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 1 1,293
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 2 3 48
Asset Market Linkages in Crisis Periods 0 0 0 0 0 0 0 475
Asset Market Linkages in Crisis Periods 0 0 0 201 0 1 3 478
Asset Market Linkages in Crisis Periods 0 0 0 144 0 1 8 535
Asset market linkages in crisis periods 0 0 0 195 0 0 1 777
Asset market linkages in crisis periods 0 0 0 0 1 1 1 67
Asset-Based Lending 0 0 0 42 1 1 5 63
Asset-based lending 0 0 0 24 0 0 3 31
Auctions with Numerous Bidders 0 0 0 54 0 0 0 145
Banking System Stability: A Cross-Atlantic Perspective 0 0 0 151 0 0 7 739
Banking system stability: a cross-Atlantic perspective 0 0 0 230 0 0 5 805
Between Realignments and Intervention: the Belgian Franc in the European Monetary System 0 0 0 0 0 0 2 438
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 2 3 2,046
Challenges in Implementing Worst-Case Analysis 0 0 0 26 0 0 4 37
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 93 0 1 2 597
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 40 0 0 0 423
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 61 0 0 1 206
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 48 0 0 1 211
Comparative Analysis of Litigation Systems: an Auction-Theoretic Approach 0 0 0 39 0 1 1 420
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 1 1 4 814
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 2 2 3 37
Consistent Measures of Risk 0 1 1 289 1 3 4 751
Consistent measures of risk 0 0 0 4 0 0 0 46
Contests with Rank-Order Spillovers 0 0 0 51 1 2 4 227
Contests with Rank-Order Spillovers 0 0 0 52 1 1 1 193
Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series 0 0 1 135 0 0 2 541
Covariates Hiding in the Tails 0 0 0 19 0 0 2 23
Credit Rationing Effects of Credit Value-at-Risk 0 0 0 534 0 0 0 1,860
Currency Futures' Risk Premia and Risk Factors 0 0 0 24 0 1 2 53
Endogenous Financial Structure and the Transmission of ECB Policy 0 0 1 186 0 0 4 673
Estimating a Latent Risk Premium in Exchange Rate Futures 0 0 0 20 0 0 3 53
Extreme Linkages in Financial Markets: Macro Shocks and Systemic Risk 0 0 1 2 0 0 1 8
Fiat Exchange in Finite Economies 0 0 0 0 0 1 2 235
Fiat Exchange in Finite Economies 0 0 0 0 0 0 1 134
Fundamental Volatility is Regime Specific 0 0 0 17 0 0 5 93
Fundamentals and Joint Currency Crises 0 0 1 65 0 0 2 290
Fundamentals and joint currency crises 0 0 0 89 0 0 2 269
Generational Accounting, Solidarity and Pension Losses 0 0 0 97 0 0 1 367
Generational Accounting, Solidarity and Pension Losses 0 0 0 98 0 0 2 278
Generational Accounting, Solidarity and Pension Losses 0 0 0 99 0 0 2 416
Global Stochastic Properties of Dynamic Models and their Linear Approximations 0 0 0 26 0 0 0 54
IMF Support and Inter-regime Exchange rate Volatility 0 0 0 72 1 1 4 194
INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY 0 0 0 0 0 0 1 1,075
Incentives for Effective Risk Management 0 0 0 400 0 1 1 921
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 33 0 0 0 52
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 6 0 0 1 40
It takes two to tango: Equilibria in a model of sales 0 0 0 0 0 0 0 9
Large Swings in Currencies driven by Fundamentals 0 0 0 42 1 1 3 186
Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist 0 0 0 0 0 0 0 144
Monetary Policy in the Presence of Random Wage Indexation 0 0 0 15 0 0 2 32
On the frequency of large stock returns: putting booms and busts into perspective 0 0 2 88 0 0 3 377
On the relation between GARCH and stable processes 0 0 0 0 0 0 3 13
On the relation between GARCH and stable processes 0 0 0 0 1 1 1 3
