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Do credit spreads reflect stationary leverage ratios?

Collin-Dufresne, Pierre; Goldstein, Robert S. - In: The journal of finance : the journal of the American … 56 (2001) 5, pp. 1929-1957

Persistent link: https://www.econbiz.de/10001615438

"True" stochastic volatility and a generalized class of affine models

Collin-Dufresne, Pierre (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001522553

Do bonds span the fixed income markets? : Theory and evidence for unspanned stochastic volatility

Collin-Dufresne, Pierre; Goldstein, Robert S. - In: The journal of finance : the journal of the American … 57 (2002) 4, pp. 1685-1730

Persistent link: https://www.econbiz.de/10001696255

The term structure of interest rates as a random field

Goldstein, Robert S. - In: The review of financial studies 13 (2000) 2, pp. 365-384

Persistent link: https://www.econbiz.de/10001485504

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Collin-Dufresne, Pierre - 2012

We extend Kyle's (1985) model of insider trading to the case where liquidity provided by noise traders follows a general stochastic process. Even though the level of noise trading volatility is observable, in equilibrium, measured price impact is stochastic. If noise trading volatility is...

Persistent link: https://www.econbiz.de/10013099416

Insider trading, stochastic liquidity and equilibrium prices

Collin-Dufresne, Pierre; Fos, Vyacheslav - 2012

Persistent link: https://www.econbiz.de/10009666677

Unspanned stochastic volatility and fixed income derivatives pricing

Casassus, Jaime; Collin-Dufresne, Pierre; Goldstein, Bob - In: Journal of banking & finance 29 (2005) 11, pp. 2723-2749

Persistent link: https://www.econbiz.de/10003121044

Insider trading, stochastic liquidity, and equilibrium prices

Collin-Dufresne, Pierre; Fos, Vyacheslav - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1441-1475

Persistent link: https://www.econbiz.de/10011611102

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Collin-Dufresne, Pierre - 2016

We extend Kyle's (1985) model of insider trading to the case where noise trading volatility follows a general stochastic process. We determine conditions under which, in equilibrium, price impact and price volatility are both stochastic, driven by shocks to uninformed volume even though the...

Persistent link: https://www.econbiz.de/10013008207

Insider Trading, Stochastic Liquidity and Equilibrium Prices

Collin-Dufresne, Pierre - 2012

Persistent link: https://www.econbiz.de/10012460209