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Driessen, Joost's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
22,783 |
Total
Citations
563 |
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1.
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A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds
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Driessen, Joost
Tilburg University - Department of Finance Lin, Tse-Chun
University of Hong Kong - Faculty of Business and Economics Phalippou, Ludovic
University of Oxford - Said Business School
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Posted:
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27 Feb 07
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Last Revised:
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26 Feb 13
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2,754
(1,621)
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16
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Driessen, Joost
Tilburg University - Department of Finance Lin, Tse-Chun
University of Hong Kong - Faculty of Business and Economics Phalippou, Ludovic
University of Oxford - Said Business School
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80
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16
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Risk exposure, abnormal return, private equity
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Driessen, Joost
Tilburg University - Department of Finance Lin, Tse-Chun
University of Hong Kong - Faculty of Business and Economics Phalippou, Ludovic
University of Oxford - Said Business School
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37
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16
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Driessen, Joost
Tilburg University - Department of Finance Lin, Tse-Chun
University of Hong Kong - Faculty of Business and Economics Phalippou, Ludovic
University of Oxford - Said Business School
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27 Feb 07
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Last Revised:
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02 Apr 11
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2,637
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16
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Risk exposure, Abnormal return, Private equity
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2.
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Driessen, Joost
Tilburg University - Department of Finance Maenhout, Pascal J.
INSEAD - Finance Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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25 Feb 05
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Last Revised:
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14 Jul 08
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2,095
(2,660)
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38
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Correlation risk, Dispersion trading, Index volatility, Stochastic volatility, Expected option returns
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3.
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Cremers, Martijn
University of Notre Dame Driessen, Joost
Tilburg University - Department of Finance Maenhout, Pascal J.
INSEAD - Finance Weinbaum, David
Syracuse University
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1,987
(2,905)
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67
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4.
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de Jong, Frank
Tilburg University - Department of Finance Driessen, Joost
Tilburg University - Department of Finance
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08 Apr 05
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Last Revised:
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07 May 09
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1,742
(3,615)
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54
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Credit spread, liquidity premium
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5.
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Cremers, Martijn
University of Notre Dame Driessen, Joost
Tilburg University - Department of Finance Maenhout, Pascal J.
INSEAD - Finance Weinbaum, David
Syracuse University
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1,350
(5,683)
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21
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6.
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de Jong, Frank
Tilburg University - Department of Finance Driessen, Joost
Tilburg University - Department of Finance Pelsser, Antoon
Maastricht University
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1,267
(6,327)
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8
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7.
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Is Default Event Risk Priced in Corporate Bonds?
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Driessen, Joost
Tilburg University - Department of Finance
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Posted:
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20 Mar 02
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Last Revised:
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29 Jul 10
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1,178
(7,145)
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108
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Driessen, Joost
Tilburg University - Department of Finance
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0
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Driessen, Joost
Tilburg University - Department of Finance
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1,178
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108
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Credit Spread, Default Event, Corporate Bond, Credit Derivative, Intensity Models
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8.
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Driessen, Joost
Tilburg University - Department of Finance Klaassen, Pieter
ABN-Amro Bank, The Netherlands Melenberg, Bertrand
Tilburg University - Center for Economic Research (CentER)
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1,168
(7,241)
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25
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Term Structure Models; Interest Rate Derivatives; Option Pricing; Hedging
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9.
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Driessen, Joost
Tilburg University - Department of Finance Van Hemert, Otto
New York University (NYU) - Department of Finance
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08 Sep 09
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Last Revised:
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29 Jul 11
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1,135
(7,610)
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1
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Mortgage, CMBS, CMBX, REIT, Market Efficiency, Financial Crisis, Commercial Real Estate
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10.
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Pelsser, Antoon
Maastricht University de Jong, Frank
Tilburg University - Department of Finance Driessen, Joost
Tilburg University - Department of Finance
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1,074
(8,373)
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8
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11.
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Driessen, Joost
Tilburg University - Department of Finance Maenhout, Pascal J.
INSEAD - Finance
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860
(11,896)
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39
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12.
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Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model
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Versions (3)
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Cremers, Martijn
University of Notre Dame Driessen, Joost
Tilburg University - Department of Finance Maenhout, Pascal J.
INSEAD - Finance
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Posted:
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04 Mar 05
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Last Revised:
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29 Jul 10
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823
(12,740)
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50
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Cremers, Martijn
University of Notre Dame Driessen, Joost
Tilburg University - Department of Finance Maenhout, Pascal J.
INSEAD - Finance
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0
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G12, G13
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Cremers, Martijn
University of Notre Dame Driessen, Joost
Tilburg University - Department of Finance Maenhout, Pascal J.
INSEAD - Finance Weinbaum, David
Syracuse University
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228
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50
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Cremers, Martijn
University of Notre Dame Driessen, Joost
Tilburg University - Department of Finance Maenhout, Pascal J.
INSEAD - Finance
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595
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50
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Credit spreads, jump risk premium, firm value model
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13.
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Bongaerts, Dion
Erasmus University Rotterdam (EUR) - Finance de Jong, Frank
Tilburg University - Department of Finance Driessen, Joost
Tilburg University - Department of Finance
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01 Mar 07
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Last Revised:
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24 Jan 10
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817
(12,889)
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33
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CDS, Liquidity, Liquidity Risk
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14.
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Driessen, Joost
Tilburg University - Department of Finance Lin, Tse-Chun
University of Hong Kong - Faculty of Business and Economics Van Hemert, Otto
New York University (NYU) - Department of Finance
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22 Mar 10
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Last Revised:
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09 Jul 11
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711
(15,807)
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52-week high, 52-week low, implied volatility, beta, volatility, anchoring, prospect theory, investor attention, barrier, support level, resistance level
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15.
