Access Statistics for Casper G. de Vries

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Hybrid Joint Moment Ratio Test for Financial Time Series 0 0 0 249 0 1 10 1,302
Abnormal Returns, Risk, and Options in Large Data Sets 0 0 0 268 0 0 6 1,116
An experimental examination of rational rentseeking 0 0 0 7 0 2 7 53
Asset Market Linkages in Crisis Periods 0 0 0 144 0 2 24 559
Asset Market Linkages in Crisis Periods 0 0 0 201 0 3 20 498
Asset Market Linkages in Crisis Periods 0 0 0 0 0 2 13 488
Asset market linkages in crisis periods 0 0 0 195 0 2 16 793
Asset market linkages in crisis periods 0 0 0 0 1 5 13 79
Asset-Based Lending 0 0 0 42 0 6 18 80
Asset-based lending 0 0 0 24 0 4 18 49
Auctions with Numerous Bidders 0 0 0 54 0 5 11 156
Banking System Stability: A Cross-Atlantic Perspective 0 0 0 151 0 2 10 749
Banking system stability: a cross-Atlantic perspective 0 0 0 230 0 4 15 820
Between Realignments and Intervention: the Belgian Franc in the European Monetary System 0 0 0 0 1 2 8 446
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 528 0 1 7 1,434
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 795 2 4 18 2,063
Challenges in Implementing Worst-Case Analysis 0 0 0 26 0 5 10 47
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 93 0 2 10 607
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 48 0 4 18 229
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 40 0 1 14 437
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 61 0 2 41 247
Comparative Analysis of Litigation Systems: an Auction-Theoretic Approach 0 0 0 39 0 1 16 436
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 0 2 11 824
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 0 1 7 42
Consistent Measures of Risk 0 0 1 289 1 7 21 769
Consistent measures of risk 0 1 1 5 0 6 15 61
Contests with Rank-Order Spillovers 0 0 0 51 0 4 13 238
Contests with Rank-Order Spillovers 0 0 0 52 0 0 11 203
Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series 0 0 0 135 0 3 7 548
Covariates Hiding in the Tails 0 0 0 19 1 4 14 37
Credit Rationing Effects of Credit Value-at-Risk 0 0 0 534 1 5 14 1,874
Currency Futures' Risk Premia and Risk Factors 0 0 2 26 0 4 24 77
Endogenous Financial Structure and the Transmission of ECB Policy 0 0 0 186 0 3 9 682
Estimating a Latent Risk Premium in Exchange Rate Futures 0 0 0 20 0 2 20 73
Extreme Linkages in Financial Markets: Macro Shocks and Systemic Risk 0 0 0 2 0 3 15 23
Fiat Exchange in Finite Economies 0 0 0 0 0 0 12 146
Fiat Exchange in Finite Economies 0 0 0 0 0 1 10 245
Fundamental Volatility is Regime Specific 0 0 0 17 0 1 6 99
Fundamentals and Joint Currency Crises 0 0 0 65 0 3 8 298
Fundamentals and joint currency crises 0 0 0 89 1 6 12 281
Generational Accounting, Solidarity and Pension Losses 0 0 0 99 0 3 16 432
Generational Accounting, Solidarity and Pension Losses 0 0 0 97 1 2 7 374
Generational Accounting, Solidarity and Pension Losses 0 0 0 98 0 2 5 283
Global Stochastic Properties of Dynamic Models and their Linear Approximations 0 0 0 26 0 8 12 66
IMF Support and Inter-regime Exchange rate Volatility 0 0 0 72 1 3 7 200
INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY 0 0 0 0 1 2 12 1,087
Incentives for Effective Risk Management 0 0 0 400 0 2 7 927
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 33 0 4 14 66
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 6 0 2 9 49
It takes two to tango: Equilibria in a model of sales 0 0 0 0 0 2 35 44
Large Swings in Currencies driven by Fundamentals 0 0 0 42 0 0 13 198
Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist 0 0 0 0 0 0 6 150
Monetary Policy in the Presence of Random Wage Indexation 0 0 0 15 0 2 9 41
On the frequency of large stock returns: putting booms and busts into perspective 0 0 0 88 0 3 21 398
On the relation between GARCH and stable processes 0 0 0 0 1 2 5 7
On the relation between GARCH and stable processes 0 0 0 0 0 1 8 8
On the relation between GARCH and stable processes 0 0 0 0 0 0 7 20
