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

SCHOLARLY PAPERS

39

DOWNLOADS
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5,689

CITATIONS
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Top 2,753

in Total Papers Citations

202

Scholarly Papers (39)

1.

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
VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 667 (28,989)

Abstract:

Hedge Funds, Financial Stability

2.
Downloads 609 ( 33,884)
Citation 91

Asset Market Linkages in Crisis Periods

EFA 2001 Barcelona Meetings; ECB Working Paper No. 71
Number of pages: 35 Posted: 05 Jul 2001
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 579 (35,731)
Citation 91

Abstract:

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

Asset Market Linkages in Crisis Periods

CEPR Discussion Paper No. 2916
Number of pages: 32 Posted: 04 Sep 2001
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 30 (397,273)
Citation 91
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Abstract:

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

Asset Market Linkages in Crisis Periods

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

Abstract:

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

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 408 (53,342)
Citation 4

Abstract:

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

4.
Downloads 398 ( 58,144)
Citation 10

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 398 (57,586)
Citation 10

Abstract:

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)

Abstract:

diversification, portfolio decomposition, value-at-risk

5.

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 London School of Economics & Political Science (LSE) - Department of Accounting
Downloads 379 (57,974)

Abstract:

capital regulation

Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach

CESifo Working Paper No. 373
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 349 (67,315)
Citation 17

Abstract:

Auctions, contests, litigation, fee-shifting

Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach

Economic Journal, Vol. 115, No. 505, pp. 583-601, July 2005
Number of pages: 19 Posted: 22 Jul 2005
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 17 (467,313)
Citation 16
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Abstract:

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, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 198 (123,804)

Abstract:

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, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 131 (178,181)

Abstract:

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

8.
Downloads 312 ( 77,152)
Citation 33

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), University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 286 (84,644)
Citation 33

Abstract:

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
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 26 (416,694)
Citation 33

Abstract:

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 308 (77,714)

Abstract:

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

Generational Accounting, Solidarity and Pension Losses

IZA Discussion Paper No. 961
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 182 (134,156)
Citation 19

Abstract:

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)

Abstract:

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

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 177 (132,175)
Citation 7

Abstract:

Safety first, heavy tails, portfolio diversification

12.

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 136 (160,945)

Abstract:

13.

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 121 (184,202)

Abstract:

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

Fundamentals and Joint Currency Crises

ECB Working Paper No. 324
Number of pages: 31 Posted: 19 May 2004
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 107 (207,889)

Abstract:

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

Fundamentals and Joint Currency Crises

CEPR Discussion Paper No. 4338
Number of pages: 21 Posted: 12 May 2004
Philipp Hartmann, Stefan Straetmans and Casper G. de Vries
European Central Bank (ECB), University of Maastricht - Limburg Institute of Financial Economics (LIFE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 11 (501,715)
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Abstract:

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

15.

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 115 (193,775)

Abstract:

Exchange Rate Regime, Growth, EMU, CEECs

16.

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) - Erasmus School of Economics (ESE)
Downloads 104 (190,083)

Abstract:

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

17.

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-Universiteit Gent, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 94 (216,991)

Abstract:

Equity Premium Puzzle, Jackknife, Pooling

18.

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 84 (214,002)
Citation 1

Abstract:

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

19.

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 82 (242,959)
Citation 1

Abstract:

Auctions, numerous bidders, extreme values, internet auctions

20.

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 61 (286,261)

Abstract:

Exchange rates, Exchange rate regimes, Excess volatility

21.

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 56 (283,910)

Abstract:

Portfolio diversification, downside risk, heavy tails

22.

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-Universiteit Gent, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 56 (300,893)

Abstract:

Equity premium puzzle, Jackknife, Pooling

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 28 (406,703)

Abstract:

forward premium puzzle, futures rates, latent factor

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 18 (461,528)

Abstract:

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 (533,253)
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Abstract:

forward premium puzzle, futures rates, latent factor

24.

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 49 (314,258)

Abstract:

bids as records, number of active bidders

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 34 (380,227)

Abstract:

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 10 (507,341)

Abstract:

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

26.

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, Philip A. Stork and Casper G. de Vries
Government of Canada - Bank of Canada, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 32 (288,645)

Abstract:

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

27.

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, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 18 (387,273)

Abstract:

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

28.

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
Federal Reserve Bank of Chicago and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 16 (440,337)
Citation 1

Abstract:

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

29.

Money and the Nation State: The Financial Revolution, Government and the World Monetary System (Book Review)

The Economic Journal, Vol. 114, pp. F546-F547, November 2004
Number of pages: 2 Posted: 26 Oct 2004
Casper G. de Vries
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 11 (481,176)
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Abstract:

30.

General Accounting, Solidarity and Pension Losses

CEPR Discussion Paper No. 4209
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 10 (486,264)
Citation 18
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Abstract:

31.

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, London School of Economics & Political Science (LSE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 0 (364,342)

Abstract:

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

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 A. 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 0 (504,829)

Abstract:

Wage Indexation, Monetary Policy

33.

Tail Index Estimation: Quantile Driven Threshold Selection

Number of pages: 74 Posted: 18 Jan 2016
London School of Economics - Systemic Risk Centre, London School of Economics & Political Science (LSE), Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 0 (270,573)

Abstract:

Hill estimator, Heavy tails, Optimal extreme sample fraction

34.

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
VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

Australia, banking, contagion risk

35.

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, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

exchnage rate regime, tails, distribution

New Evidence on the Effectiveness of Foreign Exchange Market Intervention

European Economic Review, Vol. 39, No. 3-4, 1995
Posted: 26 Feb 2008
Tilburg University - Department of Finance, Rutgers University, Department of Economics, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

official intervention, target zones

New Evidence On The Effectiveness Of Foreign Exchange Market Intervention

LIFE Working Paper No. 94-20
Posted: 29 Oct 2000
Tilburg University - Department of Finance, Rutgers University, Department of Economics, MeesPierson Investment Bank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

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, VU University Amsterdam - Faculty of Economics and Business Administration and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

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)

Abstract:

38.

The Distribution Of Extremal Foreign Exchange Rate Returns In Extremely Large Data Sets

Posted: 10 Oct 1998
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

39.

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

Abstract: