Access Statistics for Darrell Duffie

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A sampling-window approach to transactions-based Libor fixing 0 0 1 16 0 1 8 58
Affine Processes and Application in Finance 0 0 3 412 1 4 15 1,304
Augmenting Markets with Mechanisms 0 0 1 9 0 0 3 11
Augmenting Markets with Mechanisms 0 1 1 25 0 3 10 34
Benchmarks in Search Markets 0 0 0 35 1 2 11 132
Benchmarks in Search Markets 0 0 0 7 2 4 13 71
Capital Mobility and Asset Pricing 0 0 0 0 0 3 10 65
Capital Mobility and Asset Pricing 0 0 1 31 0 0 5 94
Capital Mobility and Asset Pricing 0 0 2 54 1 1 9 184
Central Clearing and Collateral Demand 0 0 0 25 1 3 12 98
Central Clearing and Collateral Demand 0 0 0 2 0 1 4 50
Central clearing and collateral demand 1 2 5 29 2 5 19 138
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 1 15 1 1 4 49
Common Failings: How Corporate Defaults are Correlated 0 0 0 158 2 4 14 523
Corporate Credit Risk Premia 1 1 3 35 2 6 22 69
Corporate Credit Risk Premia 0 0 1 24 0 1 14 53
Dynamic Directed Random Matching 0 0 0 29 0 0 7 26
Dynamic Directed Random Matching 0 0 0 27 1 1 9 50
Financial Market Infrastructure: Too Important to Fail 0 0 5 36 0 1 30 90
Financial Regulatory Reform after the Crisis: An Assessment 1 1 7 50 3 5 20 118
Frailty Correlated Default 0 0 1 36 3 4 10 234
Funding Value Adjustments 0 0 1 13 1 3 12 35
Information Percolation 0 0 1 5 1 3 13 93
Information Percolation in Segmented Markets 0 0 0 7 0 0 1 57
Information Percolation in Segmented Markets 0 0 0 26 1 1 5 116
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 1 2 11 107
Innovations in credit risk transfer: implications for financial stability 0 3 9 350 4 11 39 952
Large Portfolio Losses 0 0 1 137 0 0 4 295
Liquidation Risk 0 1 3 86 2 7 25 449
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 0 2 137
Market Fragmentation 1 2 17 17 2 6 22 22
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 0 61 2 5 20 257
Measuring default risk premia from default swap rates and EDFs 0 0 6 95 0 1 27 434
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 2 166 4 5 22 483
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 23 1 1 15 107
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 60 1 2 12 192
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 3 5 22 285
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 0 1 13 212
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 191 0 1 7 674
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 0 0 3 48 2 2 10 120
Over-the-Counter Markets 0 0 1 214 0 1 12 731
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 0 34 0 1 5 109
Policy perspectives on OTC derivatives market infrastructure 0 0 0 79 2 4 10 181
Report on “The Committee on Yen Risk-free-rate Model Estimation†0 0 1 9 0 0 6 110
Robust Benchmark Design 0 0 1 8 1 4 12 65
Simulated Moments Estimation of Markov Models of Asset Prices 0 0 5 110 1 6 21 415
Size Discovery 0 0 0 6 1 1 6 14
Size Discovery 0 0 0 3 1 2 9 44
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 57 0 1 7 113
The Consumption-Based Capital Asset Pricing Model 0 0 0 0 1 6 11 614
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 37 1 1 6 95
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 1 7 0 0 9 57
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 9 1 1 4 56
The failure mechanics of dealer banks 0 0 0 57 1 3 69 238
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 14 1,608 0 2 33 3,006
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 5 208
Valuation in Dynamic Bargaining Markets 0 0 0 1 1 2 5 118
Valuation in Over-the-Counter Markets 0 0 0 41 2 2 10 215
Valuation in Over-the-Counter Markets 0 0 0 135 0 0 9 472
Total Working Papers 4 11 99 4,783 58 143 780 15,339


