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 10 1,302
Abnormal Returns, Risk, and Options in Large Data Sets 0 0 0 268 0 1 6 1,116
An experimental examination of rational rentseeking 0 0 0 7 1 2 6 52
Asset Market Linkages in Crisis Periods 0 0 0 0 2 5 13 488
Asset Market Linkages in Crisis Periods 0 0 0 144 2 9 29 559
Asset Market Linkages in Crisis Periods 0 0 0 201 3 4 21 498
Asset market linkages in crisis periods 0 0 0 195 2 3 16 793
Asset market linkages in crisis periods 0 0 0 0 1 4 9 75
Asset-Based Lending 0 0 0 42 5 7 17 79
Asset-based lending 0 0 0 24 4 8 18 49
Auctions with Numerous Bidders 0 0 0 54 5 5 11 156
Banking System Stability: A Cross-Atlantic Perspective 0 0 0 151 0 3 9 747
Banking system stability: a cross-Atlantic perspective 0 0 0 230 4 5 15 820
Between Realignments and Intervention: the Belgian Franc in the European Monetary System 0 0 0 0 1 2 7 445
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 795 2 3 17 2,061
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 528 1 2 7 1,434
Challenges in Implementing Worst-Case Analysis 0 0 0 26 5 5 11 47
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 48 2 4 16 227
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 40 1 1 14 437
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 61 2 6 41 247
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 93 2 5 11 607
Comparative Analysis of Litigation Systems: an Auction-Theoretic Approach 0 0 0 39 1 7 17 436
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 2 4 12 824
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 0 1 6 41
Consistent Measures of Risk 0 0 1 289 4 5 18 766
Consistent measures of risk 0 0 0 4 4 6 13 59
Contests with Rank-Order Spillovers 0 0 0 51 4 6 13 238
Contests with Rank-Order Spillovers 0 0 0 52 0 2 11 203
Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series 0 0 0 135 2 2 6 547
Covariates Hiding in the Tails 0 0 0 19 3 3 13 36
Credit Rationing Effects of Credit Value-at-Risk 0 0 0 534 2 4 11 1,871
Currency Futures' Risk Premia and Risk Factors 0 1 2 26 4 12 25 77
Endogenous Financial Structure and the Transmission of ECB Policy 0 0 0 186 2 2 10 681
Estimating a Latent Risk Premium in Exchange Rate Futures 0 0 0 20 2 8 22 73
Extreme Linkages in Financial Markets: Macro Shocks and Systemic Risk 0 0 0 2 3 6 15 23
Fiat Exchange in Finite Economies 0 0 0 0 0 2 11 244
Fiat Exchange in Finite Economies 0 0 0 0 0 2 12 146
Fundamental Volatility is Regime Specific 0 0 0 17 1 3 6 99
Fundamentals and Joint Currency Crises 0 0 0 65 3 3 8 298
Fundamentals and joint currency crises 0 0 0 89 4 5 10 279
Generational Accounting, Solidarity and Pension Losses 0 0 0 97 0 1 5 372
Generational Accounting, Solidarity and Pension Losses 0 0 0 99 3 5 16 432
Generational Accounting, Solidarity and Pension Losses 0 0 0 98 1 2 4 282
Global Stochastic Properties of Dynamic Models and their Linear Approximations 0 0 0 26 7 9 11 65
IMF Support and Inter-regime Exchange rate Volatility 0 0 0 72 2 2 7 199
INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY 0 0 0 0 1 2 11 1,086
Incentives for Effective Risk Management 0 0 0 400 2 3 7 927
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 33 4 5 14 66
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 6 2 3 9 49
It takes two to tango: Equilibria in a model of sales 0 0 0 0 1 13 34 43
Large Swings in Currencies driven by Fundamentals 0 0 0 42 0 2 13 198
Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist 0 0 0 0 0 1 6 150
Monetary Policy in the Presence of Random Wage Indexation 0 0 0 15 1 4 8 40
On the frequency of large stock returns: putting booms and busts into perspective 0 0 0 88 3 8 21 398
On the relation between GARCH and stable processes 0 0 0 0 1 1 4 6
