See also Working Paper The Impact of Competition on Prices with Numerous Firms, Working Papers (2013) View citations (18) (2013)

2015

4. Risk Measures for Autocorrelated Hedge Fund Returns
   Journal of Financial Econometrics, 2015, 13, (4), 868-895 View citations (1)
   See also Working Paper Risk Measures for Autocorrelated Hedge Fund Returns, Tinbergen Institute Discussion Papers (2011) (2011)

2013

5. Fat tails, VaR and subadditivity
   Journal of Econometrics, 2013, 172, (2), 283-291 View citations (54)
6. Heavy tails of OLS
   Journal of Econometrics, 2013, 172, (2), 205-221 View citations (7)
7. Systemic risk and diversification across European banks and insurers
   Journal of Banking & Finance, 2013, 37, (3), 773-785 View citations (32)
8. The number of active bidders in internet auctions
   Journal of Economic Theory, 2013, 148, (4), 1726-1736 View citations (3)

2012

9. Contests with rank-order spillovers
   Economic Theory, 2012, 51, (2), 315-350 View citations (48)
   See also Working Paper Contests with Rank-Order Spillovers, Tinbergen Institute Discussion Papers (2009) View citations (6) (2009)
10. IMF Support and Inter-Regime Exchange Rate Volatility
    Open Economies Review, 2012, 23, (1), 193-211 View citations (1)
    See also Working Paper IMF Support and Inter-regime Exchange rate Volatility, Working Papers (2007) (2007)
11. Simulating and calibrating diversification against black swans
    Journal of Economic Dynamics and Control, 2012, 36, (8), 1162-1175 View citations (4)
12. The Herodotus paradox
    Games and Economic Behavior, 2012, 74, (1), 399-406 View citations (4)
    See also Working Paper The Herodotus Paradox, Working Papers (2010) View citations (1) (2010)

2011

13. Indexation, Inflation Targeting cum Output Stabilization & Inflation Fluctuations
    Review of Business and Economic Literature, 2011, 56, (4), 394-405 View citations (2)

2010

14. Global stochastic properties of dynamic models and their linear approximations
    Journal of Economic Dynamics and Control, 2010, 34, (5), 817-824 View citations (1)
    See also Working Paper Global Stochastic Properties of Dynamic Models and their Linear Approximations, Tinbergen Institute Discussion Papers (2010) View citations (1) (2010)
15. Heavy tails and currency crises
    Journal of Empirical Finance, 2010, 17, (2), 241-254 View citations (24)

2008

16. Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
    Annals of Finance, 2008, 4, (3), 345-367 View citations (9)

2007

17. Portfolio selection with heavy tails
    Journal of Empirical Finance, 2007, 14, (3), 383-400 View citations (23)
    See also Working Paper Portfolio Selection with Heavy Tails, Tinbergen Institute Discussion Papers (2006) (2006)

2006

18. Comparing downside risk measures for heavy tailed distributions
    Economics Letters, 2006, 92, (2), 202-208 View citations (24)
    See also Working Paper Comparing Downside Risk Measures for Heavy Tailed Distributions, FMG Discussion Papers (2005) (2005)
19. Generational Accounting, Solidarity and Pension Losses
    De Economist, 2006, 154, (1), 63-83 View citations (44)
    See also Working Paper Generational Accounting, Solidarity and Pension Losses, CEPR Discussion Papers (2004) View citations (1) (2004)
20. 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 (7)
    See also Working Paper Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities, Tinbergen Institute Discussion Papers (2004) (2004)

2005

21. The simple economics of bank fragility
    Journal of Banking & Finance, 2005, 29, (4), 803-825 View citations (77)
22. VaR stress tests for highly non‐linear portfolios
    Journal of Risk Finance, 2005, 6, (5), 382-387

2004

23. Asset Market Linkages in Crisis Periods
    The Review of Economics and Statistics, 2004, 86, (1), 313-326 View citations (359)
    See also Working Paper Asset Market Linkages in Crisis Periods, CEPR Discussion Papers (2001) View citations (75) (2001)

2003

24. The Forex Regime and EMU Expansion
    Open Economies Review, 2003, 14, (3), 285-298 View citations (3)
    See also Working Paper The Forex Regime and EMU Expansion, Tinbergen Institute Discussion Papers (2002) View citations (3) (2002)

2002

25. Incentives for effective risk management
    Journal of Banking & Finance, 2002, 26, (7), 1407-1425 View citations (16)
    See also Working Paper Incentives for Effective Risk Management, Tinbergen Institute Discussion Papers (2001) View citations (3) (2001)

2001

26. Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
    Journal of Multivariate Analysis, 2001, 76, (2), 226-248 View citations (67)
    See also Working Paper Using a bootstrap method to choose the sample fraction in tail index estimation, Econometric Institute Research Papers (2000) View citations (4) (2000)

