Frank C. J. M. de Jong : Citation Profile


Are you Frank C. J. M. de Jong?

Universiteit van Tilburg

17

H index

23

i10 index

938

Citations

RESEARCH PRODUCTION:

22

Articles

31

Papers

2

Books

RESEARCH ACTIVITY:

   22 years (1991 - 2013). See details.
   Cites by year: 42
   Journals where Frank C. J. M. de Jong has often published
   Relations with other researchers
   Recent citing documents: 159.    Total self citations: 6 (0.64 %)

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   Permalink: http://citec.repec.org/pde849
   Updated: 2019-11-16    RAS profile:    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Frank C. J. M. de Jong.

Is cited by:

Beetsma, Roel (22)

Theissen, Erik (10)

Dufour, Alfonso (9)

Rime, Dagfinn (7)

van der Wel, Michel (7)

Donadelli, Michael (7)

Giuliodori, Massimo (6)

Rindi, Barbara (6)

Dunne, Peter (6)

Ehrmann, Michael (6)

LINTON, OLIVER (6)

Cites to:

Madhavan, Ananth (9)

Bekaert, Geert (7)

Bollerslev, Tim (7)

Foucault, Thierry (7)

Wyplosz, Charles (6)

Rose, Andrew (6)

Ehrmann, Michael (6)

Mehl, Arnaud (6)

Biais, Bruno (6)

Diebold, Francis (6)

Lo, Andrew (6)

Main data


Where Frank C. J. M. de Jong has published?


Journals with more than one article published# docs
Journal of International Money and Finance2
Journal of Empirical Finance2
Journal of Financial and Quantitative Analysis2
Journal of Banking & Finance2
Journal of Financial Perspectives2

Recent works citing Frank C. J. M. de Jong (2018 and 2017)


YearTitle of citing document
2017The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: CREATES Research Papers. RePEc:aah:create:2017-12.

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2017Limit-order book resiliency after effective market orders: Spread, depth and intensity. (2017). Xu, Hai-Chuan ; Zhou, Wei-Xing ; Zhang, Wei ; Xiong, Xiong ; Chen, Wei. In: Papers. RePEc:arx:papers:1602.00731.

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2018Wavelet-based methods for high-frequency lead-lag analysis. (2018). Koike, Yuta ; Hayashi, Takaki . In: Papers. RePEc:arx:papers:1612.01232.

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2019Markov cubature rules for polynomial processes. (2019). Pulido, Sergio ; Larsson, Martin ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1707.06849.

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2018Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992.

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2017A new approach to the modeling of financial volumes. (2017). Petroni, Filippo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:1709.05823.

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2017On the Singular Control of Exchange Rates. (2017). Vargiolu, Tiziano ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:1712.02164.

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2017No arbitrage and lead-lag relationships. (2017). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1712.09854.

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2018Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs. (2018). Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:1805.09996.

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2019Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading Constraints. (2019). Pelsser, Antoon ; Kamma, Thijs. In: Papers. RePEc:arx:papers:1906.12317.

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2017Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns. (2017). Sadaba, Barbara ; Ravazzolo, Francesco ; Foroni, Claudia. In: Staff Working Papers. RePEc:bca:bocawp:17-19.

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2018The Impact of Progressive Tuition Fees on Dropping Out of Higher Education: A Regression Discontinuity Design. (2018). Garcia-Montalvo, Jose. In: Working Papers. RePEc:bge:wpaper:1017.

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2018On a Class of Singular Stochastic Control Problems for Reflected Diffusions. (2018). Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:592.

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2018On the Singular Control of Exchange Rates. (2018). Vargiolu, Tiziano ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:594.

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2017Informal one-sided target zone model and the Swiss franc. (2017). Moessner, Richhild ; Funke, Michael ; Chen, Yu-Fu. In: BIS Working Papers. RePEc:bis:biswps:660.

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2019Stock market integration, cost of equity capital, and corporate investment: Evidence from Brazil. (2019). Loncan, Tiago ; Hillier, David. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:1:p:181-206.

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2017COMPETITION BETWEEN EQUITY MARKETS: A REVIEW OF THE CONSOLIDATION VERSUS FRAGMENTATION DEBATE. (2017). Theissen, Erik ; Westheide, Christian ; Weber, Moritz Christian ; Sagade, Satchit ; Gomber, Peter. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:3:p:792-814.

