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 4 5 1,297
Abnormal Returns, Risk, and Options in Large Data Sets 0 0 0 268 4 4 4 1,114
An experimental examination of rational rentseeking 0 0 0 7 0 1 4 49
Asset Market Linkages in Crisis Periods 0 0 0 0 3 4 4 479
Asset Market Linkages in Crisis Periods 0 0 0 201 4 7 9 485
Asset Market Linkages in Crisis Periods 0 0 0 144 6 9 15 544
Asset market linkages in crisis periods 0 0 0 195 4 7 8 784
Asset market linkages in crisis periods 0 0 0 0 2 3 4 70
Asset-Based Lending 0 0 0 42 1 6 8 69
Asset-based lending 0 0 0 24 2 6 9 37
Auctions with Numerous Bidders 0 0 0 54 2 4 4 149
Banking System Stability: A Cross-Atlantic Perspective 0 0 0 151 3 3 6 742
Banking system stability: a cross-Atlantic perspective 0 0 0 230 0 4 6 809
Between Realignments and Intervention: the Belgian Franc in the European Monetary System 0 0 0 0 1 3 5 441
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 795 4 5 8 2,051
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 528 2 2 2 1,429
Challenges in Implementing Worst-Case Analysis 0 0 0 26 4 4 6 41
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 93 1 3 5 600
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 61 1 6 8 213
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 40 2 4 4 427
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 48 1 9 10 220
Comparative Analysis of Litigation Systems: an Auction-Theoretic Approach 0 0 0 39 1 2 3 422
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 1 3 6 817
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 2 3 6 40
Consistent Measures of Risk 0 0 1 289 4 7 11 758
Consistent measures of risk 0 0 0 4 1 5 5 51
Contests with Rank-Order Spillovers 0 0 0 51 0 3 6 230
Contests with Rank-Order Spillovers 0 0 0 52 0 2 3 195
Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series 0 0 0 135 2 2 3 543
Covariates Hiding in the Tails 0 0 0 19 1 2 6 27
Credit Rationing Effects of Credit Value-at-Risk 0 0 0 534 2 3 4 1,864
Currency Futures' Risk Premia and Risk Factors 0 1 1 25 2 5 6 58
Endogenous Financial Structure and the Transmission of ECB Policy 0 0 1 186 1 2 6 675
Estimating a Latent Risk Premium in Exchange Rate Futures 0 0 0 20 2 4 7 57
Extreme Linkages in Financial Markets: Macro Shocks and Systemic Risk 0 0 1 2 2 3 4 11
Fiat Exchange in Finite Economies 0 0 0 0 1 5 7 240
Fiat Exchange in Finite Economies 0 0 0 0 0 1 1 135
Fundamental Volatility is Regime Specific 0 0 0 17 2 3 7 96
Fundamentals and Joint Currency Crises 0 0 1 65 1 2 4 292
Fundamentals and joint currency crises 0 0 0 89 0 1 3 270
Generational Accounting, Solidarity and Pension Losses 0 0 0 98 0 0 2 278
Generational Accounting, Solidarity and Pension Losses 0 0 0 97 1 2 3 369
Generational Accounting, Solidarity and Pension Losses 0 0 0 99 1 2 2 418
Global Stochastic Properties of Dynamic Models and their Linear Approximations 0 0 0 26 1 2 2 56
IMF Support and Inter-regime Exchange rate Volatility 0 0 0 72 2 2 6 196
INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY 0 0 0 0 2 4 4 1,079
Incentives for Effective Risk Management 0 0 0 400 2 2 3 923
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 6 1 3 3 43
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 33 2 3 3 55
It takes two to tango: Equilibria in a model of sales 0 0 0 0 0 2 2 11
Large Swings in Currencies driven by Fundamentals 0 0 0 42 5 5 7 191
Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist 0 0 0 0 1 3 3 147
Monetary Policy in the Presence of Random Wage Indexation 0 0 0 15 0 3 4 35
On the frequency of large stock returns: putting booms and busts into perspective 0 0 1 88 0 2 5 380
On the relation between GARCH and stable processes 0 0 0 0 2 4 4 4
On the relation between GARCH and stable processes 0 0 0 0 1 3 6 16
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 4 5 5 256
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 249 2 2 4 660
Portfolio Diversification Effects and Regular Variation in Financial Data 0 0 0 150 0 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 1 2 2 301
RIGGING THE LOBBYING PROCESS: AN APPLICATION OF THE ALL- PAY AUCTION 0 0 0 3 3 6 9 526
Rigging the Lobbying Process: An Application of the All- Pay Auction 0 0 0 0 2 2 4 368
Risk Diversification by European Financial Conglomerates 0 0 0 232 3 6 6 642
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 1 305
Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk 0 0 0 28 0 2 3 109
Stylized Facts of Nominal Exchange Rate Returns 0 0 0 3 2 5 11 929
Subadditivity Re–Examined: the Case for Value-at-Risk 0 0 4 441 1 6 20 1,237
Subadditivity re–examined: the case for value-at-risk 0 0 4 17 1 3 11 116
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 2 30 3 11 24 112
Tail Index and Quantile Estimation with Very High Frequency Data 0 0 0 9 1 4 6 685
Tail Probabilities for Regression Estimators 0 0 0 52 2 5 6 289
Tail index estimation: quantile driven threshold selection 0 0 0 8 2 2 2 89
The All-Pay Auction With Complete Information 0 0 0 7 3 5 6 1,220
The All-Pay Auction with Complete Information 0 0 0 0 2 5 7 975
The All-Pay Auction with Complete Information 0 0 0 1 2 3 4 581
The All-Pay Auction with Complete Information 0 0 1 11 1 1 6 37
The All-Pay Auction with Complete Information 0 2 8 135 4 12 22 359
The All-pay Auction with Complete Information 0 0 1 32 4 15 18 1,321
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets 0 0 1 273 2 3 4 675
The Downside Risk of Heavy Tails induces Low Diversification 0 0 1 24 0 1 4 63
The EURO, Prudent Coherence? 0 0 0 81 1 1 2 423
The Extent of Internet Auction Markets 0 0 0 41 0 0 2 240
The Forex Regime and EMU Expansion 0 0 0 109 2 4 5 496
The Forward Premium Puzzle and Latent Factors Day by Day 0 0 0 73 0 4 5 202
The Forward Premium Puzzle and Latent Factors Day by Day 0 0 0 6 1 1 2 82
The Forward Premium Puzzle only emerges gradually 0 0 0 105 1 7 10 420
The Herodotus Paradox 0 0 0 67 1 4 5 300
The Herodotus Paradox 0 0 0 29 2 6 7 107
The Herodotus Paradox 0 0 0 78 1 2 6 260
The Impact of Competition on Prices with Numerous Firms 0 0 0 73 0 3 6 251
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 129 2 3 3 571
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 2 3 618
The cross-section of tail risks in stock returns 0 0 1 49 1 2 6 117
The drivers of downside equity tail risk 0 0 0 38 2 2 5 91
The forward premium puzzle and latent factors day by day 0 0 0 9 1 1 4 67
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 446 4 8 11 1,814
Using a bootstrap method to choose the sample fraction in tail index estimation 1 2 2 27 3 10 11 158
VaR stress for highly non-linear portfolios 0 0 0 4 1 1 1 17
Value-at-Risk and Extreme Returns 0 0 2 1,310 1 4 6 3,044
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 1 1 2 309
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 9 2 2 4 45
World Equity Premium Based Risk Aversion Estimates 0 0 0 34 2 4 4 116
World Equity Premium based Risk Aversion Estimates 0 0 0 45 1 3 4 102
Total Working Papers 1 5 33 11,107 170 382 600 46,490

