Details about Frank C. J. M. de Jong
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Short-id: pde849
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Working Papers
2012
- Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
2011
- The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051)
Discussion Paper, Tilburg University, Center for Economic Research View citations (4)
- The impact of dark trading and visible fragmentation on market quality
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (40)
2009
- An Empirical Analysis of Legal Insider Trading in the Netherlands
Discussion Paper, Tilburg University, Center for Economic Research View citations (5)
2005
- (UBS Pensions Series 036) Dynamic portfolio and mortgage choice for homeowners
FMG Discussion Papers, Financial Markets Group
- Valuation of pension liabilities in incomplete markets
DNB Working Papers, Netherlands Central Bank, Research Department View citations (7)
See also Journal Article in Journal of Pension Economics and Finance (2008)
2004
- Privatization and Stock Market Liquidity
SIFR Research Report Series, Institute for Financial Research View citations (6)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (20)
See also Journal Article in Journal of Banking & Finance (2007)
- Pseudo Market Timing: Fact or Fiction?
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
Also in SIFR Research Report Series, Institute for Financial Research (2004) View citations (3)
- Trading European Sovereign Bonds: The Microstructure of the MTS Trading Platforms
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (22)
2003
- Price Discovery in Fragmented Markets
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
See also Journal Article in Journal of Financial Econometrics (2010)
2002
- Aggressive Orders and the Resiliency of a Limit Order Market
Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
2001
- Time Varying Market Integration and Expected Rteurns in Emerging Markets
Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (11)
See also Journal Article in Journal of Financial Economics (2005)
2000
- Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis
Discussion Paper, Tilburg University, Center for Economic Research View citations (8)
1999
- Price Discovery on Foreign Exchange Markets
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
- Price Discovery on Foreign Exchange Markets with Differentially Informed Traders
Working Papers, Southern California - School of Business Administration View citations (3)
- Time-series and Cross-section Information in Affine Term Structure Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
See also Journal Article in Journal of Business & Economic Statistics (2000)
1997
- Exchange rate target zones: A new approach
Discussion Paper, Tilburg University, Center for Economic Research View citations (2)
1996
- Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market
Discussion Paper, Tilburg University, Center for Economic Research
1995
- High frequency analysis of lead-lag relationships between financial markets
Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
See also Journal Article in Journal of Empirical Finance (1997)
1994
- Price effects of trading and components of the bid-ask spread on the Paris Bource
Discussion Paper, Tilburg University, Center for Economic Research 
See also Journal Article in Journal of Empirical Finance (1996)
1993
- A Comparison of Cost of Trading French Shares on the Paris Bourse and on SEAQ International
Working Papers, Tilburg - Center for Economic Research View citations (6)
Also in Discussion Paper, Tilburg University, Center for Economic Research (1993) View citations (7)
See also Journal Article in European Economic Review (1995)
- Specification, Solution and Estimation of a Discrete Time Target Zone Model of EMS Exchange Rates
Working Papers, Tilburg - Center for Economic Research
1991
- A Univariate Analysis of EMS Exchange Rates Using a Target Zone Model
Working Papers, Tilburg - Center for Economic Research View citations (3)
See also Journal Article in Journal of Applied Econometrics (1994)
- Seigiorage, Taxes, Government Debt and EMS
Working Papers, Tilburg - Center for Economic Research
Also in Discussion Paper, Tilburg University, Center for Economic Research (1991)
Journal Articles
2013
- Do Firm Characteristics Influence Mutual Fund Performance? An Empirical Study for European Mutual Funds
Journal of Financial Perspectives, 2013, 1, (1), 159-168
Also in Journal of Financial Perspectives, 2013, 1, (1), 159-176 (2013)
- Spread the news: The impact of news on the European sovereign bond markets during the crisis
Journal of International Money and Finance, 2013, 34, (C), 83-101 View citations (81)
2011
- Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market
Journal of Finance, 2011, 66, (1), 203-240 View citations (129)
2010
- Price Discovery in Fragmented Markets
Journal of Financial Econometrics, 2010, 8, (1), 1-28 View citations (15)
See also Working Paper (2003)
2008
- Pension fund investments and the valuation of liabilities under conditional indexation
Insurance: Mathematics and Economics, 2008, 42, (1), 1-13 View citations (13)
- Pseudo Market Timing: A Reappraisal
Journal of Financial and Quantitative Analysis, 2008, 43, (3), 547-579 View citations (1)
- Valuation of pension liabilities in incomplete markets*
Journal of Pension Economics and Finance, 2008, 7, (3), 277-294 View citations (9)
See also Working Paper (2005)
2007
- Privatization and stock market liquidity
Journal of Banking & Finance, 2007, 31, (2), 297-316 View citations (16)
See also Working Paper (2004)
2005
- The demand for higher education in The Netherlands, 1950-1999
Economics of Education Review, 2005, 24, (6), 651-663 View citations (16)
- Time-varying market integration and expected returns in emerging markets
Journal of Financial Economics, 2005, 78, (3), 583-613 View citations (89)
See also Working Paper (2001)
2004
- On the Information in the Interest Rate Term Structure and Option Prices
Review of Derivatives Research, 2004, 7, (2), 99-127 View citations (14)
2002
- Measures of contributions to price discovery: a comparison
Journal of Financial Markets, 2002, 5, (3), 323-327 View citations (69)
2001
- A Jump‐diffusion Model for Exchange Rates in a Target Zone
Statistica Neerlandica, 2001, 55, (3), 270-300 View citations (21)
2000
- Time Series and Cross-Section Information in Affine Term-Structure Models
Journal of Business & Economic Statistics, 2000, 18, (3), 300-314 View citations (62)
See also Working Paper (1999)
1999
- The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables
Journal of Financial and Quantitative Analysis, 1999, 34, (1), 131-157 View citations (36)
1998
- Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate1, 2
Journal of International Money and Finance, 1998, 17, (1), 5-27 View citations (18)
1997
- High frequency analysis of lead-lag relationships between financial markets
Journal of Empirical Finance, 1997, 4, (2-3), 259-277 View citations (38)
See also Working Paper (1995)
1996
- Price effects of trading and components of the bid-ask spread on the Paris Bourse
Journal of Empirical Finance, 1996, 3, (2), 193-213 View citations (26)
See also Working Paper (1994)
1995
- A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International
European Economic Review, 1995, 39, (7), 1277-1301 View citations (31)
See also Working Paper (1993)
1994
- A Univariate Analysis of EMS Exchange Rates Using a Target Zone Model
Journal of Applied Econometrics, 1994, 9, (1), 31-45 View citations (24)
See also Working Paper (1991)
1992
- A contribution to event study methodology with an application to the Dutch stock market
Journal of Banking & Finance, 1992, 16, (1), 11-36 View citations (20)
Books
2009
- The Microstructure of Financial Markets
Cambridge Books, Cambridge University Press View citations (44)
Also in Cambridge Books, Cambridge University Press (2009) View citations (47)
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