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Alfonso Dufour

Personal Details

First Name:Alfonso
Middle Name:
Last Name:Dufour
Suffix:
RePEc Short-ID:pdu163
[This author has chosen not to make the email address public]
http://www.icmacentre.ac.uk
Terminal Degree:1999 Department of Economics; University of California-San Diego (UCSD) (from RePEc Genealogy)

Affiliation

ICMA Centre for Financial Markets
Henley Business School
University of Reading

Reading, United Kingdom
https://www.icmacentre.ac.uk
RePEc:edi:isrdguk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
  2. Filippo Coro & Alfonso Dufour & Simone Varotto, 2012. "The Time Varying Properties of Credit and Liquidity Components of CDS Spreads," ICMA Centre Discussion Papers in Finance icma-dp2012-06, Henley Business School, University of Reading.
  3. 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.
  4. 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.
  5. 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, University of Reading.
  6. 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, University of Reading.
  7. 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, University of Reading.
  8. 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. Zhang, Hanyu & Dufour, Alfonso, 2024. "Managing portfolio risk during crisis times: A dynamic conditional correlation perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 241-251.
  2. Billio, Monica & Dufour, Alfonso & Segato, Samuele & Varotto, Simone, 2023. "Complexity and the default risk of mortgage-backed securities," Journal of Banking & Finance, Elsevier, vol. 155(C).
  3. Ilia Zaznov & Julian Kunkel & Alfonso Dufour & Atta Badii, 2022. "Predicting Stock Price Changes Based on the Limit Order Book: A Survey," Mathematics, MDPI, vol. 10(8), pages 1-33, April.
  4. Cathcart, Lara & Dufour, Alfonso & Rossi, Ludovico & Varotto, Simone, 2020. "The differential impact of leverage on the default risk of small and large firms," Journal of Corporate Finance, Elsevier, vol. 60(C).
  5. Alfonso Dufour & Miriam Marra & Ivan Sangiorgi & Frank S. Skinner, 2020. "Explaining repo specialness," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(2), pages 172-196, April.
  6. Dufour, Alfonso & Marra, Miriam & Sangiorgi, Ivan, 2019. "Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
  7. Zhang, Hanyu & Dufour, Alfonso, 2019. "Modeling intraday volatility of European bond markets: A data filtering application," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 131-146.
  8. Dufour, Alfonso & Stancu, Andrei & Varotto, Simone, 2017. "The equity-like behaviour of sovereign bonds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 25-46.
  9. Marcelo Perlin & Alfonso Dufour & Chris Brooks, 2014. "The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market," Annals of Finance, Springer, vol. 10(3), pages 457-480, August.
  10. 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.
  11. Corò, 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.
  12. 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.
  13. 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.

Chapters

  1. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Market-Switching Stocks," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 11, pages 73-82, Palgrave Macmillan.
  2. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Relative Risk Allowing for Size, Age or Liquidity," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 9, pages 58-63, Palgrave Macmillan.
  3. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Empirical Analysis," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 5, pages 31-40, Palgrave Macmillan.
  4. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Activities," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 2, pages 3-4, Palgrave Macmillan.
  5. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Preliminary Data Analysis," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 6, pages 41-48, Palgrave Macmillan.
  6. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "GARCH Analysis of Switchers," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 12, pages 83-86, Palgrave Macmillan.
  7. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Introduction," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 1, pages 1-2, Palgrave Macmillan.
  8. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Conclusions," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 13, pages 87-92, Palgrave Macmillan.
  9. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Interviews," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 3, pages 5-6, Palgrave Macmillan.
  10. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Volatility Estimation," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 7, pages 49-53, Palgrave Macmillan.
  11. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Regression Analyses with Multiple Variables," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 10, pages 64-72, Palgrave Macmillan.
  12. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Basic Analysis of Relative Volatility," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 8, pages 54-57, Palgrave Macmillan.
  13. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Literature Review," Palgrave Macmillan Books, in: Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies, chapter 4, pages 7-30, Palgrave Macmillan.

Books

  1. John Board & Alfonso Dufour & Yusuf Hartavi & Charles Sutcliffe & Stephen Wells, 2015. "Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-137-36130-1, October.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-EEC: European Economics (2) 2010-06-26 2015-04-02
  2. NEP-FMK: Financial Markets (2) 2010-06-26 2015-04-02
  3. NEP-MST: Market Microstructure (2) 2010-06-26 2010-06-26
  4. NEP-BAN: Banking (1) 2015-04-02

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