Casper G. de Vries

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Professor

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

Tinbergen Institute

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5

Munich, DE-81679

Germany

http://www.CESifo.de

  • Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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    • Tel: +31 10 408 8956
    • Fax: +31 10 408 9147

  • Tinbergen Institute

    • Tel: +31 10 408 8956
    • Fax: +31 10 408 9147
SCHOLARLY PAPERS

40

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7,593

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Top 3,047

in Total Papers Citations

83

CROSSREF CITATIONS

448

Scholarly Papers (40)

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1.

Asset Market Linkages in Crisis Periods

Downloads 978 (39,593)
Citation 141

Asset Market Linkages in Crisis Periods

Number of pages: 35 Posted: 05 Jul 2001
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), Maastricht University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 948 (40,806)
Citation 7

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Financial crises, systemic risk, contagion, market crashes, flight to quality, bivariate extreme value analysis, extreme co-movements

Asset Market Linkages in Crisis Periods

Number of pages: 32 Posted: 04 Sep 2001
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), Maastricht University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 30 (791,616)
Citation 23
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Financial crises, systemic risk, contagion, market crashes, flight to quality, bivariate extreme value analysis, extreme co-movements

Asset Market Linkages in Crisis Periods

Posted: 22 Aug 2003
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), Maastricht University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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Financial crises, systemic risk, contagion, market crashes, flight to quality, bivariate extreme value analysis, extreme co-movements

2.

Hedge Funds and Financial Stability

European Parliament - Policy Department Economic and Scientific Policy, 2007
Number of pages: 91 Posted: 16 Apr 2008 Last Revised: 14 Aug 2009
Philip A. Stork and Casper G. de Vries
Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 738 (58,252)

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Hedge Funds, Financial Stability

3.

Systemic Risk and Diversification Across European Banks and Insurers

Journal of Banking & Finance, Vol. 37, 2013, p. 773-785, Tinbergen Institute Discussion Paper No. 2005-110/2
Number of pages: 38 Posted: 15 Dec 2005 Last Revised: 21 Feb 2013
Jan Frederik Slijkerman, Dirk Schoenmaker and Casper G. de Vries
AEGON Asset Management, Rotterdam School of Management, Erasmus University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 490 (97,626)
Citation 16

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Financial conglomerates, Banking, Insurance, Diversification, Extreme Value Theory

4.

The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations

Economic Policy Review, Vol. 4, No. 3, October 1998
Number of pages: 2 Posted: 16 Nov 2007
Jon Danielsson, Casper G. de Vries and Bjorn Jorgensen
London School of Economics - Systemic Risk Centre, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and affiliation not provided to SSRN
Downloads 459 (105,568)
Citation 3

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capital regulation

5.

Portfolio Diversification Effects of Downside Risk

Downloads 444 (109,739)

Portfolio Diversification Effects of Downside Risk

Tinbergen Institute Discussion Paper No. TI 05-008/2
Number of pages: 34 Posted: 24 Jan 2005
Namwon Hyung and Casper G. de Vries
University of Seoul - Department of Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 444 (108,615)
Citation 1

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Diversification, Value-at-Risk, Decomposition

Portfolio Diversification Effects of Downside Risk

Journal of Financial Econometrics, Vol. 3, No. 1, pp. 107-125, 2005
Posted: 29 Feb 2008
Namwon Hyung and Casper G. de Vries
University of Seoul - Department of Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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diversification, portfolio decomposition, value-at-risk

6.

Risk Measures for Autocorrelated Hedge Fund Returns

Downloads 420 (117,162)
Citation 12

Risk Measures for Autocorrelated Hedge Fund Returns

Bank of Italy Temi di Discussione (Working Paper) No. 831., Revised version: Journal of Financial Econometrics Forthcoming
Number of pages: 53 Posted: 14 Feb 2012 Last Revised: 20 Aug 2014
Antonio Di Cesare, Philip A. Stork and Casper G. de Vries
Bank of Italy, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 256 (198,358)
Citation 9

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hedge funds, serial correlation, systemic risk, VaR, Pareto distribution

Risk Measures for Autocorrelated Hedge Fund Returns

Number of pages: 44 Posted: 02 May 2011
Antonio Di Cesare, Philip A. Stork and Casper G. de Vries
Bank of Italy, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 164 (299,890)
Citation 12

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Hedge funds, Serial correlation,Systemic risk, VaR, Pareto distribution

7.

Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach

Number of pages: 39 Posted: 28 Jan 2001
Michael R. Baye, Dan Kovenock and Casper G. de Vries
Indiana University - Kelley School of Business - Department of Business Economics & Public Policy, Chapman University - Economic Science Institute and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 377 (132,618)
Citation 1

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Auctions, contests, litigation, fee-shifting

8.

