Prof. dr. F.C.J.M. (Frank) de Jong
Faculteit Economie en Bedrijfskunde
Sectie Finance
Bezoekadres
- Plantage Muidergracht 12
Postadres
- Postbus 15953
1001 NL Amsterdam
Contactgegevens
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Publicaties
- refereed (22)
- wetenschappelijk (5)
- vakpublicatie (6)
- populair wetenschappelijk (2)
- working papers / preprints (21)
2021
- Beetsma, R., Giuliodori, M., Hanson, J., & de Jong, F. (2021). The Maturity of Sovereign Bond Issuance in the Euro Area. Journal of International Money and Finance, [102293]. https://doi.org/10.1016/j.jimonfin.2020.102293
2020
Beetsma, R., Giuliodori, M., Hanson, J., & de Jong, F. (2020). Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions. Journal of Empirical Finance, 58, 96-120. https://doi.org/10.1016/j.jempfin.2020.05.005 [details]
2018
- Beetsma, R., Giuliodori, M., Hanson, J., & de Jong, F. (2018). Bid-to-cover and yield changes around public debt auctions in the euro area. Journal of Banking & Finance, 87, 118-134. https://doi.org/10.1016/j.jbankfin.2017.10.006 [details]
2017
- Beetsma, R., Giuliodori, M., Hanson, J., & de Jong, F. (2017). Cross-Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area. Journal of Money, Credit and Banking, 50(7), 1401-1440. https://doi.org/10.1111/jmcb.12510 [details]
- Beetsma, R., de Jong, F., Giuliodori, M., & Widijanto, D. (2017). Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme. Journal of international Money and Finance, 75, 14-31. https://doi.org/10.1016/j.jimonfin.2017.04.003 [details]
2016
- Beetsma, R., Giuliodori, M., de Jong, F., & Widijanto, D. (2016). Price effects of sovereign debt auctions in the euro-zone: the role of the crisis. Journal of Financial Intermediation, 25, 30-53. https://doi.org/10.1016/j.jfi.2014.11.004 [details]
2013
- Beetsma, R., Giuliodori, M., de Jong, F., & Widijanto, D. (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. https://doi.org/10.1016/j.jimonfin.2012.11.005 [details]
2011
- Cui, J., de Jong, F., & Ponds, E. (2011). Intergenerational risk sharing within funded pension schemes. Journal of Pension Economics and Finance, 10(1), 1-29. https://doi.org/10.1017/S1474747210000065 [details]
2010
- De Jong, F., & Pelsser, A. (2010). Risk and portfolio choices in individual and collective pension plans: Comments. In Ageing, Health and Pensions in Europe: An Economic and Social Policy Perspective (pp. 64-66). Palgrave Macmillan. https://doi.org/10.1057/9780230307346
2007
- de Jong, F. C. J. M., Bortolotti, B., Nicodano, G., & Schindele, I. (2007). Privatization and stock market liquidity. Journal of Banking & Finance, 31(2), 297-316. https://doi.org/10.1016/j.jbankfin.2006.04.008
2005
- Canton, E., & de Jong, F. C. J. M. (2005). The Demand for Higher Education in the Netherlands, 1950-¿99. Economics of Education Review, 24(6), 651-663. https://doi.org/10.1016/j.econedurev.2004.09.006
- Degryse, H., de Jong, F., van Ravenswaaij, M., & Wuyts, G. (2005). Aggressive Orders and the Resiliency of a Limit Order Market. Review of Finance, 9(2), 201-242. https://doi.org/10.1007/s10679-005-7590-6 [details]
- de Jong, F. C. J. M., & Roon, F. A. (2005). Time-varying Market Integration and Expected Returns in Emerging Markets. Journal of Financial Economics, 78(3), 583-613. https://doi.org/10.1016/j.jfineco.2004.10.010
2004
- de Jong, F., Driessen, J., & Pelsser, A. (2004). On the Information in the Interest Rate Term Structure and Option Prices. Review of Derivatives Research, 7(2), 99-127. https://doi.org/10.1023/B:REDR.0000031175.79497.7f [details]
