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Frank C. J. M. de Jong

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This is information that was supplied by Frank de Jong in registering through RePEc. If you are Frank C. J. M. de Jong , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Frank
Middle Name: C. J. M.
Last Name: de Jong
Suffix:

RePEc Short-ID: pde849

Email: [This author has chosen not to make the email address public]
Homepage: http://www.tilburguniversity.edu/webwijs/show/?uid=f.dejong
Postal Address:
Phone:

Affiliation

Finance Department
School of Economics and Management
Universiteit van Tilburg
Location: Tilburg, Netherlands
Homepage: http://www.tilburguniversity.nl/faculties/feb/organisation/dept/fin/
Email:
Phone: +31 13 466 3041
Fax: +31 13 466 2875
Postal: PO Box 90153, 5000 LE Tilburg
Handle: RePEc:edi:fdkubnl (more details at EDIRC)

Works

as in new window

Working papers

  1. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2012. "Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets," CEPR Discussion Papers 9043, C.E.P.R. Discussion Papers.
  2. de Jong, Frank & Degryse, Hans & van Kervel, Vincent, 2011. "The impact of dark trading and visible fragmentation on market quality," CEPR Discussion Papers 8630, C.E.P.R. Discussion Papers.
  3. Hans Degryse & Frank de Jong & Jérémie Lefebvre, 2009. "An Empirical Analysis of Legal Insider Trading in the Netherlands," CESifo Working Paper Series 2687, CESifo Group Munich.
  4. Otto van Hemert & Joost Driessen & Frank de Jong, 2005. "(UBS Pensions Series 036) Dynamic portfolio and mortgage choice for homeowners," FMG Discussion Papers dp538, Financial Markets Group.
  5. Frank de Jong, 2005. "Valuation of pension liabilities in incomplete markets," DNB Working Papers 067, Netherlands Central Bank, Research Department.
  6. Dahlquist, Magnus & de Jong, Frank, 2004. "Pseudo Market Timing: Fact or Fiction?," CEPR Discussion Papers 4609, C.E.P.R. Discussion Papers.
  7. Cheung, Yiu Chung & de Jong, Frank & Rindi, Barbara, 2004. "Trading European Sovereign Bonds: The Microstructure of the MTS Trading Platforms," CEPR Discussion Papers 4285, C.E.P.R. Discussion Papers.
  8. Bortolotti, Bernardo & de Jong, Frank & Nicodano, Giovanna & Schindele, Ibolya, 2004. "Privatization and Stock Market Liquidity," CEPR Discussion Papers 4449, C.E.P.R. Discussion Papers.
  9. Menkveld, Albert J. & Cheung, Yiu Chung & de Jong, Frank, 2004. "Euro area sovereign yield dynamics: the role of order imbalance," Working Paper Series 0385, European Central Bank.
  10. de Jong, Frank & Schotman, Peter C, 2003. "Price Discovery in Fragmented Markets," CEPR Discussion Papers 3987, C.E.P.R. Discussion Papers.
  11. Erik Canton & Frank de Jong, 2002. "The demand for higher education in the Netherlands 1950-'99," CPB Discussion Paper 12, CPB Netherlands Bureau for Economic Policy Analysis.
  12. Frank de Jong & Jacco Wielhouwer, 2001. "The Valuation and Hedging of Variable Rate Savings Account," Tinbergen Institute Discussion Papers 01-112/2, Tinbergen Institute.
  13. de Jong, Frank & de Roon, Frans, 2001. "Time-Varying Market Integration and Expected Returns in Emerging Markets," CEPR Discussion Papers 3102, C.E.P.R. Discussion Papers.
  14. Frank de Jong, 2001. "Measures of Contributions to Price Discovery: A Comparison," Tinbergen Institute Discussion Papers 01-114/2, Tinbergen Institute.
  15. Frank de Jong & Ronald Mahieu & Peter Schotman & Irma van Leeuwen, 1999. "Price Discovery on Foreign Exchange Markets with Differentially Informed Traders," Tinbergen Institute Discussion Papers 99-032/2, Tinbergen Institute.
  16. de Jong, Frank, 1999. "Time-series and Cross-section Information in Affine Term Structure Models," CEPR Discussion Papers 2065, C.E.P.R. Discussion Papers.
  17. de Jong, Frank & Mahieu, Ronald J & Schotman, Peter C, 1999. "Price Discovery on Foreign Exchange Markets," CEPR Discussion Papers 2296, C.E.P.R. Discussion Papers.
  18. De Jong, F. & Nijman, T. & Roell, A., 1993. "A Comparison of Cost of Trading French Shares on the Paris Bourse and on SEAQ International," Papers 9329, Tilburg - Center for Economic Research.
  19. de Jong, F., 1993. "Specification, Solution and Estimation of a Discrete Time Target Zone Model of EMS Exchange Rates," Papers 9381, Tilburg - Center for Economic Research.
  20. De Jong , F., 1991. "A Univariate Analysis of EMS Exchange Rates Using a Target Zone Model," Papers 9155, Tilburg - Center for Economic Research.
  21. De Jong, F. & Van Der Ploeg, F., 1991. "Seigiorage, Taxes, Government Debt and EMS," Papers 9134, Tilburg - Center for Economic Research.

