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Alfonso Dufour
Alfonso Dufour
ICMA Centre, Henley Business School, University of Reading
在 icmacentre.ac.uk 的电子邮件经过验证
标题
引用次数
引用次数
年份
Time and the price impact of a trade
A Dufour, RF Engle
The Journal of Finance 55 (6), 2467-2498, 2000
7682000
The differential impact of leverage on the default risk of small and large firms
L Cathcart, A Dufour, L Rossi, S Varotto
Journal of Corporate Finance 60, 101541, 2020
1142020
The ACD model: predictability of the time between consecutive trades
A Dufour, RF Engle
University of Reading and University of California at San Diego 35 (3), 463-497, 2000
1072000
Credit and liquidity components of corporate CDS spreads
F Corò, A Dufour, S Varotto
Journal of Banking & Finance 37 (12), 5511-5525, 2013
982013
Information entropy and measures of market risk
DT Pele, E Lazar, A Dufour
Entropy 19 (5), 226, 2017
682017
Permanent trading impacts and bond yields
A Dufour, M Nguyen
The European Journal of Finance 18 (9), 841-864, 2012
50*2012
MTS time series: Market and data description for the European bond and repo database
A Dufour, F Skinner
ICMA Centre Discussion Papers in Finance, 2004
462004
The MiFID: Competition in a new European equity market regulatory structure
R Davies, A Dufour, B Scott-Quinn
Investor protection in Europe: Corporate law making, the MiFID and beyond …, 2006
362006
Microstructure of the Euro‐Area Government Bond Market
M Darbha, A Dufour
Market Microstructure in Emerging and Developed Markets: Price Discovery …, 2013
302013
Measuring Euro Area Government Bond Market liquidity and its Asset Pricing Implications
M Darbha, A Dufour
Available at SSRN 2470944, 2013
272013
Modeling intraday volatility of European bond markets: A data filtering application
H Zhang, A Dufour
International Review of Financial Analysis 63, 131-146, 2019
172019
Predicting Stock Price Changes Based on the Limit Order Book: A Survey
I Zaznov, J Kunkel, A Dufour, A Badii
Mathematics 10 (8), 1234, 2022
162022
The equity-like behaviour of sovereign bonds
A Dufour, A Stancu, S Varotto
Journal of International Financial Markets, Institutions and Money 48, 25-46, 2017
152017
On the performance of the tick test
M Perlin, C Brooks, A Dufour
The Quarterly Review of Economics and Finance 54 (1), 42-50, 2014
122014
On the performance of the tick test
M Perlin, C Brooks, A Dufour
The Quarterly Review of Economics and Finance 54 (1), 42-50, 2014
122014
Time and the Price Impact of a Trade
RF Engle, A Dufour
122000
Explaining repo specialness
A Dufour, M Marra, I Sangiorgi, FS Skinner
International Journal of Finance & Economics 25 (2), 172-196, 2020
102020
The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market
M Perlin, A Dufour, C Brooks
Annals of Finance 10 (3), 457-480, 2014
102014
Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos
A Dufour, M Marra, I Sangiorgi
Journal of Banking & Finance 107, 105610, 2019
82019
Time-varying price discovery in the European Treasury markets
A Dufour, M Nguyen
Available at SSRN 1031890, 2007
72007
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