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Driessen, Joost
Tilburg University - Department of Finance Nijman, Theo
Tilburg University - Center and Faculty of Economics and Business Administration Melenberg, Bertrand
Tilburg University - Center for Economic Research (CentER)
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676
(17,042)
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12
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16.
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de Jong, Frank
Tilburg University - Department of Finance Driessen, Joost
Tilburg University - Department of Finance Van Hemert, Otto
New York University (NYU) - Department of Finance
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| Posted: |
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13 Jun 05
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Last Revised:
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31 Jul 08
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604
(20,002)
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9
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Housing futures, portfolio choice, mortgage
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17.
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Driessen, Joost
Tilburg University - Department of Finance Maenhout, Pascal J.
INSEAD - Finance Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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487
(26,683)
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28
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implied correlation, return predictability, index variance, variance risk premium, individual options
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18.
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de Jong, Frank
Tilburg University - Department of Finance Driessen, Joost
Tilburg University - Department of Finance Pelsser, Antoon
Maastricht University
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| Posted: |
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28 Feb 02
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Last Revised:
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08 May 11
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483
(26,985)
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11
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Term Structure Models, Interest Rate Derivatives, Volatility Hump, Caps and Swaptions
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19.
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An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets
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Versions (2)
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hide multiple versions |
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Bongaerts, Dion
Erasmus University Rotterdam (EUR) - Finance de Jong, Frank
Tilburg University - Department of Finance Driessen, Joost
Tilburg University - Department of Finance
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Posted:
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23 Apr 11
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Last Revised:
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25 May 12
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481
(27,139)
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2
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Bongaerts, Dion
Erasmus University Rotterdam (EUR) - Finance de Jong, Frank
Tilburg University - Department of Finance Driessen, Joost
Tilburg University - Department of Finance
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71
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2
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Liquidity premium, liquidity risk, corporate bonds, credit spread puzzle
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Bongaerts, Dion
Erasmus University Rotterdam (EUR) - Finance de Jong, Frank
Tilburg University - Department of Finance Driessen, Joost
Tilburg University - Department of Finance
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| Posted: |
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23 Apr 11
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Last Revised:
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14 Mar 12
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410
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2
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Liquidity premium, liquidity risk, corporate bonds, credit spread puzzle
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20.
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Driessen, Joost
Tilburg University - Department of Finance Maenhout, Pascal J.
INSEAD - Finance
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281
(52,534)
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12
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21.
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Driessen, Joost
Tilburg University - Department of Finance Nijman, Theo
Tilburg University - Center and Faculty of Economics and Business Administration Melenberg, Bertrand
Tilburg University - Center for Economic Research (CentER)
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209
(72,323)
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2
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22.
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Pricing Liquidity Risk with Heterogeneous Investment Horizons
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Beber, Alessandro
Centre for Economic Policy Research (CEPR) Driessen, Joost
Tilburg University - Department of Finance Tuijp, Patrick
Tilburg University - Department of Finance
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Posted:
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25 Nov 11
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Last Revised:
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07 Nov 12
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192
(78,673)
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1
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Beber, Alessandro
Centre for Economic Policy Research (CEPR) Driessen, Joost
Tilburg University - Department of Finance Tuijp, Patrick
Tilburg University - Department of Finance
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| Posted: |
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25 May 12
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Last Revised:
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07 Nov 12
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27
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1
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Beber, Alessandro
Centre for Economic Policy Research (CEPR) Driessen, Joost
Tilburg University - Department of Finance Tuijp, Patrick
Tilburg University - Department of Finance
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9
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1
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investment horizon, liquidity risk
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Beber, Alessandro
Centre for Economic Policy Research (CEPR) Driessen, Joost
Tilburg University - Department of Finance Tuijp, Patrick
Tilburg University - Department of Finance
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| Posted: |
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25 Nov 11
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Last Revised:
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15 Oct 12
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156
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1
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liquidity premium, liquidity risk, investment horizon, holding period
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23.
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Confidence Building on Euro Convergence: Theory and Evidence from Currency Options
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Perotti, Enrico C.
University of Amsterdam - Finance Group Driessen, Joost
Tilburg University - Department of Finance
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Posted:
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19 Nov 03
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Last Revised:
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06 Oct 11
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177
(85,043)
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2
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Driessen, Joost
Tilburg University - Department of Finance Perotti, Enrico C.
University of Amsterdam - Finance Group
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17
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2
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Convergence risk, confidence building, currency options, regime-switching models
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Perotti, Enrico C.
University of Amsterdam - Finance Group Driessen, Joost
Tilburg University - Department of Finance
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160
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2
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Euro, exchange rate, credibility, option pricing, regime switching, implied volatility, convergence
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24.
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Lin, Tse-Chun
University of Hong Kong - Faculty of Business and Economics Lu, Xiaolong
University of Hong Kong - Faculty of Business and Economics Driessen, Joost
Tilburg University - Department of Finance
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| Posted: |
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31 Oct 12
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Last Revised:
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19 May 13
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166
(90,248)
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informed traders, corporate events, implied volatility spread, implied volatility skew, short-sale constraint
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25.
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Driessen, Joost
Tilburg University - Department of Finance Laeven, Luc
International Monetary Fund (IMF)
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66
(176,619)
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16
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portfolio investment, diversification benefits, emerging markets, home bias, investment restrictions
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26.
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Driessen, Joost
Tilburg University - Department of Finance Maenhout, Pascal J.
INSEAD - Finance
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G11, G12
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27.
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Pelsser, Antoon
Maastricht University de Jong, Frank
Tilburg University - Department of Finance Driessen, Joost
Tilburg University - Department of Finance
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Term structure models, interest rate derivatives, lognormal pricing models, Black formula
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