Frank de Jong
Frank de Jong
Professor of Finance
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Cited by
Cited by
Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market
D Bongaerts, F De Jong, J Driessen
The Journal of Finance 66 (1), 203-240, 2011
Time series and cross-section information in affine term-structure models
F Jong
Journal of Business & Economic Statistics 18 (3), 300-314, 2000
Liquidity risk premia in corporate bond markets
F De Jong, J Driessen
The Quarterly Journal of Finance 2 (02), 1250006, 2012
Time-varying market integration and expected returns in emerging markets
F De Jong, FA De Roon
Journal of financial economics 78 (3), 583-613, 2005
Measures of contributions to price discovery: a comparison
F De Jong
Journal of Financial markets 5 (3), 323-327, 2002
The impact of dark trading and visible fragmentation on market quality
H Degryse, F De Jong, V Kervel
Review of Finance 19 (4), 1587-1622, 2015
A comparison of the cost of trading French shares on the Paris Bourse and on SEAQ International
F De Jong, T Nijman, A Röell
European Economic Review 39 (7), 1277-1301, 1995
Intergenerational risk sharing within funded pension schemes
J Cui, F De Jong, E Ponds
Journal of Pension Economics & Finance 10 (1), 1-29, 2011
High frequency analysis of lead-lag relationships between financial markets
F De Jong, T Nijman
Journal of Empirical Finance 4 (2-3), 259-277, 1997
Spread the news: The impact of news on the European sovereign bond markets during the crisis
R Beetsma, M Giuliodori, F De Jong, D Widijanto
Journal of International Money and Finance 34, 83-101, 2013
The microstructure of financial markets
F De Jong, B Rindi
Cambridge University Press, 2009
Price effects of trading and components of the bid-ask spread on the Paris Bourse
F De Jong, T Nijman, A Röell
Journal of Empirical Finance 3 (2), 193-213, 1996
The demand for higher education in the Netherlands, 1950–1999
E Canton, F De Jong
Economics of Education Review 24 (6), 651-663, 2005
Aggressive orders and the resiliency of a limit order market
H Degryse, FD Jong, MV Ravenswaaij, G Wuyts
Review of Finance 9 (2), 201-242, 2005
The dynamics of the forward interest rate curve: A formulation with state variables
F De Jong, P Santa-Clara
Journal of Financial and Quantitative Analysis 34 (1), 131-157, 1999
Intraday lead-lag relationships between the futures-, options and stock market
FD Jong, MWM Donders
Review of Finance 1 (3), 337-359, 1998
Privatization and stock market liquidity
B Bortolotti, F De Jong, G Nicodano, I Schindele
Journal of Banking & Finance 31 (2), 297-316, 2007
A contribution to event study methodology with an application to the Dutch stock market
F De Jong, A Kemna, T Kloek
Journal of Banking & Finance 16 (1), 11-36, 1992
An asset pricing approach to liquidity effects in corporate bond markets
D Bongaerts, F De Jong, J Driessen
The Review of Financial Studies 30 (4), 1229-1269, 2017
Trading European sovereign bonds: the microstructure of the MTS trading platforms
YC Cheung, B Rindi, F De Jong
ECB working paper, 2005
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