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
6. Asset Pricing in Incomplete Markets 0 0 0 6 0 1 4 19
A Liquidity-Based Model of Security Design 0 0 0 1 1 5 23 1,066
A YIELD‐FACTOR MODEL OF INTEREST RATES 1 4 11 251 4 12 38 693
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 1 1 10 195
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 1 43 0 3 13 142
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 0 2 9 741 3 8 55 1,494
An extension of the Black-Scholes model of security valuation 0 1 5 201 0 1 11 459
Analytical value-at-risk with jumps and credit risk 0 0 1 410 0 1 10 995
Arrow and General Equilibrium Theory 0 0 1 193 0 1 6 421
Asset Pricing with Heterogeneous Consumers 0 2 11 1,237 2 14 75 2,772
Asset Pricing with Stochastic Differential Utility 0 2 5 383 0 4 19 876
Benchmarks in Search Markets 0 0 0 17 1 5 25 82
Capital Mobility and Asset Pricing 0 0 1 67 0 4 18 324
Central clearing and collateral demand 0 0 20 71 6 11 76 241
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 2 4 0 0 6 29
Comment 0 0 0 1 0 0 2 15
Common Failings: How Corporate Defaults Are Correlated 0 0 0 88 2 7 30 418
Competitive equilibria in general choice spaces 0 0 0 18 0 0 3 42
Continuous-time security pricing: A utility gradient approach 0 0 2 350 0 0 7 573
Corporate Incentives for Hedging and Hedge Accounting 1 4 13 779 5 16 54 2,454
Corporate financial hedging with proprietary information 0 3 9 359 2 9 25 795
Credit risk modeling with affine processes 1 1 1 133 1 1 9 298
Does a Central Clearing Counterparty Reduce Counterparty Risk? 1 2 6 15 3 6 30 63
Dynamic directed random matching 0 0 2 9 0 0 12 41
Efficient and equilibrium allocations with stochastic differential utility 0 0 1 96 1 1 6 161
Equilibrium in incomplete markets: I: A basic model of generic existence 1 2 6 210 2 5 15 362
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 0 1 110 1 2 9 211
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 133 1 1 6 463
Explaining the U.S. tri-party repo market 1 2 4 79 2 5 15 234
Financial Market Innovation and Security Design: An Introduction 1 3 9 402 4 8 30 817
Frailty Correlated Default 0 0 2 32 1 5 21 236
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 0 0 17 0 1 7 76
Hedging in incomplete markets with HARA utility 0 0 1 232 0 4 11 423
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 0 9 211 2 5 31 554
Incomplete security markets with infinitely many states: An introduction 0 0 0 34 0 1 1 97
Information Percolation 0 0 0 43 0 1 9 182
Information Percolation With Equilibrium Search Dynamics 0 0 0 45 1 3 11 190
Information Percolation in Large Markets 0 0 1 53 0 0 3 224
Information percolation in segmented markets 0 0 0 8 1 1 5 102
Is there a case for banning short speculation in sovereign bond markets? 0 0 4 35 0 1 21 150
Large portfolio losses 0 1 1 12 0 1 6 104
Market Pricing of Deposit Insurance 0 0 1 72 0 1 6 178
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 0 0 239 0 2 10 661
Modeling Term Structures of Defaultable Bonds 0 0 0 3 2 14 60 2,047
Multi-period corporate default prediction with stochastic covariates 1 5 30 243 5 12 81 668
Multiperiod security markets with differential information: Martingales and resolution times 0 0 1 98 0 0 2 191
Optimal Investment With Undiversifiable Income Risk 0 1 4 84 0 1 24 182
Optimal hedging and equilibrium in a dynamic futures market 0 0 1 176 1 1 9 354
Over-the-Counter Markets 0 0 1 372 4 6 27 1,259
PDE solutions of stochastic differential utility 0 0 3 222 3 6 15 404
Preface to the Special Issue on Systemic Risk: Models and Mechanisms 0 1 1 7 0 5 13 32
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 0 0 3 54 1 4 31 233
Pricing continuously resettled contingent claims 0 0 0 31 1 1 6 80
Reforming LIBOR and Other Financial Market Benchmarks 0 0 21 70 2 7 70 230
Replumbing Our Financial System: Uneven Progress 1 1 1 14 1 2 8 96
Reprint of: Information percolation in segmented markets 0 0 0 8 0 0 2 53
Securities lending, shorting, and pricing 0 3 13 314 2 8 34 798
Simulated Moments Estimation of Markov Models of Asset Prices 0 1 9 630 3 12 48 1,562
Size Discovery 0 0 1 4 0 3 7 41
Special Repo Rates 0 5 32 582 3 10 73 2,054
Stationary Markov Equilibria 0 0 4 262 1 1 15 865
Stochastic Differential Utility 0 0 5 714 0 4 23 1,497
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 1 1 1 37 1 1 7 125
Stochastic equilibria with incomplete financial markets 0 0 1 115 0 0 4 209
Swap Rates and Credit Quality 0 0 4 290 0 4 35 956
Systemic Illiquidity in the Federal Funds Market 0 1 3 130 1 3 12 370
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 2 5 39 985
The Consumption-Based Capital Asset Pricing Model 0 1 6 717 2 6 23 1,999
The Failure Mechanics of Dealer Banks 0 0 4 129 2 5 29 419
The Failure Mechanics of Dealer Banks 0 0 2 11 1 3 13 54
The New Palgrave: Finance: A book review 0 0 1 18 0 0 4 99
The Squam Lake Report: Fixing the Financial System 0 0 5 179 4 11 61 685
The exact law of large numbers for independent random matching 0 0 1 20 0 1 13 156
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 23 0 0 5 96
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 1 241 1 1 8 405
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 7 9 52 1,399
Universal state prices and asymmetric information 0 0 0 57 0 0 3 110
Valuation in Over-the-Counter Markets 0 1 4 55 0 1 14 240
Total Journal Articles 10 50 303 13,355 97 305 1,654 40,885


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets 0 0 0 0 1 2 22 73
How Big Banks Fail and What to Do about It 0 0 0 0 1 4 23 38
Measuring Corporate Default Risk 0 0 0 0 0 2 5 110
The Squam Lake Report: Fixing the Financial System 0 0 0 0 0 4 18 54
Total Books 0 0 0 0 2 12 68 275


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Contractual Approach to Restructuring Financial Institutions 0 0 4 51 0 6 18 173
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 1 1 2 34 3 5 18 161
Comment on "Risk Topography" 0 0 0 2 2 3 18 38
Financial Market Infrastructure: Too Important to Fail 0 0 1 11 0 1 9 63
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 0 0 1 5 12
Intertemporal asset pricing theory 0 0 5 474 3 12 39 1,186
Introduction 0 0 1 2 0 3 15 26
Introduction 0 1 1 1 1 4 8 13
Market Pricing of Deposit Insurance 0 1 2 4 0 2 7 18
Money in general equilibrium theory 2 2 6 411 3 6 34 1,096
Over-The-Counter Markets 1 1 2 10 2 4 26 74
Policy Issues Facing the Market for Credit Derivatives 0 0 0 13 0 0 3 66
Resolution of Failing Central Counterparties 0 0 0 0 0 0 18 106
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 32 0 1 8 91
The theory of value in security markets 0 0 0 143 0 2 11 319
Total Chapters 4 6 24 1,188 14 50 237 3,442


Statistics updated 2020-09-04