EconPapers    
Economics at your fingertips  
 

Details about Alfonso Dufour

Homepage:http://www.icmacentre.ac.uk
Workplace:ICMA Centre for Financial Markets, Henley Business School, University of Reading, (more information at EDIRC)

Access statistics for papers by Alfonso Dufour.

Last updated 2019-10-14. Update your information in the RePEc Author Service.

Short-id: pdu163


Jump to Journal Articles

Working Papers

2014

  1. The Equity-like Behaviour of Sovereign Bonds
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2017)

2012

  1. The Time Varying Properties of Credit and Liquidity Components of CDS Spreads
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)

2010

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

2005

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

2004

  1. MTS Time Series: Market and Data Description for the European Bond and Repo Database
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (12)

2000

  1. The ACD Model: Predictability of the Time Between Concecutive Trades
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (17)

1999

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

Journal Articles

2019

  1. Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos
    Journal of Banking & Finance, 2019, 107, (C), - Downloads View citations (1)
  2. Modeling intraday volatility of European bond markets: A data filtering application
    International Review of Financial Analysis, 2019, 63, (C), 131-146 Downloads View citations (2)

2017

  1. The equity-like behaviour of sovereign bonds
    Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 25-46 Downloads View citations (3)
    See also Working Paper (2014)

2014

  1. On the performance of the tick test
    The Quarterly Review of Economics and Finance, 2014, 54, (1), 42-50 Downloads View citations (2)
  2. The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market
    Annals of Finance, 2014, 10, (3), 457-480 Downloads

2013

  1. Credit and liquidity components of corporate CDS spreads
    Journal of Banking & Finance, 2013, 37, (12), 5511-5525 Downloads View citations (28)

2012

  1. Permanent trading impacts and bond yields
    The European Journal of Finance, 2012, 18, (9), 841-864 Downloads View citations (17)

2000

  1. Time and the Price Impact of a Trade
    Journal of Finance, 2000, 55, (6), 2467-2498 Downloads View citations (240)
    See also Working Paper (1999)
 
Page updated 2020-10-09