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Alfonso Dufour

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This is information that was supplied by Alfonso Dufour in registering through RePEc. If you are Alfonso Dufour , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Alfonso
Middle Name:
Last Name: Dufour
Suffix:

RePEc Short-ID: pdu163

Email: [This author has chosen not to make the email address public]
Homepage: http://www.icmacntre.rdg.ac.uk
Postal Address:
Phone:

Affiliation

ICMA Centre for Financial Markets
Henley Business School
University of Reading
Location: Reading, United Kingdom
Homepage: http://www.icmacentre.rdg.ac.uk/
Email:
Phone: +44 (0)118 378 8239
Fax: +44 (0)118 931 4741
Postal: Whiteknights Park, PO Box 242, Reading, RG6 6BA
Handle: RePEc:edi:isrdguk (more details at EDIRC)

Works

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Working papers

  1. Perlin, Marcelo & Dufour, Alfonso & Brooks, Chris, 2010. "The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market," MPRA Paper 23381, University Library of Munich, Germany.
  2. Perlin, Marcelo & Dufour, Alfonso & Brooks, Chris, 2010. "A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market," MPRA Paper 23380, University Library of Munich, Germany.
  3. John Board & Alfonso Dufour & Charles Sutcliffe & Stephen Wells, 2005. "A False Perception? The relative riskiness of AIM and listed Stocks," ICMA Centre Discussion Papers in Finance icma-dp2006-01, Henley Business School, Reading University.
  4. Alfonso Dufour & Frank Skinner, 2004. "MTS Time Series: Market and Data Description for the European Bond and Repo Database," ICMA Centre Discussion Papers in Finance icma-dp2004-06, Henley Business School, Reading University.
  5. Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, Henley Business School, Reading University.
  6. Dufour, Alfonso & Engle, Robert F, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series qt62c0h04j, Department of Economics, UC San Diego.

Articles

  1. Perlin, Marcelo & Brooks, Chris & Dufour, Alfonso, 2014. "On the performance of the tick test," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 42-50.
  2. CorĂ², Filippo & Dufour, Alfonso & Varotto, Simone, 2013. "Credit and liquidity components of corporate CDS spreads," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5511-5525.
  3. Alfonso Dufour & Minh Nguyen, 2012. "Permanent trading impacts and bond yields," The European Journal of Finance, Taylor & Francis Journals, vol. 18(9), pages 841-864, October.
  4. Alfonso Dufour & Robert F. Engle, 2000. "Time and the Price Impact of a Trade," Journal of Finance, American Finance Association, vol. 55(6), pages 2467-2498, December.

NEP Fields

2 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-EEC: European Economics (1) 2010-06-26. Author is listed
  2. NEP-FMK: Financial Markets (1) 2010-06-26. Author is listed
  3. NEP-MST: Market Microstructure (2) 2010-06-26 2010-06-26. Author is listed

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