Casper G. de Vries

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Contact

Affiliations

• Erasmus Universiteit Rotterdam → Faculteit der Economische Wetenschappen
  • website
  • location: Rotterdam, Netherlands

Research profile

author of:

• The simple economics of bank fragility
  by C. G. de vries
• An EMS target zone model in discrete time
  by Kees G. Koedijk & Philip A. Stork & Casper G. De Vries
• Endogeneity in European money demand
  by Arnold, Ivo J. M. & de Vries, Casper G.
• The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets
  by Michel M. Dacorogna & Ulrich A. Muller & Olivier V. Pictet & Casper De Vries
• The Incidence of Overdissipation in Rent-Seeking Contests.
  by Baye, Michael R. & Kovenock, Dan & de Vries, Casper G.
• A note on the relationship between GARCH and symmetric stable processes
  by Groenendijk, Patrick A. & Lucas, Andre & de Vries, Casper G.
• Asset Market Linkages in Crisis Periods
  by de Vries, Casper G. & Hartmann, Philipp & Straetmans, Stefan
• An experimental examination of rational rent-seeking
  by Potters, Jan & de Vries, Casper G. & van Winden, Frans
• Mixed Strategy Trade Equilibria.
  by Michael R. Baye & Casper G. De Vries
• Piecemeal versus Precipitous Factor Market Integration.
  by Dellas, Harris & de Vries, Casper G.
• On the relation between GARCH and stable processes
  by de Vries, Casper G.
• Portfolio selection with limited downside risk
  by Jansen, Dennis W. & Koedijk, Kees G. & de Vries, Casper G.
• Generational Accounting, Solidarity and Pension Losses
  by de Vries, Casper G. & Teulings, Coen N.
• Asset Market Linkages in Crisis Periods
  by P. Hartmann & S. Straetmans & C. G. de Vries
• The Limiting Distribution of Extremal Exchange Rate Returns.
  by Hols, Martien C. A. B. & de Vries, Casper G.
• Fiat Exchange in Finite Economies.
  by Kovenock, D. & de Vries, C. G.
• Fundamentals and Joint Currency Crises
  by de Vries, Casper G. & Hartmann, Philipp & Straetmans, Stefan
• On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective.
  by Jansen, Dennis W. & de Vries, Casper G.
• Fixing soft margins
  by Kofman, Paul & de Vaal, Albert & de Vries, Casper G.
• Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach
  by Michael R. Baye & Dan Kovenock & Casper De Vries & Casper G., de Vries
• The Solution to the Tullock Rent-Seeking Game when R > 2: Mixed Strategy Equilibria and Mean Dissipation Rates.
  by Baye, M. R. & Kovenock, D. & De Vries, C. G.
• Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach
  by Michael R. Baye & Dan Kovenock & Casper G. de Vries
• INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY.
  by VIAENE, J.-M. & DE VRIES, C. G.
• Rigging the Lobbying Process: An Application of the All-Pay Auction.
  by Baye, Michael R. & Kovenock, Dan & de Vries, Casper G.
• New evidence on the effectiveness of foreign exchange market intervention
  by Koedijk, Kees G. & Mizrach, Bruce & Stork, Philip A. & de Vries, Casper G.
• The Solution to the Tullock Rent-Seeking Game When R Is Greater Than 2: Mixed-Strategy Equilibria and Mean Dissipation Rates.
  by Baye, Michael R. & Kovenock, Dan & de Vries, Casper G.
• The value of value at risk: statistical, financial, and regulatory considerations (summary)
  by Jon Danielsson & Casper G. De Vries & Bjorn N. Jorgensen
• The All-Pay Auction with Complete Information.
  by Baye, M. R. & Kovenock, D. & De Vries, C.
• Differences between foreign exchange rate regimes: The view from the tails
  by Koedijk, Kees G. & Stork, Philip A. & de Vries, Casper G.
• Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist.
  by Baye, M. R. & Gillette, A. & De Vries, C. G.
• Beyond the Sample: Extreme Quantile and Probability Estimation
  by Jon Danielsson & Casper G. de Vries
• Theory and Relevance of Currency Substitution with Case Studies for Canada and the Netherlands Antilles.
  by de Vries, Casper G.
• Optimal Localized Production Experience and Schooling.
  by van Marrewijk, Charles & de Vries, Casper G. & Withagen, Cees
• The All-Pay Auction with Complete Information.
  by Kovenock, D. & de Vries, C. G.
• International Growth with Free Trade in Equities and Goods: A Comment.
  by de Vries, C. G.
• International trade and exchange rate volatility
  by Viaene, Jean-Marie & de Vries, Casper G.
• Stylized Facts of Nominal Exchange Rate Returns.
  by De Vries, C. G. & Leuven, K. U.
• Asset Market Linkages in Crisis Periods.
  by Hartmann, P. & Straetmans, S. & De Vries, C. G.
• Rigging the Lobbying Process: An Application of the All- Pay Auction.
  by Baye, M. R. & Kovenock, D. & De Vries, C. G.
• The customs union argument for a monetary union
  by van Marrewijk, Charles & de Vries, Casper G.
• Between Realignments and Intervention: the Belgian Franc in the European Monetary System.
  by Koedijk, K. G. & Stork, P. A. & de Vries, C.
• Incentives for effective risk management
  by Danielsson, Jon & Jorgensen, Bjorn N. & de Vries, Casper G.
• Generational Accounting, Solidarity and Pension Losses
  by Teulings, Coen & de Vries, Casper G.
• The simple economics of bank fragility
  by De Vries, C. G.
• It takes two to tango: Equilibria in a model of sales
  by Baye, Michael R. & Kovenock, Dan & de Vries, Casper G.
• Banking System Stability: A Cross-Atlantic Perspective
  by Philipp Hartmann & Stefan Straetmans & Casper G. De Vries
• Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
  by Geluk, J. L. & De Vries, C. G.
• Subadditivity Re–Examined: the Case for Value-at-Risk
  by Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson
• Fiat Exchange in Finite Economies.
  by Kovenock, D. & De Vries, C. G.
• The Solution to the Tullock Rent-Seeking Game when r>2: Mixed-Strategy Equilibria and Mean Dissipation Rates.
  by Baye, M. R. & Kovenock, D. & De Vries, C. G.
• Comparing Downside Risk Measures for Heavy Tailed Distributions
  by Casper G. de Vries & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson
• RIGGING THE LOBBYING PROCESS: AN APPLICATION OF THE ALL- PAY AUCTION.
  by BAYE, M. R. & KOVENOCK, D. & DE VRIES, C. G.
• The All-Pay Auction With Complete Information
  by BAYE, M. R. & KOVENOCK, D. & DE VRIES, C. G.
• Comparative Analysis of Litigation Systems: an Auction-Theoretic Approach.
  by Baye, M. R. & Kovenock D. & De Vries, C. G.
• Consistent Measures of Risk
  by Casper G. de Vries & Mandira Sarma & Bjørn N. Jorgensen & Jean-Pierre Zigrand & Jon Danielsson
• On the frequency of large stock returns: putting booms and busts into perspective
  by Casper G. De Vries & Dennis W. Jansen
• Generational Accounting, Solidarity and Pension Losses
  by Coen Teulings & Casper Vries
• Simulating currency substitution bias
  by Boon, Martin & Kool, Clemens & De Vries, Casper
• The all-pay auction with complete information (*)
  by Dan Kovenock & Michael R. Baye & Casper G. de Vries
• Comparing downside risk measures for heavy tailed distributions
  by Danielsson, Jon & Jorgensen, Bjorn N. & Sarma, Mandira & de Vries, Casper G.
