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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
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Duration models, heterogeneous beliefs, and optimal trading
Heijden, Thijs van der - 2011
Persistent link: https://www.econbiz.de/10009159983
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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
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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
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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