Alfonso Dufour : Citation Profile

University of Reading

8

H index

7

i10 index

494

Citations

RESEARCH PRODUCTION:

19

Articles

9

Papers

1

Books

13

Chapters

RESEARCH ACTIVITY:

   27 years (1999 - 2026). See details.
   Cites by year: 18
   Journals where Alfonso Dufour has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 8 (1.59 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdu163
   Updated: 2026-09-05    RAS profile: 2025-04-24    
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Relations with other researchers

Works with:

Billio, Monica (4)

Rossi, Ludovico (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Alfonso Dufour.

Is cited by:

Pelizzon, Loriana (8)

Dionne, Georges (8)

Hautsch, Nikolaus (7)

Cartea, Álvaro (6)

Engle, Robert (5)

PASCUAL, ROBERTO (5)

Paiardini, Paola (5)

Allen, David (5)

Sosvilla-Rivero, Simon (4)

Xu, Yongdeng (4)

Schneider, Michael (4)

Cites to:

Engle, Robert (28)

Bollerslev, Tim (12)

Acharya, Viral (11)

Subrahmanyam, Avanidhar (11)

Vayanos, Dimitri (11)

Easley, David (11)

Pedersen, Lasse (10)

Shleifer, Andrei (9)

West, Kenneth (8)

Roll, Richard (8)

Altman, Edward (8)

Main data

Where Alfonso Dufour has published?

Journals with more than one article published# docs
Journal of Banking & Finance5
International Review of Financial Analysis3
The Quarterly Review of Economics and Finance2
The European Journal of Finance2

Working Papers Series with more than one paper published# docs
ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading5
MPRA Paper / University Library of Munich, Germany2

Recent works citing Alfonso Dufour (2026 and 2025)

YearTitle of citing document
2026Non-unique time and market incompleteness. (2026). Gebbie, Tim ; Angstmann, Chris. In: Papers. RePEc:arx:papers:2604.23608.

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2026A Gabor--Epps uncertainty principle for traders. (2026). Gebbie, Tim. In: Papers. RePEc:arx:papers:2607.04130.

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2025Estimating Short-term Default Probabilities Conditional to Economic Conditions: Applications of Regularisation Approach and Economic Adjustment Coefficients. (2025). Abdul, Halim Zairihan ; Haiza, Zawawi Nur ; Aisyah, Mustafa Siti ; Mohd, Nor Safwan. In: Business Systems Research. RePEc:bit:bsrysr:v:16:y:2025:i:1:p:178-197:n:1009.

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2025The price impact of tweets: A high‐frequency study. (2025). Yang, NI ; Indriawan, Ivan ; Fernandezperez, Adrian. In: The Financial Review. RePEc:bla:finrev:v:60:y:2025:i:1:p:147-171.

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2025Stock and Sovereign Returns Linkages: Time-Varying Causality and Extreme-Quantile Determinants. (2025). Afonso, Antonio ; Monteiro, Sofia ; Grabowski, Wojciech ; Alves, Jos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11667.

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2025Evaluating the Effects of the German Debt Brake: A Synthetic Control Approach. (2025). Nientiedt, Daniel ; Feld, Lars ; Hassib, Joshua ; Langer, Maximilian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11933.

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2025Evaluating the Effects of the German Debt Brake: A Synthetic Control Approach. (2025). Nientiedt, Daniel ; Feld, Lars ; Langer, Maximilian ; Hassib, Joshua. In: CESifo Working Paper Series. RePEc:ces:ceswps:_119333.

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2025The term structure of interest rates in a noisy information model. (2025). McNeil, James ; Coulombe, Raphaelle G. In: Working Papers. RePEc:dal:wpaper:daleconwp2025-01.

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2025European SMEs, Corporate Finance and Economic Resilience to Floods. (2025). Peters, Vinzenz ; de Carolis, Flavio. In: Working Papers. RePEc:dnb:dnbwpp:832.

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2025Higher-order exposures. (2025). Wetzer, Thom ; Kemp, Esti ; Kleinnijenhuis, Alissa M ; Wiersema, Garbrand. In: Working Paper Series. RePEc:ecb:ecbwps:20253091.