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2017ODD LOT ORDER AGGRESSIVENESS AND STEALTH TRADING. (2017). Johnson, Hardy ; Roseman, Brian. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:2:p:249-281.

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2017A Factor Analytical Approach to Price Discovery. (2017). , Joakimwesterlund ; Narayan, Paresh ; Reese, Simon ; Westerlund, Joakim. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:3:p:366-394.

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2017Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009–15. (2017). Pentecost, Eric ; Willett, Thomas ; Du, Wenti ; Bird, Graham. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:12:p:2530-2542.

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2017Solvency and wholesale funding cost interactions at UK banks. (2017). Hacioglu Hoke, Sinem ; Panagiotopoulos, Apostolos ; Dent, Kieran . In: Bank of England working papers. RePEc:boe:boeewp:0681.

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2018Implications of High-Frequency Trading for Security Markets. (2018). LINTON, OLIVER ; Mahmoodzadeh, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1802.

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2017REGULATION, INSIDER TRADING AND STOCK MARKET REACTION. WHAT DO WE KNOW?. (2017). Milos, Marius Cristian. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2017:v:1special:p:174-179.

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2018Exchange Competition, Entry, and Welfare. (2018). Vives, Xavier ; Cespa, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7432.

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2017Bid-to-cover and yield changes around public debt auctions in the euro area. (2017). Beetsma, Roel ; Hanson, Jesper ; Giuliodori, Massimo ; de Jong, Frank. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11932.

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2017Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families. (2017). Eisele, Alexander ; Peijnenburg, Kim ; Parise, Gianpaolo ; Nefedova, Tamara . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12225.

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2018Safe Haven CDS Premiums. (2018). Lando, David ; Klinger, Sven. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12694.

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2019Unhedgeable Inflation Risk within Pension Schemes. (2019). van Wijnbergen, Sweder ; Beetsma, Roel ; Chen, Damiaan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13742.

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2019A Supply and Demand Approach to Equity Pricing. (2019). Jo, Evan ; Calvet, Laurent ; Betermier, Sebastien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13974.

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2018Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach. (2018). Siklos, Pierre ; Gross, Christian. In: CQE Working Papers. RePEc:cqe:wpaper:7218.

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2017An Empirical Analysis of Market Segmentation on U.S. Equity Markets. (2017). Hatheway, Frank ; Zheng, Hui ; Kwan, Amy. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:52:y:2017:i:06:p:2399-2427_00.

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2018The effect of fiscal announcements on interest spreads: Evidence from the Netherlands. (2018). De Jong, Jasper. In: DNB Working Papers. RePEc:dnb:dnbwpp:584.

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2019Euro area sovereign risk spillovers before and after the ECBs OMT announcement. (2019). Gilbert, Niels. In: DNB Working Papers. RePEc:dnb:dnbwpp:636.

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2017Dark pools in European equity markets: emergence, competition and implications. (2017). Wedow, Michael ; Petrescu, Monica. In: Occasional Paper Series. RePEc:ecb:ecbops:2017193.

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2017Bid-to-cover and yield changes around public debt auctions in the euro area. (2017). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo. In: Working Paper Series. RePEc:ecb:ecbwps:20172056.

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2017Kenya Commercial Banks are Star Performers: Myth or Truth? Exploratory Empirical Evidence from Nairobi Securities Exchange. (2017). Karanja, James Mwangi ; Muinde, Patrick Mumo . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-01-45.

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2019Optimal execution with regime-switching market resilience. (2019). Elliott, Robert J ; Zhu, Song-Ping ; Guo, Ivan ; Siu, Chi Chung. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:17-40.

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2017Sovereign risk, bank funding and investors’ pessimism. (2017). Faia, Ester. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:79-96.

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2017Analyzing the determinants of terrorist attacks and their market reactions. (2017). Managi, Shunsuke ; HALKOS, GEORGE ; Zisiadou, Argyro. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:54:y:2017:i:c:p:57-73.

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2017Do voluntary disclosures of bad news improve liquidity?. (2017). Dayanandan, Ajit ; Karahan, Gokhan ; Donker, Han. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:16-29.

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2018The impact of funding liquidity on market quality. (2018). Chen, Wei-Peng ; Wu, Chih-Chiang ; Lu, Jun ; Lin, Shu Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:153-166.

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2018Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets. (2018). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:168-186.

