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


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

Universiteit van Tilburg

17

H index

24

i10 index

1035

Citations

RESEARCH PRODUCTION:

22

Articles

30

Papers

2

Books

RESEARCH ACTIVITY:

   22 years (1991 - 2013). See details.
   Cites by year: 47
   Journals where Frank C. J. M. de Jong has often published
   Relations with other researchers
   Recent citing documents: 54.    Total self citations: 6 (0.58 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pde849
   Updated: 2021-03-27    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 (28)

Theissen, Erik (10)

Dufour, Alfonso (9)

van der Wel, Michel (8)

Dunne, Peter (8)

Degryse, Hans (8)

Rime, Dagfinn (7)

Donadelli, Michael (7)

Caporale, Guglielmo Maria (7)

Beck, Thorsten (6)

Chernov, Mikhail (6)

Cites to:

Madhavan, Ananth (9)

Bollerslev, Tim (7)

Bekaert, Geert (7)

Foucault, Thierry (7)

Fratzscher, Marcel (6)

Biais, Bruno (6)

Ehrmann, Michael (6)

Lo, Andrew (6)

Diebold, Francis (6)

Andersen, Torben (6)

Mehl, Arnaud (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 Financial Perspectives2
Journal of Empirical Finance2
Journal of Financial and Quantitative Analysis2
Journal of Banking & Finance2

Recent works citing Frank C. J. M. de Jong (2021 and 2020)


YearTitle of citing document
2020Multi-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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2020Examining Lead-Lag Relationships In-Depth, With Focus On FX Market As Covid-19 Crises Unfolds. (2020). Chatterjee, Niladri ; Gupta, Kartikay. In: Papers. RePEc:arx:papers:2004.10560.

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2020The Gauss2++ Model -- A Comparison of Different Measure Change Specifications for a Consistent Risk Neutral and Real World Calibration. (2020). Pfeiffer, Julian ; Berninger, Christoph. In: Papers. RePEc:arx:papers:2006.08004.

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2020A micro-to-macro approach to returns, volumes and waiting times. (2020). Petroni, Filippo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:2007.06262.

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2021EMU deepening and sovereign debt spreads: using political space to achieve policy space. (2021). Pérez, Javier ; Kataryniuk, Iván ; Perez, Javier J ; Mora-Bajen, Victor. In: Working Papers. RePEc:bde:wpaper:2103.

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2020The role of the national institutional environment in IFRS convergence: a new approach. (2020). Patel, Chris ; Cao, June. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3367-3406.

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2020Cross-Border Portfolio Flows and News Media Coverage. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Ali, Faek Menla . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8112.

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2020Should developed economies manage international capital flows?. (2020). de Veirman, Emmanuel ; Goy, Gavin ; Bonam, Dennis. In: DNB Working Papers. RePEc:dnb:dnbwpp:702.

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2020Risk and return in international corporate bond markets. (2020). Bekaert, Geert ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20202452.

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2020State ownership and stock liquidity: Evidence from privatization. (2020). El Ghoul, Sadok ; Nash, Robert ; Guedhami, Omrane ; Chen, Ruiyuan ; Boubakri, Narjess. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302078.

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2020CDS Returns. (2020). Xu, Haohua ; Saleh, Fahad ; Augustin, Patrick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:118:y:2020:i:c:s0165188920301457.

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2020Impact of the Asset Purchase Programme on euro area government bond yields using market news. (2020). de Santis, Roberto A. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:192-209.

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2020Country and industry factors in tests of Capital Asset Pricing Models for partially integrated emerging markets. (2020). Green, Christopher J ; Bai, YE. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:180-194.

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2020Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries. (2020). Broto, Carmen ; Lamas, Matias. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:217-229.

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2020Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads. (2020). Tsuruta, Masaru. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818306818.

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2020News sentiment, credit spreads, and information asymmetry. (2020). Wang, Xinjie ; Liu, Zhechen ; Yang, Shanxiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300760.

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2020Japan’s impactful augmentation of quantitative easing sovereign-bond purchases. (2020). Inaba, Kei-Ichiro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301492.

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2020Multiscale clustering of nonparametric regression curves. (2020). Linton, Oliver ; Vogt, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:305-325.

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2020Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective. (2020). Yu, Fan ; Ye, Xiaoxia ; Li, Haitao. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1153-1167.

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2020Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions. (2020). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:96-120.

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2020Retail investor attention and herding behavior. (2020). Wang, Ming-Chun ; Chan, Chia-Ying ; Hsieh, Shu-Fan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:109-132.