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2026A quantile probability model for sectoral corporate defaults in Europe. (2026). Marques, Aurea Ponte ; Metzler, Julian ; Konietschke, Paul. In: Working Paper Series. RePEc:ecb:ecbwps:20263207.

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2025The employment effects of VAT rebate efficiency: Evidence from SMEs in China. (2025). Xu, Yuan ; Hu, Jiashu ; Ma, Hong ; Lu, Bing. In: China Economic Review. RePEc:eee:chieco:v:94:y:2025:i:pb:s1043951x25002196.

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2025The power of credit: can the implementation of a social credit system reduce the risk of corporate debt default?. (2025). Liu, Shengtao ; Zhao, Xiaoke. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:86:y:2025:i:c:p:749-763.

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2025Monetary policy uncertainty and corporate credit financing in China: The role of accounting information quality. (2025). Yang, Miao ; Li, Xiao-Lin ; Zhao, Chen ; Ge, Xinyu. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s026499932400347x.

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2025Does economic policy uncertainty matter to corporate default probability? findings from theoretic analyses and China’s listed firms. (2025). Deng, Guoying ; Liu, Junrong ; Ma, Shibo ; Yan, Jingzhou. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002389.

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2025Climate concerns, salient events, and green preferences. (2025). Petey, Joël ; MERLI, Maxime ; Roger, Tristan. In: Economics Letters. RePEc:eee:ecolet:v:255:y:2025:i:c:s0165176525003714.

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2025Does carbon news influence carbon prices?–Taking Chinas carbon market as an example. (2025). Sun, Tao ; Zhang, Heng-Guo. In: Energy. RePEc:eee:energy:v:333:y:2025:i:c:s0360544225029810.

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2025Can digital inclusive finance promote the Internet business model? Empirical evidence from Chinese listed firms. (2025). Zhang, LI ; Chen, Xikai ; Guo, Tongtong ; Peng, Jiao. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925001103.

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2025Stock and sovereign returns linkages: Time-varying causality and extreme-quantile determinants. (2025). Alves, José ; Afonso, Antonio ; Grabowski, Wojciech ; Monteiro, Sofia. In: International Review of Financial Analysis. RePEc:eee:finana:v:108:y:2025:i:pa:s105752192500794x.

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2026Trade credit dynamics in supply chain: The impact of supplier operational inflexibility. (2026). Glavee, Patrick ; Yang, Lukai. In: International Review of Financial Analysis. RePEc:eee:finana:v:109:y:2026:i:c:s1057521925008567.

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2025Exploring the correlation between financial leverage and corporate bond credit spreads. (2025). Chen, Shasha ; Yang, Qing ; Lin, ZI. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325001205.

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2025Sectoral credit allocation and systemic risk. (2025). Ongena, Steven ; Andrieș, Alin Marius ; Sprincean, Nicu. In: Journal of Financial Stability. RePEc:eee:finsta:v:76:y:2025:i:c:s1572308924001487.

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2025The effect of fintech financing on firm performance: Evidence from emerging economies. (2025). Moore, Tomoe ; Saad, Mohsen ; Gaibulloev, Khusrav ; Mirzaei, Ali. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:103:y:2025:i:c:s1042443125000915.

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2025Credit standards and corporate loan default. Insights for macroprudential policy. (2025). Lafuerza, Luis Fernndez ; Galn, Jorge E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:181:y:2025:i:c:s0378426625001864.

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2025Influence of ESG on corporate debt default risk: An analysis of the dual risk scenarios. (2025). Nasim, Asma ; Xiao, Zisheng ; Shang, Yuping ; Zhao, Xin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:151:y:2025:i:c:s0261560624002353.

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2025The term structure of interest rates in a noisy information model. (2025). McNeil, James ; G. Coulombe, Raphaelle. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:159:y:2025:i:c:s0261560625001780.