On the relation between GARCH and stable processes 0 0 0 0 0 0 0 0
Optimal Confidence Intervals for the Tail Index and High Quantiles 0 0 0 70 0 0 0 251
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 249 2 2 2 658
Portfolio Diversification Effects and Regular Variation in Financial Data 0 0 0 150 0 0 2 326
Portfolio Diversification Effects of Downside Risk 0 0 0 266 0 0 1 746
Portfolio Selection with Heavy Tails 0 0 0 104 0 0 0 299
RIGGING THE LOBBYING PROCESS: AN APPLICATION OF THE ALL- PAY AUCTION 0 0 0 3 0 3 4 520
Rigging the Lobbying Process: An Application of the All- Pay Auction 0 0 0 0 0 0 3 366
Risk Diversification by European Financial Conglomerates 0 0 0 232 0 0 0 636
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 0 0 304
Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk 0 0 0 28 0 0 1 107
Stylized Facts of Nominal Exchange Rate Returns 0 0 0 3 0 0 6 923
Subadditivity Re–Examined: the Case for Value-at-Risk 0 0 4 441 1 3 16 1,231
Subadditivity re–examined: the case for value-at-risk 1 1 5 17 1 2 9 113
Tail Index Estimation: Quantile-Driven Threshold Selection 0 1 3 30 0 2 12 98
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 0 9 0 1 2 681
Tail Probabilities for Regression Estimators 0 0 2 52 0 0 3 284
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 0 1 2 1,215
The All-Pay Auction with Complete Information 0 1 8 132 1 4 14 346
The All-Pay Auction with Complete Information 0 0 1 11 1 1 3 34
The All-Pay Auction with Complete Information 0 0 0 0 1 2 2 970
The All-Pay Auction with Complete Information 0 0 0 1 0 0 2 578
The All-pay Auction with Complete Information 0 1 2 32 0 1 5 1,306
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets 1 1 1 273 1 1 3 672
The Downside Risk of Heavy Tails induces Low Diversification 1 1 1 24 2 2 3 62
The EURO, Prudent Coherence? 0 0 0 81 0 0 2 422
The Extent of Internet Auction Markets 0 0 0 41 2 2 2 240
The Forex Regime and EMU Expansion 0 0 0 109 0 0 1 492
The Forward Premium Puzzle and Latent Factors Day by Day 0 0 0 73 0 0 0 197
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 0 1 2 412
The Herodotus Paradox 0 0 0 29 0 0 1 101
The Herodotus Paradox 0 0 0 78 0 1 3 257
The Herodotus Paradox 0 0 0 67 1 1 1 296
The Impact of Competition on Prices with Numerous Firms 0 0 0 73 1 1 3 248
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 129 0 0 0 568
The Solution to the Tullock Rent-Seeking Game when R > 2: Mixed Strategy Equilibria and Mean Dissipation Rates 0 0 0 0 1 1 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 1 616
The cross-section of tail risks in stock returns 0 1 1 49 0 3 5 115
The drivers of downside equity tail risk 0 0 0 38 1 2 3 89
The forward premium puzzle and latent factors day by day 0 0 0 9 1 1 2 65
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 446 1 2 3 1,806
Using a bootstrap method to choose the sample fraction in tail index estimation 0 0 0 25 0 1 1 148
VaR stress for highly non-linear portfolios 0 0 0 4 0 0 0 16
Value-at-Risk and Extreme Returns 0 0 5 1,310 0 0 7 3,040
Weak & Strong Financial Fragility 0 0 0 72 1 1 3 214
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 1 1 2 43
World Equity Premium Based Risk Aversion Estimates 0 0 0 34 0 0 1 112
World Equity Premium based Risk Aversion Estimates 0 0 0 45 1 1 1 99
Total Working Papers 3 8 40 11,101 35 71 259 46,091

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 0 1 104
Abnormal returns, risk, and options in large data sets 0 0 0 0 0 0 0 5
An EMS target zone model in discrete time 0 0 0 55 0 0 2 338
An experimental examination of rational rent-seeking 0 0 0 96 0 0 0 270
