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Details about Joost Driessen

E-mail:
Homepage:http://center.uvt.nl/staff/driessen/
Workplace:Finance Department, School of Economics and Management, Universiteit van Tilburg (Tilburg University), (more information at EDIRC)
CentER Graduate School for Economics and Business, School of Economics and Management, Universiteit van Tilburg (Tilburg University), (more information at EDIRC)

Access statistics for papers by Joost Driessen.

Last updated 2013-02-05. Update your information in the RePEc Author Service.

Short-id: pdr83


Jump to Journal Articles

Working Papers

2011

  1. Pricing Liquidity Risk with Heterogeneous Investment Horizons
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)

2008

  1. A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2012)
  2. Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry
    Yale School of Management Working Papers, Yale School of Management Downloads
    See also Journal Article in Journal of Financial and Quantitative Analysis (2009)

2005

  1. (UBS Pensions Series 036) Dynamic portfolio and mortgage choice for homeowners
    FMG Discussion Papers, Financial Markets Group Downloads
  2. Explaining the level of credit spreads: option-implied jump risk premia in a firm value model
    BIS Working Papers, Bank for International Settlements Downloads View citations (3)
    See also Journal Article in Review of Financial Studies (2008)
  3. Individual Stock-Option Prices and Credit Spreads
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (4)
    See also Journal Article in Journal of Banking & Finance (2008)

2004

  1. Confidence Building on Euro Conversion: Theory and Evidence from Currency Options
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2000

  1. Common Factors in International Bond Returns
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (3)
    See also Journal Article in Journal of International Money and Finance (2003)
  2. Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (8)
  3. Testing Affine Term Structure Models in Case of Transaction Costs
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1999) Downloads

    See also Journal Article in Journal of Econometrics (2005)
  4. The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (7)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2003)

Journal Articles

2013

  1. How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments
    Review of Finance, 2013, 17, (1), 369-401 Downloads View citations (8)
  2. The world price of jump and volatility risk
    Journal of Banking & Finance, 2013, 37, (2), 518-536 Downloads View citations (5)

2012

  1. A New Method to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds
    Journal of Financial and Quantitative Analysis, 2012, 47, (3), 511-535 Downloads View citations (29)
    See also Working Paper (2008)
  2. Pricing of commercial real estate securities during the 2007–2009 financial crisis
    Journal of Financial Economics, 2012, 105, (1), 37-61 Downloads View citations (9)

2011

  1. Confidence building on Euro convergence: Evidence from currency options
    Journal of International Money and Finance, 2011, 30, (3), 474-491 Downloads
  2. Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market
    Journal of Finance, 2011, 66, (1), 203-240 Downloads View citations (129)

2009

  1. Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry
    Journal of Financial and Quantitative Analysis, 2009, 44, (6), 1345-1373 Downloads View citations (27)
    See also Working Paper (2008)
  2. The Price of Correlation Risk: Evidence from Equity Options
    Journal of Finance, 2009, 64, (3), 1377-1406 Downloads View citations (118)

2008

  1. Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model
    Review of Financial Studies, 2008, 21, (5), 2209-2242 Downloads View citations (43)
    See also Working Paper (2005)
  2. Individual stock-option prices and credit spreads
    Journal of Banking & Finance, 2008, 32, (12), 2706-2715 Downloads View citations (77)
    See also Working Paper (2005)

2007

  1. An Empirical Portfolio Perspective on Option Pricing Anomalies
    Review of Finance, 2007, 11, (4), 561-603 Downloads View citations (38)
  2. International portfolio diversification benefits: Cross-country evidence from a local perspective
    Journal of Banking & Finance, 2007, 31, (6), 1693-1712 Downloads View citations (82)

2005

  1. Is Default Event Risk Priced in Corporate Bonds?
    Review of Financial Studies, 2005, 18, (1), 165-195 Downloads View citations (157)
  2. Testing affine term structure models in case of transaction costs
    Journal of Econometrics, 2005, 126, (1), 201-232 Downloads View citations (5)
    See also Working Paper (2000)

2004

  1. On the Information in the Interest Rate Term Structure and Option Prices
    Review of Derivatives Research, 2004, 7, (2), 99-127 Downloads View citations (14)

2003

  1. Common factors in international bond returns
    Journal of International Money and Finance, 2003, 22, (5), 629-656 Downloads View citations (50)
    See also Working Paper (2000)
  2. The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions
    Journal of Financial and Quantitative Analysis, 2003, 38, (3), 635-672 Downloads View citations (28)
    See also Working Paper (2000)
 
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