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de Vries, Casper George

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Author ID: de-vries.casper-g Recent zbMATH articles by "de Vries, Casper George"
Published as: de Vries, Casper G.; De Vries, Casper G.; de Vries, C. G.; de Vries, Caspar G.; De Vries, C. G.
Homepage: https://casperdevries.nl/research/
External Links: dblp

Publications by Year

Citations contained in zbMATH Open

26 Publications have been cited 461 times in 436 Documents Cited by Year
The all-pay auction with complete information. Zbl 0859.90058
Baye, Michael R.; Kovenock, Dan; de Vries, Casper G.
144
1996
Using a bootstrap method to choose the sample fraction in tail index estimation. Zbl 0976.62044
Danielsson, J.; de Haan, L.; Peng, L.; de Vries, C. G.
96
2001
Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes. Zbl 0679.60029
de Haan, Laurens; Resnick, Sidney I.; Rootzén, Holger; de Vries, Casper G.
66
1989
Contests with rank-order spillovers. Zbl 1262.91077
Baye, Michael R.; Kovenock, Dan; de Vries, Casper G.
25
2012
On the relation between GARCH and stable processes. Zbl 0725.62104
de Vries, Casper G.
22
1991
It takes two to tango: equilibria in a model of sales. Zbl 0799.90018
Baye, Michael R.; Kovenock, Dan; de Vries, Casper G.
16
1992
Fat tails, VaR and subadditivity. Zbl 1443.62343
Daníelsson, Jón; Jorgensen, Bjørn N.; Samorodnitsky, Gennady; Sarma, Mandira; de Vries, Casper G.
15
2013
The method of moments ratio estimator for the tail shape parameter. Zbl 0875.62106
Danielsson, Jon; Jansen, Dennis W.; de Vries, Casper G.
15
1996
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities. Zbl 1112.62011
Geluk, J. L.; De Vries, C. G.
14
2006
The limiting distribution of extremal exchange rate returns. Zbl 0735.62109
Hols, Martien C. A. B.; De Vries, Casper G.
10
1991
Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series. Zbl 0979.60010
Geluk, Jaap L.; Peng, Liang; de Vries, Casper G.
10
2000
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. Zbl 1233.91239
Daníelsson, Jón; Jorgensen, Bjørn N.; de Vries, Casper G.; Yang, Xiaoguang
6
2008
The impact of competition on prices with numerous firms. Zbl 1371.91064
Gabaix, Xavier; Laibson, David; Li, Deyuan; Li, Hongyi; Resnick, Sidney; de Vries, Casper G.
5
2016
Comparing downside risk measures for heavy tailed distributions. Zbl 1254.91266
Daníelsson, Jón; Jorgensen, Bjørn N.; Sarma, Mandira; De Vries, Casper G.
3
2006
Heavy tails of OLS. Zbl 1443.62494
Mikosch, Thomas; de Vries, Casper G.
2
2013
Portfolio diversification effects and regular variation in financial data. Zbl 1177.91124
Hyung, Namwon; de Vries, Casper G.
2
2002
Piecemeal versus precipitous factor market integration. Zbl 0836.90024
Dellas, Harris; de Vries, Casper G.
1
1995
Optimal localized production experience and schooling. Zbl 0751.90020
van Marrewijk, Charles; de Vries, Casper G.; Withagen, Cees
1
1992
Abnormal returns, risk, and options in large data sets. Zbl 0924.62108
Caserta, S.; Daníelsson, J.; de Vries, C. G.
1
1998
On the (ir)relevancy of value-at-risk regulation. Zbl 0978.91048
Cumperayot, Phornchanok J.; Danielsson, Jon; Jorgensen, Bjorn N.; de Vries, Caspar G.
1
2000
Fat tail distributions and local thin tail alternatives. Zbl 0875.62105
Gielens, Geert; Straetmans, Stefan; de Vries, Casper G.
1
1996
Limit orders, asymmetric information, and the formation of asset prices with a computerized specialist. Zbl 0800.90344
Baye, Michael R.; Gillette, Ann; de Vries, Casper G.
1
1994
The number of active bidders in internet auctions. Zbl 1285.91053
de Haan, Laurens; de Vries, Casper G.; Zhou, Chen
1
2013
Global stochastic properties of dynamic models and their linear approximations. Zbl 1202.91163
Babus, Ana; de Vries, Casper G.