Asset Market Linkages in Crisis Periods 1 1 5 458 1 1 7 1,200
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 1 1 1 212
Contests with rank-order spillovers 0 0 0 27 1 1 2 108
Differences between foreign exchange rate regimes: The view from the tails 0 0 0 53 0 0 0 198
Endogeneity in European money demand 0 0 0 36 1 2 4 127
Exploiting tail shape biases to discriminate between stable and student t alternatives 0 1 1 7 0 1 3 31
Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes 0 1 1 20 0 1 2 78
Fat tails, VaR and subadditivity 1 1 3 138 2 5 13 533
Fixing soft margins 0 0 0 2 1 2 2 62
Generational Accounting, Solidarity and Pension Losses 0 0 0 64 0 1 1 203
Global stochastic properties of dynamic models and their linear approximations 0 0 0 24 1 2 2 101
Heavy tails and currency crises 0 0 2 51 0 0 3 239
Heavy tails of OLS 0 1 1 29 1 4 5 208
IMF Support and Inter-Regime Exchange Rate Volatility 0 0 0 13 0 0 2 83
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 0 7 256
International Growth with Free Trade in Equities and Goods: A Comment 0 0 0 4 0 1 1 45
International trade and exchange rate volatility 0 1 3 901 0 2 12 2,350
It takes two to tango: Equilibria in a model of sales 0 0 0 231 0 0 2 510
Mixed Strategy Trade Equilibria 0 0 0 10 2 4 4 159
New evidence on the effectiveness of foreign exchange market intervention 0 0 0 5 0 1 1 79
On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective 0 0 2 242 1 2 5 660
On the relation between GARCH and stable processes 0 0 0 19 0 0 1 81
Optimal Localized Production Experience and Schooling 0 0 0 8 0 0 0 100
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 54 0 0 1 199
Piecemeal versus Precipitous Factor Market Integration 0 0 0 21 0 1 1 242
Portfolio selection with heavy tails 0 0 0 34 0 0 3 100
Portfolio selection with limited downside risk 0 0 1 153 1 1 7 403
Rigging the Lobbying Process: An Application of the All-Pay Auction 0 0 3 411 0 2 14 969
Risk Measures for Autocorrelated Hedge Fund Returns 0 0 0 10 0 1 1 54
Simulating and calibrating diversification against black swans 0 0 0 26 0 0 1 83
Simulating currency substitution bias 0 0 0 5 0 1 2 37
Systemic risk and diversification across European banks and insurers 0 0 0 110 0 0 1 318
The Forex Regime and EMU Expansion 0 0 0 16 1 1 2 182
The Herodotus paradox 0 0 0 18 1 2 2 86
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 32 0 1 1 112
The Limiting Distribution of Extremal Exchange Rate Returns 0 0 0 91 0 0 1 294
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 5 11 418
The Term Structure of Currency Futures' Risk Premia 0 0 0 0 0 1 2 16
The all-pay auction with complete information (*) 0 0 0 0 0 0 7 1,019
The customs union argument for a monetary union 0 0 0 13 1 1 2 174
The impact of competition on prices with numerous firms 0 0 0 44 0 1 6 213
The number of active bidders in internet auctions 0 0 0 2 0 2 2 49
The simple economics of bank fragility 0 0 1 200 0 0 2 508
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 0 1 1 356
Theory and Relevance of Currency Substitution with Case Studies for Canada and the Netherlands Antilles 0 0 0 12 0 2 3 81
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 0 0 0 76 2 2 3 197
VaR stress tests for highly non‐linear portfolios 0 0 1 1 0 0 1 1
Value-at-Risk and Extreme Returns 0 0 8 70 0 2 22 238
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 30 1 1 2 143
Total Journal Articles 2 6 32 4,297 22 59 184 15,153

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 98 0 1 7 350
Total Chapters 0 0 1 98 0 1 7 350

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Statistics updated 2025-09-05