Casper G. de Vries
Names
first: |
Casper |
middle: |
G. |
last: |
de Vries |
Contact
email: |
|
homepage: |
http://people.few.eur.nl/cdevries/ |
postal address: |
Dept of Economics, H8-33
Erasmus Universiteit Rotterdam
PO Box 1738
3000DR Rotterdam
Netherlands |
Affiliations
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Erasmus Universiteit Rotterdam
→ Faculteit der Economische Wetenschappen
- website
- location: Rotterdam, Netherlands
Research profile
author of:
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The simple economics of bank fragility
by C. G. de vries
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An EMS target zone model in discrete time
by Kees G. Koedijk & Philip A. Stork & Casper G. De Vries
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Endogeneity in European money demand
by Arnold, Ivo J. M. & de Vries, Casper G.
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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
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The Incidence of Overdissipation in Rent-Seeking Contests.
by Baye, Michael R. & Kovenock, Dan & de Vries, Casper G.
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A note on the relationship between GARCH and symmetric stable processes
by Groenendijk, Patrick A. & Lucas, Andre & de Vries, Casper G.
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Asset Market Linkages in Crisis Periods
by de Vries, Casper G. & Hartmann, Philipp & Straetmans, Stefan
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An experimental examination of rational rent-seeking
by Potters, Jan & de Vries, Casper G. & van Winden, Frans
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Mixed Strategy Trade Equilibria.
by Michael R. Baye & Casper G. De Vries
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Piecemeal versus Precipitous Factor Market Integration.
by Dellas, Harris & de Vries, Casper G.
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On the relation between GARCH and stable processes
by de Vries, Casper G.
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Portfolio selection with limited downside risk
by Jansen, Dennis W. & Koedijk, Kees G. & de Vries, Casper G.
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Generational Accounting, Solidarity and Pension Losses
by de Vries, Casper G. & Teulings, Coen N.
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Asset Market Linkages in Crisis Periods
by P. Hartmann & S. Straetmans & C. G. de Vries
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The Limiting Distribution of Extremal Exchange Rate Returns.
by Hols, Martien C. A. B. & de Vries, Casper G.
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Fiat Exchange in Finite Economies.
by Kovenock, D. & de Vries, C. G.
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Fundamentals and Joint Currency Crises
by de Vries, Casper G. & Hartmann, Philipp & Straetmans, Stefan
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On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective.
by Jansen, Dennis W. & de Vries, Casper G.
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Fixing soft margins
by Kofman, Paul & de Vaal, Albert & de Vries, Casper G.
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Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach
by Michael R. Baye & Dan Kovenock & Casper De Vries & Casper G., de Vries
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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.
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Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach
by Michael R. Baye & Dan Kovenock & Casper G. de Vries
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INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY.
by VIAENE, J.-M. & DE VRIES, C. G.
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Rigging the Lobbying Process: An Application of the All-Pay Auction.
by Baye, Michael R. & Kovenock, Dan & de Vries, Casper G.
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New evidence on the effectiveness of foreign exchange market intervention
by Koedijk, Kees G. & Mizrach, Bruce & Stork, Philip A. & de Vries, Casper G.
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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.
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The value of value at risk: statistical, financial, and regulatory considerations (summary)
by Jon Danielsson & Casper G. De Vries & Bjorn N. Jorgensen
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The All-Pay Auction with Complete Information.
by Baye, M. R. & Kovenock, D. & De Vries, C.
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Differences between foreign exchange rate regimes: The view from the tails
by Koedijk, Kees G. & Stork, Philip A. & de Vries, Casper G.
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Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist.
by Baye, M. R. & Gillette, A. & De Vries, C. G.
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Beyond the Sample: Extreme Quantile and Probability Estimation
by Jon Danielsson & Casper G. de Vries
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Theory and Relevance of Currency Substitution with Case Studies for Canada and the Netherlands Antilles.
by de Vries, Casper G.
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Optimal Localized Production Experience and Schooling.
by van Marrewijk, Charles & de Vries, Casper G. & Withagen, Cees
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The All-Pay Auction with Complete Information.
by Kovenock, D. & de Vries, C. G.
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International Growth with Free Trade in Equities and Goods: A Comment.
by de Vries, C. G.
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International trade and exchange rate volatility
by Viaene, Jean-Marie & de Vries, Casper G.
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Stylized Facts of Nominal Exchange Rate Returns.
by De Vries, C. G. & Leuven, K. U.