• The Forward Premium Puzzle: new evidence from futures contracts
  by Kerstin Bernoth & Juergen von Hagen & Casper de Vries
• Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach
  by Michael R. Baye & Dan Kovenock & Casper G. de Vries
• The Forex Regime and EMU Expansion
  by Pieter van Foreest & Casper de Vries
• Fundamental Volatility is Regime Specific
  by Ivo. J. M. Arnold & Ronald MacDonald & Casper G. de Vries
• Portfolio selection with heavy tails
  by Hyung, Namwon & de Vries, Casper G.
• IMF Support and Inter-regime Exchange rate Volatility
  by Ivo J. M. Arnold & Ronald MacDonald & Casper G. de Vries
• Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
  by Jón Daníelsson & Bjørn Jorgensen & Casper Vries & Xiaoguang Yang
• Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation
  by Danielsson, J. & de Haan, L. & Peng, L. & de Vries, C. G.
• Contests with Rank-Order Spillovers
  by Michael R. Baye & Dan Kovenock & Casper G. de Vries
• Banking System Stability. A Cross-Atlantic Perspective
  by Philipp Hartmann & Stefan Straetmans & Casper de Vries
  edited by
• The Herodotus Paradox
  by Michael R. Baye & Dan Kovenock J. & Casper De Vries & Casper G., de Vries
• Heavy tails and currency crises
  by Hartmann, P. & Straetmans, S. & de Vries, C. G.
• IMF Support and Inter-Regime Exchange Rate Volatility
  by Ivo Arnold & Ronald MacDonald & Casper Vries
• World Equity Premium Based Risk Aversion Estimates
  by Lorenzo C. G. Pozzi & Casper De Vries & Jorn Zenhorst & Casper G., de Vries
• Risk measures for autocorrelated hedge fund returns
  by Antonio Di Cesare & Philip A. Stork & Casper G. de Vries
• The Forward Premium Puzzle and Latent Factors Day by Day
  by Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries
• The Herodotus Paradox
  by Michael R. Baye & Dan Kovenock & Casper G. de Vries
• The Forward Premium Puzzle and Latent Factors Day by Day
  by Bernoth, Kerstin & de Vries, Casper G. & von Hagen, Jürgen
• Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes
  by de Haan, Laurens & Resnick, Sidney I. & Rootzén, Holger & de Vries, Casper G.
• The Forward Premium Puzzle and Latent Factors Day by Day
  by Kerstin Bernoth & Juergen von Hagen & Casper de Vries
• Global stochastic properties of dynamic models and their linear approximations
  by Babus, Ana & de Vries, Casper G.
• Contests with rank-order spillovers
  by Michael Baye & Dan Kovenock & Casper Vries
• Simulating and calibrating diversification against black swans
  by Hyung, Namwon & de Vries, Casper G.
• The forward premium puzzle and latent factors day by day
  by Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Casper
• The Herodotus paradox
  by Baye, Michael R. & Kovenock, Dan & de Vries, Casper G.
• Heavy tails of OLS
  by Mikosch, Thomas & de Vries, Casper G.
• Fat tails, VaR and subadditivity
  by Daníelsson, Jón & Jorgensen, Bjørn N. & Samorodnitsky, Gennady & Sarma, Mandira & de Vries, Casper G.
• Systemic risk and diversification across European banks and insurers
  by Slijkerman, Jan Frederik & Schoenmaker, Dirk & de Vries, Casper G.
• The Impact of Competition on Prices with Numerous Firms
  by Xavier Gabaix & David Laibson & Deyuan Li & Hongyi Li & Sidney Resnick & Casper G. de Vries
• Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk
  by Kyle Moore & Pengfei Sun & Casper de Vries & Chen Zhou
• The cross-section of tail risks in stock returns
  by Moore, Kyle & Sun, Pengfei & de Vries, Casper G. & Zhou, Chen
• The drivers of downside equity tail risk
  by Moore, Kyle & Sun, Pengei & de Vries, Casper G. & Zhou, Chen
• Comparing downside risk measures for heavy tailed distribution
  by Danielsson, Jon & Jorgensen, Bjørn N. & Sarma, Mandira & Vries, C. G. de
• On the relation between GARCH and stable processes
  by de Vries, C. G.
