Pieter Jelle van der Sluis

affiliation not provided to SSRN

SCHOLARLY PAPERS

8

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6

CROSSREF CITATIONS

28

Scholarly Papers (8)

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1.

A Reality Check on Hedge Funds Returns

Number of pages: 38 Posted: 07 Oct 2003
Nolke Posthuma and Pieter Jelle van der Sluis
ABP Investments - Research Department and affiliation not provided to SSRN
Downloads 3,599 (4,312)
Citation 26

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Backfill bias, Hedge funds, Performance Persistence, Self-selection bias

2.

Return-Based Style Analysis with Time-Varying Exposures

Downloads 1,672 ( 15,041)
Citation 11

Return-Based Style Analysis with Time-Varying Exposures

Number of pages: 42 Posted: 28 Nov 2001
Laurens Swinkels and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR) and affiliation not provided to SSRN
Downloads 1,672 (14,785)
Citation 11

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Dynamic models, Kalman filter, Mutual funds, Style analysis

Return-Based Style Analysis with Time-Varying Exposures

European Journal of Finance, Vol. 12, Issues 6-7, pp. 529-552, 2006
Posted: 02 Nov 2008
Laurens Swinkels and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR) and affiliation not provided to SSRN

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Dynamic models, Kalman filter, Mutual funds, Style analysis

3.

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Downloads 1,245 ( 23,463)
Citation 2

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

COMPUTATIONAL FINANCE, Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, Andreas S. Weigend, eds., Cambridge, MA: MIT Press, 1999
Number of pages: 41 Posted: 29 Dec 2000 Last Revised: 27 Feb 2013
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and affiliation not provided to SSRN
Downloads 894 (37,180)
Citation 2

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stochastic volatility, efficient method of moments (EMM), reprojection, option pricing

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Number of pages: 38 Posted: 03 Apr 2001
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and affiliation not provided to SSRN
Downloads 351 (119,992)
Citation 1

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Swaps, default risk

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Posted: 03 Apr 2001
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and affiliation not provided to SSRN

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Swaps, default risk

4.

Market Timing: A Decomposition of Mutual Fund Returns

Number of pages: 43 Posted: 06 Nov 2003
Laurens Swinkels, Marno Verbeek and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR), Erasmus University - Rotterdam School of Management and affiliation not provided to SSRN
Downloads 1,037 (30,566)

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market timing, mutual funds, performance evaluation, pensioenfondsen

5.

The Implementation Shortfall of Institutional Equity Trades

Number of pages: 38 Posted: 26 Jul 2004
Jacob Antoon Bikker, Laura Spierdijk and Pieter Jelle van der Sluis
De Nederlandsche Bank, University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section and affiliation not provided to SSRN
Downloads 1,000 (32,173)
Citation 2

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implementation shortfall, institutional equity trading,

6.

Washington Meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle

Journal of International Money and Finance, Vol. 43, 2014
Number of pages: 31 Posted: 27 Oct 2008 Last Revised: 14 Apr 2014
Roman Kräussl, Andre Lucas, David R. Rijsbergen, Pieter Jelle van der Sluis and Evert B. Vrugt
Universite du Luxembourg - Department of Finance, Vrije Universiteit Amsterdam - School of Business and Economics, De Nederlandsche Bank, affiliation not provided to SSRN and VU University Amsterdam, PGO-IM
Downloads 330 (129,107)
Citation 3

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political economy, inefficient markets, market anomalies, calendar effects

7.

Option Pricing with the Efficient Method of Moments

Computational Finance, Edited by Yaser S. Abu-Mostafa, Blake LeBaron, Andrew W. Lo, and Andreas S. Weigend, 1999, Cambridge, MA: MIT Press
Number of pages: 41 Posted: 02 Oct 2012
George J. Jiang and Pieter Jelle van der Sluis
Washington State University and affiliation not provided to SSRN
Downloads 98 (367,423)

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Stochastic Volatility, Efficient Method of Moments (EMM), Reprojection, Option Pricing

8.

Computationally Attractive Stability Tests for the Efficient Method of Moments

Posted: 07 Apr 1999
Pieter Jelle van der Sluis
affiliation not provided to SSRN

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