On the relation between GARCH and stable processes 0 0 0 0 1 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 4 5 13 264
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 249 1 2 12 668
Portfolio Diversification Effects and Regular Variation in Financial Data 0 0 0 150 1 2 4 330
Portfolio Diversification Effects of Downside Risk 0 0 0 266 0 0 2 748
Portfolio Selection with Heavy Tails 0 0 0 104 0 1 4 303
RIGGING THE LOBBYING PROCESS: AN APPLICATION OF THE ALL- PAY AUCTION 0 0 0 3 3 4 19 536
Rigging the Lobbying Process: An Application of the All- Pay Auction 0 0 0 0 5 8 16 382
Risk Diversification by European Financial Conglomerates 1 1 1 233 6 7 15 651
Risk Measures for Autocorrelated Hedge Fund Returns 0 0 0 25 8 11 13 125
Risk measures for autocorrelated hedge fund returns 0 0 0 71 4 7 12 316
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 4 14 936
Subadditivity Re–Examined: the Case for Value-at-Risk 0 1 3 443 6 9 25 1,250
Subadditivity re–examined: the case for value-at-risk 0 0 1 17 4 5 13 123
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 1 30 4 7 24 119
Tail Index and Quantile Estimation with Very High Frequency Data 0 1 1 10 1 3 11 691
Tail Probabilities for Regression Estimators 0 0 0 52 1 1 7 291
Tail index estimation: quantile driven threshold selection 0 0 0 8 1 2 6 93
The All-Pay Auction With Complete Information 0 0 0 7 10 14 26 1,240
The All-Pay Auction with Complete Information 0 0 0 1 12 13 25 602
The All-Pay Auction with Complete Information 0 0 4 135 2 5 24 366
The All-Pay Auction with Complete Information 0 0 0 11 0 3 9 41
The All-Pay Auction with Complete Information 0 0 0 0 11 13 24 992
The All-pay Auction with Complete Information 1 1 2 33 3 8 47 1,351
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets 0 0 2 274 0 1 8 679
The Downside Risk of Heavy Tails induces Low Diversification 0 0 1 24 1 6 15 75
The EURO, Prudent Coherence? 0 0 0 81 3 5 6 428
The Extent of Internet Auction Markets 0 0 0 41 2 2 7 245
The Forex Regime and EMU Expansion 0 0 0 109 0 2 8 499
The Forward Premium Puzzle and Latent Factors Day by Day 0 0 0 6 1 5 7 88
The Forward Premium Puzzle and Latent Factors Day by Day 0 0 0 73 3 3 10 207
The Forward Premium Puzzle only emerges gradually 0 0 0 105 4 8 29 440
The Herodotus Paradox 0 0 0 29 1 5 15 115
The Herodotus Paradox 0 0 0 78 1 2 8 264
The Herodotus Paradox 1 1 1 68 3 6 12 307
The Impact of Competition on Prices with Numerous Firms 0 0 0 73 4 4 14 261
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 129 1 2 8 576
The Solution to the Tullock Rent-Seeking Game when R > 2: Mixed Strategy Equilibria and Mean Dissipation Rates 0 0 0 0 3 4 5 353
The Solution to the Tullock Rent-Seeking Game when r>2: Mixed-Strategy Equilibria and Mean Dissipation Rates 0 0 0 1 1 2 7 622
The cross-section of tail risks in stock returns 0 0 1 49 5 8 17 129
The drivers of downside equity tail risk 0 0 0 38 2 3 14 101
The forward premium puzzle and latent factors day by day 0 0 0 9 1 7 11 75
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 446 4 4 18 1,822
Using a bootstrap method to choose the sample fraction in tail index estimation 1 1 3 28 5 6 18 165
VaR stress for highly non-linear portfolios 0 0 0 4 1 2 6 22
Value-at-Risk and Extreme Returns 1 1 1 1,311 2 7 12 3,052
Weak & Strong Financial Fragility 0 0 0 72 1 1 6 218
Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities 0 0 0 71 3 3 7 315
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 9 1 2 8 50
World Equity Premium Based Risk Aversion Estimates 0 0 0 34 2 4 9 121
World Equity Premium based Risk Aversion Estimates 0 0 0 45 1 3 13 111
Total Working Papers 5 8 25 11,117 260 473 1,403 47,398

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 3 3 7 111
Abnormal returns, risk, and options in large data sets 0 0 0 0 0 2 5 10
