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.
Casper de Vries
University
Erasmus University Rotterdam
E-mail
Research field
Macroeconomics
Interests
Game Theory, Monetary Economics, Risk and Uncertainty
Website
Key publications
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.
de Vries, C.G., Baye, M.R. and Kovenock, D.J. (2005). Comparative Analysis of Litigation Systems Economic Journal, 115:583--601.
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.
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.
Dellas, H. and de Vries, C.G. (1995). Piecemeal versus precipitous factor market integration International Economic Review, :569--582.
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.