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2018Liquidity tail risk and credit default swap spreads. (2018). Irresberger, Felix ; Gabrysch, Sandra. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1137-1153.

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2018Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis. (2018). Wu, Eliza ; Thorp, Susan ; Cayon, Edgardo. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:162-174.

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2018S&P 500 inclusions and stock supply. (2018). Schnitzler, Jan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:341-356.

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2018Trading places: Price leadership and the competition for order flow. (2018). Ibikunle, Gbenga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:178-200.

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2018Do ETFs lead the price moves? Evidence from the major US markets. (2018). Buckle, Mike ; Tong, Chen ; Guo, Qian ; Chen, Jing. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:91-103.

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2018The impact of stringent insider trading laws and institutional quality on cost of capital. (2018). Kwabi, Frank O ; Adegbite, Emmanuel ; Boateng, Agyenim. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:127-137.

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2017Limit order books and liquidity around scheduled and non-scheduled announcements: Empirical evidence from NASDAQ Nordic. (2017). Siikanen, Milla ; Valli, Jaakko ; Kanniainen, Juho. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:264-271.

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2018Debt market illiquidity and correlated default risk. (2018). Javadi, Siamak ; Mollagholamali, Mohsen. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:266-273.

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2019Do investors choose trade-size according to liquidity, empirical evidence from the S&P 500 index future market. (2019). Zhang, Rui ; Fu, Zhiming ; Yan, Xin ; Wu, Liang. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:275-280.

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2017Intraday price discovery in fragmented markets. (2017). van der Wel, Michel ; Ozturk, Sait ; van Dijk, Dick. In: Journal of Financial Markets. RePEc:eee:finmar:v:32:y:2017:i:c:p:28-48.

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2017Effects of lit and dark market fragmentation on liquidity. (2017). Gresse, Carole. In: Journal of Financial Markets. RePEc:eee:finmar:v:35:y:2017:i:c:p:1-20.

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2017Price discovery in equity and CDS markets. (2017). Perrakis, Stylianos ; Zhong, Rui ; Kryzanowski, Lawrence. In: Journal of Financial Markets. RePEc:eee:finmar:v:35:y:2017:i:c:p:21-46.

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2017The impact of central clearing on banks’ lending discipline. (2017). Arnold, Maik. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:91-114.

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2017Firm size, ownership structure, and systematic liquidity risk: The case of an emerging market. (2017). Sensoy, Ahmet. In: Journal of Financial Stability. RePEc:eee:finsta:v:31:y:2017:i:c:p:62-80.

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2018The determinants of retail trading activity in emerging markets: A cross-market analysis. (2018). Alderighi, Stefano. In: Global Finance Journal. RePEc:eee:glofin:v:37:y:2018:i:c:p:152-167.

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2018Fifty-shades of grey: Competition between dark and lit pools in stock exchanges. (2018). Oriol, Nathalie ; Torre, Dominique ; Rufini, Alexandra. In: Information Economics and Policy. RePEc:eee:iepoli:v:45:y:2018:i:c:p:68-85.

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2018Sovereign default, exit and contagion in a monetary union. (2018). Kobielarz, Michal ; Eijffinger, Sylvester ; Uras, Burak R. In: Journal of International Economics. RePEc:eee:inecon:v:113:y:2018:i:c:p:1-19.

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2017Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework. (2017). Menoncin, Francesco ; Vigna, Elena. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:172-184.

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2017The equity-like behaviour of sovereign bonds. (2017). Dufour, Alfonso ; Varotto, Simone ; Stancu, Andrei . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:25-46.

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2018What drives corporate CDS spreads? A comparison across US, UK and EU firms. (2018). Pereira, John ; Nurullah, Mohamed ; Sorwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:188-200.

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2019Foreign competition for shares and the pricing of information asymmetry: Evidence from equity market liberalization. (2019). Verrecchia, Robert E ; Vashishtha, Rahul ; Balakrishnan, Karthik . In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:67:y:2019:i:1:p:80-97.

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2017Discrete-time option pricing with stochastic liquidity. (2017). Leippold, Markus ; Scharer, Steven . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:1-16.

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2017Information in CDS spreads. (2017). Norden, Lars. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:118-135.

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2017Which market integration measure?. (2017). Paradiso, Antonio ; Donadelli, Michael ; Billio, Monica ; Riedel, M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:150-174.