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Asset Market Linkages in Crisis Periods.
by Hartmann, P. & Straetmans, S. & De Vries, C. G.
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Rigging the Lobbying Process: An Application of the All- Pay Auction.
by Baye, M. R. & Kovenock, D. & De Vries, C. G.
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The customs union argument for a monetary union
by van Marrewijk, Charles & de Vries, Casper G.
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Between Realignments and Intervention: the Belgian Franc in the European Monetary System.
by Koedijk, K. G. & Stork, P. A. & de Vries, C.
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Incentives for effective risk management
by Danielsson, Jon & Jorgensen, Bjorn N. & de Vries, Casper G.
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Generational Accounting, Solidarity and Pension Losses
by Teulings, Coen & de Vries, Casper G.
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The simple economics of bank fragility
by De Vries, C. G.
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It takes two to tango: Equilibria in a model of sales
by Baye, Michael R. & Kovenock, Dan & de Vries, Casper G.
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Banking System Stability: A Cross-Atlantic Perspective
by Philipp Hartmann & Stefan Straetmans & Casper G. De Vries
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Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
by Geluk, J. L. & De Vries, C. G.
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Subadditivity Re–Examined: the Case for Value-at-Risk
by Casper G. de Vries & Gennady Samorodnitsky & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson
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Fiat Exchange in Finite Economies.
by Kovenock, D. & De Vries, C. G.
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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.
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Comparing Downside Risk Measures for Heavy Tailed Distributions
by Casper G. de Vries & Bjørn N. Jorgensen & Sarma Mandira & Jon Danielsson
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RIGGING THE LOBBYING PROCESS: AN APPLICATION OF THE ALL- PAY AUCTION.
by BAYE, M. R. & KOVENOCK, D. & DE VRIES, C. G.
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The All-Pay Auction With Complete Information
by BAYE, M. R. & KOVENOCK, D. & DE VRIES, C. G.
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Comparative Analysis of Litigation Systems: an Auction-Theoretic Approach.
by Baye, M. R. & Kovenock D. & De Vries, C. G.
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Consistent Measures of Risk
by Casper G. de Vries & Mandira Sarma & Bjørn N. Jorgensen & Jean-Pierre Zigrand & Jon Danielsson
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On the frequency of large stock returns: putting booms and busts into perspective
by Casper G. De Vries & Dennis W. Jansen
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Generational Accounting, Solidarity and Pension Losses
by Coen Teulings & Casper Vries
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Simulating currency substitution bias
by Boon, Martin & Kool, Clemens & De Vries, Casper
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The all-pay auction with complete information (*)
by Dan Kovenock & Michael R. Baye & Casper G. de Vries
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Comparing downside risk measures for heavy tailed distributions
by Danielsson, Jon & Jorgensen, Bjorn N. & Sarma, Mandira & de Vries, Casper G.
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The Forward Premium Puzzle: new evidence from futures contracts
by Kerstin Bernoth & Juergen von Hagen & Casper de Vries
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Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach
by Michael R. Baye & Dan Kovenock & Casper G. de Vries
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The Forex Regime and EMU Expansion
by Pieter van Foreest & Casper de Vries
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Fundamental Volatility is Regime Specific
by Ivo. J. M. Arnold & Ronald MacDonald & Casper G. de Vries
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Portfolio selection with heavy tails
by Hyung, Namwon & de Vries, Casper G.
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IMF Support and Inter-regime Exchange rate Volatility
by Ivo J. M. Arnold & Ronald MacDonald & Casper G. de Vries
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Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
by Jón Daníelsson & Bjørn Jorgensen & Casper Vries & Xiaoguang Yang
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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.
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Contests with Rank-Order Spillovers
by Michael R. Baye & Dan Kovenock & Casper G. de Vries
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Banking System Stability. A Cross-Atlantic Perspective
by Philipp Hartmann & Stefan Straetmans & Casper de Vries
edited by
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The Herodotus Paradox
by Michael R. Baye & Dan Kovenock J. & Casper De Vries & Casper G., de Vries
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Heavy tails and currency crises
by Hartmann, P. & Straetmans, S. & de Vries, C. G.
