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 2021-07-13. Update your information in the RePEc Author Service.

Short-id: pde225

---

Jump to Journal Articles Chapters

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 (9)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (5)

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. Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   Also in CESifo Working Paper Series, CESifo (2015)

2013

9. On agricultural commodities' extreme price risk
   DNB Working Papers, Netherlands Central Bank, Research Department View citations (4)
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 (15)
    See also Journal Article in Journal of Economic Theory (2016)
12. The cross-section of tail risks in stock returns
    MPRA Paper, University Library of Munich, Germany View citations (3)
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 Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research (2010) View citations (3)
    DNB Working Papers, Netherlands Central Bank, Research Department (2010) View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (1)

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 in Journal of Financial Econometrics (2015)

2010

16. Global Stochastic Properties of Dynamic Models and their Linear Approximations
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of Economic Dynamics and Control (2010)
17. The Downside Risk of Heavy Tails induces Low Diversification
    Tinbergen Institute Discussion Papers, Tinbergen Institute
18. The Herodotus Paradox
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Working Papers, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy (2010) View citations (1)
    CESifo Working Paper Series, CESifo (2010) View citations (1)
    See also Journal Article in Games and Economic Behavior (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
    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 in Economic Theory (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 in Open Economies Review (2012)
23. The Forward Premium Puzzle only emerges gradually
    Tinbergen Institute Discussion Papers, Tinbergen Institute
24. The Forward Premium Puzzle: new evidence from futures contracts
    DNB Working Papers, Netherlands Central Bank, Research Department
25. Weak & Strong Financial Fragility
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

2006

26. 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 (1)
27. Large Swings in Currencies driven by Fundamentals
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
28. Portfolio Selection with Heavy Tails
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of Empirical Finance (2007)
29. Tail Probabilities for Regression Estimators
    Tinbergen Institute Discussion Papers, Tinbergen Institute

2005

30. Auctions with Numerous Bidders
    Tinbergen Institute Discussion Papers, Tinbergen Institute
31. Banking System Stability: A Cross-Atlantic Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (48)
    Also in Working Paper Series, European Central Bank (2005) View citations (52)
    See also Chapter (2007)
32. 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 in Economics Letters (2006)
33. Fundamental Volatility is Regime Specific
    Working Papers, Business School - Economics, University of Glasgow
34. Portfolio Diversification Effects of Downside Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
35. Risk Diversification by European Financial Conglomerates
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
36. 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 (19)
37. VaR stress for highly non-linear portfolios
    Other publications TiSEM, Tilburg University, School of Economics and Management

2004

38. 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 (2000) View citations (37)
    Purdue University Economics Working Papers, Purdue University, Department of Economics (2000) View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2000) View citations (1)
    CIG Working Papers, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG) (2000) View citations (16)
39. Credit Rationing Effects of Credit Value-at-Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute
40. Fundamentals and Joint Currency Crises
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
    Also in Working Paper Series, European Central Bank (2004) View citations (10)
41. 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 in De Economist (2006)
42. Optimal Confidence Intervals for the Tail Index and High Quantiles
    Tinbergen Institute Discussion Papers, Tinbergen Institute
43. The simple economics of bank fragility
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department View citations (3)
    See also Journal Article in Journal of Banking & Finance (2005)
44. 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 in Insurance: Mathematics and Economics (2006)

2002

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

2001

46. Asset Market Linkages in Crisis Periods
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (28)
    Also in Working Paper Series, European Central Bank (2001) View citations (41)
    Proceedings, Federal Reserve Bank of Chicago (2001) View citations (9)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (69)
    Working Papers, Quebec a Montreal - Recherche en gestion (2001) View citations (22)
    See also Journal Article in The Review of Economics and Statistics (2004)
47. Incentives for Effective Risk Management
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article in Journal of Banking & Finance (2002)
48. Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
49. Portfolio Diversification Effects and Regular Variation in Financial Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

2000

50. 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 (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1997) View citations (3)
    See also Journal Article in Journal of Multivariate Analysis (2001)

