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 2 5 9 1,301
Abnormal Returns, Risk, and Options in Large Data Sets 0 0 0 268 1 6 6 1,116
An experimental examination of rational rentseeking 0 0 0 7 1 2 5 51
Asset Market Linkages in Crisis Periods 0 0 0 0 2 9 10 485
Asset Market Linkages in Crisis Periods 0 0 0 144 6 18 27 556
Asset Market Linkages in Crisis Periods 0 0 0 201 1 14 18 495
Asset market linkages in crisis periods 0 0 0 195 0 10 13 790
Asset market linkages in crisis periods 0 0 0 0 2 5 7 73
Asset-Based Lending 0 0 0 42 2 6 13 74
Asset-based lending 0 0 0 24 4 10 15 45
Auctions with Numerous Bidders 0 0 0 54 0 4 6 151
Banking System Stability: A Cross-Atlantic Perspective 0 0 0 151 3 8 10 747
Banking system stability: a cross-Atlantic perspective 0 0 0 230 0 6 11 815
Between Realignments and Intervention: the Belgian Franc in the European Monetary System 0 0 0 0 1 4 8 444
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 528 1 6 6 1,433
Beyond the Sample: Extreme Quantile and Probability Estimation 0 0 0 795 1 12 16 2,059
Challenges in Implementing Worst-Case Analysis 0 0 0 26 0 5 6 42
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 40 0 11 13 436
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 93 2 5 9 604
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 48 2 6 14 225
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach 0 0 0 61 2 31 37 243
Comparative Analysis of Litigation Systems: an Auction-Theoretic Approach 0 0 0 39 5 13 15 434
Comparing Downside Risk Measures for Heavy Tailed Distributions 0 0 0 294 1 5 9 821
Comparing downside risk measures for heavy tailed distribution 0 0 0 7 1 3 6 41
Consistent Measures of Risk 0 0 1 289 0 7 14 761
Consistent measures of risk 0 0 0 4 1 4 8 54
Contests with Rank-Order Spillovers 0 0 0 52 0 6 9 201
Contests with Rank-Order Spillovers 0 0 0 51 2 4 9 234
Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series 0 0 0 135 0 4 5 545
Covariates Hiding in the Tails 0 0 0 19 0 7 10 33
Credit Rationing Effects of Credit Value-at-Risk 0 0 0 534 1 6 8 1,868
Currency Futures' Risk Premia and Risk Factors 1 1 2 26 6 15 19 71
Endogenous Financial Structure and the Transmission of ECB Policy 0 0 0 186 0 5 8 679
Estimating a Latent Risk Premium in Exchange Rate Futures 0 0 0 20 5 15 20 70
Extreme Linkages in Financial Markets: Macro Shocks and Systemic Risk 0 0 0 2 1 9 10 18
Fiat Exchange in Finite Economies 0 0 0 0 2 11 12 146
Fiat Exchange in Finite Economies 0 0 0 0 1 4 10 243
Fundamental Volatility is Regime Specific 0 0 0 17 1 3 6 97
Fundamentals and Joint Currency Crises 0 0 0 65 0 4 6 295
Fundamentals and joint currency crises 0 0 0 89 0 4 5 274
Generational Accounting, Solidarity and Pension Losses 0 0 0 98 0 2 3 280
Generational Accounting, Solidarity and Pension Losses 0 0 0 97 1 4 5 372
Generational Accounting, Solidarity and Pension Losses 0 0 0 99 2 12 13 429
Global Stochastic Properties of Dynamic Models and their Linear Approximations 0 0 0 26 2 3 4 58
IMF Support and Inter-regime Exchange rate Volatility 0 0 0 72 0 3 5 197
INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY 0 0 0 0 1 8 10 1,085
Incentives for Effective Risk Management 0 0 0 400 1 4 5 925
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 33 1 9 10 62
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates 0 0 0 6 0 4 6 46
It takes two to tango: Equilibria in a model of sales 0 0 0 0 9 28 30 39
Large Swings in Currencies driven by Fundamentals 0 0 0 42 1 11 12 197
Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist 0 0 0 0 0 3 5 149
Monetary Policy in the Presence of Random Wage Indexation 0 0 0 15 2 3 6 38
On the frequency of large stock returns: putting booms and busts into perspective 0 0 0 88 5 15 18 395
On the relation between GARCH and stable processes 0 0 0 0 0 5 7 7
