Pricing Liquidity Risk with Heterogeneous Investment Horizons, with Alessandro Beber and Patrick Tuijp (WFA 2012, EFA 2013), 3rd round, Journal of Finance

A New Distress Risk Puzzle, with Jeroen van Zundert



Cumulative Prospect Theory and the Variance Premium, with Lieven Baele, Juan-Miguel Londono, and Oliver Spalt (EFA 2012)

The Dividend Term Structurewith Jac. Kragt and Frank de Jong (AFA 2016)

The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Marketswith Theo Nijman and Zorka Simon


The Norwegian Government Pension Fund’s potential for capturing illiquidity premiumswith Frank de Jong (project for the Norwegian Ministry of Finance)

Option-Implied Correlations and the Price of Correlation Riskwith Pascal Maenhout and Grigory Vilkov

Hedging House Price Risk: Portfolio Choice with Housing Futures, with Frank de Jong and Otto van Hemert
Comments