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Search: person:"Heijden, Thijs van der"
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Heijden, Thijs van der
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Werker, Bas J. M.
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Dark, Jonathan
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Goncalves-Pinto, Luis
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Grundy, Bruce D.
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Hameed, Allaudeen
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ECONIS (ZBW)
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1
Arbitrage pricing theory for idiosyncratic variance factors
Renaut, Eric
;
Heijden, Thijs van der
;
Werker, Bas J. M.
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1403-1442
Persistent link: https://www.econbiz.de/10014444683
Saved in:
2
Forecasting variance swap payoffs
Dark, Jonathan
;
Gao, Xin
;
Heijden, Thijs van der
; …
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2135-2164
Persistent link: https://www.econbiz.de/10013465873
Saved in:
3
Why do option prices predict stock returns? : the role of price pressure in the stock market
Goncalves-Pinto, Luis
;
Grundy, Bruce D.
;
Hameed, Allaudeen
- In:
Management science : journal of the Institute for …
66
(
2020
)
9
,
pp. 3903-3926
Persistent link: https://www.econbiz.de/10012297731
Saved in:
4
Duration models, heterogeneous beliefs, and optimal trading
Heijden, Thijs van der
-
2011
Persistent link: https://www.econbiz.de/10009159983
Saved in:
5
The dynamic mixed hitting-time model for multiple transaction prices and times
Renault, Eric
;
Heijden, Thijs van der
;
Werker, Bas J. M.
- In:
Journal of econometrics
180
(
2014
)
2
,
pp. 233-250
Persistent link: https://www.econbiz.de/10010433364
Saved in:
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