EconPapers    
Economics at your fingertips  
 

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


Jump to Journal Articles

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 Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads
    CFS Working Paper Series, Center for Financial Studies (CFS) (2010) Downloads

    See also Journal Article Washington meets Wall Street: A closer examination of the presidential cycle puzzle, Journal of International Money and Finance, Elsevier (2014) Downloads View citations (10) (2014)

2004

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

2003

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

2001

  1. Return-Based Style Analysis with Time-Varying Exposures
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (11)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2001) Downloads View citations (3)
    Computing in Economics and Finance 2001, Society for Computational Economics (2001) View citations (3)

    See also Journal Article Return-based style analysis with time-varying exposures, The European Journal of Finance, Taylor & Francis Journals (2006) Downloads View citations (24) (2006)
  2. 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

  1. Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (8)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2000) Downloads View citations (5)

    See also Journal Article Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates, Review of Finance, European Finance Association (1999) Downloads View citations (8) (1999)

1999

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

1998

  1. 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 Downloads 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) Downloads View citations (5) (1997)
  2. Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
  3. Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

1997

  1. Computationally Attractive Stability Tests for the Efficient Method of Moments
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads 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)
  2. Post-Sample Prediction Tests for the Efficient Method of Moments
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)

Undated

  1. 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 Downloads

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 Downloads 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) Downloads (2013)

2010

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

2008

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

2007

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

2006

  1. Return-based style analysis with time-varying exposures
    The European Journal of Finance, 2006, 12, (6-7), 529-552 Downloads View citations (24)
    See also Working Paper Return-Based Style Analysis with Time-Varying Exposures, Discussion Paper (2001) Downloads View citations (11) (2001)

1999

  1. Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
    Review of Finance, 1999, 3, (3), 273-310 Downloads View citations (8)
    See also Working Paper Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates, Discussion Paper (2000) Downloads View citations (8) (2000)

1998

  1. 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) Downloads View citations (4) (1997)

1997

  1. 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 Downloads 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) Downloads View citations (1) (1998)
 
Page updated 2025-03-31