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2021Liquidity provider incentives in fragmented securities markets. (2021). Panz, Sven ; Lausen, Jens ; Gomber, Peter ; Clapham, Benjamin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:16-38.

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2020Liquidity commonality and high frequency trading: Evidence from the French stock market. (2020). Fontaine, Patrice ; Anagnostidis, Panagiotis. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521919305320.

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2020The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. (2020). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302040.

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2020What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?. (2020). Oxley, Les ; Hu, Yang ; Hou, Yang Greg. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302131.

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2020The cross-section of industry equity returns and global tactical asset allocation across regions and industries. (2020). Bengitoz, Pelin ; Umutlu, Mehmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302180.

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2020An alternative approach to predicting bank credit risk in Europe with Google data. (2020). Gonzalez-Velasco, Carmen ; Gonzalez-Fernandez, Marcos. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319305318.

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2021Solvency and wholesale funding cost interactions at UK banks. (2021). Hacioglu Hoke, Sinem ; Panagiotopoulos, Apostolos ; Dent, Kieran. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920300991.

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2021Leveling of the playing field and corporate financing patterns around the world. (2021). Knill, April ; Ang, James ; Lee, Bong Soo. In: Global Finance Journal. RePEc:eee:glofin:v:47:y:2021:i:c:s1044028319302832.

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2020Liquidity risk and expected option returns. (2020). Choy, Siu Kai ; Wei, Jason. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302742.

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2020The surface of implied firm’s asset volatility. (2020). Silaghi, Florina ; Lovreta, Lidija. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302789.

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2020Trading out of sight: An analysis of cross-trading in mutual fund families. (2020). Eisele, Alexander ; Peijnenburg, Kim ; Parise, Gianpaolo ; Nefedova, Tamara. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:359-378.

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2021Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang. (2021). Zhong, Zhaodong ; Yan, Hongjun ; Wu, Yangru ; Wang, Xinjie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:545-560.

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2020Selecting stock pairs for pairs trading while incorporating lead–lag relationship. (2020). Chatterjee, Niladri ; Gupta, Kartikay. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:551:y:2020:i:c:s0378437119322666.

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2020Privatization and state ownership of natural advantage industries. (2020). Dos, Igor Oliveira ; Durnev, Art ; Cosset, Jean-Claude. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:68-83.

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2020Economic engagement and within emerging markets integration. (2020). Aaawaar, Godfred ; Akotey, Joseph Oscar ; Boamah, Nicholas Addai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301047.

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2020Uncovering the global network of economic policy uncertainty. (2020). Zhao, Wan-Li ; Marfatia, Hardik ; Ji, Qiang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919311845.

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2020Do aggressive orders affect liquidity? An evidence from an emerging market. (2020). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920303780.

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2020Non-Value-Added Tax to Improve Market Fairness. (2020). Jonath, Arthur ; Veryzhenko, Iryna ; Harb, Etienne. In: Working Papers. RePEc:hal:wpaper:hal-02881064.

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2020Price Improvement and Execution Risk in Lit and Dark Markets. (2020). Brolley, Michael. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:2:p:863-886.

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2020On the Performance of US Fiscal Forecasts: Government vs. Private Information. (2020). Jalles, Joao ; An, Zidong. In: Working Papers REM. RePEc:ise:remwps:wp01302020.

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2020News announcements and price discovery in the RMB–USD market. (2020). Chen, Yu-Lun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:4:d:10.1007_s11156-019-00832-5.

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2020Bilateral Integration Measures and Risk Attitudes in Large Stock Markets. (2020). Hayaki, Shoka. In: Discussion Paper Series. RePEc:kob:dpaper:dp2020-32.

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2020Market Fragmentation. (2020). Duffie, Darrell ; Chen, Daniel. In: NBER Working Papers. RePEc:nbr:nberwo:26828.

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2020.

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2020On the singular control of exchange rates. (2020). Vargiolu, Tiziano ; Ferrari, Giorgio. In: Annals of Operations Research. RePEc:spr:annopr:v:292:y:2020:i:2:d:10.1007_s10479-019-03441-6.

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2020Greek sovereign crisis and European exchange rates: effects of news releases and their providers. (2020). Garefalakis, Alexandros ; Floros, Christos ; Vortelinos, Dimitrios ; Gkillas, Konstantinos ; Sariannidis, Nikolaos. In: Annals of Operations Research. RePEc:spr:annopr:v:294:y:2020:i:1:d:10.1007_s10479-019-03199-x.