On the relation between GARCH and stable processes 0 0 0 0 0 2 3 5
On the relation between GARCH and stable processes 0 0 0 0 0 5 8 20
Optimal Confidence Intervals for the Tail Index and High Quantiles 0 0 0 70 0 7 8 259
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation 0 0 0 249 1 9 11 667
Portfolio Diversification Effects and Regular Variation in Financial Data 0 0 0 150 1 2 3 329
Portfolio Diversification Effects of Downside Risk 0 0 0 266 0 1 3 748
Portfolio Selection with Heavy Tails 0 0 0 104 1 3 4 303
RIGGING THE LOBBYING PROCESS: AN APPLICATION OF THE ALL- PAY AUCTION 0 0 0 3 1 10 16 533
Rigging the Lobbying Process: An Application of the All- Pay Auction 0 0 0 0 3 11 12 377
Risk Diversification by European Financial Conglomerates 0 0 0 232 1 6 9 645
Risk Measures for Autocorrelated Hedge Fund Returns 0 0 0 25 1 3 3 115
Risk measures for autocorrelated hedge fund returns 0 0 0 71 1 5 6 310
Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk 0 0 0 28 0 10 12 119
Stylized Facts of Nominal Exchange Rate Returns 0 0 0 3 1 6 13 933
Subadditivity Re–Examined: the Case for Value-at-Risk 1 2 4 443 3 8 23 1,244
Subadditivity re–examined: the case for value-at-risk 0 0 2 17 0 3 10 118
Tail Index Estimation: Quantile-Driven Threshold Selection 0 0 2 30 3 6 23 115
Tail Index and Quantile Estimation with Very High Frequency Data 1 1 1 10 1 5 9 689
Tail Probabilities for Regression Estimators 0 0 0 52 0 3 6 290
Tail index estimation: quantile driven threshold selection 0 0 0 8 1 5 5 92
The All-Pay Auction With Complete Information 0 0 0 7 3 12 15 1,229
The All-Pay Auction with Complete Information 0 0 0 0 0 6 11 979
The All-Pay Auction with Complete Information 0 0 1 11 1 3 8 39
The All-Pay Auction with Complete Information 0 0 6 135 0 6 22 361
The All-Pay Auction with Complete Information 0 0 0 1 0 10 12 589
The All-pay Auction with Complete Information 0 0 1 32 1 27 40 1,344
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets 0 1 2 274 1 6 8 679
The Downside Risk of Heavy Tails induces Low Diversification 0 0 1 24 5 11 15 74
The EURO, Prudent Coherence? 0 0 0 81 0 1 1 423
The Extent of Internet Auction Markets 0 0 0 41 0 3 5 243
The Forex Regime and EMU Expansion 0 0 0 109 0 3 6 497
The Forward Premium Puzzle and Latent Factors Day by Day 0 0 0 73 0 2 7 204
The Forward Premium Puzzle and Latent Factors Day by Day 0 0 0 6 4 6 6 87
The Forward Premium Puzzle only emerges gradually 0 0 0 105 4 17 26 436
The Herodotus Paradox 0 0 0 67 2 4 8 303
The Herodotus Paradox 0 0 0 29 3 8 13 113
The Herodotus Paradox 0 0 0 78 0 3 7 262
The Impact of Competition on Prices with Numerous Firms 0 0 0 73 0 6 11 257
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 129 1 6 7 575
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 4 6 621
The cross-section of tail risks in stock returns 0 0 1 49 2 7 12 123
The drivers of downside equity tail risk 0 0 0 38 1 10 12 99
The forward premium puzzle and latent factors day by day 0 0 0 9 6 8 10 74
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation 0 0 0 446 0 8 14 1,818
Using a bootstrap method to choose the sample fraction in tail index estimation 0 1 2 27 1 5 13 160
VaR stress for highly non-linear portfolios 0 0 0 4 1 5 5 21
Value-at-Risk and Extreme Returns 0 0 0 1,310 1 3 6 3,046
Weak & Strong Financial Fragility 0 0 0 72 0 2 5 217
Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities 0 0 0 71 0 4 5 312
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 9 1 6 8 49
World Equity Premium Based Risk Aversion Estimates 0 0 0 34 1 4 6 118
World Equity Premium based Risk Aversion Estimates 0 0 0 45 2 9 12 110
Total Working Papers 3 6 26 11,112 146 751 1,117 47,071

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 3 4 108
Abnormal returns, risk, and options in large data sets 0 0 0 0 1 1 4 9
