Pieter Jelle van der Sluis

affiliation not provided to SSRN

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 6,213

SSRN RANKINGS

Top 6,213

in Total Papers Downloads

8,842

SSRN CITATIONS
Rank 27,290

SSRN RANKINGS

Top 27,290

in Total Papers Citations

6

CROSSREF CITATIONS

28

Scholarly Papers (8)

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 3,582 (3,671)
Citation 26

Abstract:

Loading...

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

2.
Downloads 1,612 ( 13,712)
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 1,612 (13,466)
Citation 11

Abstract:

Loading...

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

Abstract:

Loading...

Dynamic models, Kalman filter, Mutual funds, Style analysis

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 (32,536)
Citation 2

Abstract:

Loading...

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 350 (106,660)
Citation 1

Abstract:

Loading...

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

Abstract:

Loading...

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 1,007 (27,896)

Abstract:

Loading...

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 985 (28,764)
Citation 2

Abstract:

Loading...

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
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 321 (118,171)
Citation 3

Abstract:

Loading...

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 91 (346,790)

Abstract:

Loading...

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

Abstract:

Loading...