1
2010
The Herodotus paradox. Zbl 1279.91077
Baye, Michael R.; Kovenock, Dan; de Vries, Casper G.
1
2012
The expected payoff to Internet auctions. Zbl 1224.91034
de Haan, Laurens; de Vries, Casper G.; Zhou, Chen
1
2009
The impact of competition on prices with numerous firms. Zbl 1371.91064
Gabaix, Xavier; Laibson, David; Li, Deyuan; Li, Hongyi; Resnick, Sidney; de Vries, Casper G.
5
2016
Fat tails, VaR and subadditivity. Zbl 1443.62343
Daníelsson, Jón; Jorgensen, Bjørn N.; Samorodnitsky, Gennady; Sarma, Mandira; de Vries, Casper G.
15
2013
Heavy tails of OLS. Zbl 1443.62494
Mikosch, Thomas; de Vries, Casper G.
2
2013
The number of active bidders in internet auctions. Zbl 1285.91053
de Haan, Laurens; de Vries, Casper G.; Zhou, Chen
1
2013
Contests with rank-order spillovers. Zbl 1262.91077
Baye, Michael R.; Kovenock, Dan; de Vries, Casper G.
25
2012
The Herodotus paradox. Zbl 1279.91077
Baye, Michael R.; Kovenock, Dan; de Vries, Casper G.
1
2012
Global stochastic properties of dynamic models and their linear approximations. Zbl 1202.91163
Babus, Ana; de Vries, Casper G.
1
2010
The expected payoff to Internet auctions. Zbl 1224.91034
de Haan, Laurens; de Vries, Casper G.; Zhou, Chen
1
2009
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. Zbl 1233.91239
Daníelsson, Jón; Jorgensen, Bjørn N.; de Vries, Casper G.; Yang, Xiaoguang
6
2008
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities. Zbl 1112.62011
Geluk, J. L.; De Vries, C. G.
14
2006
Comparing downside risk measures for heavy tailed distributions. Zbl 1254.91266
Daníelsson, Jón; Jorgensen, Bjørn N.; Sarma, Mandira; De Vries, Casper G.
3
2006
Portfolio diversification effects and regular variation in financial data. Zbl 1177.91124
Hyung, Namwon; de Vries, Casper G.
2
2002
Using a bootstrap method to choose the sample fraction in tail index estimation. Zbl 0976.62044
Danielsson, J.; de Haan, L.; Peng, L.; de Vries, C. G.
96
2001
Convolutions of heavy-tailed random variables and applications to portfolio diversification and \(\text{MA}(1)\) time series. Zbl 0979.60010
Geluk, Jaap L.; Peng, Liang; de Vries, Casper G.
10
2000
On the (ir)relevancy of value-at-risk regulation. Zbl 0978.91048
Cumperayot, Phornchanok J.; Danielsson, Jon; Jorgensen, Bjorn N.; de Vries, Caspar G.
1
2000
Abnormal returns, risk, and options in large data sets. Zbl 0924.62108
Caserta, S.; Daníelsson, J.; de Vries, C. G.
1
1998
The all-pay auction with complete information. Zbl 0859.90058
Baye, Michael R.; Kovenock, Dan; de Vries, Casper G.
144
1996
The method of moments ratio estimator for the tail shape parameter. Zbl 0875.62106
Danielsson, Jon; Jansen, Dennis W.; de Vries, Casper G.
15
1996
Fat tail distributions and local thin tail alternatives. Zbl 0875.62105
Gielens, Geert; Straetmans, Stefan; de Vries, Casper G.
1
1996
Piecemeal versus precipitous factor market integration. Zbl 0836.90024
Dellas, Harris; de Vries, Casper G.
1
1995
Limit orders, asymmetric information, and the formation of asset prices with a computerized specialist. Zbl 0800.90344
Baye, Michael R.; Gillette, Ann; de Vries, Casper G.
1
1994
It takes two to tango: equilibria in a model of sales. Zbl 0799.90018
Baye, Michael R.; Kovenock, Dan; de Vries, Casper G.
16
1992
Optimal localized production experience and schooling. Zbl 0751.90020
van Marrewijk, Charles; de Vries, Casper G.; Withagen, Cees
1
1992
On the relation between GARCH and stable processes. Zbl 0725.62104
de Vries, Casper G.
22
1991
The limiting distribution of extremal exchange rate returns. Zbl 0735.62109
Hols, Martien C. A. B.; De Vries, Casper G.
10
1991
Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes. Zbl 0679.60029
de Haan, Laurens; Resnick, Sidney I.; Rootzén, Holger; de Vries, Casper G.
66
1989
all top 5