Banking System Stability: A Cross-Atlantic Perspective

Downloads 362 (138,718)
Citation 40

Banking System Stability: A Cross-Atlantic Perspective

ECB Working Paper No. 527
Number of pages: 95 Posted: 19 Oct 2005
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), Maastricht University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 323 (155,770)
Citation 1

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Banking, Systemic Risk, Asymptotic Dependence, Multivariate Extreme Value Theory, Structural Change Tests

Banking System Stability: A Cross-Atlantic Perspective

NBER Working Paper No. w11698
Number of pages: 87 Posted: 20 Dec 2005 Last Revised: 26 Dec 2022
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), Maastricht University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 39 (722,436)
Citation 3

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9.

Credit Rationing Effects of Credit Value-at-Risk

Tinbergen Institute Discussion Paper No. 2004-032/2
Number of pages: 18 Posted: 22 Mar 2004
Jan Frederik Slijkerman, D. J. C. Smant and Casper G. de Vries
AEGON Asset Management, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 346 (145,717)
Citation 2

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Credit rationing, Credit Value-at-Risk, asymmetric information, banks, regulation, loans

10.

Tail Index Estimation: Quantile Driven Threshold Selection

Number of pages: 74 Posted: 18 Jan 2016
Jon Danielsson, Lerby Murat Ergun, Laurens de Haan and Casper G. de Vries
London School of Economics - Systemic Risk Centre, Bank of Canada, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 314 (161,547)
Citation 14

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Hill estimator, Heavy tails, Optimal extreme sample fraction

11.

Portfolio Selection with Heavy Tails

Tinbergen Institute Discussion Paper No. TI 05-009/2
Number of pages: 33 Posted: 24 Jan 2005
Namwon Hyung and Casper G. de Vries
University of Seoul - Department of Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 235 (216,584)
Citation 2

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Safety first, heavy tails, portfolio diversification

12.

Generational Accounting, Solidarity and Pension Losses

Downloads 211 (239,790)

Generational Accounting, Solidarity and Pension Losses

Number of pages: 20 Posted: 13 Jan 2004
Coen N. Teulings and Casper G. de Vries
University of Amsterdam and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 211 (239,225)
Citation 3

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saving and investment, pension funds, private pensions, social security and public pensions, financial institutions

Generational Accounting, Solidarity and Pension Losses

Tinbergen Institute TI 2003-094/3
Posted: 30 Jun 2004
Coen N. Teulings and Casper G. de Vries
University of Amsterdam and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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Saving and Investment, Pension funds, Private pensions, Social security and public pensions, Financial institutions

13.

The Drivers of Downside Equity Tail Risk

Number of pages: 36 Posted: 27 Mar 2013
Kyle Moore, Pengfei Sun, Casper G. de Vries and Chen Zhou
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR)
Downloads 189 (265,114)

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Extreme Value Theory, Hypothesis Testing, Tail Index, Tail Risk

14.

On Agricultural Commodities' Extreme Price Risk

Downloads 143 (278,025)

On Agricultural Commodities' Extreme Price Risk

De Nederlandsche Bank Working Paper No. 403
Number of pages: 33 Posted: 03 Dec 2013
Maarten R.C. van Oordt, Maarten R.C. van Oordt, Philip A. Stork and Casper G. de Vries
VU University AmsterdamTinbergen Institute, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 143 (338,261)

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agricultural commodities, extreme value theory, heavy tails, risk management

15.

The Herodotus Paradox

CESifo Working Paper Series No. 3135
Number of pages: 26 Posted: 31 Jul 2010
Michael R. Baye, Dan Kovenock and Casper G. de Vries
Indiana University - Kelley School of Business - Department of Business Economics & Public Policy, Chapman University - Economic Science Institute and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 180 (276,681)
Citation 1

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16.

The Cross-Section of Tail Risks in Stock Returns

Number of pages: 23 Posted: 27 Mar 2013
Kyle Moore, Pengfei Sun, Casper G. de Vries and Chen Zhou
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and De Nederlandsche Bank
Downloads 161 (304,452)
Citation 6

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Heavy-tail distribution, safety-first utility, asset pricing

17.

The Forward Premium Puzzle Only Emerges Gradually

Number of pages: 19 Posted: 02 Mar 2007
Kerstin Bernoth, Jürgen von Hagen and Casper G. de Vries
German Institute for Economic Research (DIW Berlin), University of Bonn - Institute of Economic Policy and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 160 (306,044)

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exchange rates, market efficiency, forward premium puzzle, uncovered interest parity, futures rates

18.

Fundamentals and Joint Currency Crises

Downloads 149 (324,859)
Citation 2

Fundamentals and Joint Currency Crises

Number of pages: 31 Posted: 19 May 2004
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), Maastricht University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 138 (346,005)
Citation 5

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Financial crises, currency market linkages, fundamentals, heavy tails, asymptotic dependence

Fundamentals and Joint Currency Crises

Number of pages: 21 Posted: 12 May 2004
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), Maastricht University and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 11 (972,937)
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Financial crises, currency market linkages, fundamentals, heavy tails, asymptotic dependence

19.

