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Items where Author is "Dufour, Dr Alfonso"

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Zaznov, I. ORCID:, Kunkel, J., Dufour, A. ORCID: and Badii, A. (2022) Predicting stock price changes based on the limit order book: a survey. Mathematics, 10 (8). 1234. ISSN 2227-7390 doi:

Dufour, A., Marra, M., Sangiorgi, I. and Skinner, F. S. (2020) Explaining repo specialness. International Journal of Finance & Economics, 25 (2). pp. 172-196. ISSN 1099-1158 doi:

Cathcart, L., Dufour, A., Rossi, L. and Varotto, S. (2020) Differential impact of leverage on the default risk of small and large firms. Journal of Corporate Finance, 60. 101541. ISSN 0929-1199 doi:

Dufour, A., Marra, M. and Sangiorgi, I. (2019) Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos. Journal of Banking & Finance, 107. 105610. ISSN 0378-4266 doi:

Zhang, H. and Dufour, A. (2019) Modeling intraday volatility of European bond markets: a data filtering application. International Review of Financial Analysis, 63. pp. 131-146. ISSN 1057-5219 doi:

Pele, D. T., Lazar, E. and Dufour, A. (2017) Information entropy and measures of market risk. Entropy, 19 (5). 226. ISSN 1099-4300 doi:

Dufour, A., Stancu, A. and Varotto, S. (2017) The equity-like behaviour of sovereign bonds. Journal of International Financial Markets, Institutions and Money, 48. pp. 25-46. ISSN 1042-4431 doi:

Perlin, M., Brooks, C. and Dufour, A. (2014) On the performance of the tick test. Quarterly Review of Economics and Finance, 54 (1). pp. 42-50. ISSN 1062-9769 doi:

Perlin, M., Dufour, A. and Brooks, C. (2014) The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market. Annals of Finance, 10 (3). pp. 457-480. ISSN 1614-2454 doi:

Coro, F., Dufour, A. and Varotto, S. (2013) Credit and liquidity components of corporate CDS spreads. Journal of Banking & Finance, 37 (12). pp. 5511-5525. ISSN 0378-4266 doi:

Dufour, A. and Nguyen, M. (2012) Permanent trading impacts and bond yields. European Journal of Finance, 18 (9). pp. 841-864. ISSN 1466-4364 doi:

Dufour, A. and Engle, R. F. (2000) Time and the price impact of a trade. Journal of Finance, 55 (6). pp. 2467-2498. ISSN 0022-1082 doi:

Book or Report Section

Busetto, F., Dufour, A. and Varotto, S. ORCID: (2020) COVID-19 and fiscal policy in the euro area. In: Billio, M. and Varotto, S. ORCID: (eds.) A New World Post COVID-19 Lessons for Business, the Finance Industry and Policy Makers. Innovation in Business, Economics & Finance (1). Edizioni Ca' Foscari, Venice, Italy, pp. 69-81. ISBN 9788869694424 doi:

Dufour, A. (2020) Stock performance when facing the unexpected. In: Billio, M. and Varotto, S. ORCID: (eds.) A New World Post COVID-19 Lessons for Business, the Finance Industry and Policy Makers. Innovation in Business, Economics & Finance (1). Edizioni Ca' Foscari, pp. 125-136. ISBN 9788869694424 doi:

Darbha, M. and Dufour, A. (2013) Microstructure of the Euro-area government bond market. In: Baker, H. K. and Kiymaz, H. (eds.) Market microstructure in emerging and developed markets. Robert W. Kolb series in finance. John Wiley, Hoboken, pp. 39-58. ISBN 9781118278444

Davies, R., Dufour, A. and Scott-Quinn, B. (2006) The MiFID: competition in a new European equity market regulatory structure. In: Ferrarini, G. and Wymeersch, E. (eds.) Investor Protection in Europe: Corporate Law Making, The MiFID and Beyond. Oxford University Press. ISBN 9780199202911


Board, J., Wells, S., Dufour, A. and Sutcliffe, C., (2010) The LSE’s AIM market: effect on returns and trading of Canadian stocks. Report. The Task Force to Modernize Securities Legislation , Canada.

Board, J., Dufour, A., Sutcliffe, C. and Wells, S., (2006) A false perception? The relative riskiness of AIM and listed stocks. Discussion Papers. 2006-0. Discussion Paper. University of Reading, Reading. pp40.

Davies, R., Dufour, A. and Scott-Quinn, B., (2003) Building a competitive and efficient European financial market. Report. European Capital Markets Institute, Brussels. pp103.


Board, J., Dufour, A., Hartavi, Y., Sutcliffe, C. and Wells, S. (2015) Risk and trading on London's Alternative Investment Market: The stock market for smaller and growing companies. Palgrave Pivot. Palgrave Macmillan, Basingstoke. ISBN 9781137361295

This list was generated on Thu Jun 8 18:23:44 2023 UTC.

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