Alfonso Dufour

ICMA Centre, Henley Business School, University of Reading

Associate Professor of Finance

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 23,645

SSRN RANKINGS

Top 23,645

in Total Papers Downloads

2,162

SSRN CITATIONS

7

CROSSREF CITATIONS

3

Scholarly Papers (20)

1.

The Determinants of a Cross Market Arbitrage Opportunity: Theory and Evidence for the European Bond Market

Number of pages: 30 Posted: 07 Jun 2010 Last Revised: 26 Jan 2015
Marcelo Perlin, Alfonso Dufour and Chris Brooks
Escola de Administração - UFRGS, ICMA Centre, Henley Business School, University of Reading and University of Reading - ICMA Centre
Downloads 347 (92,461)

Abstract:

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Arbitrage Opportunities, Negative Spreads, Market Microstructure, Market Efficiency

2.

An Empirical Model for Spillover Effects in Price Discovery with Application to the European Bond Market

Number of pages: 22 Posted: 15 Apr 2010 Last Revised: 16 Aug 2012
Marcelo Perlin, Alfonso Dufour and Chris Brooks
Escola de Administração - UFRGS, ICMA Centre, Henley Business School, University of Reading and University of Reading - ICMA Centre
Downloads 320 (101,236)

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market microstructure, spillover effect, commonalities, liquidity, price impact of a trade

3.

Credit and Liquidity Components of Corporate CDS Spreads

Number of pages: 41 Posted: 26 Feb 2012 Last Revised: 09 Jul 2013
Filippo Coro, Alfonso Dufour and Simone Varotto
University of Reading, ICMA Centre, Henley Business School, University of Reading and ICMA Centre - Henley Business School, University of Reading
Downloads 302 (107,864)
Citation 3

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CDS, Liquidity, Credit Risk, Financial Crisis, Informed trading, Trade impact

4.

Degrees of Specialness: An Empirical Analysis of the Italian BTP Repo Market

Number of pages: 30 Posted: 23 Jan 2006
Frank S. Skinner and Alfonso Dufour
Brunel University and ICMA Centre, Henley Business School, University of Reading
Downloads 190 (170,813)

Abstract:

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Repo, Bonds, Credit risk, Liquidity

5.

On the Performance of the Tick Test

Quarterly Review of Economics and Finance, Vol. 54, No. 1, 2014
Number of pages: 22 Posted: 22 Jul 2011 Last Revised: 27 Jan 2015
Marcelo Perlin, Chris Brooks and Alfonso Dufour
Escola de Administração - UFRGS, University of Reading - ICMA Centre and ICMA Centre, Henley Business School, University of Reading
Downloads 172 (186,635)

Abstract:

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tick test, market microstructure, sign of a trade, PIN

6.

Permanent Trading Impacts and Bond Yields

Number of pages: 45 Posted: 29 Jun 2009 Last Revised: 02 Aug 2011
Alfonso Dufour and Minh Nguyen
ICMA Centre, Henley Business School, University of Reading and Newcastle University Business School
Downloads 168 (190,449)
Citation 6

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Bond markets, Liquidity, Information asymmetry

7.

The Shape and Information Content of a Post-MiFID Limit Order Book

Number of pages: 32 Posted: 14 Mar 2013
Alfonso Dufour and Satchit Sagade
ICMA Centre, Henley Business School, University of Reading and Goethe University Frankfurt - Department of Finance
Downloads 163 (195,448)

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Limit Order Books, Information Content, MiFID, Transaction Costs, Order Book Slope

8.

Explaining Repo Specialness

Number of pages: 56 Posted: 22 Mar 2017
ICMA Centre, Henley Business School, University of Reading, University of Reading - ICMA Centre, ICMA Centre, Henley Business School, University of Reading and Brunel University
Downloads 135 (229,413)

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Repo Specialness, Short-Selling, Fire-Sales, Liquidity, Auctions, High Frequency Data

9.

The Equity-Like Behaviour of Sovereign Bonds

Number of pages: 48 Posted: 08 Oct 2014 Last Revised: 22 Mar 2016
Alfonso Dufour, Andrei Stancu and Simone Varotto
ICMA Centre, Henley Business School, University of Reading, University of East Anglia (UEA) - Norwich Business School and ICMA Centre - Henley Business School, University of Reading
Downloads 127 (239,171)
Citation 1

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Government Bonds, Stock-Bond Co-movements, Subprime Crisis, Sovereign Debt Crisis, Credit Risk, Liquidity Risk.

10.