An EMS target zone model in discrete time 0 0 0 55 5 10 13 350
An experimental examination of rational rent-seeking 0 0 0 96 1 5 8 278
Asset Market Linkages in Crisis Periods 0 0 3 458 3 14 26 1,223
Comparing downside risk measures for heavy tailed distributions 0 0 0 82 1 7 10 221
Contests with rank-order spillovers 0 0 0 27 4 35 39 146
Differences between foreign exchange rate regimes: The view from the tails 0 0 0 53 1 2 3 201
Endogeneity in European money demand 0 0 0 36 1 4 10 134
Exploiting tail shape biases to discriminate between stable and student t alternatives 1 1 2 8 2 3 9 37
Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes 0 0 1 20 1 4 7 84
Fat tails, VaR and subadditivity 1 1 2 139 3 9 18 542
Fixing soft margins 0 0 0 2 0 5 9 69
Generational Accounting, Solidarity and Pension Losses 0 0 0 64 2 5 6 208
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 0 51 0 5 6 245
Heavy tails of OLS 0 0 1 29 1 4 13 217
IMF Support and Inter-Regime Exchange Rate Volatility 0 0 0 13 5 10 12 95
Incentives for effective risk management 0 0 0 104 1 5 5 326
Indexation, Inflation Targeting cum Output Stabilization & Inflation Fluctuations 0 0 0 0 2 3 4 260
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 2 2 4 903 2 8 16 2,360
It takes two to tango: Equilibria in a model of sales 0 0 0 231 3 7 11 520
Mixed Strategy Trade Equilibria 0 0 0 10 0 1 6 161
New evidence on the effectiveness of foreign exchange market intervention 0 0 0 5 0 2 3 81
On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective 2 2 2 244 3 7 10 668
On the relation between GARCH and stable processes 0 0 0 19 0 6 10 90
Optimal Localized Production Experience and Schooling 0 0 0 8 4 6 7 107
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation 0 0 0 54 1 6 7 206
Piecemeal versus Precipitous Factor Market Integration 0 0 0 21 1 3 5 246
Portfolio selection with heavy tails 0 0 0 34 0 4 5 105
Portfolio selection with limited downside risk 1 1 3 155 3 5 12 411
Rigging the Lobbying Process: An Application of the All-Pay Auction 0 0 1 411 2 13 23 985
Risk Measures for Autocorrelated Hedge Fund Returns 0 0 0 10 4 6 7 60
Simulating and calibrating diversification against black swans 0 0 0 26 0 3 5 87
Simulating currency substitution bias 0 0 0 5 0 2 3 39
Systemic risk and diversification across European banks and insurers 0 1 1 111 0 3 5 323
The Forex Regime and EMU Expansion 0 0 0 16 0 5 6 187
The Herodotus paradox 0 0 0 18 1 9 16 100
The Incidence of Overdissipation in Rent-Seeking Contests 0 0 0 32 1 4 6 117
The Limiting Distribution of Extremal Exchange Rate Returns 0 0 0 91 2 4 6 300
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 0 5 14 425
The Term Structure of Currency Futures' Risk Premia 0 1 1 1 1 3 6 21
The all-pay auction with complete information (*) 0 0 0 0 0 8 18 1,034
The customs union argument for a monetary union 0 0 0 13 0 1 4 176
The impact of competition on prices with numerous firms 0 0 0 44 1 7 13 224
The number of active bidders in internet auctions 0 0 0 2 0 6 8 55
The simple economics of bank fragility 0 0 0 200 1 2 2 510
The value of value at risk: statistical, financial, and regulatory considerations (summary) 0 0 0 153 1 4 6 361
Theory and Relevance of Currency Substitution with Case Studies for Canada and the Netherlands Antilles 0 0 0 12 0 0 4 82
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 0 0 1 77 1 14 25 220
VaR stress tests for highly non‐linear portfolios 0 0 1 1 0 0 1 1
Value-at-Risk and Extreme Returns 1 2 9 76 2 13 33 264
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities 0 0 0 30 1 3 5 147
Total Journal Articles 8 11 32 4,314 69 304 519 15,574

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 0 6 12 360
Total Chapters 0 0 1 99 0 6 12 360

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Statistics updated 2026-03-04