Thijs van der Heijden

University of Melbourne - Department of Finance

Post-doctoral Research Fellow

198 Berkeley Street

Carlton VIC 3010

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 25,048

SSRN RANKINGS

Top 25,048

in Total Papers Downloads

2,061

SSRN CITATIONS

3

CROSSREF CITATIONS

7

Scholarly Papers (6)

1.

Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market

Forthcoming in Management Science
Number of pages: 61 Posted: 24 Nov 2015 Last Revised: 05 Jun 2019
University of New South Wales (UNSW), University of Melbourne, National University of Singapore (NUS) - Department of Finance, University of Melbourne - Department of Finance and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics
Downloads 1,416 (14,087)
Citation 1

Abstract:

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Price Pressure, Put-Call Parity, Return Predictability, Informed Trading

2.

Model-Free Risk-Neutral Moments and Proxies

Number of pages: 64 Posted: 10 Aug 2015 Last Revised: 06 Jul 2016
Zhangxin Frank Liu and Thijs van der Heijden
The University of Western Australia Business School and University of Melbourne - Department of Finance
Downloads 203 (162,518)
Citation 3

Abstract:

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Risk-Neutral Moments, Skewness, Kurtosis, Implied Volatility Smirk, Skew, Curvature, VIX

3.

The Dynamic Mixed Hitting-Time Model for Multiple Transaction Prices and Times

Journal of Econometrics, Forthcoming
Number of pages: 43 Posted: 13 Sep 2012 Last Revised: 05 Mar 2014
Eric Renault, Thijs van der Heijden and Bas J. M. Werker
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Melbourne - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 165 (195,472)
Citation 4

Abstract:

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duration modeling, hitting time, trading intensity, market microstructure

4.

Arbitrage Pricing Theory for Idiosyncratic Variance Factors

Number of pages: 61 Posted: 09 Nov 2017 Last Revised: 23 Sep 2019
Eric Renault, Thijs van der Heijden and Bas J. M. Werker
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Melbourne - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 159 (201,726)
Citation 2

Abstract:

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Common Volatility Factors, Option Prices, Nonlinear Pricing Kernels, Arbitrage Pricing Theory

5.

The Option Value in Timing Derivative Trades

Number of pages: 52 Posted: 08 Mar 2015 Last Revised: 02 May 2015
Feike C. Drost, Thijs van der Heijden and Bas J. M. Werker
Tilburg University - Center for Economic Research (CentER), University of Melbourne - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 100 (286,602)

Abstract:

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derivatives trading, execution timing, optimal stopping, dynamic programming, straddles, dynamic order strategies

6.

A Multi-Factor Model of Idiosyncratic Volatility

31st Australasian Finance and Banking Conference 2018
Number of pages: 59 Posted: 30 Jul 2018 Last Revised: 01 Aug 2019
Thijs van der Heijden, Qi Zeng and Yichao Zhu
University of Melbourne - Department of Finance, University of Melbourne - Department of Finance and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics
Downloads 18 (575,383)
Citation 2

Abstract:

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Idiosyncratic Volatility, Volatility Co-movement, Risk Factors, Leverage, Capital Structure