If you made any changes in Pure, your changes will be visible here soon.

Fingerprint The Fingerprint is created by mining the titles and abstracts of the person's research outputs and projects/funding awards to create an index of weighted terms from discipline-specific thesauri.

  • 3 Similar Profiles
Credit spreads Business & Economics
Term structure Business & Economics
Jump Business & Economics
Pricing Business & Economics
Credit Business & Economics
Maturity Business & Economics
Dividends Business & Economics
Contagion Business & Economics

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output 2000 2019

The leverage effect and the basket-index put spread

Bai, J., Goldstein, R. S. & Yang, F., Jan 1 2019, In : Journal of Financial Economics. 131, 1, p. 186-205 20 p.

Research output: Contribution to journalArticle

Leverage effect
Equity
Financial crisis
Benchmark
Assets
22 Citations (Scopus)

Dividend Dynamics and the Term Structure of Dividend Strips

Belo, F., Collin-Dufresne, P. & Goldstein, R. S., Jun 1 2015, In : Journal of Finance. 70, 3, p. 1115-1160 46 p.

Research output: Contribution to journalArticle

Dividends
Term structure
Discrepancy
Empirical evidence
Shareholders
15 Citations (Scopus)

Modeling Credit Contagion via the Updating of Fragile Beliefs

Benzoni, L., Collin-Dufresne, P., Goldstein, R. S. & Helwege, J., Jul 1 2015, In : Review of Financial Studies. 28, 7, p. 1960-2008 49 p.

Research output: Contribution to journalArticle

Credit
Modeling
Contagion
Credit default swaps
Time-varying risk premium
3 Citations (Scopus)

On bounding credit-event risk premia

Bai, J., Collin-Dufresne, P., Goldstein, R. S. & Helwege, J., Jan 1 2015, In : Review of Financial Studies. 28, 9, p. 2608-2642 35 p.

Research output: Contribution to journalReview article

Credit
Event risk
Risk premia
Contagion
Empirical evidence
22 Citations (Scopus)

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

Collin-Dufresne, P., Goldstein, R. S. & Yang, F., Dec 1 2012, In : Journal of Finance. 67, 6, p. 1983-2014 32 p.

Research output: Contribution to journalArticle

Maturity
Pricing
Collateralized debt obligations
Index options
CDOs