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 0 16 0 1 4 62
Affine Processes and Application in Finance 1 1 3 415 5 17 40 1,341
Augmenting Markets with Mechanisms 0 0 0 9 0 0 1 12
Augmenting Markets with Mechanisms 0 0 1 25 1 1 5 36
Benchmarks in Search Markets 1 1 1 36 1 2 12 142
Benchmarks in Search Markets 0 1 1 8 0 3 12 81
Capital Mobility and Asset Pricing 0 0 0 31 0 0 4 98
Capital Mobility and Asset Pricing 0 0 0 0 0 1 5 68
Capital Mobility and Asset Pricing 0 0 0 54 0 1 8 191
Central Clearing and Collateral Demand 0 0 1 26 2 3 13 109
Central Clearing and Collateral Demand 2 2 3 5 3 6 15 64
Central clearing and collateral demand 0 0 4 32 3 4 21 156
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 0 15 0 1 6 54
Common Failings: How Corporate Defaults are Correlated 0 0 0 158 1 3 13 534
Corporate Credit Risk Premia 0 0 3 27 0 0 3 56
Corporate Credit Risk Premia 0 1 5 39 0 3 17 83
Dynamic Directed Random Matching 0 0 0 27 0 0 4 53
Dynamic Directed Random Matching 0 0 0 29 1 2 11 37
Financial Market Infrastructure: Too Important to Fail 0 0 0 36 0 1 6 96
Financial Regulatory Reform after the Crisis: An Assessment 0 0 2 51 0 0 9 122
Frailty Correlated Default 0 0 0 36 0 1 9 240
Funding Value Adjustments 0 0 1 14 0 2 10 43
Information Percolation 0 0 0 5 0 2 12 102
Information Percolation in Segmented Markets 0 0 0 26 0 0 8 123
Information Percolation in Segmented Markets 0 0 0 7 0 0 1 58
Information Percolation with Equilibrium Search Dynamics 0 0 0 26 0 0 8 113
Innovations in credit risk transfer: implications for financial stability 0 1 4 354 3 7 36 982
Large Portfolio Losses 0 0 0 137 0 1 9 304
Liquidation Risk 0 0 3 89 0 6 34 478
Liquidity Premia in Dynamic Bargaining Markets 0 0 0 0 0 0 3 140
Market Fragmentation 0 0 3 19 2 3 20 39
Measuring Default Risk Premia from Default Swap Rates and EDFs 0 0 3 64 0 4 17 271
Measuring default risk premia from default swap rates and EDFs 0 2 4 99 1 7 17 451
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 60 1 2 8 198
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 1 24 2 3 11 117
Multi-Period Corporate Default Prediction With Stochastic Covariates 0 0 0 166 2 3 20 498
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 0 1 4 22 304
Multi-Period Corporate Failure Prediction With Stochastic Covariates 0 0 0 1 0 0 7 219
Multi-Period Corporate Failure Prediction with Stochastic Covariates 0 0 0 191 0 0 7 681
Over the Counter Search Frictions: A Case Study of the Federal Funds Market 0 0 2 50 0 1 7 125
Over-the-Counter Markets 0 0 2 216 0 0 13 744
Policy Perspectives on OTC Derivatives Market Infrastructure 0 0 1 35 0 0 4 113
Policy perspectives on OTC derivatives market infrastructure 0 0 1 80 1 2 8 186
Report on “The Committee on Yen Risk-free-rate Model Estimation†1 1 1 10 1 2 4 114
Robust Benchmark Design 0 0 0 8 0 1 7 71
Simulated Moments Estimation of Markov Models of Asset Prices 1 1 2 112 4 6 19 430
Size Discovery 0 0 0 3 0 1 5 48
Size Discovery 0 0 0 6 1 1 4 17
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 0 0 57 0 1 5 118
The Consumption-Based Capital Asset Pricing Model 0 0 0 0 0 4 13 626
The Exact Law of Large Numbers for Independent Random Matching 0 0 0 37 4 4 13 107
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 0 0 0 7 0 0 2 59
The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation 1 1 1 10 1 1 6 61
The failure mechanics of dealer banks 0 0 1 58 0 5 33 269
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 1,608 1 7 18 3,023
Valuation in Dynamic Bargaining Markets 0 0 0 1 1 1 4 121
Valuation in Dynamic Bargaining Markets 0 0 0 1 0 0 4 212
Valuation in Over-the-Counter Markets 0 0 0 135 1 2 7 479
