EconPapers    
Economics at your fingertips  
 

Details about Pieter Jelle van der Sluis

Access statistics for papers by Pieter Jelle van der Sluis.

Last updated 2014-01-04. Update your information in the RePEc Author Service.

Short-id: pva13


Jump to Journal Articles

Working Papers

2013

  1. Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle
    LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg Downloads
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads

2006

  1. Forecasting Market Impact Costs and Identifying Expensive Trades
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads
    See also Journal Article in Journal of Forecasting (2008)

2005

  1. Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads

2004

  1. Market Impact Costs of Institutional Equity Trades
    DNB Staff Reports (discontinued), Netherlands Central Bank Downloads View citations (5)
    Also in DNB Working Papers, Netherlands Central Bank, Research Department (2004) Downloads View citations (2)

    See also Journal Article in Journal of International Money and Finance (2007)
  2. The Implementation Shortfall of Institutional Equity Trades
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (1)

2003

  1. A Reality Check on Hedge Funds Returns
    Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics Downloads View citations (11)
  2. Market Timing: A Decomposition of Mutual Fund Returns
    Discussion Paper, Tilburg University, Center for Economic Research Downloads

2001

  1. Return-Based Style Analysis with Time-Varying Exposures
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    Also in Computing in Economics and Finance 2001, Society for Computational Economics (2001)

    See also Journal Article in The European Journal of Finance (2006)
  2. Volatility Reprojection and Forecasting Performance -- An EMM Approach toward the Multivariate Stochastic Volatility Model
    Computing in Economics and Finance 2001, Society for Computational Economics

2000

  1. Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (5)

1999

  1. Forecasting Volatility under Multivariate Stochastic Volatility Model via Reprojection
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (1)
  2. Pricing stock options under stochastic volatility and interest rates with efficient method of moments estimation
    Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management) Downloads

1998

  1. EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (1997)
  2. Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
  3. Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

1997

  1. Computationally Attractive Stability Tests for the Efficient Method of Moments
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    See also Journal Article in Econometrics Journal (1998)
  2. Post-Sample Prediction Tests for the Efficient Method of Moments
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)

Undated

  1. EmmPack 1.0: C Code for use with Ox for the Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments
    Computing in Economics and Finance 1997, Society for Computational Economics Downloads

Journal Articles

2010

  1. What factors increase the risk of incurring high market impact costs?
    Applied Economics, 2010, 42, (3), 369-387 Downloads View citations (2)

2008

  1. Forecasting market impact costs and identifying expensive trades
    Journal of Forecasting, 2008, 27, (1), 21-39 Downloads View citations (2)
    See also Working Paper (2006)

2007

  1. Market impact costs of institutional equity trades
    Journal of International Money and Finance, 2007, 26, (6), 974-1000 Downloads View citations (9)
    See also Working Paper (2004)

2006

  1. Return-based style analysis with time-varying exposures
    The European Journal of Finance, 2006, 12, (6-7), 529-552 Downloads View citations (4)
    See also Working Paper (2001)

1998

  1. Computationally attractive stability tests for the efficient method of moments
    Econometrics Journal, 1998, 1, (ConferenceIssue), C203-C227 View citations (3)
    See also Working Paper (1997)

1997

  1. EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments
    Studies in Nonlinear Dynamics & Econometrics, 1997, 2, (3), 1-20 Downloads
    See also Working Paper (1998)
 
Page updated 2014-07-23