2000

27. Endogeneity in European money demand
    European Journal of Political Economy, 2000, 16, (4), 587-609 View citations (12)
28. Portfolio selection with limited downside risk
    Journal of Empirical Finance, 2000, 7, (3-4), 247-269 View citations (41)
29. Value-at-Risk and Extreme Returns
    Annals of Economics and Statistics, 2000, (60), 239-270 View citations (97)
    See also Working Paper Value-at-Risk and Extreme Returns, Tinbergen Institute Discussion Papers (1998) View citations (18) (1998)

1999

30. The Incidence of Overdissipation in Rent-Seeking Contests
    Public Choice, 1999, 99, (3-4), 439-54 View citations (55)
    See also Working Paper The Incidence of Overdissipation in Rent-Seeking Contests, Tinbergen Institute Discussion Papers (1997) (1997)

1998

31. Abnormal returns, risk, and options in large data sets
    Statistica Neerlandica, 1998, 52, (3), 324-335 View citations (2)
    See also Working Paper Abnormal Returns, Risk, and Options in Large Data Sets, Tinbergen Institute Discussion Papers (1998) View citations (2) (1998)
32. An EMS target zone model in discrete time
    Journal of Applied Econometrics, 1998, 13, (1), 31-48 View citations (16)
33. An experimental examination of rational rent-seeking
    European Journal of Political Economy, 1998, 14, (4), 783-800 View citations (185)
    See also Working Paper An experimental examination of rational rentseeking, Other publications TiSEM (1998) View citations (53) (1998)
34. The value of value at risk: statistical, financial, and regulatory considerations (summary)
    Economic Policy Review, 1998, 4, (Oct), 107-108

1996

35. The all-pay auction with complete information (*)
    Economic Theory, 1996, 8, (2), 291-305 View citations (660)
    See also Working Paper The All-Pay Auction with Complete Information, UFAE and IAE Working Papers (1995) View citations (4) (1995)

1995

36. A note on the relationship between GARCH and symmetric stable processes
    Journal of Empirical Finance, 1995, 2, (3), 253-264 View citations (12)
37. New evidence on the effectiveness of foreign exchange market intervention
    European Economic Review, 1995, 39, (3-4), 501-508 View citations (3)
38. Piecemeal versus Precipitous Factor Market Integration
    International Economic Review, 1995, 36, (3), 569-82 View citations (12)

1994

39. 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 (153)

1993

40. Fixing soft margins
    Journal of International Economics, 1993, 34, (3-4), 359-374 View citations (2)
41. Rigging the Lobbying Process: An Application of the All-Pay Auction
    American Economic Review, 1993, 83, (1), 289-94 View citations (413)
    See also Working Paper Rigging the Lobbying Process: An Application of the All- Pay Auction, Working Papers (1992) View citations (145) (1992)

1992

42. Differences between foreign exchange rate regimes: The view from the tails
    Journal of International Money and Finance, 1992, 11, (5), 462-473 View citations (38)
43. International trade and exchange rate volatility
    European Economic Review, 1992, 36, (6), 1311-1321 View citations (125)
    See also Working Paper INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY, Working Papers (1989) View citations (10) (1989)
44. It takes two to tango: Equilibria in a model of sales
    Games and Economic Behavior, 1992, 4, (4), 493-510 View citations (116)
    See also Working Paper It takes two to tango: Equilibria in a model of sales, Other publications TiSEM (1993) (1993)
45. Mixed Strategy Trade Equilibria
    Canadian Journal of Economics, 1992, 25, (2), 281-93 View citations (7)
46. Optimal Localized Production Experience and Schooling
    International Economic Review, 1992, 33, (1), 91-110 View citations (2)

1991

47. 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 (268)
    See also Working Paper On the frequency of large stock returns: putting booms and busts into perspective, Working Papers (1988) View citations (26) (1988)
48. On the relation between GARCH and stable processes
    Journal of Econometrics, 1991, 48, (3), 313-324 View citations (36)
    See also Working Paper On the relation between GARCH and stable processes, Other publications TiSEM (1991) View citations (33) (1991)
49. The Limiting Distribution of Extremal Exchange Rate Returns
    Journal of Applied Econometrics, 1991, 6, (3), 287-302 View citations (53)

1990

50. The customs union argument for a monetary union
    Journal of Banking & Finance, 1990, 14, (5), 877-887 View citations (2)

1989

51. Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes
    Stochastic Processes and their Applications, 1989, 32, (2), 213-224 View citations (60)

1988

52. Simulating currency substitution bias
    Economics Letters, 1988, 28, (3), 269-272 View citations (1)
53. 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 (7)

1983

54. 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 133-188 View citations (11)
   See also Working Paper Banking System Stability: A Cross-Atlantic Perspective, National Bureau of Economic Research, Inc (2005) View citations (66) (2005)