Valuation in Over-the-Counter Markets 0 0 0 41 1 1 6 219
Total Working Papers 7 12 54 4,832 45 134 650 15,898

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Liquidity-Based Model of Security Design 0 0 0 1 1 1 17 1,081
A YIELD‐FACTOR MODEL OF INTEREST RATES 0 0 8 257 4 12 44 730
A term structure model with preferences for the timing of resolution of uncertainty (*) 0 0 0 0 0 0 4 198
Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group 0 0 1 44 0 0 8 149
An Econometric Model of the Term Structure of Interest-Rate Swap Yields 3 8 17 756 6 17 54 1,541
An extension of the Black-Scholes model of security valuation 0 0 1 202 0 0 2 461
Analytical value-at-risk with jumps and credit risk 0 0 2 412 0 0 10 1,005
Arrow and General Equilibrium Theory 0 0 3 196 0 4 12 432
Asset Pricing with Heterogeneous Consumers 1 2 9 1,245 6 19 76 2,842
Asset Pricing with Stochastic Differential Utility 0 2 12 393 1 6 23 897
Benchmarks in Search Markets 0 0 2 19 0 3 13 93
Capital Mobility and Asset Pricing 0 0 0 67 3 7 24 346
Central clearing and collateral demand 0 0 11 82 5 15 66 298
Challenges to a Policy Treatment of Speculative Trading Motivated by Differences in Beliefs 0 0 2 6 0 1 6 35
Comment 0 0 0 1 0 1 4 19
Common Failings: How Corporate Defaults Are Correlated 0 0 0 88 4 8 24 438
Competitive equilibria in general choice spaces 0 0 0 18 0 0 0 42
Continuous-time security pricing: A utility gradient approach 1 1 3 353 2 4 11 584
Corporate Incentives for Hedging and Hedge Accounting 1 5 20 798 7 18 68 2,513
Corporate financial hedging with proprietary information 0 0 3 362 2 6 19 810
Credit risk modeling with affine processes 1 1 2 134 3 5 12 309
Does a Central Clearing Counterparty Reduce Counterparty Risk? 0 0 3 16 0 5 33 90
Dynamic directed random matching 0 0 0 9 1 1 14 55
Efficient and equilibrium allocations with stochastic differential utility 0 0 0 96 0 0 2 162
Equilibrium in incomplete markets: I: A basic model of generic existence 0 1 10 219 0 11 26 386
Equilibrium in incomplete markets: II: Generic existence in stochastic economies 0 0 1 111 1 1 4 214
Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals 0 0 0 133 0 1 6 468
Explaining the U.S. tri-party repo market 0 2 7 85 0 5 15 247
Financial Market Innovation and Security Design: An Introduction 0 2 5 406 0 5 23 836
Frailty Correlated Default 0 1 2 34 0 3 13 247
From Discrete‐ to Continuous‐Time Finance: Weak Convergence of the Financial Gain Process1 0 0 0 17 0 0 3 78
Hedging in incomplete markets with HARA utility 0 0 1 233 0 0 10 432
Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities 0 2 5 216 2 8 27 577
Incomplete security markets with infinitely many states: An introduction 0 1 2 36 0 1 5 102
Information Percolation 0 0 0 43 0 1 5 186
Information Percolation With Equilibrium Search Dynamics 0 0 1 46 1 1 11 199
Information Percolation in Large Markets 0 1 2 55 1 2 7 231
Information percolation in segmented markets 0 0 2 10 1 3 8 109
Is there a case for banning short speculation in sovereign bond markets? 0 0 1 36 1 3 7 157
Large portfolio losses 0 0 1 13 0 0 9 113
Market Pricing of Deposit Insurance 0 2 3 75 0 2 7 185
Modeling Sovereign Yield Spreads: A Case Study of Russian Debt 0 1 1 240 1 5 12 673
Modeling Term Structures of Defaultable Bonds 0 0 0 3 5 14 60 2,103
Multi-period corporate default prediction with stochastic covariates 1 5 17 255 6 17 69 726
Multiperiod security markets with differential information: Martingales and resolution times 0 0 1 99 0 1 2 193
Optimal Investment With Undiversifiable Income Risk 0 1 4 87 0 1 5 186
Optimal hedging and equilibrium in a dynamic futures market 0 0 1 177 1 1 5 358
