dhr. prof. dr. F.C.J.M. (Frank) de Jong
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Faculteit Economie en Bedrijfskunde
Sectie Finance
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Plantage Muidergracht
12
1018 TV Amsterdam
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F.C.J.M.deJong@uva.nl
T: 0205254325
- refereed(16)
- wetenschappelijk(11)
- vakpublicatie(5)
- populair wetenschappelijk(2)
- working papers / preprints(14)
2015
- R.M.W.J. Beetsma, M. Giuliodori, F.C.J.M. de Jong & D. Widijanto (in press). Price effects of sovereign debt auctions in the Euro-zone: The role of the crisis. Journal of Financial Intermediation. doi: 10.1016/j.jfi.2014.11.004
2013
- R. Beetsma, M. Giuliodori, F. de Jong & D. Widijanto (2013). Spread the news: The impact of news on the European sovereign bond markets during the crisis. Journal of international Money and Finance, 34, 83-101. doi: 10.1016/j.jimonfin.2012.11.005
2011
- J. Cui, F. de Jong & E. Ponds (2011). Intergenerational risk sharing within funded pension schemes. Journal of Pension Economics and Finance, 10 (1), 1-29. doi: 10.1017/S1474747210000065
2007
- F.C.J.M. de Jong, B. Bortolotti, G. Nicodano & I. Schindele (2007). Privatization and stock market liquidity. Journal of Banking & Finance, 31 (2), 297-316.
2005
- E. Canton & F.C.J.M. de Jong (2005). The Demand for Higher Education in the Netherlands, 1950-¿99. Economics of Education Review, 24 (6), 651-663.
- H. Degryse, F.C.J.M. de Jong, M. van Ravenswaaij & G. Wuyts (2005). Aggressive Orders and Resiliency of the Limit Order Book. Review of Finance, 9 (2), 201-242.
- F.C.J.M. de Jong & F.A. Roon (2005). Time-varying Market Integration and Expected Returns in Emerging Markets. Journal of Financial Economics, 78 (3), 583-613.
2004
- F.C.J.M. de Jong, J.J.A.G. Driessen & A. Pelsser (2004). On the Information in the Interest Rate Term Structure and Option Prices. Review of Derivatives Research, 7 (2), 99-127.
2003
- F.C.J.M. de Jong & J. Wielhouwer (2003). The Valuation and Hedging of Variable Rate Savings Accounts. ASTIN Bulletin, 33 (2), 383-397.
2002
- F.C.J.M. de Jong (2002). Measures of Contributions to Price Discovery: A Comparison. Journal of Financial Markets, 5 (3), 323-328.
2001
- J.J.A.G. Driessen, F.C.J.M. de Jong & A. Pelsser (2001). Libor Market Models versus Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis. European Finance Review, 5 (3), 201-237.
- F.C.J.M. de Jong, B.J.M. Werker & F.C. Drost (2001). A Jump-Diffusion Model for Exchange Rates in a Target Zone. Statistica Neerlandica, 55 (3), 269-299.
2000
- F.C.J.M. de Jong (2000). Time Series and Cross Section Information in Affine Term Structure Models. Journal of Business & Economic Statistics, 18 (3), 300-314.
1999
- F.C.J.M. de Jong & P. Santa-Clara (1999). The Dynamics of the Forward Interest Curve: A Formulation with State Variables. Journal of Financial and Quantitative Analysis, 34 (1), 131-157.
1998
- F.C.J.M. de Jong, R. Mahieu & P. Schotman (1998). Price Discovery in the Foreign Exchange Market: An Empirical Analysis of the YenDmark Rate. Journal of international Money and Finance, 17 (1), 5-27.
- F.C.J.M. de Jong & M. Donders (1998). Intraday Lead-lag Relationships between the Futures- Options and Stock Market. European Finance Review, 1 (3), 337-359.
2003
- F.C.J.M. de Jong (2003). Is mijn pensioen nog wel veilig? Over sparen en beleggen voor later. Amsterdam: Vossiuspers UvA.
- A.P.C. van der Ploeg, H.P. Boswijk & F. de Jong (2003). A state space approach to the estimation of multi-factor affine stochastic volatility option pricing models. (unknown, UvA-econometrics working paper, no 13). Amsterdam: UvA.
- F.C.J.M. de Jong (2003). Pension Fund Investments and the Valuation of Liabilities under Conditional Indexation. In Proceedings International AFIR Colloquium 2003 (pp. 1-24). Woerden: Actuarieel Genootschap.
- F.C.J.M. de Jong (2003). Is mijn pensioen nog wel veilig? Over sparen en beleggen voor later. Amsterdam: Amsterdam University Press.
2001
- F.C.J.M. de Jong, J.J.A.G. Driessen & A. Pelsser (2001). Libor and Swaprate Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis. CENTER Discussion paper, 35.
- F.C.J.M. de Jong (2001). Measures of Contributions to Price Discovery: A Comparison. Tinbergen Institute, 114/2.
- F.C.J.M. de Jong & J. Wielhouwer (2001). The Valuation and Hedging of Variable Rate Savings Accounts. Tinbergen Institute, 112/2.
- F.C.J.M. de Jong & F. de Roon (2001). Time-varying Market Integration and Expected Returns in Emerging Markets, with Frans de Roon. Tinbergen Institute, 113/2.
