His primary areas of study are Econometrics, Financial economics, Extreme value theory, Exchange rate and Correlation analysis. His Econometrics research is multidisciplinary, relying on both Value at risk, Positive economics, Tail index and Statistics. The study incorporates disciplines such as Quantile and Monte Carlo method in addition to Tail index.
His Financial economics research includes themes of Stock exchange, Stock market and Random variable, Probability mass function. His Extreme value theory research focuses on subjects like Empirical distribution function, which are linked to Measure, Distribution and Class. Casper G. de Vries regularly ties together related areas like Systemic risk in his Bond market studies.
Casper G. de Vries mainly investigates Econometrics, Monetary economics, Financial economics, Extreme value theory and Downside risk. The various areas that Casper G. de Vries examines in his Econometrics study include Estimator, Futures contract, Beta, Portfolio and Exchange rate. In his study, Market share and Shape parameter is strongly linked to Tail risk, which falls under the umbrella field of Financial economics.
He has included themes like Value at risk, Risk management, Mathematical economics and Sample in his Extreme value theory study. The concepts of his Mathematical economics study are interwoven with issues in Common value auction and Symmetric equilibrium. His Downside risk research incorporates elements of Heavy-tailed distribution, Actuarial science, Portfolio optimization, Diversification and Systemic risk.
His primary areas of investigation include Econometrics, Financial economics, Futures contract, Extreme value theory and Sample. His Econometrics research incorporates themes from Heavy-tailed distribution, Beta, Downside risk and Inflation. His studies in Downside risk integrate themes in fields like Diversification, Hedge fund and Systemic risk.
His work deals with themes such as Actuarial science, Sharpe ratio and Autocorrelation, which intersect with Systemic risk. He interconnects Monopolistic competition and Imperfect competition in the investigation of issues within Extreme value theory. His Sample study also includes fields such as
Econometrics, Financial economics, Extreme value theory, Tail risk and Sample are his primary areas of study. His Econometrics research integrates issues from Value at risk, Heavy-tailed distribution, Downside risk, Beta and Systemic risk. His Systemic risk study frequently draws parallels with other fields, such as Finance.
His study in Extreme value theory is interdisciplinary in nature, drawing from both Productivity, Futures contract, Risk management and General equilibrium theory. His studies deal with areas such as Pareto principle and Yield curve as well as Sample. His work on Order statistic and Quantile as part of general Statistics study is frequently linked to Estimation and Selection, therefore connecting diverse disciplines of science.
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The All-Pay Auction with Complete Information
Michael R. Baye;Dan Kovenock;Casper G. de Vries.
Economic Theory (1996)
Value-at-Risk and Extreme Returns
Jon Danielsson;Casper G. De Vries.
Annals of economics and statistics (2000)
On the frequency of large stock returns: Putting booms and busts into perspective
Dennis W. Jansen;Casper G. de Vries.
The Review of Economics and Statistics (1989)
Rigging the lobbying process: An application of the all-pay auction
Michael R. Baye;Dan Kovenock;Casper G. de Vries.
The American Economic Review (1993)
Tail index and quantile estimation with very high frequency data
Jón Daníelsson;Casper G. de Vries.
Journal of Empirical Finance (1997)
Extremal Behavior of Solutions to a Stochastic Difference Equation with Applications to Arch-Processes
Laurens de Haan;Sidney I. Resnick;Holger Rootzén;Casper G. de Vries.
Stochastic Processes and their Applications (1989)
The tail index of exchange rate returns
Kees G. Koedijk;Marcia M.A. Schafgans;Casper G. de Vries.
Journal of International Economics (1990)
Asset Market Linkages in Crisis Periods
Philipp Hartmann;Stefan Straetmans;Casper de Vries.
Social Science Research Network (2001)
The solution to the Tullock rent-seeking game when R > 2: Mixed-strategy equilibria and mean dissipation rates*
Michael R. Baye;Dan Kovenock;Casper G. de Vries.
Public Choice (1994)
International trade and exchange rate volatility
Jean-Marie Viaene;Casper G. de Vries.
European Economic Review (1992)
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