Details about Pieter Jelle van der Sluis

Access statistics for papers by Pieter Jelle van der Sluis.

Last updated 2012-09-06. Update your information in the RePEc Author Service.

Short-id: pva13

Working Papers

2006

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

2005

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

2004

3. Market Impact Costs of Institutional Equity Trades
   DNB Staff Reports (discontinued), Netherlands Central Bank View citations (5)
   Also in DNB Working Papers, Netherlands Central Bank, Research Department (2004) View citations (3)
   See also Journal Article in Journal of International Money and Finance (2007)
4. The Implementation Shortfall of Institutional Equity Trades
   Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (1)

2003

5. A Reality Check on Hedge Funds Returns
   Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (6)
6. Market Timing: A Decomposition of Mutual Fund Returns
   Discussion Paper, Tilburg University, Center for Economic Research
   Also in Research Paper, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. (2003)

2001

7. Return-Based Style Analysis with Time-Varying Exposures
   Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
   Also in Computing in Economics and Finance 2001, Society for Computational Economics (2001)
   See also Journal Article in European Journal of Finance (2006)
8. 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

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

1999

10. Forecasting Volatility under Multivariate Stochastic Volatility Model via Reprojection
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (1)
11. 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)

Undated

12. 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

Journal Articles

2010

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

2008

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

2007

3. Market impact costs of institutional equity trades
   Journal of International Money and Finance, 2007, 26, (6), 974-1000 View citations (3)
   See also Working Paper (2004)

2006

4. Return-based style analysis with time-varying exposures
   European Journal of Finance, 2006, 12, (6-7), 529-552 View citations (2)
   See also Working Paper (2001)

1998

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

1997

6. 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), al1