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 0 9 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 0 5 53
Asset Market Linkages in Crisis Periods 0 0 0 201 1 2 22 500
Asset Market Linkages in Crisis Periods 0 0 0 0 2 2 15 490
Asset Market Linkages in Crisis Periods 0 0 0 144 2 3 27 562
Asset market linkages in crisis periods 0 0 0 0 1 3 14 81
Asset market linkages in crisis periods 0 0 0 195 1 1 17 794
Asset-Based Lending 0 0 0 42 1 2 19 82
Asset-based lending 0 0 0 24 1 2 20 51
Auctions with Numerous Bidders 0 0 0 54 0 0 11 156
Banking System Stability: A Cross-Atlantic Perspective 0 0 0 151 0 0 10 749
Banking system stability: a cross-Atlantic perspective 0 0 0 230 1 3 18 823
Between Realignments and Intervention: the Belgian Franc in the European Monetary System 0 0 0 0 0 1 8 446
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 795 0 2 17 2,063
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 528 0 0 7 1,434
Challenges in Implementing Worst-Case Analysis 0 0 0 26 0 0 10 47
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 61 0 0 41 247
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 48 0 0 18 229
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 40 0 1 15 438
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 93 0 0 10 607
Comparative Analysis of Litigation Systems: an Auction-Theoretic Approach 0 0 0 39 0 0 16 436
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 1 1 11 825
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 0 0 5 42
Consistent Measures of Risk 0 0 0 289 1 2 19 770
Consistent measures of risk 0 0 1 5 1 1 16 62
Contests with Rank-Order Spillovers 0 0 0 51 0 0 11 238
Contests with Rank-Order Spillovers 0 0 0 52 0 1 11 204
Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series 0 0 0 135 0 0 7 548
Covariates Hiding in the Tails 0 0 0 19 0 1 14 37
Credit Rationing Effects of Credit Value-at-Risk 0 0 0 534 0 2 15 1,875
Currency Futures' Risk Premia and Risk Factors 1 1 3 27 2 3 27 80
Endogenous Financial Structure and the Transmission of ECB Policy 0 0 0 186 0 1 10 683
Estimating a Latent Risk Premium in Exchange Rate Futures 0 0 0 20 0 0 20 73
Extreme Linkages in Financial Markets: Macro Shocks and Systemic Risk 0 0 0 2 0 0 15 23
Fiat Exchange in Finite Economies 0 0 0 0 1 1 13 147
Fiat Exchange in Finite Economies 0 0 0 0 0 0 10 245
Fundamental Volatility is Regime Specific 0 0 0 17 0 0 6 99
Fundamentals and Joint Currency Crises 0 0 0 65 0 0 8 298
Fundamentals and joint currency crises 0 0 0 89 0 1 12 281
Generational Accounting, Solidarity and Pension Losses 0 0 0 99 0 0 16 432
Generational Accounting, Solidarity and Pension Losses 0 0 0 97 0 1 7 374
Generational Accounting, Solidarity and Pension Losses 0 0 0 98 0 0 5 283
Global Stochastic Properties of Dynamic Models and their Linear Approximations 0 0 0 26 0 0 12 66
IMF Support and Inter-regime Exchange rate Volatility 0 0 0 72 0 1 6 200
INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY 0 0 0 0 1 2 13 1,088
Incentives for Effective Risk Management 0 0 0 400 0 0 6 927
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 33 2 2 16 68
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 6 0 0 9 49
It takes two to tango: Equilibria in a model of sales 0 0 0 0 0 0 35 44
Large Swings in Currencies driven by Fundamentals 0 0 0 42 0 0 12 198
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 0 9 41
On the frequency of large stock returns: putting booms and busts into perspective 0 0 0 88 1 1 22 399
On the relation between GARCH and stable processes 0 0 0 0 0 0 8 8
On the relation between GARCH and stable processes 0 0 0 0 0 1 4 7
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 0 13 264
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 249 0 0 10 668
Portfolio Diversification Effects and Regular Variation in Financial Data 0 0 0 150 1 1 5 331
Portfolio Diversification Effects of Downside Risk 0 0 0 266 1 2 4 750
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 1 1 17 537
Rigging the Lobbying Process: An Application of the All- Pay Auction 0 0 0 0 2 4 20 386
Risk Diversification by European Financial Conglomerates 0 0 1 233 1 2 17 653
Risk Measures for Autocorrelated Hedge Fund Returns 0 0 0 25 2 2 16 128
Risk measures for autocorrelated hedge fund returns 0 1 1 72 0 1 13 317
Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk 0 0 0 28 2 2 14 121
Stylized Facts of Nominal Exchange Rate Returns 0 0 0 3 2 3 16 939
Subadditivity Re–Examined: the Case for Value-at-Risk 0 1 3 444 0 3 22 1,253
Subadditivity re–examined: the case for value-at-risk 0 0 0 17 0 1 12 125
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 0 30 2 4 27 125
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 1 10 0 0 10 691
Tail Probabilities for Regression Estimators 0 0 0 52 1 1 10 294
Tail index estimation: quantile driven threshold selection 0 1 1 9 0 2 8 95
The All-Pay Auction With Complete Information 0 0 0 7 2 3 29 1,244
The All-Pay Auction with Complete Information 0 0 3 135 1 3 23 369
The All-Pay Auction with Complete Information 0 0 0 11 1 2 9 43
The All-Pay Auction with Complete Information 0 0 0 1 1 2 26 604
The All-Pay Auction with Complete Information 0 0 0 0 1 2 24 994
The All-pay Auction with Complete Information 0 0 1 33 1 2 48 1,354
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets 0 0 1 274 1 1 8 680
The Downside Risk of Heavy Tails induces Low Diversification 0 0 0 24 2 2 15 77
The EURO, Prudent Coherence? 0 0 0 81 0 1 7 429
The Extent of Internet Auction Markets 0 0 0 41 0 0 5 245
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 0 8 89
The Forward Premium Puzzle and Latent Factors Day by Day 0 0 0 73 0 1 11 208
The Forward Premium Puzzle only emerges gradually 0 0 0 105 1 2 31 443
The Herodotus Paradox 0 0 0 29 1 2 17 118
The Herodotus Paradox 0 0 0 78 0 0 7 264
The Herodotus Paradox 0 0 1 68 0 0 12 308
The Impact of Competition on Prices with Numerous Firms 0 1 1 74 0 3 19 267
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 129 1 1 10 578
The Solution to the Tullock Rent-Seeking Game when R > 2: Mixed Strategy Equilibria and Mean Dissipation Rates 0 0 0 0 0 1 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 0 1 15 130
The drivers of downside equity tail risk 0 0 0 38 2 2 14 103
The forward premium puzzle and latent factors day by day 0 0 0 9 0 0 10 75
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 446 1 1 17 1,823
Using a bootstrap method to choose the sample fraction in tail index estimation 0 1 4 29 1 2 19 167
VaR stress for highly non-linear portfolios 0 0 0 4 0 0 6 22
Value-at-Risk and Extreme Returns 0 0 1 1,311 0 0 13 3,053
Weak & Strong Financial Fragility 0 0 0 72 2 3 7 221
Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities 0 0 0 71 0 1 8 316
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 9 0 1 8 51
World Equity Premium Based Risk Aversion Estimates 0 0 0 34 0 0 10 122
World Equity Premium based Risk Aversion Estimates 0 0 0 45 1 1 13 112
Total Working Papers 1 6 23 11,124 55 113 1,463 47,554

