Alfonso Dufour

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Identifer

Contact

Affiliations

• University of Reading / Henley Business School / ICMA Centre for Financial Markets
  • EDIRC entry
  • location:

Research profile

author of:

• Time and the Price Impact of a Trade (RePEc:bla:jfinan:v:55:y:2000:i:6:p:2467-2498)
  by Alfonso Dufour & Robert F. Engle
• Time and the Price Impact of a Trade (RePEc:cdl:ucsdec:qt62c0h04j)
  by Dufour, Alfonso & Engle, Robert F
• The differential impact of leverage on the default risk of small and large firms (RePEc:eee:corfin:v:60:y:2020:i:c:s0929119918305443)
  by Cathcart, Lara & Dufour, Alfonso & Rossi, Ludovico & Varotto, Simone
• Modeling intraday volatility of European bond markets: A data filtering application (RePEc:eee:finana:v:63:y:2019:i:c:p:131-146)
  by Zhang, Hanyu & Dufour, Alfonso
• The equity-like behaviour of sovereign bonds (RePEc:eee:intfin:v:48:y:2017:i:c:p:25-46)
  by Dufour, Alfonso & Stancu, Andrei & Varotto, Simone
• Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos (RePEc:eee:jbfina:v:107:y:2019:i:c:10)
  by Dufour, Alfonso & Marra, Miriam & Sangiorgi, Ivan
• Complexity and the default risk of mortgage-backed securities (RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001917)
  by Billio, Monica & Dufour, Alfonso & Segato, Samuele & Varotto, Simone
• Credit and liquidity components of corporate CDS spreads (RePEc:eee:jbfina:v:37:y:2013:i:12:p:5511-5525)
  by Corò, Filippo & Dufour, Alfonso & Varotto, Simone
• On the performance of the tick test (RePEc:eee:quaeco:v:54:y:2014:i:1:p:42-50)
  by Perlin, Marcelo & Brooks, Chris & Dufour, Alfonso
• Managing portfolio risk during crisis times: A dynamic conditional correlation perspective (RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251)
  by Zhang, Hanyu & Dufour, Alfonso
• Predicting Stock Price Changes Based on the Limit Order Book: A Survey (RePEc:gam:jmathe:v:10:y:2022:i:8:p:1234-:d:790090)
  by Ilia Zaznov & Julian Kunkel & Alfonso Dufour & Atta Badii
• The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market (RePEc:kap:annfin:v:10:y:2014:i:3:p:457-480)
  by Marcelo Perlin & Alfonso Dufour & Chris Brooks
• Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies (RePEc:pal:palbok:978-1-137-36130-1)
  by John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells
• Introduction (RePEc:pal:palchp:978-1-137-36130-1_1)
  by John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells
• Regression Analyses with Multiple Variables (RePEc:pal:palchp:978-1-137-36130-1_10)
  by John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells
• Market-Switching Stocks (RePEc:pal:palchp:978-1-137-36130-1_11)
  by John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells
• GARCH Analysis of Switchers (RePEc:pal:palchp:978-1-137-36130-1_12)
  by John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells
• Conclusions (RePEc:pal:palchp:978-1-137-36130-1_13)
  by John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells
• Activities (RePEc:pal:palchp:978-1-137-36130-1_2)
  by John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells
• Interviews (RePEc:pal:palchp:978-1-137-36130-1_3)
  by John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells
• Literature Review (RePEc:pal:palchp:978-1-137-36130-1_4)
  by John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells
• Empirical Analysis (RePEc:pal:palchp:978-1-137-36130-1_5)
  by John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells
• Preliminary Data Analysis (RePEc:pal:palchp:978-1-137-36130-1_6)
  by John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells
• Volatility Estimation (RePEc:pal:palchp:978-1-137-36130-1_7)
  by John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells
• Basic Analysis of Relative Volatility (RePEc:pal:palchp:978-1-137-36130-1_8)
  by John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells
• Relative Risk Allowing for Size, Age or Liquidity (RePEc:pal:palchp:978-1-137-36130-1_9)
  by John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells
• A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market (RePEc:pra:mprapa:23380)
  by Perlin, Marcelo & Dufour, Alfonso & Brooks, Chris
• The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market (RePEc:pra:mprapa:23381)
  by Perlin, Marcelo & Dufour, Alfonso & Brooks, Chris
• The ACD Model: Predictability of the Time Between Concecutive Trades (RePEc:rdg:icmadp:icma-dp2000-05)
  by Alfonso Dufour & Robert F Engle
• MTS Time Series: Market and Data Description for the European Bond and Repo Database (RePEc:rdg:icmadp:icma-dp2004-06)
  by Alfonso Dufour & Frank Skinner
• A False Perception? The relative riskiness of AIM and listed Stocks (RePEc:rdg:icmadp:icma-dp2006-01)
  by John Board & Alfonso Dufour & Charles Sutcliffe & Stephen Wells
• The Time Varying Properties of Credit and Liquidity Components of CDS Spreads (RePEc:rdg:icmadp:icma-dp2012-06)
  by Filippo Coro & Alfonso Dufour & Simone Varotto
• The Equity-like Behaviour of Sovereign Bonds (RePEc:rdg:icmadp:icma-dp2014-16)
  by Alfonso Dufour & Andrei Stancu & Simone Varotto
• Permanent trading impacts and bond yields (RePEc:taf:eurjfi:v:18:y:2012:i:9:p:841-864)
  by Alfonso Dufour & Minh Nguyen
• Explaining repo specialness (RePEc:wly:ijfiec:v:25:y:2020:i:2:p:172-196)
  by Alfonso Dufour & Miriam Marra & Ivan Sangiorgi & Frank S. Skinner