2003
- de Jong, F. C. J. M., & Wielhouwer, J. (2003). The Valuation and Hedging of Variable Rate Savings Accounts. ASTIN Bulletin, 33(2), 383-397. [details]
2002
- de Jong, F. C. J. M. (2002). Measures of Contributions to Price Discovery: A Comparison. Journal of Financial Markets, 5(3), 323-328. https://doi.org/10.1016/S1386-4181(02)00028-9 [details]
2001
- Driessen, J. J. A. G., de Jong, F. C. J. M., & Pelsser, A. (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. [details]
- de Jong, F. C. J. M., Werker, B. J. M., & Drost, F. C. (2001). A Jump-Diffusion Model for Exchange Rates in a Target Zone. Statistica Neerlandica, 55(3), 269-299. [details]
2000
- de Jong, F. C. J. M. (2000). Time Series and Cross Section Information in Affine Term Structure Models. Journal of Business & Economic Statistics, 18(3), 300-314. https://doi.org/10.2307/1392263 [details]
1999
- de Jong, F. C. J. M., & Santa-Clara, P. (1999). The Dynamics of the Forward Interest Curve: A Formulation with State Variables. Journal of Financial and Quantitative Analysis, 34(1), 131-157. https://doi.org/10.2307/2676249 [details]
1998
- de Jong, F. C. J. M., & Donders, M. (1998). Intraday Lead-lag Relationships between the Futures- Options and Stock Market. European Finance Review, 1(3), 337-359. [details]
- de Jong, F. C. J. M., Mahieu, R., & Schotman, P. (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. https://doi.org/10.1016/S0261-5606(97)00058-2 [details]
2003
- de Jong, F. C. J. M. (2003). Pension Fund Investments and the Valuation of Liabilities under Conditional Indexation. In Proceedings International AFIR Colloquium 2003 (pp. 1-24). Woerden: Actuarieel Genootschap. [details]
- van der Ploeg, A. P. C., Boswijk, H. P., & de Jong, F. (2003). A state space approach to the estimation of multi-factor affine stochastic volatility option pricing models. (UvA-econometrics working paper; No. 13). Amsterdam: UvA. [details]
2001
- de Jong, F. C. J. M., Driessen, J. J. A. G., & Pelsser, A. (2001). Libor and Swaprate Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis. CENTER Discussion paper, 35. [details]
2000
- de Jong, F. C. J. M., Driessen, J. J. A. G., & Pelsser, A. (2000). Libor and swap market models for the pricing of interest rate derivatives: An emperical analysis. CENTER Discussion paper, 0035. [details]
1999
- de Jong, F. C. J. M. (1999). Time Series and Cross Section Information in Affine Term Structure Models. CEPR Discussion Paper Series, (2065). [details]
2011
- Perotti, E., Danielsson, J., de Jong, F., Laux, C., Laeven, R., & Wüthrich, M. (2011). A prudential regulatory issue at the heart of Solvency II. VOX : Research-based Policy Analysis and Commentary from leading Economists, 2011(31 March). [details]
2003
2001
- de Jong, F. C. J. M. (2001). De verhandeling van kleine en middelgrote fondsen op de Amsterdamse effectenbeurs: De voorstellen van Euronext in perspectief. VEUO. [details]
2000
- de Jong, F. C. J. M., Koster, H. A. J., & van Leijenhorst, A. (2000). De rol van derivaten. Economisch-Statistische Berichten, 85, 497-499. [details]
- de Jong, F. C. J. M., Koster, H. A. J., & van Leijenhorst, A. (2000). Derivaten in consumenten-producten. Economisch-Statistische Berichten, 85, 589-591. [details]
2001
- de Jong, F. C. J. M., & Beetsma, R. M. W. J. (2001). De staat moet nu eindelijk handen van KPN aftrekken. NRC Handelsblad.
2000
- de Jong, F. C. J. M., & Beetsma, R. M. W. J. (2000). Uitstel verkoop staatsaandeel KPN is onnodig. NRC Handelsblad.
