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 2 2 9 1,304
Abnormal Returns, Risk, and Options in Large Data Sets 0 1 1 269 2 3 9 1,119
An experimental examination of rational rentseeking 0 0 0 7 1 1 6 54
Asset Market Linkages in Crisis Periods 0 0 0 0 2 4 17 492
Asset Market Linkages in Crisis Periods 0 0 0 201 1 4 22 503
Asset Market Linkages in Crisis Periods 0 0 0 144 0 2 27 562
Asset market linkages in crisis periods 0 0 0 195 3 5 20 798
Asset market linkages in crisis periods 0 0 0 0 2 3 16 83
Asset-Based Lending 0 0 0 42 4 6 22 87
Asset-based lending 0 0 0 24 3 4 22 54
Auctions with Numerous Bidders 0 0 0 54 2 2 13 158
Banking System Stability: A Cross-Atlantic Perspective 0 0 0 151 3 3 13 752
Banking system stability: a cross-Atlantic perspective 0 0 0 230 3 4 20 826
Between Realignments and Intervention: the Belgian Franc in the European Monetary System 0 0 0 0 0 0 6 446
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 528 3 3 10 1,437
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 795 2 2 19 2,065
Challenges in Implementing Worst-Case Analysis 0 0 0 26 2 2 12 49
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 48 0 0 15 229
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 61 2 2 41 249
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 93 2 2 10 609
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 40 1 1 16 439
Comparative Analysis of Litigation Systems: an Auction-Theoretic Approach 0 0 0 39 1 1 17 437
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 2 4 14 828
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 5 5 9 47
Consistent Measures of Risk 0 0 0 289 4 5 20 774
Consistent measures of risk 0 0 1 5 3 4 19 65
Contests with Rank-Order Spillovers 0 0 0 52 2 2 12 206
Contests with Rank-Order Spillovers 0 0 0 51 0 0 10 238
Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series 0 0 0 135 3 3 10 551
Covariates Hiding in the Tails 0 1 1 20 6 7 18 44
Credit Rationing Effects of Credit Value-at-Risk 0 0 0 534 3 4 18 1,879
Currency Futures' Risk Premia and Risk Factors 0 1 3 27 1 4 28 82
Endogenous Financial Structure and the Transmission of ECB Policy 0 0 0 186 3 3 12 686
Estimating a Latent Risk Premium in Exchange Rate Futures 0 0 0 20 0 1 21 74
Extreme Linkages in Financial Markets: Macro Shocks and Systemic Risk 0 0 0 2 1 1 16 24
Fiat Exchange in Finite Economies 0 0 0 0 1 1 11 246
Fiat Exchange in Finite Economies 0 0 0 0 0 1 12 147
Fundamental Volatility is Regime Specific 0 0 0 17 4 4 10 103
Fundamentals and Joint Currency Crises 0 0 0 65 3 4 11 302
Fundamentals and joint currency crises 0 0 0 89 3 3 15 284
Generational Accounting, Solidarity and Pension Losses 0 0 0 98 2 2 7 285
Generational Accounting, Solidarity and Pension Losses 0 0 0 97 4 4 10 378
Generational Accounting, Solidarity and Pension Losses 0 0 0 99 2 2 18 434
Global Stochastic Properties of Dynamic Models and their Linear Approximations 0 0 0 26 4 4 16 70
IMF Support and Inter-regime Exchange rate Volatility 0 0 0 72 3 3 9 203
INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY 0 0 0 0 3 4 15 1,091
Incentives for Effective Risk Management 0 0 0 400 3 3 9 930
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 6 0 0 9 49
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 33 0 2 16 68
It takes two to tango: Equilibria in a model of sales 0 0 0 0 1 1 36 45
Large Swings in Currencies driven by Fundamentals 0 0 0 42 1 1 13 199
Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist 0 0 0 0 2 3 7 153
Monetary Policy in the Presence of Random Wage Indexation 0 0 0 15 1 2 10 43
On the frequency of large stock returns: putting booms and busts into perspective 0 0 0 88 3 5 24 403
On the relation between GARCH and stable processes 0 0 0 0 0 0 4 7
On the relation between GARCH and stable processes 0 0 0 0 3 3 9 23
On the relation between GARCH and stable processes 0 0 0 0 1 1 9 9
