FRANK DE JONG

9 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0001-8956-0757

Publications

• The Dividend Term Structure — Journal of Financial and Quantitative Analysis 2020
• An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets — The Review of Financial Studies 2017
• The Impact of Dark Trading and Visible Fragmentation on Market Quality — Review of Finance 2015
• Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market — The Journal of Finance 2011
• Pseudo Market Timing: A Reappraisal — Journal of Financial and Quantitative Analysis 2008
• Aggressive Orders and the Resiliency of a Limit Order Market — Review of Finance 2005
• Libor Market Models versus Swap Market Models for Pricing Interest Rate Derivatives: An Empirical Analysis — Review of Finance 2001
• The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables — Journal of Financial and Quantitative Analysis 1999
• Intraday Lead-Lag Relationships Between the Futures-, Options and Stock Market — Review of Finance 1998