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Time series and cross-section information in affine term-structure models

Jong, Frank de - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 300-314

Persistent link: https://www.econbiz.de/10001493859

Time-series and cross-section information in affine term structure models

Jong, Frank de - 1999

Persistent link: https://www.econbiz.de/10013422714

Derivative pricing with liquidity risk : theory and evidence from the credit default swap market

Bongaerts, Dion; Jong, Frank de; Driessen, Joost - In: The journal of finance : the journal of the American … 66 (2011) 1, pp. 203-240

Persistent link: https://www.econbiz.de/10008991178

On the information in the interest rate term structure and option prices

Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - In: Review of derivatives research 7 (2004) 2, pp. 99-127

Persistent link: https://www.econbiz.de/10003153989

The dynamics of the forward interest rate curve : a formulation with state variables

Jong, Frank de; Santa-Clara, Pedro - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 1, pp. 131-157

Persistent link: https://www.econbiz.de/10001436356

Time-series and cross-section information in affine term structure models

Jong, Frank de - 1997

Persistent link: https://www.econbiz.de/10000972613

An asset pricing approach to liquidity effects in corporate bond markets

Bongaerts, Dion; Jong, Frank de; Driessen, Joost - In: The review of financial studies 30 (2017) 4, pp. 1229-1269

Persistent link: https://www.econbiz.de/10011749361

Foresight driver review : electronic trading and market structure

Menkveld, Albert J. - 2011

Persistent link: https://www.econbiz.de/10010386947

Splitting orders in overlapping markets : a study of cross-listed stocks

Menkveld, Albert J. - In: Journal of financial intermediation 17 (2008) 2, pp. 145-174

Persistent link: https://www.econbiz.de/10003756030

Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate

Menkveld, Albert J.; Sarkar, Asani; Wel, Michel van der - 2008

Macro announcements change the equilibrium riskfree rate. We find that treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow in the 15 minutes after the announcement to discover the full impact. We show that this customer flow...

Persistent link: https://www.econbiz.de/10003863839