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Pieter Jelle van der Sluis

Personal Details

First Name:Pieter
Middle Name:Jelle
Last Name:van der Sluis
Suffix:
RePEc Short-ID:pva13
[This author has chosen not to make the email address public]
Terminal Degree:1999 Afdeling Kwantitatieve Economie; Faculteit Economie en Bedrijfskunde; Universiteit van Amsterdam (from RePEc Genealogy)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Kräussl, Roman & Lucas, André & Rijsbergen, David R. & van der Sluis, Pieter Jelle & Vrugt, Evert B., 2010. "Washington meets Wall Street: A closer examination of the presidential cycle puzzle," CFS Working Paper Series 2010/06, Center for Financial Studies (CFS).
  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. 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.
  5. 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.
  6. Swinkels, L.A.P. & van der Sluis, P.J. & Verbeek, M.J.C.M., 2003. "Market timing: A decomposition of mutual fund returns," ERIM Report Series Research in Management 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 University Rotterdam.
  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. Laurens Swinkels, Pieter Jelle VanDerSluis, 2001. "Return-based Style Analysis with Time-varying Exposures," Computing in Economics and Finance 2001 125, Society for Computational Economics.
  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. & van der Sluis, P.J., 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. 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.
  14. 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.
  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, "undated". "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. Kräussl, Roman & Lucas, André & Rijsbergen, David R. & van der Sluis, Pieter Jelle & Vrugt, Evert B., 2014. "Washington meets Wall Street: A closer examination of the presidential cycle puzzle," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 50-69.
  2. Jacob Bikker & Laura Spierdijk & Pieter-Jelle van der Sluis, 2010. "What factors increase the risk of incurring high market impact costs?," Applied Economics, Taylor & Francis Journals, vol. 42(3), pages 369-387.
  3. 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.
  4. 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.
  5. Laurens Swinkels & Pieter Van Der Sluis, 2006. "Return-based style analysis with time-varying exposures," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 529-552.
  6. George J. Jiang & Pieter J. van der Sluis, 1999. "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Review of Finance, European Finance Association, vol. 3(3), pages 273-310.
  7. 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 203-227.
  8. van der Sluis Pieter J., 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, De Gruyter, vol. 2(3), pages 1-20, October.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Kräussl, Roman & Lucas, André & Rijsbergen, David R. & van der Sluis, Pieter Jelle & Vrugt, Evert B., 2010. "Washington meets Wall Street: A closer examination of the presidential cycle puzzle," CFS Working Paper Series 2010/06, Center for Financial Studies (CFS).

    Cited by:

    1. Eric Dubois, 2016. "Political business cycles 40 years after Nordhaus," Public Choice, Springer, vol. 166(1), pages 235-259, January.
    2. Wisniewski, Tomasz Piotr, 2016. "Is there a link between politics and stock returns? A literature survey," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 15-23.
    3. Eric Dubois, 2016. "Political Business Cycles 40 Years after Nordhaus," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01291401, HAL.

  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.

    Cited by:

    1. J.A. Bikker, 2013. "Is there an optimal pension fund size? A scale-economy analysis of administrative and investment costs," Working Papers 13-06, Utrecht School of Economics.
    2. Jacob A. Bikker, 2017. "Is THERE AN OPTIMAL PENSION FUND SIZE? A SCALE-ECONOMY ANALYSIS OF ADMINISTRATIVE COSTS," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(2), pages 739-769, June.

  3. 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.

    Cited by:

    1. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4.

  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.

    Cited by:

