Details about Casper G. de Vries
Access statistics for papers by Casper G. de Vries.
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Short-id: pde225
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Working Papers
2021
- Covariates Hiding in the Tails
Staff Working Papers, Bank of Canada
2020
- Currency Futures' Risk Premia and Risk Factors
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
2019
- Asset-Based Lending
Tinbergen Institute Discussion Papers, Tinbergen Institute 
Also in CESifo Working Paper Series, CESifo (2019)
- 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
- Challenges in Implementing Worst-Case Analysis
Staff Working Papers, Bank of Canada View citations (1)
- Estimating a Latent Risk Premium in Exchange Rate Futures
Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
2016
- Monetary Policy in the Presence of Random Wage Indexation
Tinbergen Institute Discussion Papers, Tinbergen Institute
2015
- 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
- On agricultural commodities' extreme price risk
DNB Working Papers, Netherlands Central Bank, Research Department View citations (4)
- Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk
Working Papers, Chapman University, Economic Science Institute
- 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)
- The cross-section of tail risks in stock returns
MPRA Paper, University Library of Munich, Germany View citations (3)
- The drivers of downside equity tail risk
MPRA Paper, University Library of Munich, Germany View citations (1)
2012
- 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
- 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
- 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)
- The Downside Risk of Heavy Tails induces Low Diversification
Tinbergen Institute Discussion Papers, Tinbergen Institute
- 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)
- 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
- 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
- The Extent of Internet Auction Markets
Tinbergen Institute Discussion Papers, Tinbergen Institute
2007
- 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)
- The Forward Premium Puzzle only emerges gradually
Tinbergen Institute Discussion Papers, Tinbergen Institute
- The Forward Premium Puzzle: new evidence from futures contracts
DNB Working Papers, Netherlands Central Bank, Research Department
- Weak & Strong Financial Fragility
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
2006
- 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)
- Large Swings in Currencies driven by Fundamentals
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
- Portfolio Selection with Heavy Tails
Tinbergen Institute Discussion Papers, Tinbergen Institute 
See also Journal Article in Journal of Empirical Finance (2007)
- Tail Probabilities for Regression Estimators
Tinbergen Institute Discussion Papers, Tinbergen Institute
2005
- Auctions with Numerous Bidders
Tinbergen Institute Discussion Papers, Tinbergen Institute
- 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)
- 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)
- Fundamental Volatility is Regime Specific
Working Papers, Business School - Economics, University of Glasgow
- Portfolio Diversification Effects of Downside Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (6)
- Risk Diversification by European Financial Conglomerates
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- 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)
- VaR stress for highly non-linear portfolios
Other publications TiSEM, Tilburg University, School of Economics and Management
2004
- 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)
- Credit Rationing Effects of Credit Value-at-Risk
Tinbergen Institute Discussion Papers, Tinbergen Institute
- 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)
- 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)
- Optimal Confidence Intervals for the Tail Index and High Quantiles
Tinbergen Institute Discussion Papers, Tinbergen Institute
- 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)
- 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
- 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
- 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)
- Incentives for Effective Risk Management
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
See also Journal Article in Journal of Banking & Finance (2002)
- Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
- Portfolio Diversification Effects and Regular Variation in Financial Data
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
2000
- 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
- Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series
Tinbergen Institute Discussion Papers, Tinbergen Institute
- Endogenous Financial Structure and the Transmission of ECB Policy
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
1998
- A Hybrid Joint Moment Ratio Test for Financial Time Series
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
- Abnormal Returns, Risk, and Options in Large Data Sets
Tinbergen Institute Discussion Papers, Tinbergen Institute 
See also Journal Article in Statistica Neerlandica (1998)
- 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)
- 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)
- The EURO, Prudent Coherence?
