Details about Pieter Jelle van der Sluis

Access statistics for papers by Pieter Jelle van der Sluis.

Last updated 2023-09-10. Update your information in the RePEc Author Service.

Short-id: pva13

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
   Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2010)
   Tinbergen Institute Discussion Papers, Tinbergen Institute (2008)
   See also Journal Article Washington meets Wall Street: A closer examination of the presidential cycle puzzle, Journal of International Money and Finance, Elsevier (2014) View citations (10) (2014)

2004

2. The Implementation Shortfall of Institutional Equity Trades
   Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (2)

2003

3. A Reality Check on Hedge Funds Returns
   Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (25)
4. Market Timing: A Decomposition of Mutual Fund Returns
   Other publications TiSEM, Tilburg University, School of Economics and Management
   Also in ERIM Report Series Research in Management, 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)
   Discussion Paper, Tilburg University, Center for Economic Research (2003)

2001

5. Return-Based Style Analysis with Time-Varying Exposures
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (3)
   Also in Computing in Economics and Finance 2001, Society for Computational Economics (2001) View citations (3)
   Discussion Paper, Tilburg University, Center for Economic Research (2001) View citations (11)
   See also Journal Article Return-based style analysis with time-varying exposures, The European Journal of Finance, Taylor & Francis Journals (2006) View citations (24) (2006)
6. 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

7. Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (5)
   Also in Discussion Paper, Tilburg University, Center for Economic Research (2000) View citations (8)
   See also Journal Article Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates, Review of Finance, European Finance Association (1999) View citations (8) (1999)

1999

8. Forecasting Volatility under Multivariate Stochastic Volatility Model via Reprojection
   Computing in Economics and Finance 1999, Society for Computational Economics View citations (3)
9. 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) View citations (1)

1998

10. 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 View citations (1)
    See also Journal Article 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, De Gruyter (1997) View citations (5) (1997)
11. Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
12. Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

1997

13. Computationally Attractive Stability Tests for the Efficient Method of Moments
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
    See also Journal Article Computationally attractive stability tests for the efficient method of moments, Econometrics Journal, Royal Economic Society (1998) View citations (2) (1998)
14. Post-Sample Prediction Tests for the Efficient Method of Moments
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)

Undated

15. 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

2014

1. Washington meets Wall Street: A closer examination of the presidential cycle puzzle
   Journal of International Money and Finance, 2014, 43, (C), 50-69 View citations (10)
   See also Working Paper Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle, LSF Research Working Paper Series (2013) (2013)

2010

2. What factors increase the risk of incurring high market impact costs?
   Applied Economics, 2010, 42, (3), 369-387 View citations (4)

2008

3. Forecasting market impact costs and identifying expensive trades
   Journal of Forecasting, 2008, 27, (1), 21-39 View citations (5)

2007

4. Market impact costs of institutional equity trades
   Journal of International Money and Finance, 2007, 26, (6), 974-1000 View citations (30)

2006

5. Return-based style analysis with time-varying exposures
   The European Journal of Finance, 2006, 12, (6-7), 529-552 View citations (24)
   See also Working Paper Return-Based Style Analysis with Time-Varying Exposures, Other publications TiSEM (2001) View citations (3) (2001)

1999

6. Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
   Review of Finance, 1999, 3, (3), 273-310 View citations (8)
   See also Working Paper Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates, Other publications TiSEM (2000) View citations (5) (2000)

1998

7. Computationally attractive stability tests for the efficient method of moments
   Econometrics Journal, 1998, 1, (ConferenceIssue), C203-C227 View citations (2)
   See also Working Paper Computationally Attractive Stability Tests for the Efficient Method of Moments, Tinbergen Institute Discussion Papers (1997) View citations (4) (1997)

1997

8. 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), 20 View citations (5)
   See also Working Paper 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 (1998) View citations (1) (1998)