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2017Investor sentiment, flight-to-quality, and corporate bond comovement. (2017). Bethke, Sebastian ; Kempf, Alexander ; Gehde-Trapp, Monika. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:112-132.

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2018Bid-to-cover and yield changes around public debt auctions in the euro area. (2018). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:118-134.

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2018Dealing with dealers: Sovereign CDS comovements. (2018). Rodriguez-Moreno, Maria ; Mayordomo, Sergio ; Rodriguezmoreno, Maria ; Anton, Miguel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:90:y:2018:i:c:p:96-112.

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2018The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market. (2018). Lin, Zih-Ying ; Wang, Yaw-Huei ; Chang, Chuang-Chang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:152-165.

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2018Price discovery in euro area sovereign credit markets and the ban on naked CDS. (2018). Hördahl, Peter ; Gyntelberg, Jacob ; Urban, Jorg ; Ters, Kristyna ; Hordahl, Peter. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:106-125.

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2018Round-number biases and informed trading in global markets. (2018). Chen, Tao. In: Journal of Business Research. RePEc:eee:jbrese:v:92:y:2018:i:c:p:105-117.

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2018Cross-border arbitrage and acquirers’ returns in the Eurozone crisis. (2018). rao-nicholson, Rekha ; Ayton, Julie . In: Journal of Economics and Business. RePEc:eee:jebusi:v:95:y:2018:i:c:p:87-102.

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2017Dark pool trading strategies, market quality and welfare. (2017). Buti, Sabrina ; Werner, Ingrid M ; Rindi, Barbara. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:2:p:244-265.

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2017Shades of darkness: A pecking order of trading venues. (2017). Menkveld, Albert ; Zhu, Haoxiang ; Yueshen, Bart Zhou . In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:3:p:503-534.

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2017Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis. (2017). Fratzscher, Marcel ; Ehrmann, Michael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:26-44.

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2017Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme. (2017). Beetsma, Roel ; Widijanto, Daniel ; Giuliodori, Massimo ; de Jong, Frank. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:75:y:2017:i:c:p:14-31.

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2018Assessing the predictive ability of sovereign default risk on exchange rate returns. (2018). Ravazzolo, Francesco ; Foroni, Claudia ; Sadaba, Barbara . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:242-264.

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2018Regulation and pension fund risk-taking. (2018). Boon, L N ; Rigot, S ; Briere, M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:84:y:2018:i:c:p:23-41.

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2019Performance and informed trading. Comparing foreigners, institutions and individuals in an emerging stock market. (2019). Agudelo, Diego ; Yepes-Henao, Paula ; Byder, James. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:187-203.

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2018Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New York. (2018). Watkins, Clinton ; Xu, Tao ; Iwatsubo, Kentaro. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:11:y:2018:i:c:p:59-71.

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2019Political uncertainty and Stock returns: Evidence from the Brazilian Political Crisis. (2019). Loncan, Tiago ; Hillier, David. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:1-12.

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2017Deviations in expected price impact for small transaction volumes under fee restructuring. (2017). Wilcox, D ; Harvey, M ; Hendricks, D ; Gebbie, T. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:416-426.

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2019Bayesian statistical inference for European options with stock liquidity. (2019). Lin, Lisha ; Gao, Rui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:518:y:2019:i:c:p:312-322.

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2019European policy and markets: Did policy initiatives stem the sovereign debt crisis in the euro area?. (2019). Hougaard, Svend E ; Hutchison, Michael M ; Bergman, Michael U. In: European Journal of Political Economy. RePEc:eee:poleco:v:57:y:2019:i:c:p:3-21.

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2017Valuation of systematic risk in the cross-section of credit default swap spreads. (2017). Scheule, Harald ; Claussen, Arndt ; Rosch, Daniel ; Lohr, Sebastian . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:183-195.

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2017The liquidity advantage of the quote-driven market: Evidence from the betting industry. (2017). Franck, Egon ; Flepp, Raphael ; Nuesch, Stephan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:306-317.

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2017Liquidity basis between credit default swaps and corporate bonds markets. (2017). Kim, Kwanho. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:98-115.

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2018Co-movement between equity and bond markets. (2018). Sakemoto, Ryuta. In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:25-38.

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2018Do foreign institutional traders have private information for the market index? The aspect of market microstructure. (2018). Weng, Pei-Shih ; Tsai, Wei-Che. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:308-323.