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 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 2 4 18 356
An experimental examination of rational rent-seeking 0 0 1 97 0 0 13 283
Asset Market Linkages in Crisis Periods 0 0 0 458 0 3 30 1,230
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 0 1 13 225
Contests with rank-order spillovers 0 0 0 27 0 1 43 151
Differences between foreign exchange rate regimes: The view from the tails 0 0 0 53 0 1 6 204
Endogeneity in European money demand 0 0 0 36 1 3 11 138
Exploiting tail shape biases to discriminate between stable and student t alternatives 0 0 1 8 1 1 7 38
Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes 0 0 0 20 0 1 10 88
Fat tails, VaR and subadditivity 0 1 2 140 1 4 22 555
Fixing soft margins 0 0 0 2 0 1 10 72
Generational Accounting, Solidarity and Pension Losses 0 0 0 64 0 0 7 210
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 0 0 8 247
Heavy tails of OLS 0 0 0 29 0 0 12 220
IMF Support and Inter-Regime Exchange Rate Volatility 0 0 0 13 0 1 19 102
Incentives for effective risk management 0 0 0 104 0 0 6 327
Indexation, Inflation Targeting cum Output Stabilization & Inflation Fluctuations 0 0 0 0 0 1 7 263
International Growth with Free Trade in Equities and Goods: A Comment 0 0 0 4 0 0 3 48
International trade and exchange rate volatility 0 0 3 904 0 5 20 2,370
It takes two to tango: Equilibria in a model of sales 1 2 2 233 1 3 14 524
Mixed Strategy Trade Equilibria 0 0 0 10 0 1 7 166
New evidence on the effectiveness of foreign exchange market intervention 0 0 0 5 0 0 6 85
On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective 0 0 2 244 1 1 11 671
On the relation between GARCH and stable processes 0 0 1 20 0 0 12 93
Optimal Localized Production Experience and Schooling 0 0 0 8 0 1 9 109
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 54 1 1 12 211
Piecemeal versus Precipitous Factor Market Integration 0 0 0 21 0 0 9 251
Portfolio selection with heavy tails 0 0 0 34 0 1 10 110
Portfolio selection with limited downside risk 0 0 2 155 1 1 12 415
Rigging the Lobbying Process: An Application of the All-Pay Auction 0 0 0 411 2 4 27 996
Risk Measures for Autocorrelated Hedge Fund Returns 0 0 0 10 0 0 9 63
Simulating and calibrating diversification against black swans 0 0 0 26 0 0 6 89
Simulating currency substitution bias 0 0 0 5 0 0 3 40
Systemic risk and diversification across European banks and insurers 0 0 1 111 1 2 10 328
The Forex Regime and EMU Expansion 0 0 0 16 0 0 7 189
The Herodotus paradox 0 0 0 18 0 2 19 105
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 32 0 1 10 122
The Limiting Distribution of Extremal Exchange Rate Returns 0 0 0 91 1 1 8 302
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 17 435
The Term Structure of Currency Futures' Risk Premia 0 0 1 1 0 1 12 28
The all-pay auction with complete information (*) 0 0 0 0 0 8 31 1,050
The customs union argument for a monetary union 0 0 0 13 0 0 4 178
The impact of competition on prices with numerous firms 0 0 0 44 1 2 14 227
The number of active bidders in internet auctions 0 0 0 2 0 1 11 60
The simple economics of bank fragility 0 0 0 200 0 0 7 515
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 0 0 8 364
Theory and Relevance of Currency Substitution with Case Studies for Canada and the Netherlands Antilles 0 0 0 12 0 0 1 82
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 1 2 3 79 1 4 32 229
VaR stress tests for highly non‐linear portfolios 0 0 0 1 1 3 5 6
Value-at-Risk and Extreme Returns 0 1 8 78 3 7 40 278
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 30 0 0 6 149
Total Journal Articles 2 6 27 4,324 20 74 671 15,824

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 1 4 22 372
Total Chapters 0 0 1 99 1 4 22 372

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Statistics updated 2026-09-10