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Pieter Jelle van der Sluis

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First Name:Pieter
Middle Name:Jelle
Last Name:van der Sluis
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RePEc Short-ID:pva13
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  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. 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.
  7. 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.
  8. 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.
  9. 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.
  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. 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.
  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. 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.
  7. 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.
7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2004-09-05
  2. NEP-ETS: Econometric Time Series (2) 1999-07-12 1999-12-01. Author is listed
  3. NEP-FIN: Finance (5) 1999-07-12 1999-12-01 2004-09-05 2006-02-05 2006-04-22. Author is listed
  4. NEP-FMK: Financial Markets (3) 2004-09-05 2006-02-05 2006-04-22. Author is listed
  5. NEP-FOR: Forecasting (2) 2006-02-05 2006-04-22. Author is listed
  6. NEP-MAC: Macroeconomics (1) 2013-12-15
  7. NEP-POL: Positive Political Economics (1) 2013-12-15

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