Research
In English
“The term structure of currency futures’ risk premia” (with Bernoth, K. and von Hagen J.), Journal of Money Credit and Banking, Vol. 54, No. 1, 5-38
“Exploiting tail shape biases to discriminate between stable and student t alternatives” (with Sun, P.), Journal of Applied Econometrics, 33, 2018, 708-726
“The impact of competition on prices with numerous firms” (with X. Gabaix, D. Laibson, D. Li, H. Li, and S. Resnick), Journal of Economic Theory, 165, 2016, 1-24
“Risk measure for autocorrelated hedge fund returns” (with P.A. Stork and A. Di Cesare), Journal of Financial Econometrics 14, 2015, 868-895
“The number of active bidders in Internet auctions” (with L. de Haan and C. Zhou), Journal of Economic Theory 148, 2013, 1726-1736
“Systemic risk & diversification across European Banks and Insurers” (with J.F. Slijkerman and D. Schoenmaker), Journal of Banking & Finance 37, 2013, 773-785
“Fat tails, VaR and subadditivity” (with J. Danielsson, B.N. Jorgensen, G. Samarodnitsky and M.Sarma), Journal of Econometrics 172, 2013, 283-291
“Heavy tails of OLS” (with T. Mikosch), Journal of Econometrics 172, 2013, 205-221
“Simulating and calibrating diversification against black swans” (with N. Hyung), Journal of Economic Dynamics and Control 36, 2012, 1162-1175
“IMF support and inter-regime exchange rate volatility” (with I. Arnold and R. MacDonald), Open Economies Review 23, S1, 2012, 193-211
“The Herodotus paradox,” (with M. Baye and D. Kovenock), Games and Economic Behavior 74, 2012, 399-406
“Contests with rank-order spillovers”, (with M. Baye and D. Kovenock), Economic Theory 51, 2012, 315-350
“The stability of the Australian banking sector”, (with P. Stork), in G.N. Gregoriou, The Banking Crisis Handbook, 2010, CRC Press, Boca Raton, 397-416
“Global stochastic properties of dynamic models and their linear approximations,” (with A. Babus), Journal of Economic Dynamics and Control 34, 2010, 817-824
“Heavy tails and currency crises,” (with P. Hartmannn and S. Straetmans), Journal of Empirical Finance 17, 2010, 241-254
“The expected payoff to internet auctions”, (with L. de Haan and C. Zhou), Extremes 12, 2009, 219-238
“Optimal portfolio allocation under a probabilistic risk constraint and incentives for financial innovation“, (with J. Danielsson, B.N. Jorgensen, and X. Yang), Annals of Finance 4, 2008, 345-367
“Portfolio selection with heavy tails”, (with N. Hyung), Journal of Empirical Finance 14, 2007, 383-400
“Discussion of ‘Copulas: Tales and facts“, by T. Mikosch, (with and C. Zhou), Extremes, 9, 2006, 23-25
“Banking system stability: A cross-atlantic perspective”, (with P. Hartmann and S. Straetmans), in M. Carey and R.M. Stulz (eds), The Risks of Financial Institutions, 2006, The University of Chicago Press, Chicago, 133-192 ; available as “Banking systems stability: A cross Atlantic perspective,” NBER working paper 11698, 2005
“Comparing downside risk measures for heavy tailed distributions,” (with J. Danielsson, B.N. Jorgensen and M. Sarma), Economics Letters 92, 2006, 202-208
“Generational accounting, solidarity and pension losses,” (with C.N. Teulings), De Economist 154, 2006, 63-83
“Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities”, ( with J. Geluk), Insurance Mathematics & Economics 38, 2006, 39-56
“VaR stress tests for highly non-linear portfolios”, (with J.H.J. Einmahl, W.N. Foppen and O.W. Laseroms), The Journal of Risk Finance 6, 382-387, 2005
“Portfolio diversification effects of downside risk”, (with N. Hyung), Journal of Financial Econometrics 3, 2005, 107-125
“Comparative Analysis of Litigation Systems: an auction-theoretic approach“, (with M.R.Baye and D. Kovenock), , Economic Journal 115, 2005, 583-601 & Technical Appendix, 1-4
“The simple economics of bank fragility”, Journal of Banking and Finance 29 , 2005, 803-825
“Asset market linkages in crisis periods“, (with P. Hartmann and S. Straetmans), The Review of Economics and Statistics 86, 2004, 313-326
“Credit value-at-risk constraints, credit rationing and monetary policy”, (with J.F. Slijkerman and D.J.C. Smant), in P. Minford (ed.), Money Matters, Essays honour of Alan Walters, Edgar Elgar, 2004, 243-250
