2024

Sina, A., Billio, M., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X, Rocciolo, F. and Varotto, S. ORCID: https://orcid.org/0000-0001-5328-5327 (2024) The systemic risk of leveraged and covenant-lite loan syndications. International Review of Financial Analysis. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2024.103738 (In Press)

Billio, M., Busetto, F., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X and Varotto, S. ORCID: https://orcid.org/0000-0001-5328-5327 (2024) Bond supply expectations and the term structure of interest rates. Journal of International Money and Finance. 103217. ISSN 1873-0639 doi: https://doi.org/10.1016/j.jimonfin.2024.103217

Cathcart, L., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X, Rossi, L. and Varotto, S. ORCID: https://orcid.org/0000-0001-5328-5327 (2024) Corporate bankruptcy and banking deregulation: the effect of financial leverage. Journal of Banking and Finance. 107219. ISSN 1872-6372 doi: https://doi.org/10.1016/j.jbankfin.2024.107219

Zhang, H. and Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X (2024) Managing portfolio risk during crisis times: a dynamic conditional correlation perspective. The Quarterly Review of Economics and Finance, 94. pp. 241-251. ISSN 1062-9769 doi: https://doi.org/10.1016/j.qref.2024.02.002

Zaznov, I., Kunkel, J. M., Badii, A. and Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X (2024) The intraday dynamics predictor: a TrioFlow Fusion of Convolutional Layers and Gated Recurrent Units for high-frequency price movement forecasting. Applied Sciences, 14 (7). 2984. ISSN 2076-3417 doi: https://doi.org/10.3390/app14072984

2023

Billio, M., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X, Segato, S. and Varotto, S. ORCID: https://orcid.org/0000-0001-5328-5327 (2023) Complexity and the default risk of mortgage-backed securities. Journal of Banking & Finance, 155. 106993. ISSN 1034-3040 doi: https://doi.org/10.1016/j.jbankfin.2023.106993

2022

Zaznov, I. ORCID: https://orcid.org/0000-0003-1229-5515, Kunkel, J., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X and Badii, A. (2022) Predicting stock price changes based on the limit order book: a survey. Mathematics, 10 (8). 1234. ISSN 2227-7390 doi: https://doi.org/10.3390/math10081234

2020

Busetto, F., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X and Varotto, S. ORCID: https://orcid.org/0000-0001-5328-5327 (2020) COVID-19 and fiscal policy in the euro area. In: Billio, M. and Varotto, S. ORCID: https://orcid.org/0000-0001-5328-5327 (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: https://doi.org/10.30687/978-88-6969-442-4/005

Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X (2020) Stock performance when facing the unexpected. In: Billio, M. and Varotto, S. ORCID: https://orcid.org/0000-0001-5328-5327 (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: https://doi.org/10.30687/978-88-6969-442-4/009

Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X, Marra, M. ORCID: https://orcid.org/0000-0003-0810-7323, Sangiorgi, I. ORCID: https://orcid.org/0000-0002-8344-9983 and Skinner, F. S. (2020) Explaining repo specialness. International Journal of Finance & Economics, 25 (2). pp. 172-196. ISSN 1099-1158 doi: https://doi.org/10.1002/ijfe.1746

Cathcart, L., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X, Rossi, L. and Varotto, S. ORCID: https://orcid.org/0000-0001-5328-5327 (2020) Differential impact of leverage on the default risk of small and large firms. Journal of Corporate Finance, 60. 101541. ISSN 0929-1199 doi: https://doi.org/10.1016/j.jcorpfin.2019.101541

2019

Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X, Marra, M. ORCID: https://orcid.org/0000-0003-0810-7323 and Sangiorgi, I. ORCID: https://orcid.org/0000-0002-8344-9983 (2019) Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos. Journal of Banking & Finance, 107. 105610. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2019.105610

Zhang, H. and Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X (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: https://doi.org/10.1016/j.irfa.2019.02.002

2017

Pele, D. T., Lazar, E. ORCID: https://orcid.org/0000-0002-8761-0754 and Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X (2017) Information entropy and measures of market risk. Entropy, 19 (5). 226. ISSN 1099-4300 doi: https://doi.org/10.3390/e19050226

Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X, Stancu, A. and Varotto, S. ORCID: https://orcid.org/0000-0001-5328-5327 (2017) The equity-like behaviour of sovereign bonds. Journal of International Financial Markets, Institutions and Money, 48. pp. 25-46. ISSN 1042-4431 doi: https://doi.org/10.1016/j.intfin.2016.11.014

2015

Board, J., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X, Hartavi, Y., Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X 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

2014

Perlin, M., Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 and Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X (2014) On the performance of the tick test. Quarterly Review of Economics and Finance, 54 (1). pp. 42-50. ISSN 1062-9769 doi: https://doi.org/10.1016/j.qref.2013.07.009

Perlin, M., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X and Brooks, C. ORCID: https://orcid.org/0000-0002-2668-1153 (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: https://doi.org/10.1007/s10436-013-0242-5

2013

Darbha, M. and Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X (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

Coro, F., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X and Varotto, S. ORCID: https://orcid.org/0000-0001-5328-5327 (2013) Credit and liquidity components of corporate CDS spreads. Journal of Banking & Finance, 37 (12). pp. 5511-5525. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2013.07.010

2012

Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X and Nguyen, M. (2012) Permanent trading impacts and bond yields. European Journal of Finance, 18 (9). pp. 841-864. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2011.601639

2010

Board, J., Wells, S., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X and Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X, (2010) The LSE’s AIM market: effect on returns and trading of Canadian stocks. Report. The Task Force to Modernize Securities Legislation , Canada.

2006

Davies, R., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X 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., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X, Sutcliffe, C. ORCID: https://orcid.org/0000-0003-0187-487X 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.

2003

Davies, R., Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X and Scott-Quinn, B., (2003) Building a competitive and efficient European financial market. Report. European Capital Markets Institute, Brussels. pp103.

2000

Dufour, A. ORCID: https://orcid.org/0000-0003-0519-648X 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: https://doi.org/10.1111/0022-1082.00297