Pierre Collin Dufresne
Pierre Collin Dufresne
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Cited by
Cited by
The determinants of credit spread changes
P Collin-Dufresn, RS Goldstein, JS Martin
The Journal of Finance 56 (6), 2177-2207, 2001
Do credit spreads reflect stationary leverage ratios?
P Collin‐Dufresne, RS Goldstein
The journal of finance 56 (5), 1929-1957, 2001
Portfolio choice over the life‐cycle when the stock and labor markets are cointegrated
L Benzoni, P Collin‐Dufresne, RS Goldstein
The Journal of Finance 62 (5), 2123-2167, 2007
Stochastic convenience yield implied from commodity futures and interest rates
J Casassus, P Collin‐Dufresne
The Journal of Finance 60 (5), 2283-2331, 2005
On the relation between the credit spread puzzle and the equity premium puzzle
L Chen, P Collin-Dufresne, RS Goldstein
The Review of Financial Studies 22 (9), 3367-3409, 2009
Do prices reveal the presence of informed trading?
P Collin‐Dufresne, V Fos
The Journal of Finance 70 (4), 1555-1582, 2015
Do bonds span the fixed income markets? Theory and evidence for unspanned stochastic volatility
P Collin‐Dufresne, RS Goldstein
The Journal of Finance 57 (4), 1685-1730, 2002
Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs.
P Collin-Dufresne, RS Goldstein, J Helwege
National Bureau of Economic Research, 2010
On the term structure of default premia in the swap and LIBOR markets
P Collin‐Dufresne, B Solnik
The Journal of Finance 56 (3), 1095-1115, 2001
A general formula for valuing defaultable securities
P Collin‐Dufresne, R Goldstein, J Hugonnier
Econometrica 72 (5), 1377-1407, 2004
Parameter learning in general equilibrium: The asset pricing implications
P Collin-Dufresne, M Johannes, LA Lochstoer
American Economic Review 106 (3), 664-698, 2016
Explaining asset pricing puzzles associated with the 1987 market crash
L Benzoni, P Collin-Dufresne, RS Goldstein
Journal of Financial Economics 101 (3), 552-573, 2011
The CDS‐bond basis
J Bai, P Collin‐Dufresne
Financial Management 48 (2), 417-439, 2019
Insider trading, stochastic liquidity, and equilibrium prices
P Collin‐Dufresne, V Fos
Econometrica 84 (4), 1441-1475, 2016
Dividend dynamics and the term structure of dividend strips
F Belo, P Collin‐Dufresne, RS Goldstein
The Journal of Finance 70 (3), 1115-1160, 2015
Identification of maximal affine term structure models
P Collin‐Dufresne, RS Goldstein, CS Jones
The Journal of Finance 63 (2), 743-795, 2008
Pricing swaptions within the affine framework
P Collin-Dufresne, RS Goldstein
Washington University Department of Finance WP, 2001
Modeling credit contagion via the updating of fragile beliefs
L Benzoni, P Collin-Dufresne, RS Goldstein, J Helwege
The Review of Financial Studies 28 (7), 1960-2008, 2015
On the relative pricing of long‐maturity index options and collateralized debt obligations
P Collin‐Dufresne, RS Goldstein, F Yang
The Journal of Finance 67 (6), 1983-2014, 2012
Can interest rate volatility be extracted from the cross section of bond yields?
P Collin-Dufresne, RS Goldstein, CS Jones
Journal of Financial Economics 94 (1), 47-66, 2009
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