How Integrated are Credit and Equity Markets? Evidence from Index Options
COLLIN‐DUFRESNE, PIERRE, JUNGE, BENJAMIN, TROLLE, ANDERS B.
Published in The Journal of finance (New York) (01.04.2024)
Published in The Journal of finance (New York) (01.04.2024)
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Journal Article
Parameter Learning in General Equilibrium: The Asset Pricing Implications
Collin-Dufresne, Pierre, Johannes, Michael, Lochstoer, Lars A.
Published in The American economic review (01.03.2016)
Published in The American economic review (01.03.2016)
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Journal Article
Informed Trading in the Stock Market and Option-Price Discovery
Collin-Dufresne, Pierre, Fos, Vyacheslav, Muravyev, Dmitry
Published in Journal of financial and quantitative analysis (01.09.2021)
Published in Journal of financial and quantitative analysis (01.09.2021)
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Journal Article
Liquidity regimes and optimal dynamic asset allocation
Collin-Dufresne, Pierre, Daniel, Kent, Sağlam, Mehmet
Published in Journal of financial economics (01.05.2020)
Published in Journal of financial economics (01.05.2020)
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Journal Article
Can interest rate volatility be extracted from the cross section of bond yields?
Collin-Dufresne, Pierre, Goldstein, Robert S., Jones, Christopher S.
Published in Journal of financial economics (01.10.2009)
Published in Journal of financial economics (01.10.2009)
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Journal Article
Pricing and hedging in the presence of extraneous risks
Dufresne, Pierre Collin, Hugonnier, Julien
Published in Stochastic processes and their applications (01.06.2007)
Published in Stochastic processes and their applications (01.06.2007)
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Journal Article
Unspanned stochastic volatility and fixed income derivatives pricing
Casassus, Jaime, Collin-Dufresne, Pierre, Goldstein, Bob
Published in Journal of banking & finance (01.11.2005)
Published in Journal of banking & finance (01.11.2005)
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Journal Article
Slow-moving capital and execution costs: Evidence from a major trading glitch
Bogousslavsky, Vincent, Collin-Dufresne, Pierre, Sağlam, Mehmet
Published in Journal of financial economics (01.03.2021)
Published in Journal of financial economics (01.03.2021)
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Journal Article
Insider trading with penalties
Carré, Sylvain, Collin-Dufresne, Pierre, Gabriel, Franck
Published in Journal of economic theory (01.07.2022)
Published in Journal of economic theory (01.07.2022)
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Journal Article
Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca, Collin-Dufresne, Pierre, Goldstein, Robert S.
Published in Journal of financial economics (01.09.2011)
Published in Journal of financial economics (01.09.2011)
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Journal Article
Equilibrium commodity prices with irreversible investment and non-linear technologies
Casassus, Jaime, Collin-Dufresne, Pierre, Routledge, Bryan R.
Published in Journal of banking & finance (01.10.2018)
Published in Journal of banking & finance (01.10.2018)
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Journal Article
Activism, Strategic Trading, and Liquidity
Back, Kerry, Pierre Collin-Dufresne Vyacheslav Fos, Li, Tao, Ljungqvist, Alexander
Published in NBER Working Paper Series (01.12.2016)
Published in NBER Working Paper Series (01.12.2016)
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