1999

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

1998

53. A Hybrid Joint Moment Ratio Test for Financial Time Series
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
54. Abnormal Returns, Risk, and Options in Large Data Sets
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Statistica Neerlandica (1998)
55. An experimental examination of rational rentseeking
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (42)
    See also Journal Article in European Journal of Political Economy (1998)
56. Beyond the Sample: Extreme Quantile and Probability Estimation
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in FMG Discussion Papers, Financial Markets Group (1998) View citations (29)
57. The EURO, Prudent Coherence?
    Tinbergen Institute Discussion Papers, Tinbergen Institute
58. Value-at-Risk and Extreme Returns
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    See also Journal Article in Annals of Economics and Statistics (2000)

1997

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

1996

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

1995

61. 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)
62. 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 CESifo Working Paper Series, CESifo (1995)
    Working Papers, Pennsylvania State - Department of Economics (1992) View citations (141)
    Purdue University Economics Working Papers, Purdue University, Department of Economics (1991)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1990) View citations (1)
    Discussion Paper, Tilburg University, Center for Economic Research (1990) View citations (5)
    See also Journal Article in Economic Theory (1996)

1994

63. 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)
64. 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 (39)

1993

65. 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 in Games and Economic Behavior (1992)
66. Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist
    Working Papers, Pennsylvania State - Department of Economics
67. 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 (23)
    Also in Purdue University Economics Working Papers, Purdue University, Department of Economics (1993) View citations (22)

1992

68. Rigging the Lobbying Process: An Application of the All- Pay Auction
    Working Papers, Pennsylvania State - Department of Economics View citations (146)
    Also in Purdue University Economics Working Papers, Purdue University, Department of Economics (1991) View citations (36)
    See also Journal Article in American Economic Review (1993)

1991

69. On the relation between GARCH and stable processes
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (5)
    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 in Journal of Econometrics (1991)

1989

70. 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

71. 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 in The Review of Economics and Statistics (1991)

Undated

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

Journal Articles

2018

1. 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

2. The impact of competition on prices with numerous firms
   Journal of Economic Theory, 2016, 165, (C), 1-24 View citations (27)
   See also Working Paper (2013)

2015

3. Risk Measures for Autocorrelated Hedge Fund Returns
   Journal of Financial Econometrics, 2015, 13, (4), 868-895
   See also Working Paper (2011)

2013

4. Fat tails, VaR and subadditivity
   Journal of Econometrics, 2013, 172, (2), 283-291 View citations (41)
5. Heavy tails of OLS
   Journal of Econometrics, 2013, 172, (2), 205-221 View citations (2)
6. Systemic risk and diversification across European banks and insurers
   Journal of Banking & Finance, 2013, 37, (3), 773-785 View citations (27)
7. The number of active bidders in internet auctions
   Journal of Economic Theory, 2013, 148, (4), 1726-1736 View citations (1)

2012

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

2011

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

2010

13. 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 (2010)
14. Heavy tails and currency crises
    Journal of Empirical Finance, 2010, 17, (2), 241-254 View citations (20)

2008

15. Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
    Annals of Finance, 2008, 4, (3), 345-367 View citations (7)

2007

16. Portfolio selection with heavy tails
    Journal of Empirical Finance, 2007, 14, (3), 383-400 View citations (17)
    See also Working Paper (2006)

2006

17. Comparing downside risk measures for heavy tailed distributions
    Economics Letters, 2006, 92, (2), 202-208 View citations (19)
    See also Working Paper (2005)
18. Generational Accounting, Solidarity and Pension Losses
    De Economist, 2006, 154, (1), 63-83 View citations (41)
    See also Working Paper (2004)
19. 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 (6)
    See also Working Paper (2004)

2005

20. The simple economics of bank fragility
    Journal of Banking & Finance, 2005, 29, (4), 803-825 View citations (65)
    See also Working Paper (2004)