    1. Carolina Gómez Restrepo & Diego Jara Pinzón & Andrés Murcia Pabón, 2006. "Impacto De Las Operaciones De Los Fondos De Pensiones Obligatorias En Los Mercados Financieros Colombianos," Borradores de Economia 406, Banco de la Republica de Colombia.
    2. Lo, Kevin & Coggins, Richard, 2006. "Effects of order flow imbalance on short-horizon contrarian strategies in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, vol. 14(3), pages 291-310, June.
    3. Martin Dierker & Jung-Wook Kim & Jason Lee & Randall Morck, 2016. "Investors’ Interacting Demand and Supply Curves for Common Stocks," Review of Finance, European Finance Association, vol. 20(4), pages 1517-1547.
    4. Jan Kakes, 2006. "Financial behaviour of Dutch pension funds: a disaggregated approach," DNB Working Papers 108, Netherlands Central Bank, Research Department.
    5. 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.
    6. I. Koetsier & J.A. Bikker, 2017. "Herding behaviour of Dutch pension funds in sovereign bond investments," Working Papers 17-15, Utrecht School of Economics.
    7. Bana Abuzayed & Nedal Al-Fayoumi & Hisham Gharaibeh, 2012. "Competition in MENA countries banking markets," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 5(3), pages 272-301.
    8. Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2016. "Scale economies in pension fund investments: A dissection of investment costs across asset classes," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 147-171.
    9. Gosse A.G. Alserda & J.A. Bikker & Fieke (S.G.) van der Lecq, 2017. "X-efficiency and economies of scale in pension fund administration and investment," Working Papers 17-06, Utrecht School of Economics.
    10. Andreas Schäfer & Urs von Arx, 2014. "The influence of pension funds on corporate governance," Applied Economics, Taylor & Francis Journals, vol. 46(19), pages 2316-2329, July.
    11. Janusz Brzeszczynski & Martin T. Bohl & Dobromił Serwa, 2012. "Large capital inflows and stock returns in a thin market," NBP Working Papers 120, Narodowy Bank Polski, Economic Research Department.
    12. Shiyu Han & Lan Wu & Yuan Cheng, 2016. "Equity Market Impact Modeling: an Empirical Analysis for Chinese Market," Papers 1610.08767, arXiv.org.
    13. 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.
    14. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012. "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 523-541.
    15. J.A. Bikker, 2013. "Is there an optimal pension fund size? A scale-economy analysis of administrative and investment costs," Working Papers 13-06, Utrecht School of Economics.
    16. Jacob A. Bikker, 2017. "Is THERE AN OPTIMAL PENSION FUND SIZE? A SCALE-ECONOMY ANALYSIS OF ADMINISTRATIVE COSTS," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(2), pages 739-769, June.
    17. Dirk Broeders & Arco van Oord & David Rijsbergen, 2017. "Does it pay to pay performance fees? Empirical evidence from Dutch pension funds," DNB Working Papers 561, Netherlands Central Bank, Research Department.
    18. Wei Cui & Anthony Brabazon & Michael O'Neill, 2011. "Dynamic trade execution: a grammatical evolution approach," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(1/2), pages 4-31.
    19. Kevin Cowan & David Rappoport & Jorge Selaive, 2007. "High Frequency Dynamics of the Exchange Rate in Chile," Working Papers Central Bank of Chile 433, Central Bank of Chile.

  5. 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.

    Cited by:

    1. Rui J. P. de Figueiredo, Jr. & Evan Rawley, 2011. "Skill, Luck, and the Multiproduct Firm: Evidence from Hedge Funds," Management Science, INFORMS, vol. 57(11), pages 1963-1978, November.
    2. Arjen Siegmann & Denitsa Stefanova, 2011. "Market Liquidity and Exposure of Hedge Funds," Tinbergen Institute Discussion Papers 11-150/2/DSF27, Tinbergen Institute.
    3. Tomáš Jeřábek, 2009. "Hedge Funds and Their Performance Between 1994 and 2008," Český finanční a účetní časopis, University of Economics, Prague, vol. 2009(1), pages 51-65.
    4. Willi Semmler & Raphaele Chappe, 2012. "Ponzi Finance And The Hedge Fund Industry," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(supp0), pages 1-25.
    5. Rania Hentati Kaffel & Philippe De Peretti, 2014. "Detecting Performance Persistence of Hedge Funds : A Runs-Based Analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00984777, HAL.
    6. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc.
    7. Morag I. Torrance, 2007. "The Power of Governance in Financial Relationships: Governing Tensions in Exotic Infrastructure Territory," Growth and Change, Wiley Blackwell, vol. 38(4), pages 671-695.
    8. Roger Ibbotson & Peng Chen, 2005. "The A,B,Cs of Hedge Funds: Alphas, Betas, and Costs," Yale School of Management Working Papers amz2597, Yale School of Management, revised 01 Sep 2005.
    9. Agarwal, Vikas & Ruenzi, Stefan & Weigert, Florian, 2017. "Tail risk in hedge funds: A unique view from portfolio holdings," Journal of Financial Economics, Elsevier, vol. 125(3), pages 610-636.
    10. Edelman, Daniel & Fung, William & Hsieh, David A., 2013. "Exploring uncharted territories of the hedge fund Industry: Empirical characteristics of mega hedge fund firms," Journal of Financial Economics, Elsevier, vol. 109(3), pages 734-758.
    11. Benjamin Auer, 2013. "The low return distortion of the Sharpe ratio," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(3), pages 299-306, September.

