Details about Alfonso Dufour

Access statistics for papers by Alfonso Dufour.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: pdu163

Working Papers

2014

1. The Equity-like Behaviour of Sovereign Bonds
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
   See also Journal Article The equity-like behaviour of sovereign bonds, Journal of International Financial Markets, Institutions and Money, Elsevier (2017) View citations (10) (2017)

2012

2. The Time Varying Properties of Credit and Liquidity Components of CDS Spreads
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)

2010

3. A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market
   MPRA Paper, University Library of Munich, Germany
4. The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market
   MPRA Paper, University Library of Munich, Germany

2005

5. A False Perception? The relative riskiness of AIM and listed Stocks
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading

2004

6. MTS Time Series: Market and Data Description for the European Bond and Repo Database
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (17)

2000

7. The ACD Model: Predictability of the Time Between Concecutive Trades
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (22)

1999

8. Time and the Price Impact of a Trade
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (2)
   See also Journal Article Time and the Price Impact of a Trade, Journal of Finance, American Finance Association (2000) View citations (273) (2000)

Journal Articles

2025

1. Bond supply expectations and the term structure of interest rates
   Journal of International Money and Finance, 2025, 150, (C)
2. The systemic risk of leveraged and covenant-lite loan syndications
   International Review of Financial Analysis, 2025, 97, (C)

2024

3. Corporate bankruptcy and banking deregulation: The effect of financial leverage
   Journal of Banking & Finance, 2024, 166, (C)
4. Corrigendum to “Complexity and the default risk of mortgage-backed securities” [Journal of Banking and Finance 155 (2023) 106993]
   Journal of Banking & Finance, 2024, 166, (C)
5. Managing portfolio risk during crisis times: A dynamic conditional correlation perspective
   The Quarterly Review of Economics and Finance, 2024, 94, (C), 241-251

2023

6. Complexity and the default risk of mortgage-backed securities
   Journal of Banking & Finance, 2023, 155, (C)

2022

7. Predicting Stock Price Changes Based on the Limit Order Book: A Survey
   Mathematics, 2022, 10, (8), 1-33 View citations (3)

2020

8. Explaining repo specialness
   International Journal of Finance & Economics, 2020, 25, (2), 172-196
9. The differential impact of leverage on the default risk of small and large firms
   Journal of Corporate Finance, 2020, 60, (C) View citations (35)

2019

10. Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos
    Journal of Banking & Finance, 2019, 107, (C), - View citations (9)
11. Modeling intraday volatility of European bond markets: A data filtering application
    International Review of Financial Analysis, 2019, 63, (C), 131-146 View citations (8)

2017

12. The equity-like behaviour of sovereign bonds
    Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 25-46 View citations (10)
    See also Working Paper The Equity-like Behaviour of Sovereign Bonds, ICMA Centre Discussion Papers in Finance (2014) (2014)

2014

13. On the performance of the tick test
    The Quarterly Review of Economics and Finance, 2014, 54, (1), 42-50 View citations (4)
14. The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market
    Annals of Finance, 2014, 10, (3), 457-480 View citations (5)

2013

15. Credit and liquidity components of corporate CDS spreads
    Journal of Banking & Finance, 2013, 37, (12), 5511-5525 View citations (40)

2012

16. Permanent trading impacts and bond yields
    The European Journal of Finance, 2012, 18, (9), 841-864 View citations (25)

2000

17. Time and the Price Impact of a Trade
    Journal of Finance, 2000, 55, (6), 2467-2498 View citations (273)
    See also Working Paper Time and the Price Impact of a Trade, University of California at San Diego, Economics Working Paper Series (1999) View citations (2) (1999)

Books

2015

1. Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies
   Palgrave Macmillan Books, Palgrave Macmillan

Chapters

2015

1. Activities
   Palgrave Macmillan
2. Basic Analysis of Relative Volatility
   Palgrave Macmillan
3. Conclusions
   Palgrave Macmillan
4. Empirical Analysis
   Palgrave Macmillan
5. GARCH Analysis of Switchers
   Palgrave Macmillan
6. Interviews
   Palgrave Macmillan
7. Introduction
   Palgrave Macmillan
8. Literature Review
   Palgrave Macmillan
9. Market-Switching Stocks
   Palgrave Macmillan
10. Preliminary Data Analysis
    Palgrave Macmillan
11. Regression Analyses with Multiple Variables
    Palgrave Macmillan
12. Relative Risk Allowing for Size, Age or Liquidity
    Palgrave Macmillan
13. Volatility Estimation
    Palgrave Macmillan