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2019The impact of large orders in electronic markets. (2019). Murgia, Maurizio ; Bosetti, Luisella ; Gottardo, Pietro ; Pinna, Andrea . In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:174-192.

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2017Volatility transmission between US and Latin American stock markets: Testing the decoupling hypothesis. (2017). Agudelo, Diego ; Gutierrez, Marcela ; Cardona, Laura . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:115-127.

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2018The housing market and the credit default swap premium in the UK banking sector: A VAR approach. (2018). Benbouzid, Nadia ; Pilbeam, Keith ; Mallick, Sushanta. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:1-15.

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2019Estimating the conditional equity risk premium in African frontier markets. (2019). Othieno, Ferdinand ; Biekpe, Nicholas. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:538-551.

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2019Analyzing credit risk transmission to the non-financial sector in Europe: A network approach. (2019). Siklos, Pierre ; Gross, Christian. In: CAMA Working Papers. RePEc:een:camaaa:2019-43.

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2019Have Irish sovereign bonds decoupled from the euro area periphery, and why?. (2019). McQuinn, Kieran ; Dunne, Peter ; Cronin, David. In: Papers. RePEc:esr:wpaper:wp625.

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2017Intraday Seasonality in Efficiency, Liquidity, Volatility, and Volume: Platinum and gold futures in Tokyo and New York. (2017). Watkins, Clinton ; Iwatsubo, Kentaro ; Tao, XU ; Kentaro, Iwatsubo. In: Discussion papers. RePEc:eti:dpaper:17120.

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2017TRADE PATTERN ON WARSAW STOCK EXCHANGE AND PREDICTION OF NUMBER OF TRADES. (2017). Gurgul, Henryk ; Machno, Artur. In: Statistics in Transition New Series. RePEc:exl:29stat:v:18:y:2017:i:1:p:91-114.

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2019Detection of Lead-Lag Relationships Using Both Time Domain and Time-Frequency Domain; An Application to Wealth-To-Income Ratio. (2019). Skoura, Angeliki. In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:2:p:28-:d:219048.

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More than 100 citations found, this list is not complete...

Works by Frank C. J. M. de Jong:


YearTitleTypeCited
2000Time Series and Cross-Section Information in Affine Term-Structure Models. In: Journal of Business & Economic Statistics.
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article62
1999Time-series and Cross-section Information in Affine Term Structure Models.(1999) In: CEPR Discussion Papers.
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paper
2011Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market In: Journal of Finance.
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article105
2001A Jump-diffusion Model for Exchange Rates in a Target Zone In: Statistica Neerlandica.
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article20
2009An Empirical Analysis of Legal Insider Trading in the Netherlands In: CESifo Working Paper Series.
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paper6
2002The demand for higher education in the Netherlands 1950-99 In: CPB Discussion Paper.
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paper5
1999Price Discovery on Foreign Exchange Markets In: CEPR Discussion Papers.
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paper4
2001Time-Varying Market Integration and Expected Returns in Emerging Markets In: CEPR Discussion Papers.
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paper92
2005Time-varying market integration and expected returns in emerging markets.(2005) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 92
article
2001Time Varying Market Integration and Expected Rteurns in Emerging Markets.(2001) In: Discussion Paper.
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This paper has another version. Agregated cites: 92
paper
2003Price Discovery in Fragmented Markets In: CEPR Discussion Papers.
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paper15
2010Price Discovery in Fragmented Markets.(2010) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 15
article
2004Trading European Sovereign Bonds: The Microstructure of the MTS Trading Platforms In: CEPR Discussion Papers.
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paper22
2004Privatization and Stock Market Liquidity In: CEPR Discussion Papers.
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paper36
2007Privatization and stock market liquidity.(2007) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 36
article
2004Privatization and Stock Market Liquidity.(2004) In: SIFR Research Report Series.
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This paper has another version. Agregated cites: 36
paper
2004Pseudo Market Timing: Fact or Fiction? In: CEPR Discussion Papers.
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paper3
2004Pseudo Market Timing: Fact or Fiction?.(2004) In: SIFR Research Report Series.
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This paper has another version. Agregated cites: 3
paper
2011The impact of dark trading and visible fragmentation on market quality In: CEPR Discussion Papers.
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paper70
2012Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets In: CEPR Discussion Papers.
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paper8
2009The Microstructure of Financial Markets In: Cambridge Books.
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book43
2009The Microstructure of Financial Markets.(2009) In: Cambridge Books.
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This paper has another version. Agregated cites: 43
book
1999The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables In: Journal of Financial and Quantitative Analysis.
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article34
2008Pseudo Market Timing: A Reappraisal In: Journal of Financial and Quantitative Analysis.
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article1
2008Valuation of pension liabilities in incomplete markets In: Journal of Pension Economics and Finance.
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article16
2005Valuation of pension liabilities in incomplete markets.(2005) In: DNB Working Papers.
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This paper has another version. Agregated cites: 16
paper
2005The demand for higher education in The Netherlands, 1950-1999 In: Economics of Education Review.
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article14
1995A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International In: European Economic Review.
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article37
1993A Comparison of Cost of Trading French Shares on the Paris Bourse and on SEAQ International..(1993) In: Tilburg - Center for Economic Research.
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This paper has another version. Agregated cites: 37
paper
1993A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International.(1993) In: Discussion Paper.
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This paper has another version. Agregated cites: 37
paper
1996Price effects of trading and components of the bid-ask spread on the Paris Bourse In: Journal of Empirical Finance.
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article25
1994Price effects of trading and components of the bid-ask spread on the Paris Bource.(1994) In: Discussion Paper.
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This paper has another version. Agregated cites: 25
paper
1997High frequency analysis of lead-lag relationships between financial markets In: Journal of Empirical Finance.
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article32
1995High frequency analysis of lead-lag relationships between financial markets.(1995) In: Discussion Paper.
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This paper has another version. Agregated cites: 32
paper
2002Measures of contributions to price discovery: a comparison In: Journal of Financial Markets.
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article63
2008Pension fund investments and the valuation of liabilities under conditional indexation In: Insurance: Mathematics and Economics.
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article13
1992A contribution to event study methodology with an application to the Dutch stock market In: Journal of Banking & Finance.
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article19
1998Price discovery in the foreign exchange market: an empirical analysis of the yen/dmark rate1, 2 In: Journal of International Money and Finance.
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article17
2013Spread the news: The impact of news on the European sovereign bond markets during the crisis In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article67
2005(UBS Pensions Series 036) Dynamic portfolio and mortgage choice for homeowners In: FMG Discussion Papers.
[Full Text][Citation analysis]
paper0
1999Price Discovery on Foreign Exchange Markets with Differentially Informed Traders. In: Southern California - School of Business Administration.
[Citation analysis]
paper2
1991Seigiorage, Taxes, Government Debt and EMS. In: Tilburg - Center for Economic Research.
[Citation analysis]
paper0
1991Seigniorage, taxes, government debt and the EMS.(1991) In: Discussion Paper.
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This paper has another version. Agregated cites: 0
paper
1991A Univariate Analysis of EMS Exchange Rates Using a Target Zone Model. In: Tilburg - Center for Economic Research.
[Citation analysis]
paper26
1994A Univariate Analysis of EMS Exchange Rates Using a Target Zone Model..(1994) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 26
article
1993Specification, Solution and Estimation of a Discrete Time Target Zone Model of EMS Exchange Rates. In: Tilburg - Center for Economic Research.
[Citation analysis]
paper0
2004On the Information in the Interest Rate Term Structure and Option Prices In: Review of Derivatives Research.
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article14
2013Do Firm Characteristics Influence Mutual Fund Performance? An Empirical Study for European Mutual Funds In: Journal of Financial Perspectives.
[Citation analysis]
article0
2013Do firm characteristics influence mutual fund performance? An empirical study for European mutual funds.(2013) In: Journal of Financial Perspectives.
[Citation analysis]
This paper has another version. Agregated cites: 0
article
2009An Empirical Analysis of Legal Insider Trading in the Netherlands In: Discussion Paper.
[Full Text][Citation analysis]
paper8
2000Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis In: Discussion Paper.
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paper9
1996Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market In: Discussion Paper.
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paper0
2002Aggressive Orders and the Resiliency of a Limit Order Market In: Discussion Paper.
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paper44
1997Exchange rate target zones : A new approach In: Discussion Paper.
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paper2
2011The Impact of Dark and Visible Fragmentation on Market Quality (Replaces CentER Discussion Paper 2011-051) In: Discussion Paper.
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paper4

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