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Pieter Jelle van der Sluis

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Personal Details

First Name: Pieter
Middle Name: Jelle
Last Name: van der Sluis
Suffix:

RePEc Short-ID: pva13

Email: [This author has chosen not to make the email address public]
Homepage:
Postal Address: APG Asset Management, P.O. Box 75283, NL-1070AG Amsterdam, The Netherlands
Phone: +31 20 604 8315

Affiliation

Works


Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. R. Kraeussl & A. Lucas & D. Rijsbergen & P.J. van der Sluis & E. Vrugt, 2008. "Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle," Tinbergen Institute Discussion Papers 08-101/2, Tinbergen Institute.
  2. Jacob Bikker & Laura Spierdijk & Roy Hoevenaars & Pieter Jelle van der Sluis, 2006. "Forecasting Market Impact Costs and Identifying Expensive Trades," DNB Working Papers 095, Netherlands Central Bank, Research Department.
  3. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2005. "Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs," DNB Working Papers 069, Netherlands Central Bank, Research Department.
  4. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2004. "Market Impact Costs of Institutional Equity Trades," DNB Working Papers 001, Netherlands Central Bank, Research Department.
  5. Bikker, Jacob A. & Spierdijk, Laura & Sluis, Pieter Jelle van der, 2004. "The Implementation Shortfall of Institutional Equity Trades," Serie Research Memoranda 0009, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  6. Swinkels, L.A.P. & Sluis, P.J. van der & Verbeek, M.J.C.M., 2003. "Market Timing: A Decomposition of Mutual Fund Returns," Discussion Paper 2003-95, Tilburg University, Center for Economic Research.
    • Swinkels, L.A.P. & Sluis, P.J. van der & Verbeek, M.J.C.M., 2003. "Market timing: A decomposition of mutual fund returns," Research Paper ERS-2003-074-F&A, 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 Uni.
  7. Posthuma, Nolke & Sluis, Pieter Jelle van der, 2003. "A Reality Check on Hedge Funds Returns," Serie Research Memoranda 0017, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  8. Swinkels, L.A.P. & Sluis, P.J. van der, 2001. "Return-Based Style Analysis with Time-Varying Exposures," Discussion Paper 2001-96, Tilburg University, Center for Economic Research.
  9. George J. Jiang and Pieter J. van der Sluis, 2001. "Volatility Reprojection and Forecasting Performance -- An EMM Approach toward the Multivariate Stochastic Volatility Model," Computing in Economics and Finance 2001 16, Society for Computational Economics.
  10. Jiang, G.J. & Sluis, P.J. van der, 2000. "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Discussion Paper 2000-36, Tilburg University, Center for Economic Research.
  11. Pieter J. van der Sluis & George J. Jiang, 1999. "Forecasting Volatility under Multivariate Stochastic Volatility Model via Reprojection," Computing in Economics and Finance 1999 313, Society for Computational Economics.
  12. Jiang, George J. & Sluis, Pieter J. van der, 1999. "Pricing stock options under stochastic volatility and interest rates with efficient method of moments estimation," Research Report 99B31, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  13. Pieter J. van der Sluis, 1998. "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 98-021/4, Tinbergen Institute.
  14. George J. Jiang & Pieter J. van der Sluis, 1998. "Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation," Tinbergen Institute Discussion Papers 98-067/4, Tinbergen Institute.
  15. Pieter J. van der Sluis, 1998. "Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models," Tinbergen Institute Discussion Papers 98-055/4, Tinbergen Institute.
  16. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
  17. Pieter J. van der Sluis, 1997. "Computationally Attractive Stability Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-087/4, Tinbergen Institute.
  18. Pieter J. van der Sluis, . "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 117, Society for Computational Economics.

Articles

  1. Jacob Bikker & Laura Spierdijk & Pieter-Jelle van der Sluis, 2010. "What factors increase the risk of incurring high market impact costs?," Applied Economics, Taylor and Francis Journals, vol. 42(3), pages 369-387.
  2. Jacob A. Bikker & Laura Spierdijk & Roy P. M. M. Hoevenaars & Pieter Jelle Van der Sluis, 2008. "Forecasting market impact costs and identifying expensive trades," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 21-39.
  3. Bikker, Jacob A. & Spierdijk, Laura & van der Sluis, Pieter Jelle, 2007. "Market impact costs of institutional equity trades," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 974-1000, October.
  4. Laurens Swinkels & Pieter Van Der Sluis, 2006. "Return-based style analysis with time-varying exposures," European Journal of Finance, Taylor and Francis Journals, vol. 12(6-7), pages 529-552.
  5. Pieter J. Van Der Sluis, 1998. "Computationally attractive stability tests for the efficient method of moments," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C203-C227.
  6. Pieter J. van der Sluis, 1997. "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, Berkeley Electronic Press, vol. 2(3), pages al1.

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2008-12-14
  2. NEP-CFN: Corporate Finance (2) 2003-12-07 2004-09-05
  3. NEP-ETS: Econometric Time Series (2) 1999-07-12 1999-12-01
  4. NEP-FIN: Finance (5) 1999-07-12 1999-12-01 2004-09-05 2006-02-05 2006-04-22 Author is listed
  5. NEP-FMK: Financial Markets (3) 2004-09-05 2006-02-05 2006-04-22 Author is listed
  6. NEP-FOR: Forecasting (2) 2006-02-05 2006-04-22
  7. NEP-MAC: Macroeconomics (1) 2008-12-14
  8. NEP-POL: Positive Political Economics (1) 2008-12-14

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