“Regulation and incentives for effective risk management in incomplete markets”, (with J. Danielsson and B.N. Jorgensen), in G. Szego, ed., Risk Measures for the 21st Century, Wiley, Chichester, 2004, 87-108
“Nominal and real forex regimes and EMU accession,” (with P.W. van Foreest), in L. Vinhas de Souza and B. Van Aarle (eds), The Euroarea and the New EU Member States, Palgrave-McMillan Press, 2003, 79-99
“The forex regime and EMU expansion”, (with P.W. van Foreest), Open Economies Review 14, 2003, 285-298
“Extreme value theory and statistics for heavy tail data”, (with S. Caserta), in Modern Risk Management A History, (Risk Books), 2003, 169-178
“A global perspective on extreme currency linkages”, (with P. Hartmann and S. Straetmans), in W.C. Hunter, G.G. Kaufman and M. Pomerleano (eds), Asset Price Bubbles: The Implications for Monetary, Regulatory, and International Policies, (MIT Press), 2003, 361-382
“Incentives for effective risk management”, (with J. Danielsson and B.N. Jorgensen), Journal of Banking and Finance 26, 2002, 1407-1425
“Fiat exchange in finite economies“, (with D. Kovenock), Economic Inquiry 40, 2002, 147-157
“Portfolio diversification effects and regular variation in financial data“, (with N. Hyung), in Allgemeines Statistisches Archiv, Journal of the German Statistical Society 86, 2002, 69-82
“Extremal forex returns in extremely large data sets“, (with M.M. Dacorogna, U.A. Müller and O.V. Pictet), Extremes 4, 2001, 105-127
“Extreme returns in asset prices”, (with S. Caserta, R. Reiss and M. Thomas), in R. Reiss and M. Thomas, Statistical Analysis of Extreme Values, (Birkhauser Verlag), 2001, 2nd Ed., Ch.13, p.p. 207-222
“Using a bootstrap method to choose the sample fraction in tail index estimation“, (with J. Danielsson, L. de Haan and L. Peng), Journal of Multivariate Analysis 76, 2001, 226-248
“Convolutions of heavy-tailed random variables and applications to portfolio diversification and MA(1) time series”, (with J. Geluk and L. Peng), Advances in Applied Probability 32, 2000, 1011-1026
“Portfolio selection with limited downside risk“, (with D.W. Jansen and C.G. Koedijk), Journal of Empirical Finance 7, 2000, 247-270
“On the (ir)relevancy of value-at-risk regulation“, (with P.J. Cumperayot, J. Danielsson and B. Jorgensen), in J. Franke, W. Haerdle, and G. Stahl, Measuring Risk in Complex Stochastic Systems (Springer), 2000, 99-117
“Value-at-risk and extreme returns“, (with J. Danielsson), Reprinted in Extremes and Integrated Risk Management, by P. Embrechts (ed.), (Risk Books), 2000, 85-106
“Value-at-risk and extreme returns“, (with J. Danielsson), Annales D’Economie et de Statistique 60, 2000, 239-270
“Endogeneity in European money demand“, (with I. Arnold), European Journal of Political Economy 16, 2000, 587-611
“Endogenous financial structure and the transmission of ECB policy“, (with I. Arnold), in J. von Hagen and C. Waller (eds.), Regional Aspects of Monetary Policy in Europe, (Kluwer Academic Publishers), 2000, 193-218
“Second order tail effects“, in W.S. Chan, W.K. Li and H. Tong (eds), Statistics and Finance: An interface, (Imperial College Press), 2000, 153-165
“The incidence of overdissipation in rent-seeking contests“, (with M. Baye and D. Kovenock), Public Choice 99, 439-454, 1999
“An experimental examination of rational rent seeking“, (with J. Potters and F. van Winden), European Journal of Political Economy 14, 1998, 783-800
“Abnormal returns, risk and options in large date sets“, (with J. Danielsson and S. Caserta), Statistica Neerlandica 52, 1998, 324-335
“The cost of conservatism: Extreme returns, value-at-risk, and the Basle ‘Multiplication factor’“, (with J. Danielsson and P. Hartmann), Reprinted in M. Broadie and P. Glasserman (eds), Hedging with Trees, (Risk Books), 1998, 245-249
“The cost of conservatism: Extreme returns, value-at-risk, and the Basle ‘Multiplication factor‘”, (with J. Danielsson and P. Hartmann), Risk 11, 1998, 101-103
