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 1 3 4 1,296
Abnormal Returns, Risk, and Options in Large Data Sets 0 0 0 268 0 0 0 1,110
An experimental examination of rational rentseeking 0 0 0 7 1 1 4 49
Asset Market Linkages in Crisis Periods 0 0 0 0 1 1 1 476
Asset Market Linkages in Crisis Periods 0 0 0 144 3 3 9 538
Asset Market Linkages in Crisis Periods 0 0 0 201 0 3 6 481
Asset market linkages in crisis periods 0 0 0 195 2 3 4 780
Asset market linkages in crisis periods 0 0 0 0 1 1 2 68
Asset-Based Lending 0 0 0 42 3 5 9 68
Asset-based lending 0 0 0 24 3 4 7 35
Auctions with Numerous Bidders 0 0 0 54 2 2 2 147
Banking System Stability: A Cross-Atlantic Perspective 0 0 0 151 0 0 4 739
Banking system stability: a cross-Atlantic perspective 0 0 0 230 3 4 8 809
Between Realignments and Intervention: the Belgian Franc in the European Monetary System 0 0 0 0 0 2 4 440
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 528 0 0 0 1,427
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 795 1 1 4 2,047
Challenges in Implementing Worst-Case Analysis 0 0 0 26 0 0 3 37
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 93 0 2 4 599
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 40 2 2 2 425
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 61 4 6 7 212
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 48 5 8 9 219
Comparative Analysis of Litigation Systems: an Auction-Theoretic Approach 0 0 0 39 1 1 2 421
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 2 2 6 816
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 0 1 4 38
Consistent Measures of Risk 0 0 1 289 0 3 7 754
Consistent measures of risk 0 0 0 4 4 4 4 50
Contests with Rank-Order Spillovers 0 0 0 51 2 3 6 230
Contests with Rank-Order Spillovers 0 0 0 52 1 2 3 195
Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series 0 0 0 135 0 0 1 541
Covariates Hiding in the Tails 0 0 0 19 0 3 5 26
Credit Rationing Effects of Credit Value-at-Risk 0 0 0 534 1 2 2 1,862
Currency Futures' Risk Premia and Risk Factors 1 1 1 25 2 3 5 56
Endogenous Financial Structure and the Transmission of ECB Policy 0 0 1 186 0 1 5 674
Estimating a Latent Risk Premium in Exchange Rate Futures 0 0 0 20 2 2 5 55
Extreme Linkages in Financial Markets: Macro Shocks and Systemic Risk 0 0 1 2 1 1 2 9
Fiat Exchange in Finite Economies 0 0 0 0 4 4 6 239
Fiat Exchange in Finite Economies 0 0 0 0 0 1 2 135
Fundamental Volatility is Regime Specific 0 0 0 17 1 1 5 94
Fundamentals and Joint Currency Crises 0 0 1 65 0 1 3 291
Fundamentals and joint currency crises 0 0 0 89 1 1 3 270
Generational Accounting, Solidarity and Pension Losses 0 0 0 97 0 1 2 368
Generational Accounting, Solidarity and Pension Losses 0 0 0 99 1 1 1 417
Generational Accounting, Solidarity and Pension Losses 0 0 0 98 0 0 2 278
Global Stochastic Properties of Dynamic Models and their Linear Approximations 0 0 0 26 1 1 1 55
IMF Support and Inter-regime Exchange rate Volatility 0 0 0 72 0 0 4 194
INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY 0 0 0 0 1 2 2 1,077
Incentives for Effective Risk Management 0 0 0 400 0 0 1 921
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 6 2 2 2 42
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 33 1 1 1 53
It takes two to tango: Equilibria in a model of sales 0 0 0 0 2 2 2 11
Large Swings in Currencies driven by Fundamentals 0 0 0 42 0 0 2 186
Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist 0 0 0 0 0 2 2 146
Monetary Policy in the Presence of Random Wage Indexation 0 0 0 15 2 3 4 35
On the frequency of large stock returns: putting booms and busts into perspective 0 0 1 88 1 3 5 380
On the relation between GARCH and stable processes 0 0 0 0 2 2 2 2
On the relation between GARCH and stable processes 0 0 0 0 1 2 5 15
On the relation between GARCH and stable processes 0 0 0 0 0 0 1 3
