| Year |
Citation |
Score |
| 2020 |
Collin-Dufresne P, Fos V, Muravyev D. Informed Trading in the Stock Market and Option Price Discovery Journal of Financial and Quantitative Analysis. 1-97. DOI: 10.2139/Ssrn.2675866 |
0.5 |
|
| 2020 |
Collin-Dufresne P, Junge B, Trolle AB. Market Structure and Transaction Costs of Index CDSs Journal of Finance. 75: 2719-2763. DOI: 10.1111/Jofi.12953 |
0.496 |
|
| 2020 |
Bogousslavsky V, Collin-Dufresne P, Sağlam M. Slow-Moving Capital and Execution Costs: Evidence from a Major Trading Glitch Journal of Financial Economics. DOI: 10.1016/J.Jfineco.2020.08.009 |
0.465 |
|
| 2020 |
Collin-Dufresne P, Daniel KD, Sağlam M. Liquidity Regimes and Optimal Dynamic Asset Allocation Journal of Financial Economics. 136: 379-406. DOI: 10.1016/J.Jfineco.2019.09.011 |
0.49 |
|
| 2019 |
Bai J, Collin-Dufresne P. The CDS-Bond Basis Financial Management. 48: 417-439. DOI: 10.2139/Ssrn.2024531 |
0.309 |
|
| 2018 |
Back KE, Collin-Dufresne P, Fos V, Li T, Ljungqvist AP. Activism, Strategic Trading, and Liquidity Econometrica. 86: 1431-1463. DOI: 10.3982/Ecta14917 |
0.431 |
|
| 2018 |
Casassus J, Collin-Dufresne P, Routledge BR. Equilibrium commodity prices with irreversible investment and non-linear technologies Journal of Banking and Finance. 95: 128-147. DOI: 10.1016/J.Jbankfin.2018.04.001 |
0.719 |
|
| 2017 |
Collin-Dufresne P, Johannes M, Lochstoer LA. Asset Pricing When 'This Time is Different' Review of Financial Studies. 30: 505-535. DOI: 10.1093/Rfs/Hhw084 |
0.489 |
|
| 2016 |
Collin-Dufresne P, Fos V. Insider Trading, Stochastic Liquidity and Equilibrium Prices Econometrica. 84: 1441-1475. DOI: 10.3982/Ecta10789 |
0.503 |
|
| 2016 |
Collin-Dufresne P, Johannes M, Lochstoer LA. Parameter learning in general equilibrium: The asset pricing implications American Economic Review. 106: 664-698. DOI: 10.1257/Aer.20130392 |
0.43 |
|
| 2015 |
Collin-Dufresne P, Fos V. Do Prices Reveal the Presence of Informed Trading Journal of Finance. 70: 1555-1582. DOI: 10.1111/Jofi.12260 |
0.343 |
|
| 2015 |
Belo F, Collin-Dufresne P, Goldstein RS. Dividend Dynamics and the Term Structure of Dividend Strips Journal of Finance. 70: 1115-1160. DOI: 10.1111/Jofi.12242 |
0.495 |
|
| 2015 |
Bai J, Collin-Dufresne P, Goldstein RS, Helwege J. On Bounding Credit Event Risk Premia Review of Financial Studies. 28: 2608-2642. DOI: 10.1093/Rfs/Hhv022 |
0.455 |
|
| 2015 |
Benzoni L, Collin-Dufresne P, Goldstein RS, Helwege J. Modeling Credit Contagion via the Updating of Fragile Beliefs Review of Financial Studies. 28: 1960-2008. DOI: 10.1093/Rfs/Hhv018 |
0.43 |
|
| 2014 |
Collin-Dufresne P, Hugonnier JN. Event risk, contingent claims and the temporal resolution of uncertainty Mathematics and Financial Economics. 8: 29-69. DOI: 10.1007/S11579-013-0107-8 |
0.499 |
|
| 2012 |
Belo F, Collin-Dufresne P, Goldstein RS. Endogenous Dividend Dynamics and the Term Structure of Dividend Strips National Bureau of Economic Research. DOI: 10.2139/Ssrn.2180777 |
0.553 |
|
| 2012 |
Collin-Dufresne P, Goldstein RS, Yang F. On the Relative Pricing of Long‐Maturity Index Options and Collateralized Debt Obligations Journal of Finance. 67: 1983-2014. DOI: 10.1111/J.1540-6261.2012.01779.X |
0.565 |
|
| 2011 |
Benzoni L, Collin-Dufresne P, Goldstein RS. Explaining asset pricing puzzles associated with the 1987 market crash Journal of Financial Economics. 101: 552-573. DOI: 10.1016/J.Jfineco.2011.01.008 |
0.549 |
|
| 2010 |
Collin-Dufresne P, Goldstein RS, Yang F. On the Relative Pricing of Long Maturity S&P 500 Index Options and CDX Tranches National Bureau of Economic Research. DOI: 10.2139/Ssrn.1542873 |
0.512 |
|