Optimal Confidence Intervals for the Tail Index and High Quantiles 0 0 0 70 0 4 13 264
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 249 0 1 12 668
Portfolio Diversification Effects and Regular Variation in Financial Data 0 0 0 150 0 1 4 330
Portfolio Diversification Effects of Downside Risk 0 0 0 266 1 1 3 749
Portfolio Selection with Heavy Tails 0 0 0 104 0 0 4 303
RIGGING THE LOBBYING PROCESS: AN APPLICATION OF THE ALL- PAY AUCTION 0 0 0 3 0 3 18 536
Rigging the Lobbying Process: An Application of the All- Pay Auction 0 0 0 0 2 7 18 384
Risk Diversification by European Financial Conglomerates 0 1 1 233 0 6 15 651
Risk Measures for Autocorrelated Hedge Fund Returns 0 0 0 25 0 9 14 126
Risk measures for autocorrelated hedge fund returns 1 1 1 72 1 5 13 317
Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk 0 0 0 28 0 0 12 119
Stylized Facts of Nominal Exchange Rate Returns 0 0 0 3 1 2 14 937
Subadditivity Re–Examined: the Case for Value-at-Risk 1 1 3 444 2 8 23 1,252
Subadditivity re–examined: the case for value-at-risk 0 0 1 17 1 6 14 125
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 1 30 2 8 27 123
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 1 10 0 1 10 691
Tail Probabilities for Regression Estimators 0 0 0 52 0 3 9 293
Tail index estimation: quantile driven threshold selection 0 0 0 8 1 2 7 94
The All-Pay Auction With Complete Information 0 0 0 7 0 11 27 1,241
The All-Pay Auction with Complete Information 0 0 0 1 1 13 25 603
The All-Pay Auction with Complete Information 0 0 3 135 1 3 24 367
The All-Pay Auction with Complete Information 0 0 0 11 1 1 9 42
The All-Pay Auction with Complete Information 0 0 0 0 1 12 25 993
The All-pay Auction with Complete Information 0 1 2 33 1 5 48 1,353
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets 0 0 2 274 0 0 8 679
The Downside Risk of Heavy Tails induces Low Diversification 0 0 1 24 0 1 15 75
The EURO, Prudent Coherence? 0 0 0 81 1 4 7 429
The Extent of Internet Auction Markets 0 0 0 41 0 2 7 245
The Forex Regime and EMU Expansion 0 0 0 109 0 0 7 499
The Forward Premium Puzzle and Latent Factors Day by Day 0 0 0 6 0 2 8 89
The Forward Premium Puzzle and Latent Factors Day by Day 0 0 0 73 0 3 10 207
The Forward Premium Puzzle only emerges gradually 0 0 0 105 0 5 29 441
The Herodotus Paradox 0 0 0 78 0 1 7 264
The Herodotus Paradox 0 1 1 68 0 4 13 308
The Herodotus Paradox 0 0 0 29 1 3 16 117
The Impact of Competition on Prices with Numerous Firms 0 0 0 73 1 8 18 265
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 129 0 2 9 577
The Solution to the Tullock Rent-Seeking Game when R > 2: Mixed Strategy Equilibria and Mean Dissipation Rates 0 0 0 0 1 4 6 354
The Solution to the Tullock Rent-Seeking Game when r>2: Mixed-Strategy Equilibria and Mean Dissipation Rates 0 0 0 1 0 1 7 622
The cross-section of tail risks in stock returns 0 0 0 49 0 5 15 129
The drivers of downside equity tail risk 0 0 0 38 0 2 14 101
The forward premium puzzle and latent factors day by day 0 0 0 9 0 1 11 75
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 446 0 4 18 1,822
Using a bootstrap method to choose the sample fraction in tail index estimation 0 1 3 28 0 5 17 165
VaR stress for highly non-linear portfolios 0 0 0 4 0 1 6 22
Value-at-Risk and Extreme Returns 0 1 1 1,311 0 3 13 3,053
Weak & Strong Financial Fragility 0 0 0 72 1 2 6 219
Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities 0 0 0 71 1 4 8 316
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 9 1 2 9 51
World Equity Premium Based Risk Aversion Estimates 0 0 0 34 0 3 10 122
World Equity Premium based Risk Aversion Estimates 0 0 0 45 0 1 13 111
Total Working Papers 2 8 25 11,120 35 338 1,440 47,476

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A note on the relationship between GARCH and symmetric stable processes 0 0 0 36 0 3 7 111
Abnormal returns, risk, and options in large data sets 0 0 0 0 0 0 5 10
An EMS target zone model in discrete time 0 0 0 55 1 3 15 353