  6. Laurens Swinkels, Pieter Jelle VanDerSluis, 2001. "Return-based Style Analysis with Time-varying Exposures," Computing in Economics and Finance 2001 125, Society for Computational Economics.

    Cited by:

    1. Kathryn Holmes & Robert Faff, 2008. "Style analysis, customized benchmarks, and managed funds: new evidence," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(4), pages 253-258.
    2. Pizzinga, Adrian & Fernandes, Cristiano, 2006. "State Space Models for Dynamic Style Analysis of Portfolios," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(1), May.
    3. Darolles, Serge & Vaissié, Mathieu, 2012. "The alpha and omega of fund of hedge fund added value," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1067-1078.
    4. Takaya Fukui & Seisho Sato & Akihiko Takahashi, 2016. "Style Analysis with Particle Filtering and Generalized Simulated Annealing," CIRJE F-Series CIRJE-F-1010, CIRJE, Faculty of Economics, University of Tokyo.
    5. Takaya Fukui & Seisho Sato & Akihiko Takahashi, 2017. "Style analysis with particle filtering and generalized simulated annealing," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-29, June.
    6. Takaya Fukui & Seisho Sato & Akihiko Takahashi, 2017. "This paper proposes a new approach to style analysis of mutual funds in a general state space framework with particle filtering and generalized simulated annealing (GSA). Speci cally, we regard the ex," CARF F-Series CARF-F-383, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    7. Martin Bohl & Philipp Kaufmann & Patrick Stephan, 2012. "From Hero to Zero: Evidence of Performance Reversal and Speculative Bubbles in German Renewable Energy Stocks," CQE Working Papers 2412, Center for Quantitative Economics (CQE), University of Muenster.
    8. Laura Andreu & Cristina Ortiz & José Sarto, 2014. "Herding in the strategic allocations of Spanish pension plan managers," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 658-671, October.
    9. Carmine Trecroci, 2010. "Multifactors risk loadings and abnormal returns under uncertainty and learning," Working Papers 1011, University of Brescia, Department of Economics.
    10. Kathryn Holmes & Robert Faff & Iain Clacher, 2010. "Style analysis and dominant index timing: an application to Australian multi-sector managed funds," Applied Financial Economics, Taylor & Francis Journals, vol. 20(4), pages 293-301.
    11. Stephanos Papadamou & Nikolaos A. Kyriazis & Lydia Mermigka, 2017. "Japanese Mutual Funds before and after the Crisis Outburst: A Style- and Performance-Analysis," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 5(1), pages 1-20, March.
    12. Bohl, Martin T. & Kaufmann, Philipp & Stephan, Patrick M., 2013. "From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks," Energy Economics, Elsevier, vol. 37(C), pages 40-51.
    13. Holmes, Kathryn A. & Faff, Robert, 2008. "Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 998-1011, December.
    14. Bodson, Laurent & Cavenaile, Laurent & Sougné, Danielle, 2013. "A global approach to mutual funds market timing ability," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 96-101.
    15. Laurent Bodson & Alain Coën & Georges Hübner, 2010. "Dynamic Hedge Fund Style Analysis With Errors-In-Variables," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(3), pages 201-221.

  7. Jiang, G.J. & van der Sluis, P.J., 2000. "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Discussion Paper 2000-36, Tilburg University, Center for Economic Research.

