5
H index
5
i10 index
137
Citations
Pieter Jelle van der Sluis : Citation Profile
| RESEARCH PRODUCTION: 8 Articles 23 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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17 years (1997 - 2014). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Pieter Jelle van der Sluis. | Is cited by:
| Cites to:
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Main data
Where Pieter Jelle van der Sluis has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of International Money and Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Tinbergen Institute Discussion Papers / Tinbergen Institute | 6 |
| Computing in Economics and Finance 2001 / Society for Computational Economics | 2 |
| Serie Research Memoranda / VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics | 2 |
Recent works citing Pieter Jelle van der Sluis (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | Firm executive political leanings, Washington, and stock market returns. (2024). Alhashel, Bader ; Alnahedh, Saad. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:476-491. Full description at Econpapers || Download paper |
| 2024 | Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Irsova, Zuzana ; Havranek, Tomas ; Novak, Jiri ; Yang, Fan. In: MetaArXiv. RePEc:osf:metaar:ps2yn. Full description at Econpapers || Download paper |
| 2024 | Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan. In: MetaArXiv. RePEc:osf:metaar:ps2yn_v1. Full description at Econpapers || Download paper |
| 2024 | Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Irsova, Zuzana ; Havranek, Tomas ; Novak, Jiri ; Yang, Fan. In: EconStor Preprints. RePEc:zbw:esprep:289497. Full description at Econpapers || Download paper |
Works by Pieter Jelle van der Sluis:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1997 | EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 3 |
| 1998 | EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments.(1998) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2013 | Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle In: LSF Research Working Paper Series. [Full Text][Citation analysis] | paper | 10 |
| 2014 | Washington meets Wall Street: A closer examination of the presidential cycle puzzle.(2014) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2008 | Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2010 | Washington meets Wall Street: A closer examination of the presidential cycle puzzle.(2010) In: CFS Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 1998 | Computationally attractive stability tests for the efficient method of moments In: Econometrics Journal. [Citation analysis] | article | 3 |
| 1997 | Computationally Attractive Stability Tests for the Efficient Method of Moments.(1997) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2007 | Market impact costs of institutional equity trades In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 29 |
| 2003 | Market timing: A decomposition of mutual fund returns In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Market Timing : A Decomposition of Mutual Fund Returns.(2003) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1999 | Pricing stock options under stochastic volatility and interest rates with efficient method of moments estimation In: Research Report. [Full Text][Citation analysis] | paper | 2 |
| 2008 | Forecasting market impact costs and identifying expensive trades In: Journal of Forecasting. [Full Text][Citation analysis] | article | 5 |
| 2013 | Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle In: DEM Discussion Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates In: Review of Finance. [Full Text][Citation analysis] | article | 13 |
| 2000 | Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates.(2000) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2001 | Return-based Style Analysis with Time-varying Exposures In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 25 |
| 2006 | Return-based style analysis with time-varying exposures.(2006) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
| 2001 | Return-Based Style Analysis with Time-Varying Exposures.(2001) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
| 2001 | Volatility Reprojection and Forecasting Performance -- An EMM Approach toward the Multivariate Stochastic Volatility Model In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 0 |
| EmmPack 1.0: C Code for use with Ox for the Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] | paper | 0 | |
| 1999 | Forecasting Volatility under Multivariate Stochastic Volatility Model via Reprojection In: Computing in Economics and Finance 1999. [Citation analysis] | paper | 1 |
| 2010 | What factors increase the risk of incurring high market impact costs? In: Applied Economics. [Full Text][Citation analysis] | article | 4 |
| 1997 | Post-Sample Prediction Tests for the Efficient Method of Moments In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 1998 | Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
| 2003 | Market Timing : A Decomposition of Mutual Fund Returns In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 1 |
| 2000 | Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 5 |
| 2001 | Return-Based Style Analysis with Time-Varying Exposures In: Other publications TiSEM. [Full Text][Citation analysis] | paper | 3 |
| 2003 | A Reality Check on Hedge Funds Returns In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 25 |
| 2004 | The Implementation Shortfall of Institutional Equity Trades In: Serie Research Memoranda. [Full Text][Citation analysis] | paper | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team