Joost Driessen
Joost Driessen
Professor of Finance, Tilburg University
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Is default event risk priced in corporate bonds?
J Driessen
Review of Financial Studies 18 (1), 165-195, 2005
The price of correlation risk: Evidence from equity options
J Driessen, PJ Maenhout, G Vilkov
The Journal of Finance 64 (3), 1377-1406, 2009
International portfolio diversification benefits: Cross-country evidence from a local perspective
J Driessen, L Laeven
Journal of Banking & Finance 31 (6), 1693-1712, 2007
Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market
D Bongaerts, F De Jong, J Driessen
The Journal of Finance 66 (1), 203-240, 2011
Individual stock-option prices and credit spreads
M Cremers, J Driessen, P Maenhout, D Weinbaum
Journal of Banking & Finance 32 (12), 2706-2715, 2008
Liquidity risk premia in corporate bond markets
F De Jong, J Driessen
The Quarterly Journal of Finance 2 (02), 2012
Explaining the level of credit spreads: Option-implied jump risk premia in a firm value model
KJM Cremers, J Driessen, P Maenhout
Review of Financial Studies 21 (5), 2209-2242, 2008
A new method to estimate risk and return of nontraded assets from cash flows: the case of private equity funds
J Driessen, TC Lin, L Phalippou
Journal of Financial and Quantitative Analysis 47 (03), 511-535, 2012
An empirical portfolio perspective on option pricing anomalies
J Driessen, P Maenhout
Review of Finance 11 (4), 561-603, 2007
Option-implied correlations and the price of correlation risk
J Driessen, P Maenhout, G Vilkov
EFA 2005 Moscow Meetings, December, 2006
Does skin in the game matter? Director incentives and governance in the mutual fund industry
M Cremers, J Driessen, P Maenhout, D Weinbaum
Journal of Financial and Quantitative Analysis 44 (6), 1345, 2009
Common factors in international bond returns
J Driessen, B Melenberg, T Nijman
Journal of International Money and Finance 22 (5), 629-656, 2003
An asset pricing approach to liquidity effects in corporate bond markets
D Bongaerts, F de Jong, J Driessen
The Review of Financial Studies 30 (4), 1229-1269, 2017
The performance of multi-factor term structure models for pricing and hedging caps and swaptions
J Driessen, P Klaassen, B Melenberg
Journal of Financial and Quantitative Analysis 38 (3), 635-672, 2003
Libor market models versus swap market models for pricing interest rate derivatives: An empirical analysis
F De Jong, J Driessen, A Pelsser
European Finance Review 5 (3), 201-237, 2001
Cumulative prospect theory, option returns, and the variance premium
L Baele, J Driessen, S Ebert, JM Londono, OG Spalt
The Review of Financial Studies 32 (9), 3667-3723, 2019
How the 52-week high and low affect option-implied volatilities and stock return moments
J Driessen, TC Lin, O Van Hemert
Review of Finance 17 (1), 369-401, 2013
The world price of jump and volatility risk
J Driessen, P Maenhout
Journal of Banking & Finance, 2012
Pricing liquidity risk with heterogeneous investment horizons
A Beber, J Driessen, A Neuberger, P Tuijp
Journal of Financial and Quantitative Analysis 56 (2), 373-408, 2021
Hedging house price risk: Portfolio choice with housing futures
F De Jong, J Driessen, O Van Hemert
Available at SSRN 740364, 2008
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