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 2 3 4 107
Abnormal returns, risk, and options in large data sets 0 0 0 0 0 3 3 8
An EMS target zone model in discrete time 0 0 0 55 1 3 4 341
An experimental examination of rational rent-seeking 0 0 0 96 1 4 4 274
Asset Market Linkages in Crisis Periods 0 0 3 458 4 13 17 1,213
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 1 3 4 215
Contests with rank-order spillovers 0 0 0 27 2 5 7 113
Differences between foreign exchange rate regimes: The view from the tails 0 0 0 53 0 1 1 199
Endogeneity in European money demand 0 0 0 36 0 3 7 130
Exploiting tail shape biases to discriminate between stable and student t alternatives 0 0 1 7 0 3 6 34
Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes 0 0 1 20 1 3 4 81
Fat tails, VaR and subadditivity 0 0 2 138 3 3 15 536
Fixing soft margins 0 0 0 2 0 2 4 64
Generational Accounting, Solidarity and Pension Losses 0 0 0 64 1 1 2 204
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 0 1 3 240
Heavy tails of OLS 0 0 1 29 0 5 10 213
IMF Support and Inter-Regime Exchange Rate Volatility 0 0 0 13 2 4 6 87
Incentives for effective risk management 0 0 0 104 3 3 3 324
Indexation, Inflation Targeting cum Output Stabilization & Inflation Fluctuations 0 0 0 0 0 1 1 257
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 3 9 2,353
It takes two to tango: Equilibria in a model of sales 0 0 0 231 1 4 6 514
Mixed Strategy Trade Equilibria 0 0 0 10 0 1 5 160
New evidence on the effectiveness of foreign exchange market intervention 0 0 0 5 2 2 3 81
On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective 0 0 2 242 2 3 8 663
On the relation between GARCH and stable processes 0 0 0 19 2 5 6 86
Optimal Localized Production Experience and Schooling 0 0 0 8 1 2 2 102
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 2 3 4 245
Portfolio selection with heavy tails 0 0 0 34 2 3 4 103
Portfolio selection with limited downside risk 0 1 2 154 1 3 10 407
Rigging the Lobbying Process: An Application of the All-Pay Auction 0 0 2 411 4 7 15 976
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 1 2 3 85
Simulating currency substitution bias 0 0 0 5 0 0 2 37
Systemic risk and diversification across European banks and insurers 1 1 1 111 1 1 4 321
The Forex Regime and EMU Expansion 0 0 0 16 3 3 5 185
The Herodotus paradox 0 0 0 18 3 8 10 94
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 32 2 3 4 115
The Limiting Distribution of Extremal Exchange Rate Returns 0 0 0 91 1 3 3 297
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 2 4 12 422
The Term Structure of Currency Futures' Risk Premia 1 1 1 1 1 3 5 19
The all-pay auction with complete information (*) 0 0 0 0 4 10 15 1,030
The customs union argument for a monetary union 0 0 0 13 0 1 3 175
The impact of competition on prices with numerous firms 0 0 0 44 1 4 8 218
The number of active bidders in internet auctions 0 0 0 2 4 4 6 53
The simple economics of bank fragility 0 0 1 200 1 1 2 509
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 0 1 2 357
Theory and Relevance of Currency Substitution with Case Studies for Canada and the Netherlands Antilles 0 0 0 12 0 1 4 82
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 0 1 1 77 5 14 17 211
VaR stress tests for highly non‐linear portfolios 0 0 1 1 0 0 1 1
Value-at-Risk and Extreme Returns 1 4 9 75 4 12 30 255
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 30 1 2 4 145
Total Journal Articles 3 8 31 4,306 73 180 325 15,343

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 1 1 99 0 4 6 354
Total Chapters 0 1 1 99 0 4 6 354

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Statistics updated 2026-01-09