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)