Articles

  1. Beetsma, Roel & Giuliodori, Massimo & de Jong, Frank & Widijanto, Daniel, 2013. "Spread the news: The impact of news on the European sovereign bond markets during the crisis," Journal of International Money and Finance, Elsevier, vol. 34(C), pages 83-101.
  2. de Jong, Frank & Wingens, Loes, 2013. "Do Firm Characteristics Influence Mutual Fund Performance? An Empirical Study for European Mutual Funds," Journal of Financial Perspectives, EY Global FS Institute, vol. 1(1), pages 159-168.
  3. Dion Bongaerts & Frank De Jong & Joost Driessen, 2011. "Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, vol. 66(1), pages 203-240, 02.
  4. Frank De Jong & Peter C. Schotman, 2010. "Price Discovery in Fragmented Markets," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(1), pages 1-28, Winter.
  5. Dahlquist, Magnus & de Jong, Frank, 2008. "Pseudo Market Timing: A Reappraisal," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(03), pages 547-579, September.
  6. De Jong, Frank, 2008. "Valuation of pension liabilities in incomplete markets," Journal of Pension Economics and Finance, Cambridge University Press, vol. 7(03), pages 277-294, November.
  7. de Jong, Frank, 2008. "Pension fund investments and the valuation of liabilities under conditional indexation," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 1-13, February.
  8. Bortolotti, Bernardo & de Jong, Frank & Nicodano, Giovanna & Schindele, Ibolya, 2007. "Privatization and stock market liquidity," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 297-316, February.
  9. de Jong, Frank & de Roon, Frans A., 2005. "Time-varying market integration and expected returns in emerging markets," Journal of Financial Economics, Elsevier, vol. 78(3), pages 583-613, December.
  10. Canton, Erik & de Jong, Frank, 2005. "The demand for higher education in The Netherlands, 1950-1999," Economics of Education Review, Elsevier, vol. 24(6), pages 651-663, December.
  11. Frank de Jong & Joost Driessen & Antoon Pelsser, 2004. "On the Information in the Interest Rate Term Structure and Option Prices," Review of Derivatives Research, Springer, vol. 7(2), pages 99-127, 08.
  12. de Jong, Frank, 2002. "Measures of contributions to price discovery: a comparison," Journal of Financial Markets, Elsevier, vol. 5(3), pages 323-327, July.
  13. F. De Jong, 2001. "A Jump-diffusion Model for Exchange Rates in a Target Zone," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 55(3), pages 270-300.
  14. de Jong, Frank, 2000. "Time Series and Cross-Section Information in Affine Term-Structure Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 300-314, July.
  15. de Jong, Frank & Santa-Clara, Pedro, 1999. "The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 131-157, March.
  16. De Jong, Frank & Mahieu, Ronald & Schotman, Peter, 1998. "Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate1, 2," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 5-27, February.
  17. de Jong, Frank & Nijman, Theo, 1997. "High frequency analysis of lead-lag relationships between financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 259-277, June.
  18. de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1996. "Price effects of trading and components of the bid-ask spread on the Paris Bourse," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 193-213, June.
  19. de Jong, Frank & Nijman, Theo & Roell, Ailsa, 1995. "A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International," European Economic Review, Elsevier, vol. 39(7), pages 1277-1301, August.
  20. de Jong, F, 1994. "A Univariate Analysis of EMS Exchange Rates Using a Target Zone Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(1), pages 31-45, Jan.-Marc.
  21. de Jong, Frank & Kemna, Angelien & Kloek, Teun, 1992. "A contribution to event study methodology with an application to the Dutch stock market," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 11-36, February.

Books

  1. de Jong,Frank & Rindi,Barbara, 2009. "The Microstructure of Financial Markets," Cambridge Books, Cambridge University Press, number 9780521687270, October.

NEP Fields

15 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-COM: Industrial Competition (1) 2003-10-05
  2. NEP-EEC: European Economics (3) 2005-10-04 2005-10-04 2012-07-23
  3. NEP-FIN: Finance (6) 2004-06-27 2004-06-27 2005-02-13 2005-05-23 2005-10-04 2006-02-05. Author is listed
  4. NEP-FMK: Financial Markets (5) 2002-02-10 2005-10-04 2005-10-04 2006-02-05 2012-07-23. Author is listed
  5. NEP-HIS: Business, Economic & Financial History (1) 2004-06-27
  6. NEP-IFN: International Finance (1) 1999-12-21
  7. NEP-LAB: Labour Economics (1) 2002-09-21
  8. NEP-MAC: Macroeconomics (1) 2012-07-23
  9. NEP-MFD: Microfinance (1) 2004-06-27
  10. NEP-MIC: Microeconomics (1) 2002-02-10
  11. NEP-MST: Market Microstructure (1) 2011-11-07
  12. NEP-RMG: Risk Management (1) 2003-10-05
  13. NEP-UPT: Utility Models & Prospect Theory (1) 2006-02-05
  14. NEP-URE: Urban & Real Estate Economics (1) 2005-05-23

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