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Casper G. de Vries

Erasmus University Rotterdam
Center for Economic Studies
Tinbergen Institute

221

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The Term Structure of Currency Futures' Risk Premia

2021 Journal of Money, Credit and Banking
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Covariates Hiding in the Tails

2021 Research Papers in Economics
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Currency Futures' Risk Premia and Risk Factors

2020
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Asset-Based Lending

2019
- Suzanne Bijkerk
- Casper G. de Vries
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Estimating a Latent Risk Premium in Exchange Rate Futures

2018
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Challenges in Implementing Worst-Case Analysis

2018
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Estimating a Latent Risk Premium in Exchange Rate Futures

2018
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Challenges in Implementing Worst-Case Analysis

2018 Social Science Research Network
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Exploiting tail shape biases to discriminate between stable and student t alternatives: Exploiting tail shape biases to discriminate between stable and student t alternatives

2018 Journal of Applied Econometrics
- Pengfei Sun
- Casper G. de Vries
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Tail Index Estimation: Quantile Driven Threshold Selection

2016 LSE Research Online Documents on Economics
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