Asset-Based Lending

Downloads 60 (339,452)

Asset-Based Lending

Tinbergen Institute Discussion Paper 2019-032/VII
Number of pages: 44 Posted: 30 May 2019
Suzanne Bijkerk and Casper G. de Vries
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 60 (596,196)

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asset-based lending, floating collateral, adverse selection

20.

The Forex Regime and Emu Expansion

Number of pages: 30 Posted: 07 Feb 2002
Pieter W. van Foreest and Casper G. de Vries
Erasmus University Rotterdam (EUR) - Department of Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 134 (353,194)
Citation 1

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Exchange Rate Regime, Growth, EMU, CEECs

21.

World Equity Premium Based Risk Aversion Estimates

CESifo Working Paper No. 3152
Number of pages: 14 Posted: 12 Aug 2010
Lorenzo Pozzi, Casper G. de Vries and Jorn Zenhorst
Ghent University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 129 (363,426)

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Equity Premium Puzzle, Jackknife, Pooling

22.

Auctions with Numerous Bidders

Tinbergen Institute Discussion Paper No. TI 05-031/2
Number of pages: 30 Posted: 14 Apr 2005
Silvia Caserta and Casper G. de Vries
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 107 (416,668)
Citation 1

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Auctions, numerous bidders, extreme values, internet auctions

23.

Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates

Downloads 101 (434,025)

Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates

CESifo Working Paper Series No. 5421
Number of pages: 60 Posted: 14 Jul 2015
Casper G. de Vries and Xuedong Wang
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics
Downloads 55 (622,571)

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expectations hypothesis, term structure, time-varying risk premia, segmented markets, inflation

Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates

Tinbergen Institute Discussion Paper 15-066/VI
Number of pages: 60 Posted: 30 May 2015
Casper G. de Vries and Xuedong Wang
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics
Downloads 46 (675,658)

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Expectations hypothesis, Term structure, Time-Varying Risk Premia, Segmented markets, Inflation

24.

The Forward Premium Puzzle and Latent Factors Day by Day

Downloads 97 (445,893)

The Forward Premium Puzzle and Latent Factors Day by Day

De Nederlandsche Bank Working Paper No. 246
Number of pages: 41 Posted: 22 Oct 2011
Kerstin Bernoth, Jürgen von Hagen and Casper G. de Vries
German Institute for Economic Research (DIW Berlin), University of Bonn and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 47 (669,366)

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forward premium puzzle, futures rates, latent factor

The Forward Premium Puzzle and Latent Factors Day by Day

DIW Berlin Discussion Paper No. 989
Number of pages: 40 Posted: 04 Jul 2010
Kerstin Bernoth, Jürgen von Hagen and Casper G. de Vries
German Institute for Economic Research (DIW Berlin), University of Bonn and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 45 (681,933)

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forward premium puzzle, futures rates, latent factor

The Forward Premium Puzzle and Latent Factors Day by Day

CEPR Discussion Paper No. DP7772
Number of pages: 40 Posted: 12 Apr 2010
Kerstin Bernoth, Casper G. de Vries and Jürgen von Hagen
German Institute for Economic Research (DIW Berlin), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Bonn - Institute of Economic Policy
Downloads 5 (1,031,195)
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forward premium puzzle, futures rates, latent factor

25.

The Downside Risk of Heavy Tails Induces Low Diversification

Tinbergen Institute Discussion Paper 10-082/2
Number of pages: 64 Posted: 31 Aug 2010
Namwon Hyung and Casper G. de Vries
University of Seoul - Department of Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 91 (464,652)
Citation 1

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Portfolio diversification, downside risk, heavy tails

26.

Fundamental Volatility is Regime Specific

NRG Working Paper No. 06-04
Number of pages: 36 Posted: 21 Apr 2006
Ivo J.M. Arnold, Ronald MacDonald and Casper G. de Vries
Nyenrode University, University of Strathclyde in Glasgow - Department of Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 81 (498,802)
Citation 1

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Exchange rates, Exchange rate regimes, Excess volatility

27.

Challenges in Implementing Worst-Case Analysis

Number of pages: 8 Posted: 15 Mar 2017
Jon Danielsson, Lerby Murat Ergun and Casper G. de Vries
London School of Economics - Systemic Risk Centre, Bank of Canada and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 79 (506,104)

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Worst-case analysis, EVT, quantile estimator, risk management

28.

World Equity Premium Based Risk Aversion Estimates

Tinbergen Institute Discussion Paper 10-007/2
Number of pages: 11 Posted: 10 Jan 2010
Lorenzo Pozzi, Casper G. de Vries and Jorn Zenhorst
Ghent University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 77 (513,803)
Citation 2

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Equity premium puzzle, Jackknife, Pooling

29.