Cited by 613 Authors

19 Sela, Aner
10 de Haan, Laurens
10 Leal de Carvalho Gomes, Maria Ivette
9 de Vries, Casper George
9 Kovenock, Dan
8 Peng, Liang
7 Necir, Abdelhakim
6 Baye, Michael R.
6 Drees, Holger
6 Klüppelberg, Claudia
6 Konrad, Kai A.
5 Meraghni, Djamel
5 Mikosch, Thomas
5 Rachev, Svetlozar T.
5 Resnick, Sidney Ira
5 Roberson, Brian
5 Seel, Christian
5 Zhou, Chen
4 Amegashie, J. Atsu
4 Bertail, Patrice
4 Bücher, Axel
4 Clémençon, Stéphan
4 Goldaeva, Anna A.
4 Kaplan, Todd R.
4 Mittnik, Stefan
4 Paolella, Marc S.
4 Paulauskas, Vygantas Ionovič
4 Robert, Christian Yann
4 Samorodnitsky, Gennady Pinkhosovich
4 Segers, Johan
3 Albrecher, Hansjörg
3 Calzolari, Giorgio
3 Clauset, Aaron
3 Ewerhart, Christian
3 Geluk, Jaap L.
3 Hill, Jonathan B.
3 Hoga, Yannick
3 Leininger, Wolfgang
3 Liu, Jichun
3 Malueg, David A.
3 Minchuk, Yizhaq
3 Morath, Florian
3 Pergamenshchikov, Sergeĭ Markovich
3 Pestana, Dinis Duarte
3 Rychtár, Jan
3 Sheremeta, Roman M.
3 Strack, Philipp
3 Tawn, Jonathan A.
3 Topolyan, Iryna
3 Vaičiulis, Marijus
3 Veredas, David
3 Xiao, Jun
2 Alaswed, H. A.
2 Arnold, Michael A.
2 Barakat, Haroon Mohamed
2 Barbe, Philippe
2 Barbieri, Stefano
2 Basrak, Bojan
2 Beirlant, Jan
2 Benkhelifa, Lazhar
2 Borkovec, Milan
2 Broom, Mark
2 Caginalp, Gunduz
2 Cai, Juan-Juan
2 Chawla, Shuchi
2 Chen, Zhuoqiong (Charlie)
2 Chowdhury, Subhasish M.
2 Christodoulou, George C.
2 Cohen, Chen
2 Collamore, Jeffrey F.
2 Damek, Ewa
2 Damianov, Damian S.
2 Danielsson, Jon
2 Deo, Rohit S.
2 Dominicy, Yves
2 Einmahl, John H. J.
2 Einy, Ezra
2 Figueiredo, Fernanda Otilia
2 Fraga Alves, M. Isabel
2 Franke, Jörg
2 Gardes, Laurent
2 Gelder, Alan
2 Girard, Stéphane
2 González-Díaz, Julio
2 Haimanko, Ori
2 Hartline, Jason D.
2 Hay, Diana
2 Janßen, Anja
2 Johanis, Michal
2 Jorgensen, Bjorn N.
2 Kanzow, Christian
2 Klose, Bettina
2 Klumpp, Tilman
2 Koning, Alex J.
2 Kortschak, Dominik
2 Krajina, Andrea
2 Krumer, Alex
2 Ling, Shiqing
2 Lombardi, Marco J.
2 Lu, Jingfeng
...and 513 more Authors
all top 5

