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Details about Frank C. J. M. de Jong

Homepage:http://www.tilburguniversity.edu/webwijs/show/?uid=f.dejong
Workplace:Finance Department, School of Economics and Management, Universiteit van Tilburg (Tilburg University), (more information at EDIRC)

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Short-id: pde849


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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 Downloads View citations (12)

2011

  1. The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051)
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (4)
  2. The impact of dark trading and visible fragmentation on market quality
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (40)

2009

  1. An Empirical Analysis of Legal Insider Trading in the Netherlands
    CESifo Working Paper Series, CESifo Downloads View citations (8)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2009) Downloads View citations (6)

2005

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

2004

  1. Privatization and Stock Market Liquidity
    SIFR Research Report Series, Institute for Financial Research Downloads View citations (14)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (20)

    See also Journal Article Privatization and stock market liquidity, Journal of Banking & Finance, Elsevier (2007) Downloads View citations (22) (2007)
  2. Pseudo Market Timing: Fact or Fiction?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in SIFR Research Report Series, Institute for Financial Research (2004) Downloads View citations (3)
  3. Trading European Sovereign Bonds: The Microstructure of the MTS Trading Platforms
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (23)

2003

  1. Price Discovery in Fragmented Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article Price Discovery in Fragmented Markets, Journal of Financial Econometrics, Oxford University Press (2010) Downloads View citations (28) (2010)

2002

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

2001

  1. Time Varying Market Integration and Expected Rteurns in Emerging Markets
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (14)

    See also Journal Article Time-varying market integration and expected returns in emerging markets, Journal of Financial Economics, Elsevier (2005) Downloads View citations (107) (2005)

2000

  1. Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (9)

1999

  1. Price Discovery on Foreign Exchange Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (9)
  2. Price Discovery on Foreign Exchange Markets with Differentially Informed Traders
    Working Papers, Southern California - School of Business Administration View citations (5)
  3. Time-series and Cross-section Information in Affine Term Structure Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads 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 (103) (2000)

1997

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

1996

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

1995

  1. High frequency analysis of lead-lag relationships between financial markets
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    See also Journal Article High frequency analysis of lead-lag relationships between financial markets, Journal of Empirical Finance, Elsevier (1997) Downloads View citations (55) (1997)

1994

  1. Price effects of trading and components of the bid-ask spread on the Paris Bource
    Discussion Paper, Tilburg University, Center for Economic Research Downloads
    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) Downloads View citations (41) (1996)

1993

  1. 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) Downloads 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) Downloads View citations (39) (1995)
  2. Specification, Solution and Estimation of a Discrete Time Target Zone Model of EMS Exchange Rates
    Working Papers, Tilburg - Center for Economic Research

1991

  1. 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) Downloads View citations (32) (1994)
  2. Seigiorage, Taxes, Government Debt and EMS
    Working Papers, Tilburg - Center for Economic Research
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1991) Downloads

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 Downloads View citations (112)

2011

  1. Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market
    Journal of Finance, 2011, 66, (1), 203-240 Downloads View citations (161)

2010

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

2008

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

2007

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

2005

  1. The demand for higher education in The Netherlands, 1950-1999
    Economics of Education Review, 2005, 24, (6), 651-663 Downloads View citations (18)
  2. Time-varying market integration and expected returns in emerging markets
    Journal of Financial Economics, 2005, 78, (3), 583-613 Downloads View citations (107)
    See also Working Paper Time Varying Market Integration and Expected Rteurns in Emerging Markets, Discussion Paper (2001) Downloads View citations (2) (2001)

2004

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

2002

  1. Measures of contributions to price discovery: a comparison
    Journal of Financial Markets, 2002, 5, (3), 323-327 Downloads View citations (99)

2001

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

2000

  1. Time Series and Cross-Section Information in Affine Term-Structure Models
    Journal of Business & Economic Statistics, 2000, 18, (3), 300-314 View citations (103)
    See also Working Paper Time-series and Cross-section Information in Affine Term Structure Models, CEPR Discussion Papers (1999) Downloads View citations (4) (1999)

1999

  1. The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables
    Journal of Financial and Quantitative Analysis, 1999, 34, (1), 131-157 Downloads View citations (44)

1998

  1. 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 Downloads View citations (21)

1997

  1. High frequency analysis of lead-lag relationships between financial markets
    Journal of Empirical Finance, 1997, 4, (2-3), 259-277 Downloads View citations (55)
    See also Working Paper High frequency analysis of lead-lag relationships between financial markets, Discussion Paper (1995) Downloads View citations (1) (1995)

1996

  1. Price effects of trading and components of the bid-ask spread on the Paris Bourse
    Journal of Empirical Finance, 1996, 3, (2), 193-213 Downloads View citations (41)
    See also Working Paper Price effects of trading and components of the bid-ask spread on the Paris Bource, Discussion Paper (1994) Downloads (1994)

1995

  1. 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 Downloads 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

  1. A Univariate Analysis of EMS Exchange Rates Using a Target Zone Model
    Journal of Applied Econometrics, 1994, 9, (1), 31-45 Downloads 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

  1. A contribution to event study methodology with an application to the Dutch stock market
    Journal of Banking & Finance, 1992, 16, (1), 11-36 Downloads View citations (26)

Books

2009

  1. The Microstructure of Financial Markets
    Cambridge Books, Cambridge University Press View citations (60)
    Also in Cambridge Books, Cambridge University Press (2009) View citations (59)
 
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