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IMF Support and Inter-Regime Exchange Rate Volatility
by Ivo Arnold & Ronald MacDonald & Casper Vries
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World Equity Premium Based Risk Aversion Estimates
by Lorenzo C. G. Pozzi & Casper De Vries & Jorn Zenhorst & Casper G., de Vries
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Risk measures for autocorrelated hedge fund returns
by Antonio Di Cesare & Philip A. Stork & Casper G. de Vries
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The Forward Premium Puzzle and Latent Factors Day by Day
by Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries
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The Herodotus Paradox
by Michael R. Baye & Dan Kovenock & Casper G. de Vries
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The Forward Premium Puzzle and Latent Factors Day by Day
by Bernoth, Kerstin & de Vries, Casper G. & von Hagen, Jürgen
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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.
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The Forward Premium Puzzle and Latent Factors Day by Day
by Kerstin Bernoth & Juergen von Hagen & Casper de Vries
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Global stochastic properties of dynamic models and their linear approximations
by Babus, Ana & de Vries, Casper G.
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Contests with rank-order spillovers
by Michael Baye & Dan Kovenock & Casper Vries
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Simulating and calibrating diversification against black swans
by Hyung, Namwon & de Vries, Casper G.
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The forward premium puzzle and latent factors day by day
by Bernoth, Kerstin & von Hagen, Jürgen & de Vries, Casper
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The Herodotus paradox
by Baye, Michael R. & Kovenock, Dan & de Vries, Casper G.
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Heavy tails of OLS
by Mikosch, Thomas & de Vries, Casper G.
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Fat tails, VaR and subadditivity
by Daníelsson, Jón & Jorgensen, Bjørn N. & Samorodnitsky, Gennady & Sarma, Mandira & de Vries, Casper G.
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Systemic risk and diversification across European banks and insurers
by Slijkerman, Jan Frederik & Schoenmaker, Dirk & de Vries, Casper G.
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The Impact of Competition on Prices with Numerous Firms
by Xavier Gabaix & David Laibson & Deyuan Li & Hongyi Li & Sidney Resnick & Casper G. de Vries
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Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk
by Kyle Moore & Pengfei Sun & Casper de Vries & Chen Zhou
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The cross-section of tail risks in stock returns
by Moore, Kyle & Sun, Pengfei & de Vries, Casper G. & Zhou, Chen
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The drivers of downside equity tail risk
by Moore, Kyle & Sun, Pengei & de Vries, Casper G. & Zhou, Chen
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Comparing downside risk measures for heavy tailed distribution
by Danielsson, Jon & Jorgensen, Bjørn N. & Sarma, Mandira & Vries, C. G. de
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On the relation between GARCH and stable processes
by de Vries, C. G.
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An experimental examination of rational rentseeking
by Potters, J. J. M. & de Vries, C. G. & van Winden, F. A. A. M.
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VaR stress for highly non-linear portfolios
by Einmahl, J. H. J. & Foppen, W. & Laseroms, O. & de Vries, C. G.
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Consistent measures of risk
by Danielsson, Jon & Zigrand, Jean-Pierre & Jorgensen, Bjørn N. & Sarma, Mandira & de Vries, C. G.
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Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
by Geluk, J. L. & de Vries, C. G.
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On agricultural commodities' extreme price risk
by Maarten van Oordt & Philip Stork & Casper de Vries
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The All-Pay Auction with Complete Information
by Baye, M. & Kovenock, D. & de Vries, C.
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The number of active bidders in internet auctions
by de Haan, Laurens & de Vries, Casper G. & Zhou, Chen
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Subadditivity re–examined: the case for value-at-risk
by Danielsson, Jon & Jorgensen, Bjørn N. & Mandira, Sarma & Samorodnitsky, Gennady & Vries, C. G. de
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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.
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Asset market linkages in crisis periods
by Casper G. De Vries & Philipp Hartman & Stefan Straetmans
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Indexation, Inflation Targeting cum Output Stabilization & Inflation Fluctuations
by J. A. Attey & C. G. De Vries
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Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
by Casper de Vries & Xuedong Wang
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Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates
by Casper De Vries & Xuedong Wang & Casper G., de Vries
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Monetary Policy in the Presence of Random Wage Indexation
by Jonathan A. Attey & Casper G. de Vries
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Incentives for Effective Risk Management
by Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries
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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
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Portfolio Diversification Effects and Regular Variation in Financial Data
by Namwon Hyung & Casper G. de Vries
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The Incidence of Overdissipation in Rent-Seeking Contests
by Michael R. Baye & Dan Kovenock & Casper G. de Vries
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Optimal Confidence Intervals for the Tail Index and High Quantiles
by Ana Ferreira & Casper G. de Vries
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Portfolio Selection with Heavy Tails
by Namwon Hyung & Casper G. de Vries
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Portfolio Diversification Effects of Downside Risk
by Namwon Hyung & Casper G. de Vries
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Large Swings in Currencies driven by Fundamentals
by Phornchanok Cumperayot & Casper G. de Vries
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The impact of competition on prices with numerous firms
by Gabaix, Xavier & Laibson, David & Li, Deyuan & Li, Hongyi & Resnick, Sidney & de Vries, Casper G.
