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de Vries, Casper G.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
4,863 |
Total
Citations
193 |
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1.
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Stork, Philip A.
VU University Amsterdam - Faculty of Economics and Business Administration de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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16 Apr 08
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Last Revised:
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14 Aug 09
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649
(18,004)
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Hedge Funds, Financial Stability
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2.
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Asset Market Linkages in Crisis Periods
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Versions (3)
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Hartmann, Philipp
European Central Bank (ECB) Straetmans, Stefan
University of Maastricht - Limburg Institute of Financial Economics (LIFE) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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Posted:
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05 Jul 01
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Last Revised:
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03 Aug 05
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580
(21,126)
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93
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Hartmann, Philipp
European Central Bank (ECB) Straetmans, Stefan
University of Maastricht - Limburg Institute of Financial Economics (LIFE) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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0
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Financial crises, systemic risk, contagion, market crashes, flight to quality, bivariate extreme value analysis, extreme co-movements
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Hartmann, Philipp
European Central Bank (ECB) Straetmans, Stefan
University of Maastricht - Limburg Institute of Financial Economics (LIFE) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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30
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93
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Financial crises, systemic risk, contagion, market crashes, flight to quality, bivariate extreme value analysis, extreme co-movements
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Hartmann, Philipp
European Central Bank (ECB) Straetmans, Stefan
University of Maastricht - Limburg Institute of Financial Economics (LIFE) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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550
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93
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Financial crises, systemic risk, contagion, market crashes, flight to quality, bivariate extreme value analysis, extreme co-movements
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3.
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Portfolio Diversification Effects of Downside Risk
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Hyung, Namwon
University of Seoul - Department of Economics de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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Posted:
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24 Jan 05
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Last Revised:
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29 Jul 10
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385
(36,090)
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9
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Hyung, Namwon
University of Seoul - Department of Economics de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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0
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diversification, portfolio decomposition, value-at-risk
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Hyung, Namwon
University of Seoul - Department of Economics de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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385
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9
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Diversification, Value-at-Risk, Decomposition
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4.
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Danielsson, Jon
London School of Economics - Department of Accounting and Finance de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) Jorgensen, Bjorn N.
University of Colorado at Boulder
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367
(38,276)
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capital regulation
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5.
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Slijkerman, Jan Frederik
AEGON Asset Management Schoenmaker, Dirk
Duisenberg School of Finance de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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| Posted: |
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15 Dec 05
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Last Revised:
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21 Feb 13
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366
(38,402)
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3
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Financial conglomerates, Banking, Insurance, Diversification, Extreme Value Theory
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6.
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Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach
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Baye, Michael R.
Indiana University Bloomington - Department of Business Economics & Public Policy Kovenock, Dan
Indiana University Bloomington - Department of Business Economics & Public Policy de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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Posted:
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28 Jan 01
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Last Revised:
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24 Aug 05
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352
(40,308)
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15
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Baye, Michael R.
Indiana University Bloomington - Department of Business Economics & Public Policy Kovenock, Dan
Indiana University Bloomington - Department of Business Economics & Public Policy de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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17
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14
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Baye, Michael R.
Indiana University Bloomington - Department of Business Economics & Public Policy Kovenock, Dan
Indiana University Bloomington - Department of Business Economics & Public Policy de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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335
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15
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Auctions, contests, litigation, fee-shifting
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7.
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Slijkerman, Jan Frederik
AEGON Asset Management Smant, D. J. C.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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299
(48,943)
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Credit rationing, Credit Value-at-Risk, asymmetric information, banks, regulation, loans
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8.
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Banking System Stability: A Cross-Atlantic Perspective
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Versions (2)
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Hartmann, Philipp
European Central Bank (ECB) Straetmans, Stefan
University of Maastricht - Limburg Institute of Financial Economics (LIFE) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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Posted:
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19 Oct 05
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Last Revised:
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11 Jan 06
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296
(49,528)
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28
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Hartmann, Philipp
European Central Bank (ECB) Straetmans, Stefan
University of Maastricht - Limburg Institute of Financial Economics (LIFE) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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21
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28
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Hartmann, Philipp
European Central Bank (ECB) Straetmans, Stefan
University of Maastricht - Limburg Institute of Financial Economics (LIFE) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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275
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28
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Banking, Systemic Risk, Asymptotic Dependence, Multivariate Extreme Value Theory, Structural Change Tests
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9.
