Casper G. de Vries

Available identifiers

zbMath Open de-vries.casper-gMaRDI QIDQ308599

List of research outcomes

Publication	Date of Publication	Type
On agricultural commodities' extreme price risk	2021-09-29	Paper
Heavy tails of OLS	2017-05-12	Paper
Fat tails, VaR and subadditivity	2017-05-12	Paper
Simulating and calibrating diversification against black swans	2016-09-28	Paper
The impact of competition on prices with numerous firms	2016-09-06	Paper
The number of active bidders in internet auctions	2014-04-25	Paper
Comparing downside risk measures for heavy tailed distributions	2013-01-08	Paper
Contests with rank-order spillovers	2012-11-28	Paper
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation	2012-03-06	Paper
The Herodotus paradox	2012-03-05	Paper
The expected payoff to Internet auctions	2011-02-22	Paper
Global stochastic properties of dynamic models and their linear approximations	2010-04-22	Paper
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities	2006-10-05	Paper
Portfolio diversification effects and regular variation in financial data	2005-10-11	Paper
The forex regime and EMU expansion	2003-08-21	Paper
Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series	2002-02-03	Paper
Using a bootstrap method to choose the sample fraction in tail index estimation	2002-01-08	Paper
https://portal.mardi4nfdi.de/entity/Q4518938	2000-12-03	Paper
Abnormal returns, risk, and options in large data sets	1999-11-09	Paper
Fat tail distributions and local thin tail alternatives	1997-05-19	Paper
The method of moments ratio estimator for the tail shape parameter	1997-05-19	Paper
Piecemeal Versus Precipitous Factor Market Integration	1996-05-02	Paper
The all-pay auction with complete information	1996-01-01	Paper
Limit orders, asymmetric information, and the formation of asset prices with a computerized specialist	1994-05-12	Paper
It takes two to tango: equilibria in a model of sales	1993-01-12	Paper
Optimal Localized Production Experience and Schooling	1992-06-28	Paper
The limiting distribution of extremal exchange rate returns	1992-06-27	Paper
On the relation between GARCH and stable processes	1991-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3352804	1990-01-01	Paper
Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes	1989-01-01	Paper

Research outcomes over time

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