Details about Joost Driessen

Access statistics for papers by Joost Driessen.

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

Short-id: pdr83

Working Papers

2011

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

2008

2. 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 View citations (4)
   See also Journal Article 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, Cambridge University Press (2012) View citations (46) (2012)

2005

3. (UBS Pensions Series 036) Dynamic portfolio and mortgage choice for homeowners
   FMG Discussion Papers, Financial Markets Group
4. Explaining the level of credit spreads: option-implied jump risk premia in a firm value model
   BIS Working Papers, Bank for International Settlements View citations (6)
   See also Journal Article Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model, The Review of Financial Studies, Society for Financial Studies (2008) View citations (69) (2008)

2004

5. Confidence Building on Euro Conversion: Theory and Evidence from Currency Options
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)

2000

6. Common Factors in International Bond Returns
   Discussion Paper, Tilburg University, Center for Economic Research View citations (3)
   See also Journal Article Common factors in international bond returns, Journal of International Money and Finance, Elsevier (2003) View citations (71) (2003)
7. Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis
   Discussion Paper, Tilburg University, Center for Economic Research View citations (9)
8. Testing Affine Term Structure Models in Case of Transaction Costs
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society
   Also in Discussion Paper, Tilburg University, Center for Economic Research (1999)
   See also Journal Article Testing affine term structure models in case of transaction costs, Journal of Econometrics, Elsevier (2005) View citations (5) (2005)
9. The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions
   Discussion Paper, Tilburg University, Center for Economic Research View citations (8)
   See also Journal Article The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions, Journal of Financial and Quantitative Analysis, Cambridge University Press (2003) View citations (32) (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 View citations (20)
2. The world price of jump and volatility risk
   Journal of Banking & Finance, 2013, 37, (2), 518-536 View citations (11)

2012

3. 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 View citations (46)
   See also Working Paper A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds, NBER Working Papers (2008) View citations (4) (2008)
4. Pricing of commercial real estate securities during the 2007–2009 financial crisis
   Journal of Financial Economics, 2012, 105, (1), 37-61 View citations (11)

2011

5. Confidence building on Euro convergence: Evidence from currency options
   Journal of International Money and Finance, 2011, 30, (3), 474-491
6. Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market
   Journal of Finance, 2011, 66, (1), 203-240 View citations (166)

2009

7. 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 View citations (39)
8. The Price of Correlation Risk: Evidence from Equity Options
   Journal of Finance, 2009, 64, (3), 1377-1406 View citations (166)

2008

9. Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model
   The Review of Financial Studies, 2008, 21, (5), 2209-2242 View citations (69)
   See also Working Paper Explaining the level of credit spreads: option-implied jump risk premia in a firm value model, BIS Working Papers (2005) View citations (6) (2005)
10. Individual stock-option prices and credit spreads
    Journal of Banking & Finance, 2008, 32, (12), 2706-2715 View citations (101)

2007

11. An Empirical Portfolio Perspective on Option Pricing Anomalies
    Review of Finance, 2007, 11, (4), 561-603 View citations (52)
12. International portfolio diversification benefits: Cross-country evidence from a local perspective
    Journal of Banking & Finance, 2007, 31, (6), 1693-1712 View citations (111)

2005

13. Is Default Event Risk Priced in Corporate Bonds?
    The Review of Financial Studies, 2005, 18, (1), 165-195 View citations (208)
14. Testing affine term structure models in case of transaction costs
    Journal of Econometrics, 2005, 126, (1), 201-232 View citations (5)
    See also Working Paper Testing Affine Term Structure Models in Case of Transaction Costs, Econometric Society World Congress 2000 Contributed Papers (2000) (2000)

2004

15. On the Information in the Interest Rate Term Structure and Option Prices
    Review of Derivatives Research, 2004, 7, (2), 99-127 View citations (15)

2003

16. Common factors in international bond returns
    Journal of International Money and Finance, 2003, 22, (5), 629-656 View citations (71)
    See also Working Paper Common Factors in International Bond Returns, Discussion Paper (2000) View citations (3) (2000)
17. 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 View citations (32)
    See also Working Paper The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions, Discussion Paper (2000) View citations (8) (2000)