2004

21. Asset Market Linkages in Crisis Periods
    The Review of Economics and Statistics, 2004, 86, (1), 313-326 View citations (274)
    See also Working Paper (2001)

2003

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

2002

23. Incentives for effective risk management
    Journal of Banking & Finance, 2002, 26, (7), 1407-1425 View citations (11)
    See also Working Paper (2001)

2001

24. Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
    Journal of Multivariate Analysis, 2001, 76, (2), 226-248 View citations (47)
    See also Working Paper (2000)

2000

25. Endogeneity in European money demand
    European Journal of Political Economy, 2000, 16, (4), 587-609 View citations (12)
26. Portfolio selection with limited downside risk
    Journal of Empirical Finance, 2000, 7, (3-4), 247-269 View citations (32)
27. Value-at-Risk and Extreme Returns
    Annals of Economics and Statistics, 2000, (60), 239-270 View citations (87)
    See also Working Paper (1998)

1999

28. The Incidence of Overdissipation in Rent-Seeking Contests
    Public Choice, 1999, 99, (3-4), 439-54 View citations (45)
    See also Working Paper (1997)

1998

29. Abnormal returns, risk, and options in large data sets
    Statistica Neerlandica, 1998, 52, (3), 324-335
    See also Working Paper (1998)
30. An EMS target zone model in discrete time
    Journal of Applied Econometrics, 1998, 13, (1), 31-48 View citations (15)
31. An experimental examination of rational rent-seeking
    European Journal of Political Economy, 1998, 14, (4), 783-800 View citations (174)
    See also Working Paper (1998)
32. The value of value at risk: statistical, financial, and regulatory considerations (summary)
    Economic Policy Review, 1998, 4, (Oct), 107-108

1996

33. The all-pay auction with complete information (*)
    Economic Theory, 1996, 8, (2), 291-305 View citations (472)
    See also Working Paper (1995)

1995

34. A note on the relationship between GARCH and symmetric stable processes
    Journal of Empirical Finance, 1995, 2, (3), 253-264 View citations (13)
35. New evidence on the effectiveness of foreign exchange market intervention
    European Economic Review, 1995, 39, (3-4), 501-508 View citations (2)
36. Piecemeal versus Precipitous Factor Market Integration
    International Economic Review, 1995, 36, (3), 569-82 View citations (11)

1994

37. 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 (59)

1993

38. Fixing soft margins
    Journal of International Economics, 1993, 34, (3-4), 359-374 View citations (2)
39. Rigging the Lobbying Process: An Application of the All-Pay Auction
    American Economic Review, 1993, 83, (1), 289-94 View citations (375)
    See also Working Paper (1992)

1992

40. Differences between foreign exchange rate regimes: The view from the tails
    Journal of International Money and Finance, 1992, 11, (5), 462-473 View citations (35)
41. International trade and exchange rate volatility
    European Economic Review, 1992, 36, (6), 1311-1321 View citations (98)
    See also Working Paper (1989)
42. It takes two to tango: Equilibria in a model of sales
    Games and Economic Behavior, 1992, 4, (4), 493-510 View citations (96)
    See also Working Paper (1993)
43. Mixed Strategy Trade Equilibria
    Canadian Journal of Economics, 1992, 25, (2), 281-93 View citations (7)
44. Optimal Localized Production Experience and Schooling
    International Economic Review, 1992, 33, (1), 91-110 View citations (2)

1991

45. 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 (199)
    See also Working Paper (1988)
46. On the relation between GARCH and stable processes
    Journal of Econometrics, 1991, 48, (3), 313-324 View citations (34)
    See also Working Paper (1991)
47. The Limiting Distribution of Extremal Exchange Rate Returns
    Journal of Applied Econometrics, 1991, 6, (3), 287-302 View citations (43)

1990

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

1989

49. 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 (45)

1988

50. Simulating currency substitution bias
    Economics Letters, 1988, 28, (3), 269-272 View citations (1)
51. 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 (3)

1983

52. 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 (6)
   See also Working Paper (2005)