Euro Area Government Bond Market Liquidity

Number of pages: 45 Posted: 29 Jul 2014 Last Revised: 13 Aug 2015
Madhucchand Darbha and Alfonso Dufour
University of Reading - ICMA Centre and ICMA Centre, Henley Business School, University of Reading
Downloads 88 (307,782)
Citation 2

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Market Microstructure, Asset Pricing, Liquidity, Sovereign Debt Crisis

11.

The Differential Impact of Leverage on the Default Risk of Small and Large Firms

Number of pages: 83 Posted: 17 Aug 2018 Last Revised: 04 Nov 2019
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading, University of Reading - ICMA Centre and ICMA Centre - Henley Business School, University of Reading
Downloads 74 (341,247)

Abstract:

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12.

Modeling Intraday Volatility in European Bond Markets: A Data Filtering Application

Number of pages: 50 Posted: 12 Jan 2018 Last Revised: 09 Feb 2019
Hanyu Zhang and Alfonso Dufour
Central University of Finance and Economics (CUFE) - China Economics and Management Academy and ICMA Centre, Henley Business School, University of Reading
Downloads 46 (429,311)

Abstract:

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Financial Econometrics, GARCH, High-Frequency Data, Data Filter

13.

Intraday Dynamics and Determinants of CCP and Bilateral General-Collateral Repos

Number of pages: 71 Posted: 26 Oct 2017
Alfonso Dufour, Miriam Marra and Ivan Sangiorgi
ICMA Centre, Henley Business School, University of Reading, University of Reading - ICMA Centre and ICMA Centre, Henley Business School, University of Reading
Downloads 30 (498,949)

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Intraday Interest Rate, Repurchase Agreement, Bond Collateral, Funding Liquidity, Central Counterparty Clearing, Counteparty Credit Risk

14.

The Term Structure of Bond Market Illiquidity and Default Risk

Posted: 29 Jul 2014
Madhucchand Darbha and Alfonso Dufour
University of Reading - ICMA Centre and ICMA Centre, Henley Business School, University of Reading

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Sovereign Default, Liquidity, Market Microstructure, Sovereign Debt Crisis

15.

Time and the Price Impact of a Trade

Journal of Finance, Vol. 55, No. 6, 2000
Posted: 29 Oct 2013
Alfonso Dufour and Robert F. Engle
ICMA Centre, Henley Business School, University of Reading and New York University - Leonard N. Stern School of Business - Department of Economics

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16.

The Price Impact of Limit Order Cancellations

Posted: 17 Jul 2013 Last Revised: 19 Jul 2013
Luciano Machain and Alfonso Dufour
University of Reading - Henely Business School - ICMA Centre and ICMA Centre, Henley Business School, University of Reading

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Limit orders, cancellations, price discovery

17.

Liquidity Supply and the Intensity of Limit Order Cancellations

Posted: 17 Jul 2013 Last Revised: 19 Jul 2013
Luciano Machain and Alfonso Dufour
University of Reading - Henely Business School - ICMA Centre and ICMA Centre, Henley Business School, University of Reading

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Limit orders, cancellations, liquidity

18.

Time-Varying Price Discovery in the European Treasury Markets

Posted: 16 Jun 2008 Last Revised: 01 Nov 2013
Minh Nguyen and Alfonso Dufour
Newcastle University Business School and ICMA Centre, Henley Business School, University of Reading

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Price Discovery, Trading Intensity, Duration, Bond Markets

19.

The Mifid: Competition in a New European Equity Market Regulatory Structure

Posted: 06 Dec 2005
Ryan J. Davies, Alfonso Dufour and Brian Scott-Quinn
Babson College - Finance Division, ICMA Centre, Henley Business School, University of Reading and University of Reading - ICMA Centre

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securities regulation, fragmentation, internalization, Europe

20.

Building a Competitive and Efficient European Financial Market

European Capital Markets Institute (ECMI) Short Paper No. 4, 2003
Posted: 01 Aug 2003
Ryan J. Davies, Alfonso Dufour and Brian Scott-Quinn
Babson College - Finance Division, ICMA Centre, Henley Business School, University of Reading and University of Reading - ICMA Centre

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Other Papers (1)

Total Downloads: 24
1.

The Differential Impact of Leverage on the Default Risk of Small and Large Firms

Number of pages: 46 Posted: 29 May 2018
Lara Cathcart, Alfonso Dufour and Ludovico Rossi
Imperial College Business School, ICMA Centre, Henley Business School, University of Reading and University of Reading - ICMA Centre
Downloads 24

Abstract:

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Bankruptcy, Small and Medium Enterprises, Leverage