Optimal Confidence Intervals for the Tail Index and High Quantiles 0 0 0 70 0 0 12 264
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 249 3 3 13 671
Portfolio Diversification Effects and Regular Variation in Financial Data 0 0 0 150 1 2 6 332
Portfolio Diversification Effects of Downside Risk 0 0 0 266 1 2 4 751
Portfolio Selection with Heavy Tails 0 0 0 104 4 5 8 308
RIGGING THE LOBBYING PROCESS: AN APPLICATION OF THE ALL- PAY AUCTION 0 0 0 3 1 3 18 539
Rigging the Lobbying Process: An Application of the All- Pay Auction 0 0 0 0 0 2 20 386
Risk Diversification by European Financial Conglomerates 0 0 1 233 2 3 19 655
Risk Measures for Autocorrelated Hedge Fund Returns 0 0 0 25 1 3 17 129
Risk measures for autocorrelated hedge fund returns 0 0 1 72 2 2 14 319
Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk 0 0 0 28 1 3 15 122
Stylized Facts of Nominal Exchange Rate Returns 0 0 0 3 1 4 16 941
Subadditivity Re–Examined: the Case for Value-at-Risk 0 0 3 444 4 5 24 1,258
Subadditivity re–examined: the case for value-at-risk 0 0 0 17 1 1 12 126
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 0 30 2 4 23 127
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 1 10 1 1 10 692
Tail Probabilities for Regression Estimators 0 0 0 52 4 5 13 298
Tail index estimation: quantile driven threshold selection 0 0 1 9 1 1 9 96
The All-Pay Auction With Complete Information 0 0 0 7 6 8 35 1,250
The All-Pay Auction with Complete Information 0 0 0 135 4 6 25 374
The All-Pay Auction with Complete Information 0 0 0 0 2 3 26 996
The All-Pay Auction with Complete Information 0 0 0 11 3 4 10 46
The All-Pay Auction with Complete Information 0 0 0 1 2 5 29 608
The All-pay Auction with Complete Information 0 0 1 33 1 3 49 1,356
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets 0 0 1 274 0 1 8 680
The Downside Risk of Heavy Tails induces Low Diversification 0 0 0 24 0 2 15 77
The EURO, Prudent Coherence? 0 0 0 81 1 1 8 430
The Extent of Internet Auction Markets 0 0 0 41 5 5 10 250
The Forex Regime and EMU Expansion 0 0 0 109 2 2 8 501
The Forward Premium Puzzle and Latent Factors Day by Day 0 0 0 73 1 1 10 209
The Forward Premium Puzzle and Latent Factors Day by Day 0 0 0 6 1 2 10 91
The Forward Premium Puzzle only emerges gradually 0 0 0 105 3 5 31 447
The Herodotus Paradox 0 0 1 68 2 2 12 310
The Herodotus Paradox 0 0 0 29 0 1 16 118
The Herodotus Paradox 0 0 0 78 1 2 8 266
The Impact of Competition on Prices with Numerous Firms 0 0 1 74 1 1 19 268
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 129 3 5 13 582
The Solution to the Tullock Rent-Seeking Game when R > 2: Mixed Strategy Equilibria and Mean Dissipation Rates 0 0 0 0 0 0 5 354
The Solution to the Tullock Rent-Seeking Game when r>2: Mixed-Strategy Equilibria and Mean Dissipation Rates 0 0 0 1 0 0 6 622
The cross-section of tail risks in stock returns 0 0 0 49 1 1 16 131
The drivers of downside equity tail risk 0 0 0 38 0 2 14 103
The forward premium puzzle and latent factors day by day 0 0 0 9 1 1 10 76
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 446 1 3 18 1,825
Using a bootstrap method to choose the sample fraction in tail index estimation 0 0 3 29 2 3 19 169
VaR stress for highly non-linear portfolios 0 0 0 4 2 2 8 24
Value-at-Risk and Extreme Returns 0 0 1 1,311 1 1 12 3,054
Weak & Strong Financial Fragility 0 0 0 72 2 4 8 223
Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities 0 0 0 71 0 0 8 316
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 9 0 0 8 51
World Equity Premium Based Risk Aversion Estimates 0 0 0 34 1 1 9 123
World Equity Premium based Risk Aversion Estimates 0 0 0 45 2 3 14 114
Total Working Papers 0 3 21 11,126 199 281 1,599 47,780

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 4 4 11 115
Abnormal returns, risk, and options in large data sets 0 0 0 0 1 2 6 12