“An EMS target zone model in discrete time“, (with K.G. Koedijk and P. Stork), Journal of Applied Econometrics 13, 1998, 31-48
“Extreme returns in asset prices”, (with R. Reiss), in R. Reiss and M. Thomas, Statistical Analysis of Extreme Values, (Birkhauser Verlag), 1997, Ch.10, p.p. 207-222
“Tail index and quantile estimation with very high frequency data“, (with J. Danielsson), Journal of Empirical Finance 4, 1997, 241-257
“The all-pay-auction with complete information“, (with M.R. Baye and D. Kovenock), Economic Theory 8, 1996, 91-305
“Fat tail distributions and local thin tail alternatives“, (with G. Gielens and S. Straetmans), Communications in Statistics, Theory and Methods 25, 1996, 705-710
“The method of moments ratio estimator for the tail shape parameter“, (with J. Danielsson and D. Jansen), Communications in Statistics, Theory and Methods 25, 1996, 711-720
“A note on the relationship between GARCH and symmetric stable processes“, (with P.A. Groenendijk and A. Lucas), Journal of Empirical Finance 4, 1995, 253-264
“New evidence on the effectiveness of foreign exchange market intervention“, (with K.G. Koedijk, B. Mizrach and P. Stork), European Economic Review 39, 1995, 501-508
“Piecemeal versus precipitous factor market integration“, (with H. Dellas), International Economic Review 36, 1995, 569-582
“The solution to the Tullock rent-seeking game when R > 2: mixed-strategy equilibria and mean dissipation rates“, (with M.R. Baye and D. Kovenock), Public Choice 81, 1994, 363-380
“Safety first portfolio selection, extreme value theory and long run asset risks“, (with L. de Haan, D. Jansen and K. Koedijk), in J. Galambos (ed.), Extreme Value Theory and Applications, (Kluwer), 1994, 471-487
“Limit orders, asymmetric information and the formation of asset prices with a computerized specialist“, (with M.R. Baye and A. Gillette), Journal of Economics 59, 1994, 71-96
“Stylized facts, realignments and investment strategies in the EMS“, (with K. Koedijk and P. Stork), in J. Kaehler and P. Kugler (eds), Econometric Analysis of Financial Markets, (Physica-Verlag), 1994, 163-184
“Stylized facts of nominal exchange rate returns“, in F. van der Ploeg (ed.), Handbook of International Macroeconomics, (Basil Blackwell), 1994, 348-389
“An oligopoly model of free banking: Theory and tests“, (with M.R. Baye and P. de Grauwe), De Economist 141, 1993, 497-514
“Rigging the lobbying process: An application of the all-pay-auction“, (with M.R. Baye and D. Kovenock), American Economic Review 83, 1993, 289-294
“Fixing soft margins“, (with P. Kofman and A. de Vaal), Journal of International Economics 34, 1993, 359-374
“Target zone management: Commodity boards and speculative raids”, (with A. de Vaal and P. Kofman), The Review of Futures Markets 11, 1992, 107-114
“It takes two to tango: Equilibria in a model of sales“, (with M.R. Baye and D. Kovenock), Games and Economic Behavior 4, 1992, 493-510
“Differences between foreign exchange rate regimes: the view from the tails“, (with K.G. Koedijk and P. Stork), Journal of International Money and Finance 11, 1992, 462-473
“On the design of invoicing practices in international trade“, (with J.-M. Viaene), Open Economies Review 3, 1992, 133-142
“Mixed strategy trade equilibria“, (with M.R. Baye), Canadian Journal of Economics 25, 1992, 281-293
“International trade and exchange rate volatility“, (with J.-M. Viaene), European Economic Review 36, 1992, 1311-1321
“Optimal localized production experience and schooling“, (with C. van Marrewijk and C. Withagen), International Economic Review 33, 1992, 91-110
“The limiting distribution of extremal exchange rate yields“, (with M. Hols), Journal of Applied Econometrics 6, 1991, 287-302
“On the frequency of large stock returns: Putting booms and busts into perspective“, (with D. Jansen), The Review of Economics and Statistics 73, 1991, 18-24
“On the relation between GARCH and stable processes“, Journal of Econometrics 48, 1991, 313-324
“Speculative prices and stochastic processes”, (with G. Gielens), Nieuw Archief voor Wiskunde 8, 1990, 311-323
“The customs union argument for a monetary union“, (with C. van Marrewijk), Journal of Banking and Finance 14, 1990, 877-887