An experimental examination of rational rent-seeking 0 0 1 97 0 4 13 283
Asset Market Linkages in Crisis Periods 0 0 1 458 2 5 30 1,229
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 0 3 13 224
Contests with rank-order spillovers 0 0 0 27 0 1 43 150
Differences between foreign exchange rate regimes: The view from the tails 0 0 0 53 1 3 6 204
Endogeneity in European money demand 0 0 0 36 2 3 12 137
Exploiting tail shape biases to discriminate between stable and student t alternatives 0 0 2 8 0 0 7 37
Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes 0 0 0 20 0 3 9 87
Fat tails, VaR and subadditivity 1 1 3 140 3 10 26 554
Fixing soft margins 0 0 0 2 0 2 11 71
Generational Accounting, Solidarity and Pension Losses 0 0 0 64 0 2 7 210
Global stochastic properties of dynamic models and their linear approximations 0 0 0 24 0 4 7 106
Heavy tails and currency crises 0 0 0 51 0 2 8 247
Heavy tails of OLS 0 0 0 29 0 2 15 220
IMF Support and Inter-Regime Exchange Rate Volatility 0 0 0 13 1 5 19 102
Incentives for effective risk management 0 0 0 104 0 1 6 327
Indexation, Inflation Targeting cum Output Stabilization & Inflation Fluctuations 0 0 0 0 0 0 6 262
International Growth with Free Trade in Equities and Goods: A Comment 0 0 0 4 0 1 4 48
International trade and exchange rate volatility 0 1 3 904 3 7 18 2,368
It takes two to tango: Equilibria in a model of sales 0 0 0 231 1 2 12 522
Mixed Strategy Trade Equilibria 0 0 0 10 0 4 9 165
New evidence on the effectiveness of foreign exchange market intervention 0 0 0 5 0 4 7 85
On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective 0 0 2 244 0 1 11 670
On the relation between GARCH and stable processes 0 0 1 20 0 2 12 93
Optimal Localized Production Experience and Schooling 0 0 0 8 0 1 8 108
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 54 0 2 11 210
Piecemeal versus Precipitous Factor Market Integration 0 0 0 21 0 5 10 251
Portfolio selection with heavy tails 0 0 0 34 1 3 10 110
Portfolio selection with limited downside risk 0 0 2 155 0 3 12 414
Rigging the Lobbying Process: An Application of the All-Pay Auction 0 0 0 411 2 5 25 994
Risk Measures for Autocorrelated Hedge Fund Returns 0 0 0 10 0 2 10 63
Simulating and calibrating diversification against black swans 0 0 0 26 0 2 6 89
Simulating currency substitution bias 0 0 0 5 0 1 4 40
Systemic risk and diversification across European banks and insurers 0 0 1 111 0 0 8 326
The Forex Regime and EMU Expansion 0 0 0 16 0 2 8 189
The Herodotus paradox 0 0 0 18 0 3 19 103
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 32 1 5 11 122
The Limiting Distribution of Extremal Exchange Rate Returns 0 0 0 91 0 1 7 301
The Solution to the Tullock Rent-Seeking Game When R Is Greater Than 2: Mixed-Strategy Equilibria and Mean Dissipation Rates 0 0 0 0 0 6 20 433
The Term Structure of Currency Futures' Risk Premia 0 0 1 1 0 5 12 27
The all-pay auction with complete information (*) 0 0 0 0 5 11 28 1,047
The customs union argument for a monetary union 0 0 0 13 0 2 5 178
The impact of competition on prices with numerous firms 0 0 0 44 1 2 14 226
The number of active bidders in internet auctions 0 0 0 2 0 4 12 59
The simple economics of bank fragility 0 0 0 200 0 4 7 515
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 0 2 9 364
Theory and Relevance of Currency Substitution with Case Studies for Canada and the Netherlands Antilles 0 0 0 12 0 0 3 82
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 1 1 2 78 2 7 32 227
VaR stress tests for highly non‐linear portfolios 0 0 0 1 0 2 2 3
Value-at-Risk and Extreme Returns 0 0 7 77 1 5 35 272
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 30 0 1 7 149
Total Journal Articles 2 3 26 4,320 27 163 673 15,777

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Banking System Stability. A Cross-Atlantic Perspective 0 0 1 99 2 8 20 370
Total Chapters 0 0 1 99 2 8 20 370

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Statistics updated 2026-07-10