2019
- Beetsma, R., Giuliodori, M., Hanson, J., & de Jong, F. (2019). The Maturity of Sovereign Debt Issuance in the Euro Area. (Amsterdam Centre for European Studies Research Paper; No. 2019/03). Amsterdam: Amsterdam Centre for European Studies. https://doi.org/10.2139/ssrn.3406759 [details]
- Eiling, E., de Jong, F. C. J. M., Laeven, R. J. A., & Sperna Weiland, R. C. (2019). Labor Income Risk and Stock Returns: The Role of Horizon Effects. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3368767
2014
- Beetsma, R., de Jong, F., Giuliodori, M., & Widijanto, D. (2014). The impact of news ans the SMP on realized (co)variances in the Eurozone sovereign debt market. (ECB Working Paper Series; No. 1629). Frankfurt am Main: ECB. [details]
2013
- Beetsma, R., de Jong, F., Giuliodori, M., & Widijanto, D. (2013). Price effects of sovereign debt auctions in the Euro-zone: the role of the crisis. (CEPR Discussion Papers; No. DP9659). London: Centre for Economic Policy Research (CEPR). [details]
2011
2009
- Bongaerts, D. G. J., Driessen, J. J. A. G., & de Jong, F. C. J. M. (2009). Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market. Faculteit Economie en Bedrijfskunde.
- Cui, J., de Jong, F., & Ponds, E. (2009). Intergenerational risk sharing within funded pension schemes. Amsterdam: Faculteit Economie en Bedrijfskunde [etc.]. [details]
2008
- Bongaerts, D., de Jong, F., & Driessen, J. (2008). Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market. (EFA 2007 Ljubljana meetings paper). Ljubljana: EFA 2007 Ljubljana Meeting. [details]
- de Jong, F., Driessen, J., & van Hemert, O. (2008). Hedging house price risk: Portfolio choice with housing futures. Amsterdam: Faculteit Economie en Bedrijfskunde. [details]
2007
- de Jong, F., Driessen, J. J. A. G., & van Hemert, O. A. C. (2007). Hedging House Price Risk. (Working Paper). Amsterdam: Faculteit Economie en Bedrijfskunde.
2006
- de Jong, F. C. J. M., & Driessen, J. J. A. G. (2006). Liquidity risk premia in corporate bond markets. (Working Paper Universiteit van Amsterdam). Amsterdam: Faculteit Economie en Bedrijfskunde.
- van Hemert, O. A. C., de Jong, F. C. J. M., & Driessen, J. J. A. G. (2006). Dynamic portfolio choice under inflation in the presence of an owner-occupied house. Amsterdam: Faculteit Economie en Bedrijfskunde.
2005
- Driessen, J. J. A. G., & de Jong, F. C. J. M. (2005). Liquidity Risk Premia in Corporate Bond and Equity Markets. onbekend: Afdeling Business Studies.
- Driessen, J. J. A. G., van Hemert, O. A. C., & de Jong, F. C. J. M. (2005). Dynamic Portfolio Choice under Inflation in the presence of an Owner-occupied House. onbekend: Afdeling Business Studies.
- Driessen, J. J. A. G., van Hemert, O. A. C., & de Jong, F. C. J. M. (2005). Dynamic Portfolio Choice under Inflation in the presence of an Owner-occupied House. onbekend: Afdeling Business Studies.
2003
2001
- Driessen, J. J. A. G., de Jong, F. C. J. M., & Pelsser, A. (2001). On the Information in the Interest Rate Term Structure and Option Prices. working paper. [details]
- de Jong, F. C. J. M. (2001). Measures of contributions to price discovery: A comparison. (Tinbergen Institute Discussion Paper; No. TI2001-114/2). Amsterdam: Tinbergen Institute. [details]
- de Jong, F. C. J. M., & Wielhouwer, J. (2001). The valuation and hedging of variable rate savings accounts. (Tinbergen Institute Discussion Paper; No. TI2001-112/2). Amsterdam: Tinbergen Institute. [details]
- de Jong, F. C. J. M., & de Roon, F. (2001). Time-varying market integration and expected returns in emerging mrkets. (Tinbergen Institute Discussion Paper; No. TI2001-113/2). Amsterdam: Tinbergen Institute. [details]
1999
- de Jong, F. C. J. M., Mahieu, R., Schotman, P., & Leeuwen, I. (1999). Price dscovery in the foreign exchange markets with dfferentially informed traders. (Tinbergen Institute Discussion Paper; No. TI 1999-032/2). Amsterdam / Rotterdam: Tinbergen Institute Discussion Paper. [details]
This list of publications is extracted from the UvA-Current Research Information System. Questions? Ask the library or the Pure staff of your faculty / institute. Log in to Pure to edit your publications. Log in to Personal Page Publication Selection tool to manage the visibility of your publications on this list. -
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Beetsma, R., Giuliodori, M., Hanson, J., & de Jong, F. (2020). Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions. Journal of Empirical Finance, 58, 96-120.