“The tail index of exchange rate returns“, (with K. Koedijk and M. Schafgans), Journal of International Economics 29, 1990, 93-108
“Primary commodity prices and exchange-rate volatility”, (with P. Kofman and J.-M. Viaene) in L.A. Winters and D. Sapsford (eds), Primary Commodity Prices: Economic Models and Policy, (Cambridge University Press), 1990, 230-232
“Potato futures returns: A tail investigation”, (with P. Kofman), The Review of Futures Markets 8, 1990, 244-258
“International trade and the arbitrage principle”, in F. van der Ploeg (ed.), Advanced Lectures in Quantitative Economics, (Academic Press), 1990, 349-380
“Extremal behavior of solutions to a stochastic difference equation, with applications to ARCH processes“, (with L. de Haan, S. Resnick and H. Rootzen), Stochastic Processes and their Applications 32, 1989, 213-224
“Simulating currency substitution bias“, (with M. Boon and C. Kool), Economics Letters 28, 1988, 269-272
“Theory and relevance of currency substitution with case studies for Canada and the Netherlands Antilles“, The Review of Economics and Statistics 70, 1988, 512-515
“Welfare implications of foreign exchange intervention, theory and measurement”, (with J.-M. Viaene) in T. Peeters et al. (eds), International Trade and Exchange Rates in the Late Eighties, (North-Holland), 1985, 299-322
“International growth with free trade in equities and goods: A comment“, International Economic Review 24, 1983, 761-769
In Dutch
“Systeemrisico grootbanken onveranderd hoog“, (met A. Janssen) Economische Statistische Berichten, 105, 2020, …
“QE geen zichtbaar effect op economisch herstel in Europa”, (met B. van Marle), Economische Statistische Berichten, 100, 2015, 716-719
“Reactie op: Oorzaken van en remedies voor seculaire stagnatie”, Economische Statistische Berichten, 99, 2014, 684-685
“Gebrek aan macro visie DNB ondermijnt pensioentoezicht”, (met G. Boender en F. van der Lecq), Jaarboek 2011 Koninklijke Vereniging voor de Staathuishoudkunde, SDU, 2011, 138-140
“Opties”, in P. Schnabel e.a., De Gammacanon, wat iedereen moet weten van de menswetenschappen, Meulenhof, 2011, 202-205
“Nationanalisatie banken onnodig,” Economische Statistische Berichten, 94, 2009, 220
“Milton Friedman: wetenschapper op monetair breukvlak”, Economische Statistische Berichten, 91, 2006, 655
“Micropremie en macroparadox”, (met C.N. Teulings), Economische Statistische Berichten, 90, 2005, 386-389
“Stimulans & Kans”, Oratie, Erasmus Univerisiteit Rotterdam, 26 November, 2004
“Pensioenbeleid als automatische destabilisator”, (met C.N. Teulings), Economische Statistische Berichten, 87, 2003, 100-102
“Wisselkoersen en Beleggen”, (met I.J.M. Arnold en D.J.C. Smant), Financiële & Monetaire Studies, 21, nummer 1
“Een gulden geschiedenis”, (met M.C. van Harten en W.L. Korthals Altes), Economische Statistische Berichten, 86, 2001, 997-999
“Ons Maximale Inkomen“, Economische Statistische Berichten, 86, 2001, 147
“Recombinant DNB“, (met I.J.M. Arnold), Economische Statistische Berichten, 85, 2000, 387
“De endogene financiele structuur“, (met I.J.M. Arnold), Economisch Statistische Berichten 84, 1999, 738-740
“Een ongeloofwaardig pact, of vrijmunterij“, (met R. Bruggink, P. van Foreest, N. Plaisier en S. van Woelderen), Economisch Statistische Berichten, 82, 1996, 189-191
“De geloofwaardigheid van het EMS“, (met C.G. Koedijk en Ph. A. Stork), Economisch Statistische Berichten 78, 1993, 959-962
“Veilingen waarbij iedereen betaalt en toch wint“, (met H. Degryse en J. Bouckaert), Tijdschrift voor Economie en Management 37, 1992, 375-393
“Valutasubstitutie in Canada en de Nederlandse Antillen”, (met G. Hommes en H. Lub), Kwantitatieve Methoden, 1987, 127-137
“Economische gevolgen van een olieboycot tegen Zuid-Afrika“, (met M. Dell en J.-M. Viaene), Economisch Statistische Berichten 70, 1985, 1058-1059
In Spanish
“Teoria e importancia de la sustitución de divisas, Estudio de los Casos de Canada y las Antillas Holandesas“, Información Comercial Española, 1986, 75-91 (Hyperlink directs to article in English)