Tinbergen Institute Discussion Papers, Tinbergen Institute
- 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
- The Incidence of Overdissipation in Rent-Seeking Contests
Tinbergen Institute Discussion Papers, Tinbergen Institute 
See also Journal Article in Public Choice (1999)
1996
- Tail Index and Quantile Estimation with Very High Frequency Data
CESifo Working Paper Series, CESifo View citations (16)
1995
- 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)
- 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
- 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)
- 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
- 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)
- Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist
Working Papers, Pennsylvania State - Department of Economics
- 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
- 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
- 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
- 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
- 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
- The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets
Working Papers, Olsen and Associates View citations (12)
Journal Articles
2018
- 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
- 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
- Risk Measures for Autocorrelated Hedge Fund Returns
Journal of Financial Econometrics, 2015, 13, (4), 868-895 
See also Working Paper (2011)
2013
- Fat tails, VaR and subadditivity
Journal of Econometrics, 2013, 172, (2), 283-291 View citations (41)
- Heavy tails of OLS
Journal of Econometrics, 2013, 172, (2), 205-221 View citations (2)
- Systemic risk and diversification across European banks and insurers
Journal of Banking & Finance, 2013, 37, (3), 773-785 View citations (27)
- The number of active bidders in internet auctions
Journal of Economic Theory, 2013, 148, (4), 1726-1736 View citations (1)
2012
- Contests with rank-order spillovers
Economic Theory, 2012, 51, (2), 315-350 View citations (23)
See also Working Paper (2009)
- IMF Support and Inter-Regime Exchange Rate Volatility
Open Economies Review, 2012, 23, (1), 193-211 
See also Working Paper (2007)
- Simulating and calibrating diversification against black swans
Journal of Economic Dynamics and Control, 2012, 36, (8), 1162-1175 View citations (4)
- The Herodotus paradox
Games and Economic Behavior, 2012, 74, (1), 399-406 View citations (3)
See also Working Paper (2010)
2011
- Indexation, Inflation Targeting cum Output Stabilization & Inflation Fluctuations
Review of Business and Economic Literature, 2011, 56, (4), 394-405 View citations (2)
2010
- 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)
- Heavy tails and currency crises
Journal of Empirical Finance, 2010, 17, (2), 241-254 View citations (20)
2008
- 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
- Portfolio selection with heavy tails
Journal of Empirical Finance, 2007, 14, (3), 383-400 View citations (17)
See also Working Paper (2006)
2006
- Comparing downside risk measures for heavy tailed distributions
Economics Letters, 2006, 92, (2), 202-208 View citations (19)
See also Working Paper (2005)
- Generational Accounting, Solidarity and Pension Losses
De Economist, 2006, 154, (1), 63-83 View citations (41)
See also Working Paper (2004)
- 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
- The simple economics of bank fragility
Journal of Banking & Finance, 2005, 29, (4), 803-825 View citations (65)
See also Working Paper (2004)
2004
- 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
- The Forex Regime and EMU Expansion
Open Economies Review, 2003, 14, (3), 285-298 View citations (2)
See also Working Paper (2002)
2002
- Incentives for effective risk management
Journal of Banking & Finance, 2002, 26, (7), 1407-1425 View citations (11)
See also Working Paper (2001)
2001
- 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
- Endogeneity in European money demand
European Journal of Political Economy, 2000, 16, (4), 587-609 View citations (12)
- Portfolio selection with limited downside risk
Journal of Empirical Finance, 2000, 7, (3-4), 247-269 View citations (32)
- Value-at-Risk and Extreme Returns
Annals of Economics and Statistics, 2000, (60), 239-270 View citations (87)
See also Working Paper (1998)
1999
- 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
- Abnormal returns, risk, and options in large data sets
Statistica Neerlandica, 1998, 52, (3), 324-335 
See also Working Paper (1998)
- An EMS target zone model in discrete time
Journal of Applied Econometrics, 1998, 13, (1), 31-48 View citations (15)
- 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)
- The value of value at risk: statistical, financial, and regulatory considerations (summary)
Economic Policy Review, 1998, 4, (Oct), 107-108
1996
- The all-pay auction with complete information (*)
Economic Theory, 1996, 8, (2), 291-305 View citations (472)
See also Working Paper (1995)
1995
- A note on the relationship between GARCH and symmetric stable processes
Journal of Empirical Finance, 1995, 2, (3), 253-264 View citations (13)
- New evidence on the effectiveness of foreign exchange market intervention
European Economic Review, 1995, 39, (3-4), 501-508 View citations (2)
- Piecemeal versus Precipitous Factor Market Integration
International Economic Review, 1995, 36, (3), 569-82 View citations (11)
1994
- 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
- Fixing soft margins
Journal of International Economics, 1993, 34, (3-4), 359-374 View citations (2)
- 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
- 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)
- International trade and exchange rate volatility
European Economic Review, 1992, 36, (6), 1311-1321 View citations (98)
See also Working Paper (1989)
- 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)
- Mixed Strategy Trade Equilibria
Canadian Journal of Economics, 1992, 25, (2), 281-93 View citations (7)
- Optimal Localized Production Experience and Schooling
International Economic Review, 1992, 33, (1), 91-110 View citations (2)
1991
- 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)
- On the relation between GARCH and stable processes
Journal of Econometrics, 1991, 48, (3), 313-324 View citations (34)
See also Working Paper (1991)
- The Limiting Distribution of Extremal Exchange Rate Returns
Journal of Applied Econometrics, 1991, 6, (3), 287-302 View citations (43)
1990
- The customs union argument for a monetary union
Journal of Banking & Finance, 1990, 14, (5), 877-887
1989
- 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
- Simulating currency substitution bias
Economics Letters, 1988, 28, (3), 269-272 View citations (1)
- 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
- International Growth with Free Trade in Equities and Goods: A Comment
International Economic Review, 1983, 24, (3), 761-69
Chapters
2007
- 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)
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