An EMS target zone model in discrete time 0 0 0 55 2 4 19 358
An experimental examination of rational rent-seeking 0 0 1 97 2 2 15 285
Asset Market Linkages in Crisis Periods 0 0 0 458 3 3 32 1,233
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 2 2 14 227
Contests with rank-order spillovers 0 0 0 27 1 1 43 152
Differences between foreign exchange rate regimes: The view from the tails 0 0 0 53 0 0 6 204
Endogeneity in European money demand 0 0 0 36 3 4 13 141
Exploiting tail shape biases to discriminate between stable and student t alternatives 0 0 1 8 3 5 9 42
Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes 0 0 0 20 1 1 10 89
Fat tails, VaR and subadditivity 0 0 2 140 1 2 23 556
Fixing soft margins 0 0 0 2 4 5 15 77
Generational Accounting, Solidarity and Pension Losses 0 0 0 64 2 2 9 212
Global stochastic properties of dynamic models and their linear approximations 0 0 0 24 0 0 5 106
Heavy tails and currency crises 0 0 0 51 1 1 9 248
Heavy tails of OLS 0 0 0 29 3 3 12 223
IMF Support and Inter-Regime Exchange Rate Volatility 0 0 0 13 3 4 22 106
Incentives for effective risk management 0 0 0 104 2 2 8 329
Indexation, Inflation Targeting cum Output Stabilization & Inflation Fluctuations 0 0 0 0 3 3 9 266
International Growth with Free Trade in Equities and Goods: A Comment 0 0 0 4 0 0 1 48
International trade and exchange rate volatility 0 0 3 904 1 2 21 2,372
It takes two to tango: Equilibria in a model of sales 0 1 2 233 0 1 14 524
Mixed Strategy Trade Equilibria 1 1 1 11 6 6 13 172
New evidence on the effectiveness of foreign exchange market intervention 0 0 0 5 2 2 8 87
On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective 0 1 3 245 3 6 15 676
On the relation between GARCH and stable processes 0 0 1 20 4 4 16 97
Optimal Localized Production Experience and Schooling 0 0 0 8 1 1 9 110
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 54 1 2 12 212
Piecemeal versus Precipitous Factor Market Integration 0 0 0 21 0 0 9 251
Portfolio selection with heavy tails 0 0 0 34 3 4 13 114
Portfolio selection with limited downside risk 0 0 2 155 4 6 16 420
Rigging the Lobbying Process: An Application of the All-Pay Auction 0 0 0 411 2 5 27 999
Risk Measures for Autocorrelated Hedge Fund Returns 0 0 0 10 4 4 13 67
Simulating and calibrating diversification against black swans 0 0 0 26 2 2 7 91
Simulating currency substitution bias 0 0 0 5 2 2 5 42
Systemic risk and diversification across European banks and insurers 0 0 1 111 1 3 10 330
The Forex Regime and EMU Expansion 0 0 0 16 0 0 7 189
The Herodotus paradox 0 0 0 18 0 0 17 105
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 32 2 2 12 124
The Limiting Distribution of Extremal Exchange Rate Returns 0 0 0 91 1 2 8 303
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 3 4 19 438
The Term Structure of Currency Futures' Risk Premia 0 0 1 1 3 3 14 31
The all-pay auction with complete information (*) 0 0 0 0 1 2 30 1,052
The customs union argument for a monetary union 0 0 0 13 3 3 7 181
The impact of competition on prices with numerous firms 0 0 0 44 2 4 16 230
The number of active bidders in internet auctions 0 0 0 2 1 1 12 61
The simple economics of bank fragility 0 0 0 200 3 3 10 518
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 1 1 9 365
Theory and Relevance of Currency Substitution with Case Studies for Canada and the Netherlands Antilles 0 0 0 12 1 2 3 84
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 1 2 3 80 5 7 32 235
VaR stress tests for highly non‐linear portfolios 0 0 0 1 2 3 7 8
Value-at-Risk and Extreme Returns 2 2 9 80 3 6 35 281
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 30 1 1 6 150
Total Journal Articles 4 7 30 4,329 109 144 743 15,948

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 4 24 375
Total Chapters 0 0 1 99 2 4 24 375

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Statistics updated 2026-11-12