    Cited by:

    1. Broto, Carmen & Ruiz, Esther, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc.
    3. Juho Kanniainen & Robert Pich'e, 2012. "Stock Price Dynamics and Option Valuations under Volatility Feedback Effect," Papers 1209.4718, arXiv.org.
    4. PREMINGER, Arie & HAFNER, Christian, 2006. "Deciding between GARCH and stochastic volatility via strong decision rules," CORE Discussion Papers 2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Anna Pajor, 2008. "Bayesian Forecasting of the Discounted Payoff of Options on WIG20 Index under Stochastic Volatility and Stochastic Interest Rates," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 147-154.
    6. Anna Pajor, 2009. "A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 1(1), pages 71-81, March.

  8. 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.

    Cited by:

    1. Jiang, G.J. & van der Sluis, P.J., 2000. "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Discussion Paper 2000-36, Tilburg University, Center for Economic Research.

  9. 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.

    Cited by:

    1. Paola Zerilli, 2005. "Option pricing and spikes in volatility: theoretical and empirical analysis," Money Macro and Finance (MMF) Research Group Conference 2005 76, Money Macro and Finance Research Group.
    2. In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July.

  10. 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.

    Cited by:

    1. 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.
    2. 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.
    3. Zu, Yang, 2015. "Nonparametric specification tests for stochastic volatility models based on volatility density," Journal of Econometrics, Elsevier, vol. 187(1), pages 323-344.

  11. 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.

    Cited by:

    1. Eric Ghysels & Alain Guay, 2001. "Testing for Structural Change in the Presence of Auxiliary Models," CIRANO Working Papers 2001s-54, CIRANO.

  12. 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.

    Cited by:

    1. 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.
    2. 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.
    3. 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.

  13. 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.

    Cited by:

    1. 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.
    2. Broto, Carmen & Ruiz, Esther, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Peter N Smith & Michael R Wickens, "undated". "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York.
    4. 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.
    5. 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.

Articles

  1. Kräussl, Roman & Lucas, André & Rijsbergen, David R. & van der Sluis, Pieter Jelle & Vrugt, Evert B., 2014. "Washington meets Wall Street: A closer examination of the presidential cycle puzzle," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 50-69.
    See citations under working paper version above.
  2. Jacob Bikker & Laura Spierdijk & Pieter-Jelle van der Sluis, 2010. "What factors increase the risk of incurring high market impact costs?," Applied Economics, Taylor & Francis Journals, vol. 42(3), pages 369-387.

    Cited by:

    1. J.A. Bikker, 2013. "Is there an optimal pension fund size? A scale-economy analysis of administrative and investment costs," Working Papers 13-06, Utrecht School of Economics.
    2. Jacob A. Bikker, 2017. "Is THERE AN OPTIMAL PENSION FUND SIZE? A SCALE-ECONOMY ANALYSIS OF ADMINISTRATIVE COSTS," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(2), pages 739-769, June.

  3. 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.
    See citations under working paper version above.
  4. 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.
    See citations under working paper version above.
  5. Laurens Swinkels & Pieter Van Der Sluis, 2006. "Return-based style analysis with time-varying exposures," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 529-552.
    See citations under working paper version above.
  6. George J. Jiang & Pieter J. van der Sluis, 1999. "Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates," Review of Finance, European Finance Association, vol. 3(3), pages 273-310.
    See citations under working paper version above.
  7. 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 203-227. See citations under working paper version above.
  8. van der Sluis Pieter J., 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, De Gruyter, vol. 2(3), pages 1-20, October. See citations under working paper version above.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FIN: Finance (4) 1999-07-12 2004-09-05 2006-02-05 2006-04-22
  2. NEP-FMK: Financial Markets (3) 2004-09-05 2006-02-05 2006-04-22
  3. NEP-FOR: Forecasting (2) 2006-02-05 2006-04-22
  4. NEP-MAC: Macroeconomics (2) 2008-12-14 2013-12-15
  5. NEP-CFN: Corporate Finance (1) 2004-09-05
  6. NEP-ETS: Econometric Time Series (1) 1999-07-12
  7. NEP-POL: Positive Political Economics (1) 2013-12-15

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