2000
- F.C.J.M. de Jong, J.J.A.G. Driessen & A. Pelsser (2000). Libor and swap market models for the pricing of interest rate derivatives: An emperical analysis. CENTER Discussion paper, 0035.
1999
- F.C.J.M. de Jong, R. Mahieu, P. Schotman & I. Leeuwen (1999). Price Discovery in the Foreign Exchange Markets with Differentially Informed Traders. Discussion paper - Tinbergen Institute, 99 (032/2).
- F.C.J.M. de Jong (1999). Time Series and Cross Section Information in Affine Term Structure Models. CEPR Discussion Paper Series.
2011
- E. Perotti, J. Danielsson, F. de Jong, C. Laux, R. Laeven & M. Wüthrich (2011). A prudential regulatory issue at the heart of Solvency II. VOX : Research-based Policy Analysis and Commentary from leading Economists, 2011 (31 March).
2003
- F.C.J.M. de Jong (2003). Geïndexeerde obligaties bieden meer zekerheid. Economisch-Statistische Berichten, 88 (22 feb), 80.
2001
- F.C.J.M. de Jong (2001). De verhandeling van kleine en middelgrote fondsen op de Amsterdamse effectenbeurs: De voorstellen van Euronext in perspectief. (extern rapport). .: VEUO.
2000
- F.C.J.M. de Jong, H.A.J. Koster & A. van Leijenhorst (2000). Derivaten in consumenten-producten. Economisch-Statistische Berichten, 85, 589-591.
- F.C.J.M. de Jong, H.A.J. Koster & A. van Leijenhorst (2000). De rol van derivaten. Economisch-Statistische Berichten, 85, 497-499.
2001
- F.C.J.M. de Jong & R.M.W.J. Beetsma (2001, November 23). De staat moet nu eindelijk handen van KPN aftrekken. NRC Handelsblad
2000
- F.C.J.M. de Jong & R.M.W.J. Beetsma (2000, August 22). Uitstel verkoop staatsaandeel KPN is onnodig. NRC Handelsblad
2014
- R. Beetsma, F. de Jong, M. Giuliodori & D. Widijanto (2014). The impact of news ans the SMP on realized (co)variances in the Eurozone sovereign debt market. (Preprints, ECB Working Paper Series, no 1629). Frankfurt am Main: ECB.
2013
- R. Beetsma, F. de Jong, M. Giuliodori & D. Widijanto (2013). Price effects of sovereign debt auctions in the Euro-zone: the role of the crisis. (Preprints, CEPR Discussion Papers, no DP9659). London: Centre for Economic Policy Research (CEPR).
2011
- J. Danielsson, F. de Jong, C. Laux, R. Laeven, E. Perotti & M. Wüthrich (2011). A prudential regulatory issue at the heart of Solvency II. (Preprints, DSF policy briefs, no 2). Amsterdam: Duisenberg School of Finance.[go to publisher's site]
2009
- J. Cui, F. de Jong & E. Ponds (2009). Intergenerational risk sharing within funded pension schemes. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde [etc.].[go to publisher's site]
- D.G.J. Bongaerts, J.J.A.G. Driessen & F.C.J.M. de Jong (2009). Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.
2008
- F. de Jong, J. Driessen & O. van Hemert (2008). Hedging house price risk: Portfolio choice with housing futures. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.
- D. Bongaerts, F. de Jong & J. Driessen (2008). Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market. (extern rapport, EFA 2007 Ljubljana meetings paper). Ljubljana: EFA 2007 Ljubljana Meeting.
2006
- F.C.J.M. de Jong & J.J.A.G. Driessen (2006). Liquidity risk premia in corporate bond markets. (intern rapport, Working Paper Universiteit van Amsterdam). Amsterdam: Faculteit Economie en Bedrijfskunde.
- O.A.C. van Hemert, F.C.J.M. de Jong & J.J.A.G. Driessen (2006). Dynamic portfolio choice under inflation in the presence of an owner-occupied house. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.
2005
- J.J.A.G. Driessen, O.A.C. van Hemert & F.C.J.M. de Jong (2005). Dynamic Portfolio Choice under Inflation in the presence of an Owner-occupied House. (intern rapport). onbekend: Afdeling Business Studies.
- J.J.A.G. Driessen, O.A.C. van Hemert & F.C.J.M. de Jong (2005). Dynamic Portfolio Choice under Inflation in the presence of an Owner-occupied House. (intern rapport). onbekend: Afdeling Business Studies.
- J.J.A.G. Driessen & F.C.J.M. de Jong (2005). Liquidity Risk Premia in Corporate Bond and Equity Markets. (intern rapport). onbekend: Afdeling Business Studies.
2003
- A.P.C. van der Ploeg, H.P. Boswijk & F. de Jong (2003). A state space approach to the estimation of multi-factor affine stochastic volatility option pricing models. (intern rapport, Quantitative Economics Discussion Paper, no 2003/13). Amsterdam: University of Amsterdam.[go to publisher's site]
2001
- J.J.A.G. Driessen, F.C.J.M. de Jong & A. Pelsser (2001). On the Information in the Interest Rate Term Structure and Option Prices. (Preprints). : Working paper.
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