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2025A three-stage prediction model for firm default risk: An integration of text sentiment analysis. (2025). Ma, Xuejiao ; Jiang, Qichuan ; Che, Tianqi. In: Omega. RePEc:eee:jomega:v:131:y:2025:i:c:s0305048324001713.

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2025Mandatory corporate ESG disclosure and default risk – Evidence from China. (2025). Du, Hanyu ; Li, Wei-An ; He, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003305.

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2025CSR and exposure to systemic risk: Building resilience in non-financial firms. (2025). Dhawan, Priya ; Chaudhry, Neeru. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:93:y:2025:i:c:s0927538x25002215.

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2026Forecasting intraday risk incorporating the higher-order moments. (2026). Jia, Jing ; Yin, Man ; Ke, Rui. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:106:y:2026:i:c:s1062976926000153.

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2026Natural disasters and corporate default risk. (2026). Ali, Searat ; Sun, Hui ; Malik, Ihtisham ; Chowdhury, Hasibul. In: International Review of Economics & Finance. RePEc:eee:reveco:v:106:y:2026:i:c:s1059056026000626.

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2026Banking on the brink: An incremental cost-based view of financial stress. (2026). Madhavan, Vinodh ; Kumar, Satish ; Swain, Pankaj ; Misra, Arun Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:81:y:2026:i:c:s0275531925004295.

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2025Deep limit order book forecasting: a microstructural guide. (2025). Aste, Tomaso ; Bartolucci, Silvia ; Briola, Antonio. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:128950.

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2025Determinants of the Rehabilitation of Defaulting Small Businesses: Are real or financial factors important?. (2025). Tsuruta, Daisuke. In: Discussion papers. RePEc:eti:dpaper:25066.

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2026Modelling Greek Firms’ Survival Rates and Identifying “Zombies”. (2026). Pyrgiotakis, Emmanouil ; Kontonikas, Alexandros ; Kokas, Sotirios ; Fousteris, Andreas ; Andreou, Kyriakos. In: GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe. RePEc:hel:greese:216.

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2025Optimal Trading with Speed-Dependent Transaction Cost Rates: A Flexible Framework. (2025). Qian, Shuaijie ; Xu, Jing ; Liu, Hong. In: Operations Research. RePEc:inm:oropre:v:73:y:2025:i:6:p:2933-2952.

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2026Optimal Trade Execution Under Endogenous Order Flow. (2026). Tran, Hoang Hai ; Horst, Ulrich ; Chen, Ying. In: Operations Research. RePEc:inm:oropre:v:74:y:2026:i:1:p:72-92.

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2025Stock and sovereign returns linkages: time-varying causality and extreme-quantile determinants. (2025). Alves, José ; Afonso, Antonio ; Grabowski, Wojciech ; Monteiro, Sofia. In: Working Papers REM. RePEc:ise:remwps:wp03662025.

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2026Ease of Doing Business and Entrepreneurship: Evidence from a Tax Administration Reform in China. (2026). Wang, Yanan ; Pan, Hongyu ; Zhang, Yue. In: International Tax and Public Finance. RePEc:kap:itaxpf:v:33:y:2026:i:3:d:10.1007_s10797-026-09968-2.

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2025Not on the same page: comprehensibility of MBS investment prospectuses. (2025). Hibbeln, Martin ; Metzler, Ralf ; Osterkamp, Werner. In: Review of Derivatives Research. RePEc:kap:revdev:v:28:y:2025:i:2:d:10.1007_s11147-025-09213-8.

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2026ESG performance and corporate default risk: insights from investor perspectives. (2026). Li, Xujing ; Yang, Hong. In: Risk Management. RePEc:pal:risman:v:28:y:2026:i:1:d:10.1057_s41283-025-00182-8.

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2025Credit rating prediction with ESG data using data mining methods. (2025). Sayilir, Zlem ; Chelery, Muhammed Aslam ; Doan, Murat. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00490-1.

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2025Credit risk modelling within the euro area in the COVID‐19 period: Evidence from an ICAS framework. (2025). Pelagidis, Theodore ; Prassa, Chara ; Chortareas, Georgios ; Katsafados, Apostolos G. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:2:p:1074-1105.