Optimal Confidence Intervals for the Tail Index and High Quantiles 0 0 0 70 0 1 1 252
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 249 0 0 2 658
Portfolio Diversification Effects and Regular Variation in Financial Data 0 0 0 150 1 1 2 327
Portfolio Diversification Effects of Downside Risk 0 0 0 266 0 1 2 747
Portfolio Selection with Heavy Tails 0 0 0 104 0 1 1 300
RIGGING THE LOBBYING PROCESS: AN APPLICATION OF THE ALL- PAY AUCTION 0 0 0 3 2 3 6 523
Rigging the Lobbying Process: An Application of the All- Pay Auction 0 0 0 0 0 0 2 366
Risk Diversification by European Financial Conglomerates 0 0 0 232 3 3 3 639
Risk Measures for Autocorrelated Hedge Fund Returns 0 0 0 25 0 0 0 112
Risk measures for autocorrelated hedge fund returns 0 0 0 71 0 1 1 305
Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk 0 0 0 28 2 2 3 109
Stylized Facts of Nominal Exchange Rate Returns 0 0 0 3 2 4 9 927
Subadditivity Re–Examined: the Case for Value-at-Risk 0 0 4 441 2 5 19 1,236
Subadditivity re–examined: the case for value-at-risk 0 0 4 17 1 2 10 115
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 2 30 5 11 21 109
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 0 9 2 3 5 684
Tail Probabilities for Regression Estimators 0 0 0 52 2 3 4 287
Tail index estimation: quantile driven threshold selection 0 0 0 8 0 0 0 87
The All-Pay Auction With Complete Information 0 0 0 7 2 2 3 1,217
The All-Pay Auction with Complete Information 0 0 1 11 0 2 5 36
The All-Pay Auction with Complete Information 0 0 0 0 3 3 5 973
The All-Pay Auction with Complete Information 0 3 9 135 6 9 20 355
The All-Pay Auction with Complete Information 0 0 0 1 0 1 2 579
The All-pay Auction with Complete Information 0 0 2 32 10 11 15 1,317
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets 0 0 1 273 1 1 2 673
The Downside Risk of Heavy Tails induces Low Diversification 0 0 1 24 1 1 4 63
The EURO, Prudent Coherence? 0 0 0 81 0 0 2 422
The Extent of Internet Auction Markets 0 0 0 41 0 0 2 240
The Forex Regime and EMU Expansion 0 0 0 109 1 2 3 494
The Forward Premium Puzzle and Latent Factors Day by Day 0 0 0 73 3 5 5 202
The Forward Premium Puzzle and Latent Factors Day by Day 0 0 0 6 0 0 1 81
The Forward Premium Puzzle only emerges gradually 0 0 0 105 3 7 9 419
The Herodotus Paradox 0 0 0 67 1 3 4 299
The Herodotus Paradox 0 0 0 78 1 2 5 259
The Herodotus Paradox 0 0 0 29 3 4 5 105
The Impact of Competition on Prices with Numerous Firms 0 0 0 73 2 3 6 251
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 129 0 1 1 569
The Solution to the Tullock Rent-Seeking Game when R > 2: Mixed Strategy Equilibria and Mean Dissipation Rates 0 0 0 0 0 0 1 349
The Solution to the Tullock Rent-Seeking Game when r>2: Mixed-Strategy Equilibria and Mean Dissipation Rates 0 0 0 1 1 1 2 617
The cross-section of tail risks in stock returns 0 0 1 49 1 1 5 116
The drivers of downside equity tail risk 0 0 0 38 0 0 3 89
The forward premium puzzle and latent factors day by day 0 0 0 9 0 1 3 66
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 446 3 4 7 1,810
Using a bootstrap method to choose the sample fraction in tail index estimation 0 1 1 26 5 7 8 155
VaR stress for highly non-linear portfolios 0 0 0 4 0 0 0 16
Value-at-Risk and Extreme Returns 0 0 2 1,310 1 3 6 3,043
Weak & Strong Financial Fragility 0 0 0 72 0 1 4 215
Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities 0 0 0 71 0 0 1 308
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 9 0 0 2 43
World Equity Premium Based Risk Aversion Estimates 0 0 0 34 0 2 2 114
World Equity Premium based Risk Aversion Estimates 0 0 0 45 1 2 3 101
Total Working Papers 1 5 34 11,106 139 229 445 46,320

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 1 1 2 105
Abnormal returns, risk, and options in large data sets 0 0 0 0 2 3 3 8
An EMS target zone model in discrete time 0 0 0 55 1 2 3 340
