Access Statistics for Pieter Jelle van der Sluis

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Reality Check on Hedge Funds Returns 0 2 12 74 4 9 46 227
Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs 0 0 17 96 2 12 66 337
Computationally Attractive Stability Tests for the Efficient Method of Moments 0 0 2 101 7 12 48 589
EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments 5 15 41 555 18 42 137 1,782
EmmPack 1.0: C Code for use with Ox for the Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments 0 1 6 75 1 3 15 164
Forecasting Market Impact Costs and Identifying Expensive Trades 4 11 49 192 17 36 133 461
Forecasting Volatility under Multivariate Stochastic Volatility Model via Reprojection 0 0 0 353 8 23 120 1,777
Index option pricing models with stochastic volatility and stochastic interest rates 4 11 63 1,020 15 49 212 3,061
Market Impact Costs of Institutional Equity Trades 1 3 18 59 3 7 44 134
Market Impact Costs of Institutional Equity Trades 17 50 191 978 72 160 552 2,489
Market timing: A decomposition of mutual fund returns 0 2 6 132 1 4 26 490
Market timing: a decomposition of mutual fund returns 2 6 19 222 4 10 39 621
Post-Sample Prediction Tests for the Efficient Method of Moments 1 2 4 112 8 16 56 887
Pricing Stock Options under Stochastic Volatility and Stochastic Interest Rates with Efficient Method of Moments Estimation 5 13 47 581 20 47 149 2,612
Pricing stock options under stochastic volatility and interest rates with efficient method of moments estimation 1 2 12 353 2 13 46 1,168
Return-based Style Analysis with Time-varying Exposures 0 0 0 0 9 27 104 1,072
Return-based style analysis with time-varying exposures 3 7 60 618 4 22 170 1,336
Structural Stability Tests with Unknown Breakpoint for the Efficient Method of Moments with Application to Stochastic Volatility Models 2 7 24 225 12 28 122 956
The Implementation Shortfall of Institutional Equity Trades 5 11 45 267 9 23 97 725
Volatility Reprojection and Forecasting Performance -- An EMM Approach toward the Multivariate Stochastic Volatility Model 0 0 0 0 0 2 21 520
Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle 2 8 37 37 6 23 79 79
Total Working Papers 52 151 653 6,050 222 568 2,282 21,487

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Computationally attractive stability tests for the efficient method of moments 0 0 0 1 1 5 19 270
EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments 1 5 22 305 2 8 73 1,182
Forecasting market impact costs and identifying expensive trades 0 0 8 23 2 4 28 80
Market impact costs of institutional equity trades 2 5 24 55 4 11 64 155
Return-based style analysis with time-varying exposures 2 6 34 151 6 20 89 361
Total Journal Articles 5 16 88 535 15 48 273 2,048

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Statistics updated 2009-11-04