Alfonso Dufour : Citation Profile

Are you Alfonso Dufour?

University of Reading

7

H index

6

i10 index

427

Citations

RESEARCH PRODUCTION:

13

Articles

8

Papers

1

Books

13

Chapters

RESEARCH ACTIVITY:

   25 years (1999 - 2024). See details.
   Cites by year: 17
   Journals where Alfonso Dufour has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 7 (1.61 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdu163
   Updated: 2024-11-04    RAS profile: 2024-06-08    
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Relations with other researchers

Works with:

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 (7)

Hautsch, Nikolaus (7)

Cartea, Álvaro (6)

Allen, David (5)

PASCUAL, ROBERTO (5)

Engle, Robert (5)

Paiardini, Paola (5)

Gómez-Puig, Marta (4)

Schneider, Michael (4)

Escribano, Alvaro (4)

Cites to:

Engle, Robert (26)

Bollerslev, Tim (12)

Subrahmanyam, Avanidhar (11)

Pedersen, Lasse (9)

Shleifer, Andrei (9)

Acharya, Viral (9)

Easley, David (9)

Roll, Richard (8)

Beber, Alessandro (8)

West, Kenneth (7)

Altman, Edward (6)

Main data

Where Alfonso Dufour has published?

Journals with more than one article published# docs
Journal of Banking & Finance3
The Quarterly Review of Economics and 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 (2024 and 2023)

YearTitle of citing document
2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2023Measuring price impact and information content of trades in a time-varying setting. (2022). Lillo, F ; Bormetti, G ; Campigli, F. In: Papers. RePEc:arx:papers:2212.12687.

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2023What is mature and what is still emerging in the cryptocurrency market?. (2023). Wkatorek, Marcin ; Kwapie, Jaroslaw ; Zd, Stanislaw Dro. In: Papers. RePEc:arx:papers:2305.05751.

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2023LOB-Based Deep Learning Models for Stock Price Trend Prediction: A Benchmark Study. (2023). Cannistraci, Irene ; Coletta, Andrea ; Arrigoni, Viviana ; Berti, Leonardo ; Masi, Giuseppe ; Prata, Matteo ; Bartolini, Novella ; Velardi, Paola ; Vyetrenko, Svitlana. In: Papers. RePEc:arx:papers:2308.01915.

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2024Deep Limit Order Book Forecasting. (2024). Aste, Tomaso ; Bartolucci, Silvia ; Briola, Antonio. In: Papers. RePEc:arx:papers:2403.09267.

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2023Do small businesses adjust their capital structure? Evidence from the global financial crisis in Japan. (2023). Tsuruta, Daisuke. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:843-871.

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2023A shot in the arm: Economic support packages and firm performance during COVID-19. (2023). Igan, Deniz ; Moore, Tomoe ; Mirzaei, Ali. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001833.

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2023The long-term effects of loan guarantees on SME performance. (2023). Quas, Anita ; Colombo, Massimo G ; Bertoni, Fabio. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000573.

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2024How carbon risk affects corporate debt defaults: Evidence from Paris agreement. (2024). Liang, Yuchao ; Qiang, Haofan ; Wang, Jiaxin ; Zhong, Wenrui ; Huang, Xiang. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007739.

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2024Spillover effects between fossil energy and green markets: Evidence from informational inefficiency. (2024). Urquhart, Andrew ; Duan, Kun ; Xiao, YA ; Ren, Xiaohang. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000252.

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2024Credit default swaps and corporate carbon emissions in Japan. (2024). Takaoka, Sumiko ; Okimoto, Tatsuyoshi. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002123.

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2023A two-stage credit scoring model based on random forest: Evidence from Chinese small firms. (2023). Ballester, Laura ; Shen, Long ; Zhou, Ying. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002715.

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2023Bank loans, trade credit, and liquidity shortages of small businesses during the global financial crisis. (2023). Tsuruta, Daisuke. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004210.

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2024An analysis of the market efficiency of the Chinese copper futures based on intertemporal and intermarket arbitrages. (2024). Ma, Zhen ; Qian, Siji ; Zhang, Huiming. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001753.