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Risk Measures for Autocorrelated Hedge Fund Returns
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Di Cesare, Antonio
Bank of Italy Stork, Philip A.
VU University Amsterdam - Faculty of Economics and Business Administration de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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Posted:
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02 May 11
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Last Revised:
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20 Feb 12
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256
(58,329)
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Di Cesare, Antonio
Bank of Italy Stork, Philip A.
VU University Amsterdam - Faculty of Economics and Business Administration de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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143
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hedge funds, serial correlation, systemic risk, VaR, Pareto distribution
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Di Cesare, Antonio
Bank of Italy Stork, Philip A.
VU University Amsterdam - Faculty of Economics and Business Administration de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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113
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Hedge funds, Serial correlation,Systemic risk, VaR, Pareto distribution
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10.
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Hyung, Namwon
University of Seoul - Department of Economics de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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168
(89,261)
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7
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Safety first, heavy tails, portfolio diversification
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11.
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Generational Accounting, Solidarity and Pension Losses
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Teulings, Coen N.
University of Amsterdam - SEO Economic Research de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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Posted:
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13 Jan 04
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Last Revised:
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02 Sep 04
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168
(89,261)
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19
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Teulings, Coen N.
University of Amsterdam - SEO Economic Research de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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168
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19
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saving and investment, pension funds, private pensions, social security and public pensions, financial institutions
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Teulings, Coen N.
University of Amsterdam - SEO Economic Research de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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0
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Saving and Investment, Pension funds, Private pensions, Social security and public pensions, Financial institutions
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12.
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Bernoth, Kerstin
German Institute for Economic Research (DIW Berlin) von Hagen, Jürgen
University of Bonn - Institute of Economic Policy de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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118
(120,859)
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exchange rates, market efficiency, forward premium puzzle, uncovered interest parity, futures rates
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13.
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van Foreest, Pieter W.
Erasmus University Rotterdam (EUR) - Department of Economics de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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110
(127,640)
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Exchange Rate Regime, Growth, EMU, CEECs
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14.
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Fundamentals and Joint Currency Crises
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Versions (2)
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Hartmann, Philipp
European Central Bank (ECB) Straetmans, Stefan
University of Maastricht - Limburg Institute of Financial Economics (LIFE) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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Posted:
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12 May 04
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Last Revised:
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19 May 04
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107
(130,222)
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Hartmann, Philipp
European Central Bank (ECB) Straetmans, Stefan
University of Maastricht - Limburg Institute of Financial Economics (LIFE) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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11
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Financial crises, currency market linkages, fundamentals, heavy tails, asymptotic dependence
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Hartmann, Philipp
European Central Bank (ECB) Straetmans, Stefan
University of Maastricht - Limburg Institute of Financial Economics (LIFE) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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96
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Financial crises, currency market linkages, fundamentals, heavy tails, asymptotic dependence
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15.
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Baye, Michael R.
Indiana University Bloomington - Department of Business Economics & Public Policy Kovenock, Dan
Indiana University Bloomington - Department of Business Economics & Public Policy de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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104
(132,944)
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16.
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Caserta, Silvia
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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74
(165,576)
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1
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Auctions, numerous bidders, extreme values, internet auctions
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17.
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Pozzi, Lorenzo
Erasmus University Rotterdam (EUR) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) Zenhorst, Jorn
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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71
(169,659)
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Equity Premium Puzzle, Jackknife, Pooling
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18.
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Moore, Kyle
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) Sun, Pengfei
Erasmus University Rotterdam de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) Zhou, Chen
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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63
(181,091)
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Extreme Value Theory, Hypothesis Testing, Tail Index, Tail Risk
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19.
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Arnold, Ivo J.M.
Nyenrode University MacDonald, Ronald
University of Strathclyde in Glasgow - Department of Economics de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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61
(184,125)
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Exchange rates, Exchange rate regimes, Excess volatility
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20.
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Hyung, Namwon
University of Seoul - Department of Economics de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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50
(202,445)
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Portfolio diversification, downside risk, heavy tails
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21.
