Details about Frank C. J. M. de Jong

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Short-id: pde849

Working Papers

2012

1. 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 (12)

2011

2. 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)
3. The impact of dark trading and visible fragmentation on market quality
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (40)

2009

4. An Empirical Analysis of Legal Insider Trading in the Netherlands
   CESifo Working Paper Series, CESifo View citations (8)
   Also in Discussion Paper, Tilburg University, Center for Economic Research (2009) View citations (7)

2005

5. (UBS Pensions Series 036) Dynamic portfolio and mortgage choice for homeowners
   FMG Discussion Papers, Financial Markets Group

2004

6. Privatization and Stock Market Liquidity
   SIFR Research Report Series, Institute for Financial Research View citations (14)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (20)
   See also Journal Article Privatization and stock market liquidity, Journal of Banking & Finance, Elsevier (2007) View citations (22) (2007)
7. 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)
8. Trading European Sovereign Bonds: The Microstructure of the MTS Trading Platforms
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (23)

2003

9. Price Discovery in Fragmented Markets
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Price Discovery in Fragmented Markets, Journal of Financial Econometrics, Oxford University Press (2010) View citations (29) (2010)

2002

10. Aggressive Orders and the Resiliency of a Limit Order Market
    Discussion Paper, Tilburg University, Center for Economic Research View citations (1)

2001

11. 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 (14)
    See also Journal Article Time-varying market integration and expected returns in emerging markets, Journal of Financial Economics, Elsevier (2005) View citations (112) (2005)

2000

12. 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 (9)

1999

13. Price Discovery on Foreign Exchange Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
14. Price Discovery on Foreign Exchange Markets with Differentially Informed Traders
    Working Papers, Southern California - School of Business Administration View citations (5)
15. Time-series and Cross-section Information in Affine Term Structure Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    See also Journal Article Time Series and Cross-Section Information in Affine Term-Structure Models, Journal of Business & Economic Statistics, American Statistical Association (2000) View citations (105) (2000)

1997

16. Exchange rate target zones: A new approach
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)

1996

17. Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market
    Discussion Paper, Tilburg University, Center for Economic Research View citations (2)

1995

18. 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 High frequency analysis of lead-lag relationships between financial markets, Journal of Empirical Finance, Elsevier (1997) View citations (61) (1997)

1994

19. 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 Price effects of trading and components of the bid-ask spread on the Paris Bourse, Journal of Empirical Finance, Elsevier (1996) View citations (42) (1996)

1993

20. 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 (7)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1993) View citations (7)
    See also Journal Article A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International, European Economic Review, Elsevier (1995) View citations (39) (1995)
21. Specification, Solution and Estimation of a Discrete Time Target Zone Model of EMS Exchange Rates
    Working Papers, Tilburg - Center for Economic Research

1991

22. 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 A Univariate Analysis of EMS Exchange Rates Using a Target Zone Model, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1994) View citations (32) (1994)
23. 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

1. 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)
2. 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 (117)

2011

3. Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market
   Journal of Finance, 2011, 66, (1), 203-240 View citations (167)

2010

4. Price Discovery in Fragmented Markets
   Journal of Financial Econometrics, 2010, 8, (1), 1-28 View citations (29)
   See also Working Paper Price Discovery in Fragmented Markets, CEPR Discussion Papers (2003) (2003)

2008

5. Pension fund investments and the valuation of liabilities under conditional indexation
   Insurance: Mathematics and Economics, 2008, 42, (1), 1-13 View citations (19)
6. Pseudo Market Timing: A Reappraisal
   Journal of Financial and Quantitative Analysis, 2008, 43, (3), 547-579 View citations (3)
7. Valuation of pension liabilities in incomplete markets*
   Journal of Pension Economics and Finance, 2008, 7, (3), 277-294 View citations (11)

2007

8. Privatization and stock market liquidity
   Journal of Banking & Finance, 2007, 31, (2), 297-316 View citations (22)
   See also Working Paper Privatization and Stock Market Liquidity, SIFR Research Report Series (2004) View citations (14) (2004)

2005

9. The demand for higher education in The Netherlands, 1950-1999
   Economics of Education Review, 2005, 24, (6), 651-663 View citations (18)
10. Time-varying market integration and expected returns in emerging markets
    Journal of Financial Economics, 2005, 78, (3), 583-613 View citations (112)
    See also Working Paper Time Varying Market Integration and Expected Rteurns in Emerging Markets, Discussion Paper (2001) View citations (2) (2001)

2004

11. On the Information in the Interest Rate Term Structure and Option Prices
    Review of Derivatives Research, 2004, 7, (2), 99-127 View citations (15)

2002

12. Measures of contributions to price discovery: a comparison
    Journal of Financial Markets, 2002, 5, (3), 323-327 View citations (102)

2001

13. A Jump‐diffusion Model for Exchange Rates in a Target Zone
    Statistica Neerlandica, 2001, 55, (3), 270-300 View citations (21)

2000

14. Time Series and Cross-Section Information in Affine Term-Structure Models
    Journal of Business & Economic Statistics, 2000, 18, (3), 300-314 View citations (105)
    See also Working Paper Time-series and Cross-section Information in Affine Term Structure Models, CEPR Discussion Papers (1999) View citations (4) (1999)

1999

15. 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 (44)

1998

16. 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 (21)

1997

17. High frequency analysis of lead-lag relationships between financial markets
    Journal of Empirical Finance, 1997, 4, (2-3), 259-277 View citations (61)
    See also Working Paper High frequency analysis of lead-lag relationships between financial markets, Discussion Paper (1995) View citations (1) (1995)

1996

18. 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 (42)
    See also Working Paper Price effects of trading and components of the bid-ask spread on the Paris Bource, Discussion Paper (1994) (1994)

1995

19. 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 (39)
    See also Working Paper A Comparison of Cost of Trading French Shares on the Paris Bourse and on SEAQ International, Working Papers (1993) View citations (7) (1993)

1994

20. A Univariate Analysis of EMS Exchange Rates Using a Target Zone Model
    Journal of Applied Econometrics, 1994, 9, (1), 31-45 View citations (32)
    See also Working Paper A Univariate Analysis of EMS Exchange Rates Using a Target Zone Model, Working Papers (1991) View citations (3) (1991)

1992

21. 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 (27)

Books

2009

1. The Microstructure of Financial Markets
   Cambridge Books, Cambridge University Press View citations (62)
   Also in Cambridge Books, Cambridge University Press (2009) View citations (61)