| 2010 |
Collin-Dufresne P, Goldstein RS, Helwege J. Is Credit Event Risk Priced? Modeling Contagion Via the Updating of Beliefs National Bureau of Economic Research. DOI: 10.2139/Ssrn.1542848 |
0.466 |
|
| 2009 |
Chen L, Collin-Dufresne P, Goldstein RS. On the Relation between the Credit Spread Puzzle and the Equity Premium Puzzle Review of Financial Studies. 22: 3367-3409. DOI: 10.1093/Rfs/Hhn078 |
0.486 |
|
| 2009 |
Collin-Dufresne P, Goldstein RS, Jones CS. Can interest rate volatility be extracted from the cross section of bond yields Journal of Financial Economics. 94: 47-66. DOI: 10.1016/J.Jfineco.2008.06.007 |
0.459 |
|
| 2008 |
Collin-Dufresne P, Goldstein RS, Jones CS. Identification of Maximal Affine Term Structure Models Journal of Finance. 63: 743-795. DOI: 10.1111/J.1540-6261.2008.01331.X |
0.37 |
|
| 2008 |
Collin-Dufresne P. A Short Introduction to Correlation Markets Journal of Financial Econometrics. 7: 12-29. DOI: 10.1093/Jjfinec/Nbn019 |
0.443 |
|
| 2007 |
Benzoni L, Collin-Dufresne P, Goldstein RS. Portfolio choice over the life-cycle when the stock and labor markets are cointegrated Journal of Finance. 62: 2123-2167. DOI: 10.1111/J.1540-6261.2007.01271.X |
0.469 |
|
| 2005 |
Benzoni L, Collin-Dufresne P, Goldstein RS. Can Standard Preferences Explain the Prices of Out of the Money S&P 500 Put Options National Bureau of Economic Research. DOI: 10.2139/Ssrn.775146 |
0.557 |
|
| 2005 |
Casassus J, Collin-Dufresne P, Routledge BR. Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology National Bureau of Economic Research. DOI: 10.2139/Ssrn.686542 |
0.733 |
|
| 2005 |
Benzoni L, Collin-Dufresne P, Goldstein RS. Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income National Bureau of Economic Research. DOI: 10.2139/Ssrn.651061 |
0.455 |
|
| 2005 |
Casassus J, Collin-Dufresne P. Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates Journal of Finance. 60: 2283-2331. DOI: 10.1111/J.1540-6261.2005.00799.X |
0.736 |
|
| 2005 |
Casassus J, Collin-Dufresne P, Goldstein B. Unspanned stochastic volatility and fixed income derivatives pricing Journal of Banking & Finance. 29: 2723-2749. DOI: 10.1016/J.Jbankfin.2005.02.007 |
0.718 |
|
| 2004 |
Collin-Dufresne P, Jones CS, Goldstein RS. Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility National Bureau of Economic Research. DOI: 10.3386/W10756 |
0.479 |
|
| 2004 |
Collin-Dufresne P, Goldstein RS, Hugonnier J. A general formula for valuing defaultable securities Econometrica. 72: 1377-1407. DOI: 10.1111/J.1468-0262.2004.00538.X |
0.441 |
|
| 2002 |
Collin-Dufresne P, Goldstein RS. Pricing Swaptions Within an Affine Framework Journal of Derivatives. 10: 9-26. DOI: 10.3905/Jod.2002.319187 |
0.466 |
|
| 2002 |
Collin-Dufresne P, Goldstein RS. Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility Journal of Finance. 57: 1685-1730. DOI: 10.1111/1540-6261.00475 |
0.501 |
|
| 2001 |
Collin-Dufresne P, Goldstein RS, Martin JS. The Determinants of Credit Spread Changes Journal of Finance. 56: 2177-2207. DOI: 10.1111/0022-1082.00402 |
0.437 |
|
| 2001 |
Collin-Dufresne P, Goldstein RS. Do Credit Spreads Reflect Stationary Leverage Ratios Journal of Finance. 56: 1929-1957. DOI: 10.1111/0022-1082.00395 |
0.465 |
|
| 2001 |
Collin-Dufresne P, Solnik B. On the term structure of default premia in the Swap and Libor markets Journal of Finance. 56: 1095-1115. DOI: 10.1111/0022-1082.00357 |
0.549 |
|
| 1999 |
Collin-Dufresne P, Harding JP. A Closed Form Formula for Valuing Mortgages Journal of Real Estate Finance and Economics. 19: 133-146. DOI: 10.1023/A:1007879422329 |
0.422 |
|
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