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World Equity Premium based Risk Aversion Estimates
by L. C. G. Pozzi & C. G. de Vries & J. Zenhorst
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Weak & Strong Financial Fragility
by J. L. Geluk & L. de Haan & C. G. de Vries
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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
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Value-at-Risk and Extreme Returns
by Jón Daníelsson & Casper G. de Vries
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Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities
by J. L. Geluk & C. G. de Vries
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Tail Probabilities for Regression Estimators
by Thomas Mikosch & Casper G. de Vries
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Value-at-Risk and Extreme Returns
by Jon Danielsson & Casper G. De Vries
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Tail Index and Quantile Estimation with Very High Frequency Data
by Casper De Vries & Jon Danielsson & Casper G., de Vries
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Risk Measures for Autocorrelated Hedge Fund Returns
by Antonio Di Cesare & Philip A. Stork & Casper G. de Vries
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Tail index estimation: quantile driven threshold selection
by Danielsson, Jon & Ergun, Lerby M. & Haan, Laurens de & Vries, Casper G. de
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Risk Diversification by European Financial Conglomerates
by Jan Frederik Slijkerman & Dirk Schoenmaker & Casper de Vries
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Risk Measures for Autocorrelated Hedge Fund Returns
by Antonio Di Cesare & Philip A. Stork & Casper G. de Vries
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Tail Index Estimation: Quantile-Driven Threshold Selection
by Jon Danielsson & Lerby Ergun & Laurens de Haan & Casper G. de Vries
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Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach
by Michael R. Baye & Dan Kovenock & Casper G. de Vries
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Auctions with Numerous Bidders
by Silvia Caserta & Casper G. de Vries
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Contests with Rank-Order Spillovers
by Michael R. Baye & Dan Kovenock & Casper G. de Vries
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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
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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
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A Hybrid Joint Moment Ratio Test for Financial Time Series
by Patrick A. Groenendijk & André Lucas & Casper G. de Vries
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Challenges in Implementing Worst-Case Analysis
by Jon Danielsson & Lerby Ergun & Casper G. de Vries
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The Herodotus Paradox
by Michael R. Baye & Dan Kovenock & Casper G. de Vries
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Credit Rationing Effects of Credit Value-at-Risk
by Jan Frederik Slijkerman & David J. C. Smant & Casper G. de Vries
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Asset-Based Lending
by Suzanne Bijkerk & Casper de Vries
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Extreme Linkages in Financial Markets: Macro Shocks and Systemic Risk
by Charnchai Leuwattanachotinan & Casper G. de Vries
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The All-pay Auction with Complete Information
by Michael R. Baye & Dan Kovenock & Casper De Vries & Casper G., de Vries
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Abnormal returns, risk, and options in large data sets
by S. Caserta & J. DanÃÂÃÂelsson & C. G. De Vries
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The EURO, Prudent Coherence?
by Ivo J. M. Arnold & Casper G. de Vries
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Asset market linkages in crisis periods
by Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper
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Abnormal Returns, Risk, and Options in Large Data Sets
by Silvia Caserta & Jon Danielsson & Casper G. de Vries
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Asset Market Linkages in Crisis Periods
by P. Hartmann & S. Straetmans & C. G. de Vries
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The Extent of Internet Auction Markets
by Laurens de Haan & Casper de Vries & Chen Zhou
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Asset-based lending
by Suzanne H. Bijkerk & Casper G., de Vries
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Exploiting tail shape biases to discriminate between stable and student t alternatives
by Pengfei Sun & Casper G. de Vries
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The Forex Regime and EMU Expansion
by Pieter W. van Foreest & Casper G. de Vries
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The Downside Risk of Heavy Tails induces Low Diversification
by Namwon Hyung & Casper G. de Vries
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Estimating a Latent Risk Premium in Exchange Rate Futures
by Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries
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Endogenous Financial Structure and the Transmission of ECB Policy
by Ivo J. M. Arnold & Casper G. de Vries
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The Forward Premium Puzzle only emerges gradually
by Kerstin Bernoth & Jürgen von Hagen & Casper G. de Vries