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Pozzi, Lorenzo
Erasmus University Rotterdam (EUR) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) Zenhorst, Jorn
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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48
(206,217)
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Equity premium puzzle, Jackknife, Pooling
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22.
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Moore, Kyle
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) Sun, Pengfei
Erasmus University Rotterdam de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) Zhou, Chen
De Nederlandsche Bank
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47
(208,021)
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Heavy-tail distribution, safety-first utility, asset pricing
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23.
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The Forward Premium Puzzle and Latent Factors Day by Day
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Bernoth, Kerstin
German Institute for Economic Research (DIW Berlin) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) von Hagen, Jürgen
University of Bonn - Institute of Economic Policy
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Posted:
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12 Apr 10
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Last Revised:
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22 Oct 11
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47
(208,021)
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Bernoth, Kerstin
German Institute for Economic Research (DIW Berlin) Hagen, Jürgen von
University of Bonn de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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16
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forward premium puzzle, futures rates, latent factor
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Bernoth, Kerstin
German Institute for Economic Research (DIW Berlin) Hagen, Jürgen von
University of Bonn de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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26
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forward premium puzzle, futures rates, latent factor
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Bernoth, Kerstin
German Institute for Economic Research (DIW Berlin) de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) von Hagen, Jürgen
University of Bonn - Institute of Economic Policy
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5
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forward premium puzzle, futures rates, latent factor
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24.
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de Haan, Laurens
Erasmus University Rotterdam (EUR) - Department of Econometrics de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) Zhou, Chen
De Nederlandsche Bank
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41
(219,985)
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bids as records, number of active bidders
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25.
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Babus, Ana
Imperial College London de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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15
(295,737)
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Linearization, ARCH Process, Real Business Cycles Model, Stochastic Difference Equation
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26.
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de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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11
(309,939)
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27.
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de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) Teulings, Coen N.
University of Amsterdam - SEO Economic Research
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10
(313,256)
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18
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28.
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Stork, Philip A.
VU University Amsterdam - Faculty of Economics and Business Administration de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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| Posted: |
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04 Aug 09
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Last Revised:
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03 Feb 10
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Australia, banking, contagion risk
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29.
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Koedijk, Kees C. G.
Tilburg University - Department of Finance Stork, Philip A.
VU University Amsterdam - Faculty of Economics and Business Administration de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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exchnage rate regime, tails, distribution
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30.
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New Evidence On The Effectiveness Of Foreign Exchange Market Intervention
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Koedijk, Kees C. G.
Tilburg University - Department of Finance Mizrach, Bruce
Rutgers University, Department of Economics Stork, Philip A.
MeesPierson Investment Bank de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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Posted:
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29 Oct 00
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Last Revised:
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26 Feb 08
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Koedijk, Kees C. G.
Tilburg University - Department of Finance Mizrach, Bruce
Rutgers University, Department of Economics Stork, Philip A.
VU University Amsterdam - Faculty of Economics and Business Administration de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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0
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official intervention, target zones
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Koedijk, Kees C. G.
Tilburg University - Department of Finance Mizrach, Bruce
Rutgers University, Department of Economics Stork, Philip A.
MeesPierson Investment Bank de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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0
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31.
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An EMS Target Zone Model in Discrete Time
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Koedijk, Kees C. G.
Tilburg University - Department of Finance Stork, Philip A.
MeesPierson Investment Bank de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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Posted:
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20 Dec 99
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Last Revised:
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08 Mar 08
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Koedijk, Kees C. G.
Tilburg University - Department of Finance Stork, Philip A.
VU University Amsterdam - Faculty of Economics and Business Administration de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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0
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EMS currencies, fat tails, realignment probability
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Koedijk, Kees C. G.
Tilburg University - Department of Finance Stork, Philip A.
MeesPierson Investment Bank de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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0
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32.
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Dacorogna, Michel M.
SCOR Switzerland Müller, Ulrich A.
Olsen & Associates Pictet, Olivier V.
Pictet Asset Management de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
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33.
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de Vries, Casper G.
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) Danielsson, Jon
London School of Economics - Department of Accounting and Finance
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