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2020Market fragmentation and post-earnings announcement drift. (2020). Cox, Justin. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:44:y:2020:i:3:d:10.1007_s12197-020-09506-8.

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2020A simulation analysis of systemic counterparty risk in over-the-counter derivatives markets. (2020). Kurosaki, Tetsuo ; Sakurai, Yuji . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00260-7.

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2020Non-Normal Identification for Price Discovery in High-Frequency Financial Markets. (2020). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2020/28.

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2021Resilience in “Flash Events” in the Corn and Lean Hog Futures Markets. (2021). Serra, Teresa ; He, Xinyue ; Garcia, Philip. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:103:y:2021:i:2:p:743-764.

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2020Whatever it takes!: How tonality of TV-news affects government bond yield spreads during crises. (2020). Thomas, Tobias ; Feld, Lars ; Kohler, Ekkehard A ; Hirsch, Patrick. In: Freiburg Discussion Papers on Constitutional Economics. RePEc:zbw:aluord:2009.

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2020Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. (2020). Schnaubelt, Matthias. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:052020.

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2020A tale of one exchange and two order books: Effects of fragmentation in the absence of competition. (2018). Bernales, Alejandro ; Westheide, Christian ; Valenzuela, Marcela ; Sagade, Satchit ; Garrido, Nicolas. In: SAFE Working Paper Series. RePEc:zbw:safewp:234.

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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.
[Citation analysis]
article64
1999Time-series and Cross-section Information in Affine Term Structure Models.(1999) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 64
paper
2011Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market In: Journal of Finance.
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article132
2001A Jump‐diffusion Model for Exchange Rates in a Target Zone In: Statistica Neerlandica.
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article21
2009An Empirical Analysis of Legal Insider Trading in the Netherlands In: CESifo Working Paper Series.
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paper12
2009An Empirical Analysis of Legal Insider Trading in the Netherlands.(2009) In: Discussion Paper.
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This paper has another version. Agregated cites: 12
paper
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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paper99
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: 99
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: 99
paper
2003Price Discovery in Fragmented Markets In: CEPR Discussion Papers.
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paper16
2010Price Discovery in Fragmented Markets.(2010) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 16
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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paper40
2007Privatization and stock market liquidity.(2007) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 40
article
2004Privatization and Stock Market Liquidity.(2004) In: SIFR Research Report Series.
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This paper has another version. Agregated cites: 40
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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paper78
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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paper9
2009The Microstructure of Financial Markets In: Cambridge Books.
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book47
2009The Microstructure of Financial Markets.(2009) In: Cambridge Books.
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This paper has another version. Agregated cites: 47
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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article37
2008Pseudo Market Timing: A Reappraisal In: Journal of Financial and Quantitative Analysis.
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article2
2008Valuation of pension liabilities in incomplete markets In: Journal of Pension Economics and Finance.
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article17
2005Valuation of pension liabilities in incomplete markets.(2005) In: DNB Working Papers.
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This paper has another version. Agregated cites: 17
paper
2005The demand for higher education in The Netherlands, 1950-1999 In: Economics of Education Review.
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article16
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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1996Price effects of trading and components of the bid-ask spread on the Paris Bourse In: Journal of Empirical Finance.
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article26
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: 26
paper
1997High frequency analysis of lead-lag relationships between financial markets In: Journal of Empirical Finance.
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article38
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: 38
paper
2002Measures of contributions to price discovery: a comparison In: Journal of Financial Markets.
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article71
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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article20
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.
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article84
2005(UBS Pensions Series 036) Dynamic portfolio and mortgage choice for homeowners In: FMG Discussion Papers.
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paper0
1999Price Discovery on Foreign Exchange Markets with Differentially Informed Traders. In: Southern California - School of Business Administration.
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paper3
1991Seigiorage, Taxes, Government Debt and EMS. In: Tilburg - Center for Economic Research.
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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.
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paper27
1994A Univariate Analysis of EMS Exchange Rates Using a Target Zone Model..(1994) In: Journal of Applied Econometrics.
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article
1993Specification, Solution and Estimation of a Discrete Time Target Zone Model of EMS Exchange Rates. In: Tilburg - Center for Economic Research.
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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.
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article0
2013Do firm characteristics influence mutual fund performance? An empirical study for European mutual funds.(2013) In: Journal of Financial Perspectives.
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This paper has another version. Agregated cites: 0
article
2000Libor and Swap Market Models for the Pricing of Interest Rate Derivatives : An Empirical Analysis In: Discussion Paper.
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paper8
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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paper52
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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