Over-the-Counter Markets 0 0 4 376 3 5 41 1,296
PDE solutions of stochastic differential utility 0 0 2 224 0 1 10 409
Preface to the Special Issue on Systemic Risk: Models and Mechanisms 0 0 0 7 0 0 4 34
Presidential Address: Asset Price Dynamics with Slow‐Moving Capital 1 1 6 60 5 10 36 267
Pricing continuously resettled contingent claims 0 0 0 31 3 3 4 83
Reforming LIBOR and Other Financial Market Benchmarks 0 0 4 74 3 12 42 268
Replumbing Our Financial System: Uneven Progress 0 0 2 15 2 5 13 108
Reprint of: Information percolation in segmented markets 0 0 1 9 0 2 7 60
Securities lending, shorting, and pricing 2 5 21 335 6 12 41 836
Simulated Moments Estimation of Markov Models of Asset Prices 4 5 8 638 7 11 39 1,593
Size Discovery 1 1 1 5 2 5 11 52
Special Repo Rates 2 7 23 602 5 22 73 2,119
Stationary Markov Equilibria 0 0 1 263 2 3 16 880
Stochastic Differential Utility 1 3 10 724 2 8 35 1,531
Stochastic Equilibria: Existence, Spanning Number, and the 'No Expected Financial Gain from Trade' Hypothesis 0 0 2 38 0 0 6 130
Stochastic equilibria with incomplete financial markets 0 0 0 115 0 0 2 211
Swap Rates and Credit Quality 0 1 10 300 0 7 24 979
Systemic Illiquidity in the Federal Funds Market 1 3 3 133 2 6 14 383
Term Structures of Credit Spreads with Incomplete Accounting Information 0 0 0 2 0 4 20 1,002
The Consumption-Based Capital Asset Pricing Model 0 0 4 720 0 4 21 2,017
The Failure Mechanics of Dealer Banks 0 1 2 13 2 7 26 77
The Failure Mechanics of Dealer Banks 0 2 5 134 0 9 31 446
The New Palgrave: Finance: A book review 0 0 0 18 0 0 1 100
The Squam Lake Report: Fixing the Financial System 1 1 2 181 3 12 52 731
The exact law of large numbers for independent random matching 0 0 0 20 0 0 9 165
The relative contributions of private information sharing and public information releases to information aggregation 0 0 0 23 0 0 2 98
Transactions costs and portfolio choice in a discrete-continuous-time setting 0 0 2 243 2 4 10 414
Transform Analysis and Asset Pricing for Affine Jump-Diffusions 0 0 0 3 5 12 48 1,439
Universal state prices and asymmetric information 0 0 0 57 2 2 7 117
Valuation in Over-the-Counter Markets 0 0 1 56 2 6 22 262
Total Journal Articles 21 68 280 13,603 123 391 1,552 42,243

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 3 21 92
How Big Banks Fail and What to Do about It 0 0 0 0 0 4 16 52
Measuring Corporate Default Risk 0 0 0 0 0 0 7 115
The Squam Lake Report: Fixing the Financial System 0 0 0 0 0 2 21 72
Total Books 0 0 0 0 1 9 65 331

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 1 1 52 0 1 7 175
A Dialogue on the Costs and Benefits of Automatic Stays for Derivatives and Repurchase Agreements 0 0 3 36 0 2 14 171
Comment on "Risk Topography" 0 0 0 2 0 0 3 39
Financial Market Infrastructure: Too Important to Fail 0 0 5 16 0 3 15 77
IMPLEMENTING ARROW-DEBREU EQUILIBRIA BY CONTINUOUS TRADING OF FEW LONG-LIVED SECURITIES 0 0 0 0 1 1 5 17
Intertemporal asset pricing theory 1 2 5 479 4 12 31 1,211
Introduction 0 0 1 1 0 2 6 17
Introduction 0 1 1 3 0 2 5 29
Market Pricing of Deposit Insurance 0 0 0 4 1 1 4 22
Money in general equilibrium theory 0 1 8 417 0 3 31 1,123
Over-The-Counter Markets 0 1 8 17 1 6 38 109
Policy Issues Facing the Market for Credit Derivatives 0 0 0 13 1 1 3 69
Resolution of Failing Central Counterparties 0 0 0 0 0 0 13 119
Systemic Risk Exposures: A 10-by-10-by-10 Approach 0 1 1 33 0 1 6 97
The theory of value in security markets 0 0 0 143 0 2 6 323
Total Chapters 1 7 33 1,216 8 37 187 3,598

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Statistics updated 2021-07-05