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2026Trading Periodicity and Algorithmic Divide in Cryptocurrency Markets. (2026). Shynkevich, Andrei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:46:y:2026:i:5:p:904-930.

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2025DEEP NEURAL NETWORKS METHODS FOR ESTIMATING MARKET MICROSTRUCTURE AND SPECULATIVE ATTACKS MODELS: THE CASE OF GOVERNMENT BOND MARKET. (2025). Belan, Mara A ; Ferna, Manuel A ; Alaminos, David. In: The Singapore Economic Review (SER). RePEc:wsi:serxxx:v:70:y:2025:i:04:n:s0217590822480034.

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2026The green bond premium: Evidence from a multiverse analysis. (2026). Kirsch, Paula ; Bauckloh, Michael Tobias. In: CFR Working Papers. RePEc:zbw:cfrwps:340841.

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Works by Alfonso Dufour:

YearTitleTypeCited
2026TT-DAC-PS: Twin-Target Deterministic Actor-Critic with Policy Smoothing for Optimal Trade Execution In: Papers.
[Full Text][Citation analysis]		paper0
2000Time and the Price Impact of a Trade In: Journal of Finance.
[Full Text][Citation analysis]		article281
1999Time and the Price Impact of a Trade.(1999) In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 281		paper
2020The differential impact of leverage on the default risk of small and large firms In: Journal of Corporate Finance.
[Full Text][Citation analysis]		article62
2025Greenium fluctuations and climate awareness in the corporate bond market In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article2
2019Modeling intraday volatility of European bond markets: A data filtering application In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article7
2025The systemic risk of leveraged and covenant-lite loan syndications In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article0
2017The equity-like behaviour of sovereign bonds In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article11
2014The Equity-like Behaviour of Sovereign Bonds.(2014) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2019Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article9
2023Complexity and the default risk of mortgage-backed securities In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2024Corrigendum to “Complexity and the default risk of mortgage-backed securities” [Journal of Banking and Finance 155 (2023) 106993].(2024) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2024Corporate bankruptcy and banking deregulation: The effect of financial leverage In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2013Credit and liquidity components of corporate CDS spreads In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article39
2025Bond supply expectations and the term structure of interest rates In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article4
2014On the performance of the tick test In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article4
2024Managing portfolio risk during crisis times: A dynamic conditional correlation perspective In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article1
2022Predicting Stock Price Changes Based on the Limit Order Book: A Survey In: Mathematics.
[Full Text][Citation analysis]		article5
2014The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market In: Annals of Finance.
[Full Text][Citation analysis]		article5
2015Risk and Trading on London’s Alternative Investment Market: The Stock Market for Smaller and Growing Companies In: Palgrave Macmillan Books.
[Citation analysis]		book0
2015Introduction In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2015Regression Analyses with Multiple Variables In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2015Market-Switching Stocks In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2015GARCH Analysis of Switchers In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2015Conclusions In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2015Activities In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2015Interviews In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2015Literature Review In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2015Empirical Analysis In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2015Preliminary Data Analysis In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2015Volatility Estimation In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2015Basic Analysis of Relative Volatility In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2015Relative Risk Allowing for Size, Age or Liquidity In: Palgrave Macmillan Books.
[Citation analysis]		chapter0
2010A Microstructure Model for Spillover Effects in Price Discovery: A Study for the European Bond Market In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2010The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2000The ACD Model: Predictability of the Time Between Concecutive Trades In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper22
2004MTS Time Series: Market and Data Description for the European Bond and Repo Database In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper14
2005A False Perception? The relative riskiness of AIM and listed Stocks In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2012The Time Varying Properties of Credit and Liquidity Components of CDS Spreads In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
2012Permanent trading impacts and bond yields In: The European Journal of Finance.
[Full Text][Citation analysis]		article24
2026Rain or shine, default risks align: exploring the climate-default nexus in small and micro firms In: The European Journal of Finance.
[Full Text][Citation analysis]		article0
2020Explaining repo specialness In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article0

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