An EMS target zone model in discrete time 0 0 0 55 2 7 15 352
An experimental examination of rational rent-seeking 0 1 1 97 3 5 12 282
Asset Market Linkages in Crisis Periods 0 0 3 458 2 6 29 1,226
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 1 2 11 222
Contests with rank-order spillovers 0 0 0 27 1 8 43 150
Differences between foreign exchange rate regimes: The view from the tails 0 0 0 53 2 3 5 203
Endogeneity in European money demand 0 0 0 36 1 2 11 135
Exploiting tail shape biases to discriminate between stable and student t alternatives 0 1 2 8 0 2 7 37
Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes 0 0 1 20 3 4 10 87
Fat tails, VaR and subadditivity 0 1 2 139 5 10 24 549
Fixing soft margins 0 0 0 2 2 2 11 71
Generational Accounting, Solidarity and Pension Losses 0 0 0 64 1 3 7 209
Global stochastic properties of dynamic models and their linear approximations 0 0 0 24 4 5 7 106
Heavy tails and currency crises 0 0 0 51 2 2 8 247
Heavy tails of OLS 0 0 1 29 1 3 15 219
IMF Support and Inter-Regime Exchange Rate Volatility 0 0 0 13 3 10 17 100
Incentives for effective risk management 0 0 0 104 1 2 6 327
Indexation, Inflation Targeting cum Output Stabilization & Inflation Fluctuations 0 0 0 0 0 4 6 262
International Growth with Free Trade in Equities and Goods: A Comment 0 0 0 4 0 0 3 47
International trade and exchange rate volatility 0 2 3 903 1 4 14 2,362
It takes two to tango: Equilibria in a model of sales 0 0 0 231 1 4 12 521
Mixed Strategy Trade Equilibria 0 0 0 10 4 4 10 165
New evidence on the effectiveness of foreign exchange market intervention 0 0 0 5 3 3 6 84
On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective 0 2 2 244 1 5 12 670
On the relation between GARCH and stable processes 0 1 1 20 1 2 11 92
Optimal Localized Production Experience and Schooling 0 0 0 8 1 5 8 108
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 54 2 5 11 210
Piecemeal versus Precipitous Factor Market Integration 0 0 0 21 4 5 9 250
Portfolio selection with heavy tails 0 0 0 34 0 2 7 107
Portfolio selection with limited downside risk 0 1 3 155 2 5 13 413
Rigging the Lobbying Process: An Application of the All-Pay Auction 0 0 1 411 3 9 27 992
Risk Measures for Autocorrelated Hedge Fund Returns 0 0 0 10 1 6 9 62
Simulating and calibrating diversification against black swans 0 0 0 26 2 2 7 89
Simulating currency substitution bias 0 0 0 5 1 1 4 40
Systemic risk and diversification across European banks and insurers 0 0 1 111 0 3 8 326
The Forex Regime and EMU Expansion 0 0 0 16 0 0 6 187
The Herodotus paradox 0 0 0 18 3 4 19 103
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 32 4 5 10 121
The Limiting Distribution of Extremal Exchange Rate Returns 0 0 0 91 1 3 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 3 5 18 430
The Term Structure of Currency Futures' Risk Premia 0 0 1 1 4 6 11 26
The all-pay auction with complete information (*) 0 0 0 0 6 8 26 1,042
The customs union argument for a monetary union 0 0 0 13 2 2 5 178
The impact of competition on prices with numerous firms 0 0 0 44 1 2 13 225
The number of active bidders in internet auctions 0 0 0 2 4 4 12 59
The simple economics of bank fragility 0 0 0 200 3 5 6 514
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 1 3 8 363
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 0 0 1 77 4 5 29 224
VaR stress tests for highly non‐linear portfolios 0 0 1 1 2 2 3 3
Value-at-Risk and Extreme Returns 0 2 8 77 4 9 37 271
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 30 1 3 7 149
Total Journal Articles 0 11 32 4,317 107 216 647 15,721

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 5 7 18 367
Total Chapters 0 0 1 99 5 7 18 367

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Statistics updated 2026-05-06