| Why do option prices predict stock returns? The role of price pressure in the stock market L Goncalves-Pinto, BD Grundy, A Hameed, T van der Heijden, Y Zhu | 73 | 2017 |
| The dynamic mixed hitting-time model for multiple transaction prices and times E Renault, T Van der Heijden, BJM Werker Journal of Econometrics 180 (2), 233-250, 2014 | 31 | 2014 |
| Arbitrage pricing theory for idiosyncratic variance factors E Renault, T van der Heijden, BJM Werker Available at SSRN 3065854, 2019 | 13* | 2019 |
| Model-free risk-neutral moments and proxies ZF Liu, T van der Heijden Thijs, Model-Free Risk-Neutral Moments and Proxies (July 4, 2016), 2016 | 13 | 2016 |
| A structural autoregressive conditional duration model E Renault, T van der Heijden, BJ Werker Winter Meetings of the Econometric Society in Atlanta, 2009 | 10 | 2009 |
| Forecasting variance swap payoffs J Dark, X Gao, T van der Heijden, F Nardari Journal of Futures Markets 42 (12), 2135-2164, 2022 | 2 | 2022 |
| Informed trading in options or price pressure in stocks? connecting the dots in option-based return predictability L Goncalves-Pinto, BD Grundy, A Hameed, T van der Heijden, Y Zhu FIRN Research Paper, 2016 | 2 | 2016 |
| A Three-Factor Model of Idiosyncratic Volatility T van der Heijden, Q Zeng, Y Zhu | | 2017 |
| Pulling the Correct Lever: on Sticky Debt and the Common Factor Structure in Idiosyncratic Volatilities T van der Heijden, Q Zeng, Y Zhu | | 2017 |
| The option value in timing derivative trades FC Drost, T van der Heijden, BJM Werker Available at SSRN 2575020, 2015 | | 2015 |
| Duration models, heterogeneous beliefs, and optimal trading TGE van der Heijden Other publications TiSEM, 2011 | | 2011 |
Luis GONCALVES-PINTOAssistant Professor of Finance, University of New South WalesVerified email at unsw.edu.au