The Extent of Internet Auction Markets

Tinbergen Institute Discussion Paper No. 08-041/2
Number of pages: 31 Posted: 22 Apr 2008
Laurens de Haan, Casper G. de Vries and Chen Zhou
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and De Nederlandsche Bank
Downloads 77 (513,803)
Citation 2

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bids as records, number of active bidders

30.

Web Appendix for: 'Risk Measures for Autocorrelated Hedge Fund Returns'

Number of pages: 19 Posted: 20 Jul 2014
Antonio Di Cesare, Philip A. Stork and Casper G. de Vries
Bank of Italy, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 60 (586,423)
Citation 1

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Hedge funds, Serial correlation, Systemic risk, VaR, Pareto distribution

31.

Estimating a Latent Risk Premium in Exchange Rate Futures

DIW Berlin Discussion Paper No. 1733
Number of pages: 46 Posted: 25 May 2018
Kerstin Bernoth, Jürgen von Hagen and Casper G. de Vries
German Institute for Economic Research (DIW Berlin), University of Bonn and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 58 (596,053)

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Forward premium puzzle, CCE estimation, futures rates, latent risk

32.

Monetary Policy in the Presence of Random Wage Indexation

Tinbergen Institute Discussion Paper 16-086/VI
Number of pages: 36 Posted: 19 Oct 2016
Jonathan Attey and Casper G. de Vries
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 38 (711,207)
Citation 1

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Wage Indexation, Monetary Policy

33.

Global Stochastic Properties of Dynamic Models and Their Linear Approximations

Tinbergen Institute Discussion Paper No. 10-081/2
Number of pages: 23 Posted: 27 Aug 2010
Ana Babus and Casper G. de Vries
Washington University in St. Louis - Department of Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 37 (717,930)

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Linearization, ARCH Process, Real Business Cycles Model, Stochastic Difference Equation

34.

General Accounting, Solidarity and Pension Losses

Number of pages: 20 Posted: 10 Feb 2004
Casper G. de Vries and Coen N. Teulings
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Amsterdam
Downloads 11 (939,114)
Citation 3
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35.

The Stability of the Australian Banking System

THE BANKING CRISIS HANDBOOK, G. Gregoriou, ed., pp. 397-416, Chapter 21, CRC Press, Chapman-Hall/Taylor and Francis
Posted: 04 Aug 2009 Last Revised: 03 Feb 2010
Philip A. Stork and Casper G. de Vries
Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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Australia, banking, contagion risk

36.

Differences between Foreign Exchange Rate Regimes: The View from the Tails

Journal of International Money and Finance, Vol. 11, No. 5, 1992
Posted: 26 Feb 2008
Kees C. G. Koedijk, Philip A. Stork and Casper G. de Vries
Tilburg University - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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exchnage rate regime, tails, distribution

37.

New Evidence on the Effectiveness of Foreign Exchange Market Intervention

Downloads 0 (1,030,852)

New Evidence on the Effectiveness of Foreign Exchange Market Intervention

European Economic Review, Vol. 39, No. 3-4, 1995
Posted: 26 Feb 2008
Kees C. G. Koedijk, Bruce Mizrach, Philip A. Stork and Casper G. de Vries
Tilburg University - Department of Finance, Rutgers University, Department of Economics, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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official intervention, target zones

New Evidence on the Effectiveness of Foreign Exchange Market Intervention

LIFE Working Paper No. 94-20
Posted: 29 Oct 2000
Kees C. G. Koedijk, Bruce Mizrach, Philip A. Stork and Casper G. de Vries
Tilburg University - Department of Finance, Rutgers University, Department of Economics, MeesPierson Investment Bank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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38.

An EMS Target Zone Model in Discrete Time

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An EMS Target Zone Model in Discrete Time

Journal of Applied Econometrics, Vol. 13, pp. 31.48, 1998
Posted: 28 Feb 2008
Kees C. G. Koedijk, Philip A. Stork and Casper G. de Vries
Tilburg University - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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EMS currencies, fat tails, realignment probability

An EMS Target Zone Model in Discrete Time

Posted: 20 Dec 1999
Kees C. G. Koedijk, Philip A. Stork and Casper G. de Vries
Tilburg University - Department of Finance, MeesPierson Investment Bank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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39.

The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets

Posted: 10 Oct 1998
Michel M. Dacorogna, Ulrich A. Müller, Olivier V. Pictet and Casper G. de Vries
PRS Solutions, Olsen & Associates, Pictet Asset Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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40.

Tail Index and Quantile Estimation with Very High Frequency Data

WP #116
Posted: 08 Jan 1997
Casper G. de Vries and Jon Danielsson
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and London School of Economics - Systemic Risk Centre

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