Cited in 105 Serials

32 Games and Economic Behavior
30 Economics Letters
29 Economic Theory
19 Extremes
16 Journal of Econometrics
14 Journal of Economic Theory
13 Journal of Mathematical Economics
12 Social Choice and Welfare
11 European Journal of Operational Research
10 The Annals of Statistics
10 Insurance Mathematics & Economics
10 The Annals of Applied Statistics
9 Stochastic Processes and their Applications
9 Computational Statistics and Data Analysis
8 Journal of Statistical Planning and Inference
8 Review of Economic Design
8 Electronic Journal of Statistics
7 International Journal of Game Theory
7 Statistics & Probability Letters
6 Mathematical Social Sciences
6 Econometric Theory
5 Journal of Multivariate Analysis
5 Journal of Economics
5 The Annals of Applied Probability
4 Lithuanian Mathematical Journal
4 The Annals of Probability
4 Journal of Applied Probability
4 Theory and Decision
4 Econometric Reviews
4 Journal of Statistical Computation and Simulation
4 Bernoulli
4 Journal of Nonparametric Statistics
4 ASTIN Bulletin
3 The Canadian Journal of Statistics
3 Moscow University Mathematics Bulletin
3 Probability Theory and Related Fields
3 Mathematical and Computer Modelling
3 Communications in Statistics. Theory and Methods
3 Methodology and Computing in Applied Probability
3 Scandinavian Actuarial Journal
2 Advances in Applied Probability
2 Journal of Mathematical Analysis and Applications
2 Journal of Mathematical Biology
2 Chaos, Solitons and Fractals
2 Annals of the Institute of Statistical Mathematics
2 Acta Applicandae Mathematicae
2 Statistics
2 Optimization
2 Journal of Economic Dynamics & Control
2 Annals of Operations Research
2 Computational Statistics
2 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
2 Computational Economics
2 Finance and Stochastics
2 Journal of the Royal Statistical Society. Series B. Statistical Methodology
2 International Journal of Theoretical and Applied Finance
2 Quantitative Finance
2 AStA. Advances in Statistical Analysis
2 Journal of Probability and Statistics
2 Games
2 Annals of Finance
1 Journal of Statistical Physics
1 Mathematical Notes
1 Russian Mathematical Surveys
1 Scandinavian Journal of Statistics
1 Applied Mathematics and Computation
1 International Economic Review
1 International Statistical Review
1 Journal of Optimization Theory and Applications
1 Kybernetika
1 Mathematics and Computers in Simulation
1 Mathematics of Operations Research
1 Operations Research
1 Theoretical Population Biology
1 Journal of Time Series Analysis
1 Applied Stochastic Models and Data Analysis
1 Statistical Science
1 Algorithmica
1 Journal of Theoretical Probability
1 Journal of Applied Econometrics
1 Journal of Global Optimization
1 Applied Mathematical Modelling
1 Mathematical Programming. Series A. Series B
1 Potential Analysis
1 Test
1 Mathematical Methods of Statistics
1 Statistical Papers
1 Journal of Difference Equations and Applications
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 The Econometrics Journal
1 Discrete Dynamics in Nature and Society
1 Journal of the Australian Mathematical Society
1 Decisions in Economics and Finance
1 Stochastic Models
1 North American Actuarial Journal
1 Computational Management Science
1 Discrete Optimization
1 Journal of Statistical Theory and Practice
1 Involve
1 Discrete Mathematics, Algorithms and Applications
...and 5 more Serials

Citations by Year