• An experimental examination of rational rentseeking
  by Potters, J. J. M. & de Vries, C. G. & van Winden, F. A. A. M.
• VaR stress for highly non-linear portfolios
  by Einmahl, J. H. J. & Foppen, W. & Laseroms, O. & de Vries, C. G.
• Consistent measures of risk
  by Danielsson, Jon & Zigrand, Jean-Pierre & Jorgensen, Bjørn N. & Sarma, Mandira & de Vries, C. G.
• Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
  by Geluk, J. L. & de Vries, C. G.
• On agricultural commodities' extreme price risk
  by Maarten van Oordt & Philip Stork & Casper de Vries
• The All-Pay Auction with Complete Information
  by Baye, M. & Kovenock, D. & de Vries, C.
• The number of active bidders in internet auctions
  by de Haan, Laurens & de Vries, Casper G. & Zhou, Chen
• Subadditivity re–examined: the case for value-at-risk
  by Danielsson, Jon & Jorgensen, Bjørn N. & Mandira, Sarma & Samorodnitsky, Gennady & Vries, C. G. de
• Using a bootstrap method to choose the sample fraction in tail index estimation
  by Daníelsson, J. & de Haan, L. F. M. & Peng, L. & de Vries, C. G.
• Asset market linkages in crisis periods
  by Casper G. De Vries & Philipp Hartman & Stefan Straetmans
• Indexation, Inflation Targeting cum Output Stabilization & Inflation Fluctuations
  by J. A. Attey & C. G. De Vries
• Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
  by Casper de Vries & Xuedong Wang
• Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
  by Casper De Vries & Xuedong Wang & Casper G., de Vries
• Monetary Policy in the Presence of Random Wage Indexation
  by Jonathan A. Attey & Casper G. de Vries
• Incentives for Effective Risk Management
  by Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries
• Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation
  by Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries & Xiaogang Yang
• Portfolio Diversification Effects and Regular Variation in Financial Data
  by Namwon Hyung & Casper G. de Vries
• The Incidence of Overdissipation in Rent-Seeking Contests
  by Michael R. Baye & Dan Kovenock & Casper G. de Vries
• Optimal Confidence Intervals for the Tail Index and High Quantiles
  by Ana Ferreira & Casper G. de Vries
• Portfolio Selection with Heavy Tails
  by Namwon Hyung & Casper G. de Vries
• Portfolio Diversification Effects of Downside Risk
  by Namwon Hyung & Casper G. de Vries
• Large Swings in Currencies driven by Fundamentals
  by Phornchanok Cumperayot & Casper G. de Vries
• The impact of competition on prices with numerous firms
  by Gabaix, Xavier & Laibson, David & Li, Deyuan & Li, Hongyi & Resnick, Sidney & de Vries, Casper G.
