

Casper de Vries
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(5):708--726.
de Haan, L., de Vries, C.G. and Zhou, C. (2013). The number of active bidders in internet auctions Journal of Economic Theory, 148(4):1726--1736.
de Vries, C.G., Danielsson, J., Jorgensen, B.N., Samarodnitsky, G. and Sarma, M. (2013). Fat tails, VaR and subadditivity Journal of Econometrics, 172(2):283--291.
de Vries, C.G. and Mikosch, T. (2013). Heavy tails of OLS Journal of Econometrics, 172(2):205--221.
Slijkerman, J.F., de Vries, C.G. and Schoenmaker, D. (2013). Systemic Risk and Diversification across European Banks and Insurers Journal of Banking and Finance, 37(3):773--785.
Arnold, I.J.M., de Vries, C.G. and Macdonald, R (2012). IMF Support and inter-regime exchange rate volatility Open Economies Review, 23(1):193--211.
de Vries, C.G., Baye, M.R. and Kovenock, D.J. (2012). Contests with rank-order spillovers Economic Theory, 51(2):315--350.
de Vries, C.G. and Hyung, N. (2012). Simulating and calibrating diversification against black swans Journal of Economic Dynamics and Control, 36(8):1162--1175.
de Vries, C.G., Baye, M.R. and Kovenock, D.J. (2012). The Herodotus paradox Games and Economic Behavior, 74(1):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(5):817--824.
Hartmann, P., Straetmans, S. and de Vries, C.G. (2009). Heavy tails and currency crises Journal of Empirical Finance, 17(2):241--254.
Hyung, N. and de Vries, C.G. (2007). Portfolio selection with heavy tails Journal of Empirical Finance, 14(2007):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(1):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(1):39--56.
de Vries, C.G., 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(1):107--125.
de Vries, C.G. (2005). The simple economics of bank fragility Journal of Banking and Finance, 29(4):803--825.
de Vries, C.G., Einmahl, J.H.J., Foppen, W.N. and Laseroms, O.W (2005). 'VaR stress test for highly non-linear portfolios' Journal of Risk, 6:382--387.
Hartmann, P., 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(3):285--298.
Danielsson, J., Jorgensen, B.N. and de Vries, C.G. (2002). Incentives for effective risk management Journal of Banking and Finance, 26(7):1407--1425.
Kovenock, D.J. and de Vries, C.G. (2002). Fiat exchange in finite Economic Inquiry, 40(2):147--157.
Arnold, I.J.M. and de Vries, C.G. (2000). Endogeneity in European money demand European Journal of Political Economy, 16:587--609.
Jansen, D.W., Koedijk, C.G. and de Vries, C.G. (2000). Portfolio Selection with limited downside risk Journal of Empirical Finance, 7(3):247--269.
de Vries, C.G., Baye, M.R. and Kovenock, D.J. (1999). The incidence of overdissipation in rent-seeking contsts Public Choice, (99):439--454.
de Vries, C.G., Potters, J. and van Winden, F. (1998). An experimental examination of rational rent seeking European Journal of Political Economy, (14):783--800.
Koedijk, K., Nwaghodoh, Emmanuel and de Vries, C.G. (1998). An EMS target zone model in discrete time Journal of Applied Econometrics, 13(1):31--48.
de Vries, C.G. and Danielson, J. (1997). Tail index and quantile estimation with very high frequency data Journal of Empirical Finance, 4(2/3):241--258.
de Vries, C.G., Baye, M.R. and Kovenock, D.J. (1996). The all-pay-auction with incomplete information Economic Theory, 8(2):291--306.
Dellas, H. and de Vries, C.G. (1995). Piecemeal versus precipitous factor market integration International Economic Review, :569--582.
Koedijk, K., Mizrach, B., Nwaghodoh, Emmanuel and de Vries, C.G. (1995). New evidence on the effectiveness of foreign exchange market intervention European Economic Review, :501--508.
Baye, M.R., 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.