An experimental examination of rational rent-seeking 0 0 0 96 3 3 3 273
Asset Market Linkages in Crisis Periods 0 0 4 458 8 9 14 1,209
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 1 2 3 214
Contests with rank-order spillovers 0 0 0 27 2 3 5 111
Differences between foreign exchange rate regimes: The view from the tails 0 0 0 53 1 1 1 199
Endogeneity in European money demand 0 0 0 36 2 3 7 130
Exploiting tail shape biases to discriminate between stable and student t alternatives 0 0 1 7 1 3 6 34
Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes 0 0 1 20 1 2 3 80
Fat tails, VaR and subadditivity 0 0 3 138 0 0 13 533
Fixing soft margins 0 0 0 2 2 2 4 64
Generational Accounting, Solidarity and Pension Losses 0 0 0 64 0 0 1 203
Global stochastic properties of dynamic models and their linear approximations 0 0 0 24 0 0 2 101
Heavy tails and currency crises 0 0 1 51 1 1 3 240
Heavy tails of OLS 0 0 1 29 2 5 10 213
IMF Support and Inter-Regime Exchange Rate Volatility 0 0 0 13 1 2 4 85
Incentives for effective risk management 0 0 0 104 0 0 0 321
Indexation, Inflation Targeting cum Output Stabilization & Inflation Fluctuations 0 0 0 0 0 1 2 257
International Growth with Free Trade in Equities and Goods: A Comment 0 0 0 4 0 2 3 47
International trade and exchange rate volatility 0 0 2 901 1 2 8 2,352
It takes two to tango: Equilibria in a model of sales 0 0 0 231 3 3 5 513
Mixed Strategy Trade Equilibria 0 0 0 10 1 1 5 160
New evidence on the effectiveness of foreign exchange market intervention 0 0 0 5 0 0 1 79
On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective 0 0 2 242 0 1 6 661
On the relation between GARCH and stable processes 0 0 0 19 3 3 4 84
Optimal Localized Production Experience and Schooling 0 0 0 8 0 1 1 101
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 54 0 1 2 200
Piecemeal versus Precipitous Factor Market Integration 0 0 0 21 1 1 2 243
Portfolio selection with heavy tails 0 0 0 34 0 1 4 101
Portfolio selection with limited downside risk 1 1 2 154 2 3 9 406
Rigging the Lobbying Process: An Application of the All-Pay Auction 0 0 2 411 0 3 11 972
Risk Measures for Autocorrelated Hedge Fund Returns 0 0 0 10 0 0 1 54
Simulating and calibrating diversification against black swans 0 0 0 26 0 1 2 84
Simulating currency substitution bias 0 0 0 5 0 0 2 37
Systemic risk and diversification across European banks and insurers 0 0 0 110 0 2 3 320
The Forex Regime and EMU Expansion 0 0 0 16 0 0 2 182
The Herodotus paradox 0 0 0 18 3 5 7 91
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 32 1 1 2 113
The Limiting Distribution of Extremal Exchange Rate Returns 0 0 0 91 1 2 3 296
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 1 2 11 420
The Term Structure of Currency Futures' Risk Premia 0 0 0 0 1 2 4 18
The all-pay auction with complete information (*) 0 0 0 0 4 7 12 1,026
The customs union argument for a monetary union 0 0 0 13 1 1 3 175
The impact of competition on prices with numerous firms 0 0 0 44 3 4 8 217
The number of active bidders in internet auctions 0 0 0 2 0 0 2 49
The simple economics of bank fragility 0 0 1 200 0 0 1 508
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 1 1 2 357
Theory and Relevance of Currency Substitution with Case Studies for Canada and the Netherlands Antilles 0 0 0 12 1 1 4 82
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 0 1 1 77 3 9 12 206
VaR stress tests for highly non‐linear portfolios 0 0 1 1 0 0 1 1
Value-at-Risk and Extreme Returns 3 4 8 74 5 13 28 251
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 30 0 1 3 144
Total Journal Articles 4 6 30 4,303 65 117 263 15,270

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 1 1 1 99 3 4 9 354
Total Chapters 1 1 1 99 3 4 9 354

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Statistics updated 2025-12-06