• World Equity Premium based Risk Aversion Estimates
  by L. C. G. Pozzi & C. G. de Vries & J. Zenhorst
• Weak & Strong Financial Fragility
  by J. L. Geluk & L. de Haan & C. G. de Vries
• Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation
  by J. Danielsson & L. de Haan & L. Peng & C. G. de Vries
• Value-at-Risk and Extreme Returns
  by Jón Daníelsson & Casper G. de Vries
• Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities
  by J. L. Geluk & C. G. de Vries
• Tail Probabilities for Regression Estimators
  by Thomas Mikosch & Casper G. de Vries
• Value-at-Risk and Extreme Returns
  by Jon Danielsson & Casper G. De Vries
• Tail Index and Quantile Estimation with Very High Frequency Data
  by Casper De Vries & Jon Danielsson & Casper G., de Vries
• Risk Measures for Autocorrelated Hedge Fund Returns
  by Antonio Di Cesare & Philip A. Stork & Casper G. de Vries
• Tail index estimation: quantile driven threshold selection
  by Danielsson, Jon & Ergun, Lerby M. & Haan, Laurens de & Vries, Casper G. de
• Risk Diversification by European Financial Conglomerates
  by Jan Frederik Slijkerman & Dirk Schoenmaker & Casper de Vries
• Risk Measures for Autocorrelated Hedge Fund Returns
  by Antonio Di Cesare & Philip A. Stork & Casper G. de Vries
• Tail Index Estimation: Quantile-Driven Threshold Selection
  by Jon Danielsson & Lerby Ergun & Laurens de Haan & Casper G. de Vries
• Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach
  by Michael R. Baye & Dan Kovenock & Casper G. de Vries
• Auctions with Numerous Bidders
  by Silvia Caserta & Casper G. de Vries
• Contests with Rank-Order Spillovers
  by Michael R. Baye & Dan Kovenock & Casper G. de Vries
• Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series
  by Jaap Geluk & Liang Peng & Casper G. de Vries
• Banking system stability: a cross-Atlantic perspective
  by Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper
• Generational Accounting, Solidarity and Pension Losses
  by Coen N. Teulings & Casper G. de Vries
• Beyond the Sample: Extreme Quantile and Probability Estimation
  by Jón Daníelsson & Casper G. de Vries
• Fundamentals and joint currency crises
  by Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper
• Global Stochastic Properties of Dynamic Models and their Linear Approximations
  by Ana Babus & Casper G. de Vries
• A Hybrid Joint Moment Ratio Test for Financial Time Series
  by Patrick A. Groenendijk & André Lucas & Casper G. de Vries
• Challenges in Implementing Worst-Case Analysis
  by Jon Danielsson & Lerby Ergun & Casper G. de Vries
• The Herodotus Paradox
  by Michael R. Baye & Dan Kovenock & Casper G. de Vries
• Credit Rationing Effects of Credit Value-at-Risk
  by Jan Frederik Slijkerman & David J. C. Smant & Casper G. de Vries
• Asset-Based Lending
  by Suzanne Bijkerk & Casper de Vries
• Extreme Linkages in Financial Markets: Macro Shocks and Systemic Risk
  by Charnchai Leuwattanachotinan & Casper G. de Vries
• The All-pay Auction with Complete Information
  by Michael R. Baye & Dan Kovenock & Casper De Vries & Casper G., de Vries
• Abnormal returns, risk, and options in large data sets
  by S. Caserta & J. DanÃÂÃÂelsson & C. G. De Vries
• The EURO, Prudent Coherence?
  by Ivo J. M. Arnold & Casper G. de Vries
• Asset market linkages in crisis periods
  by Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper
• Abnormal Returns, Risk, and Options in Large Data Sets
  by Silvia Caserta & Jon Danielsson & Casper G. de Vries
• Asset Market Linkages in Crisis Periods
  by P. Hartmann & S. Straetmans & C. G. de Vries
• The Extent of Internet Auction Markets
  by Laurens de Haan & Casper de Vries & Chen Zhou
• Asset-based lending
  by Suzanne H. Bijkerk & Casper G., de Vries
• Exploiting tail shape biases to discriminate between stable and student t alternatives
  by Pengfei Sun & Casper G. de Vries
• The Forex Regime and EMU Expansion
  by Pieter W. van Foreest & Casper G. de Vries
• The Downside Risk of Heavy Tails induces Low Diversification
  by Namwon Hyung & Casper G. de Vries
• Estimating a Latent Risk Premium in Exchange Rate Futures
  by Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries
• Endogenous Financial Structure and the Transmission of ECB Policy
  by Ivo J. M. Arnold & Casper G. de Vries
• The Forward Premium Puzzle only emerges gradually
  by Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries