Casper de Vries

Erasmus University Rotterdam (EUR)

Burgemeester Oudlaan 50

3000 DR Rotterdam, Zuid-Holland 3062PA

Netherlands

Tinbergen Institute

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

SCHOLARLY PAPERS

4

DOWNLOADS

159

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

On Agricultural Commodities' Extreme Price Risk

(forthcoming in Extremes)
Number of pages: 34 Posted: 23 Feb 2021
Tinbergen InstituteVrije Universiteit Amsterdam, Vrije Universiteit Amsterdam, School of Business and Economics and Erasmus University Rotterdam (EUR)
Downloads 23 (657,699)

Abstract:

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Commodity prices, extreme value theory, heavy tails, risk management

2.
Downloads 47 (432,995)

Asset-Based Lending

CESifo Working Paper No. 7662
Number of pages: 50 Posted: 25 Jul 2019
Suzanne Bijkerk and Casper de Vries
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam (EUR)
Downloads 47 (515,602)

Abstract:

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asset-based lending, floating, collateral, adverse selection

3.

The Term Structure of Currency Futures' Risk Premia

Bernoth, Kerstin, de Vries, G. Casper and von Hagen, Jürgen (2021): "The term structure of currency futures’ risk premia", Journal of Money, Credit and Banking, 2021, available online DOI: 10.1111/jmcb.12872
Number of pages: 40 Posted: 14 Dec 2021
Kerstin Bernoth, Jürgen von Hagen and Casper de Vries
German Institute for Economic Research (DIW Berlin), University of Bonn and Erasmus University Rotterdam (EUR)
Downloads 49 (497,355)

Abstract:

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forward premium puzzle, uncovered interest parity, futures rates, price of risk, currency excess returns, capital asset pricing model

4.

Currency Futures' Risk Premia and Risk Factors

DIW Berlin Discussion Paper No. 1866
Number of pages: 43 Posted: 04 May 2020
Kerstin Bernoth, Jürgen von Hagen and Casper de Vries
German Institute for Economic Research (DIW Berlin), University of Bonn and Erasmus University Rotterdam (EUR)
Downloads 40 (538,736)

Abstract:

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Forward premium puzzle, uncovered interest parity, futures rates, risk premium, currency excess returns, capital asset pricing model