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Home | People | Casper de Vries

Casper de Vries

Research Fellow

Erasmus University Rotterdam
game theory, monetary economics, risk and uncertainty

Key publications

List of publications

de Vries,C.G. and Sun,P.. 2018. Exploiting tail shape biases to discriminate between stable and student t alternatives.. Journal of Applied Econometrics, 33, 708--726

de Haan,L. and de Vries,C.G. and Zhou,C.. 2013. The number of active bidders in internet auctions. Journal of Economic Theory, 148, 1726--1736

de Vries,C.G. and Danielsson,J. and Jorgensen,B.N. and Samarodnitsky,G. and Sarma,M.. 2013. Fat tails, VaR and subadditivity. Journal of Econometrics, 172, 283--291

de Vries,C.G. and Mikosch,T.. 2013. Heavy tails of OLS. Journal of Econometrics, 172, 205--221

de Vries,C.G. and Slijkerman,J.F. and Schoenmaker,D.. 2013. Systemic Risk \& Diversification across European Banks and Insurers. Journal of Banking and Finance, 37, 773--785

Slijkerman,J.F. and de Vries,C.G. and Schoenmaker,D.. 2013. Systemic Risk and Diversification across European Banks and Insurers. Journal of Banking and Finance, 37, 773--785

Arnold,I.J.M. and de Vries,C.G. and Macdonald,R. 2012. IMF Support and inter-regime exchange rate volatility. Open Economies Review, 23, 193--211

de Vries,C.G. and Baye,M.R. and Kovenock,D.J.. 2012. Contests with rank-order spillovers. Economic Theory, 51, 315--350

de Vries,C.G. and Hyung,N.. 2012. Simulating and calibrating diversification against black swans. Journal of Economic Dynamics and Control, 36, 1162--1175

de Vries,C.G. and Baye,M.R. and Kovenock,D.J.. 2012. The Herodotus paradox. Games and Economic Behavior, 74, 399--406

Babus,A. and de Vries,C.G.. 2010. Global stochastic properties of dynamic models and their linear approximations. Journal of Economic Dynamics and Control, 34, 817--824

Hartmann,P. and Straetmans,S. and de Vries,C.G.. 2009. Heavy tails and currency crises. Journal of Empirical Finance, 17, 241--254

Hyung,N. and de Vries,C.G.. 2007. Portfolio selection with heavy tails. Journal of Empirical Finance, 14, 383--400

de Vries,C.G.. 2006. Comparing downside risk measures for heavy tailed distributions. Economics Letters, 92, 202--208

de Vries,C.G. and Teulings,C.N.. 2006. Generational accounting, solidarity and pension losses. De Economist, 154, 63--83

de Vries,C.G. and Geluk,J.L.. 2006. Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities. Insurance, 38, 39--56

de Vries,C.G. and Baye,M.R. and Kovenock,D.J.. 2005. Comparative Analysis of Litigation Systems. Economic Journal, 115, 583--601

de Vries,C.G. and Hyung,N.. 2005. Portfolio Diversification Effects of Downside Risk. Journal of Financial Econometrics, 3, 107--125

de Vries,C.G.. 2005. The simple economics of bank fragility. Journal of Banking and Finance, 29, 803--825

de Vries,C.G. and Einmahl,J.H.J. and Foppen,W.N. and Laseroms,O.W. 2005. 'VaR stress test for highly non-linear portfolios'. Journal of Risk, 6, 382--387

Hartmann,P. and Straetmans,S.T.M. and de Vries,C.G.. 2004. Asset market linkages in crisis periods. Review of Economics and Statistics, 81, 313--326

van Foreest,P.W. and de Vries,C.G.. 2003. The forex regime and EMU expansion. Open Economies Review, 14, 285--298

Danielsson,J. and Jorgensen,B.N. and de Vries,C.G.. 2002. Incentives for effective risk management. Journal of Banking and Finance, 26, 1407--1425

Kovenock,D.J. and de Vries,C.G.. 2002. Fiat exchange in finite. Economic Inquiry, 40, 147--157

Arnold,I.J.M. and de Vries,C.G.. 2000. Endogeneity in European Mony demand. European Journal of Political Economy, 16, 587--609

Jansen,D.W. and Koedijk,C.G. and de Vries,C.G.. 2000. Portfolio Selection with limited downside risk. Journal of Empirical Finance, 7, 247--269

de Vries,C.G. and Baye,M.R. and Kovenock,D.J.. 1999. The incidence of overdissipation in rent-seeking contsts. Public Choice, 439--454

Koedijk,K. and Nwaghodoh,Emmanuel and de Vries,C.G.. 1998. An EMS target zone model in discrete time. Journal of Applied Econometrics, 13, 31--48

J.J.M. Potters and de Vries, C.J.M. and van Winden, F.A.A.M.. 1998. An experimental examination of rational rent-seeking. European Journal of Political Economy, 14, 783--800, 0176-2680

de Vries,C.G. and Danielson,J.. 1997. Tail index and quantile estimation with very high frequency data. Journal of Empirical Finance, 4, 241--258

de Vries,C.G. and Baye,M.R. and Kovenock,D.J.. 1996. The all-pay-auction with incomplete information. Economic Theory, 8, 291--306

Dellas,H. and de Vries,C.G.. 1995. Piecemeal versus precipitous factor market integration. International Economic Review, 569--582

Koedijk,K. and Mizrach,B. and Nwaghodoh,Emmanuel and de Vries,C.G.. 1995. New evidence on the effectiveness of foreign exchange market intervention. European Economic Review, 501--508

Groenendijk,P.A. and Lucas,A. and de Vries,C.G.. 1995. A note on the relationship between GARCH and symmetrical stable processes. Journal of Empirical Finance, 2, 253--264

Baye,M.R. and Kovenock,D.J. and de Vries,C.G.. 1994. The solution to the Tullock rent-seeking game when R > 2: mixed-strategy equilibria and mean dissipation rates. Public Choice, 363--380