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2024Social credit system construction and corporate debt dilemmas. (2024). Zhang, YI ; Wu, Lingling. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012278.

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2024Disentangling the supply and announcement effects of open market operations. (2024). Bulusu, Narayan. In: Journal of Financial Markets. RePEc:eee:finmar:v:67:y:2024:i:c:s1386418123000691.

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2023Bank loan renegotiation and credit default swaps. (2023). Shohfi, Thomas D ; Francis, Bill B ; Donato, James ; Clark, Brian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:151:y:2023:i:c:s0378426620301989.

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2023Eurozone government bond spreads: A tale of different ECB policy regimes. (2023). Pieterse-Bloem, Mary. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s0261560623001663.

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2023Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets. (2023). Sosvilla-Rivero, Simon ; Pieterse-Bloem, Mary ; Gomez-Puig, Marta. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:68:y:2023:i:c:s1042444x23000191.

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2023Are short selling threats beneficial to creditors? Insights from corporate default risk. (2023). Xu, Hongmei ; Ni, Xiaoran. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:81:y:2023:i:c:s0927538x23001889.

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2023Corporate bond liquidity and yield spreads: A review. (2023). Namin, Elmira Shekari ; Goldstein, Michael A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300051x.

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2024Assessing the impact of the COVID-19 crisis on sovereign default risk. (2024). Kanno, Masayasu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003240.

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2024Performance of crypto-Forex portfolios based on intraday data. (2024). Lopez, Raquel ; Esparcia, Carlos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000096.

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2024Does gender matter in financing SMEs in green industry?. (2024). Pisani, Raoul ; di Tommaso, Caterina ; Arcuri, Maria Cristina. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s027553192400014x.

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2024Commonality in liquidity and corporate default risk - Evidence from China. (2024). Zan, Bingyan ; Li, Jintian ; He, Feng ; Fu, Yumei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000734.

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2023A Literature Review on the Financial Determinants of Hotel Default. (2023). METAXAS, THEODORE ; Romanopoulos, Athanasios. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:7:p:323-:d:1188400.

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2024Firm Support Measures, Credit Payment Behavior, and Credit Risk. (2024). Rodríguez-Novoa, Daniela ; Gómez, Camilo ; Rodriguez-Novoa, Daniela. In: IHEID Working Papers. RePEc:gii:giihei:heidwp03-2024.

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2023Trade-time clustering. (2023). Sun, Wei ; Jain, Pankaj K ; Black, Jeffrey R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:3:d:10.1007_s11156-023-01125-8.

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2023Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

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2023Corporate credit and leverage in the EU: recent evolution, main drivers and financial stability implications. (2023). Sánchez Serrano, Antonio ; Beck, Thorsten ; Suarez, Javier ; Perotti, Enrico ; Peltonen, Tuomas. In: Report of the Advisory Scientific Committee. RePEc:srk:srkasc:202314.

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2023The determinants of liquidity commonality in the Euro-area sovereign bond market. (2023). Jiang, XU ; Panagiotou, Panagiotis ; Gavilan, Angel. In: The European Journal of Finance. RePEc:taf:eurjfi:v:29:y:2023:i:10:p:1144-1186.

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2024Determinants of loan survival rates for small and medium?sized enterprises: Evidence from an emerging economy. (2022). Bátiz-Zuk, Enrique ; Batizzuk, Enrique ; Sanchezcajal, Fatima ; Mohamed, Abdulkadir ; Lopezgallo, Fabrizio. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4741-4755.

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Works by Alfonso Dufour:

YearTitleTypeCited
2000Time and the Price Impact of a Trade In: Journal of Finance.
[Full Text][Citation analysis]		article267
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: 267		paper
2020The differential impact of leverage on the default risk of small and large firms In: Journal of Corporate Finance.
[Full Text][Citation analysis]		article30
2019Modeling intraday volatility of European bond markets: A data filtering application In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article7
2017The equity-like behaviour of sovereign bonds In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article7
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: 7		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]		article0
2013Credit and liquidity components of corporate CDS spreads In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article37
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]		article0
In: .
[Full Text][Citation analysis]		article2
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]		paper21
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]		paper13
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]		article23
2020Explaining repo specialness In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article0

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