2026 Pierre Collin-Dufresne: Economics and Finance Researcher – H-Index, Publications & Awards

Discipline name	D-Index	World Ranking	Current World Ranking	National Ranking	Current National Ranking	Publications	Citations
Economics and Finance	38	2476	2241	40	39	92	12008

Discipline name

D-Index

World Ranking

Current World Ranking

National Ranking

Current National Ranking

Publications

Citations

Economics and Finance

2476

2241

12008

Overview

Pierre Collin-Dufresne is affiliated with École Polytechnique Fédérale de Lausanne in Switzerland. Their research primarily spans the fields of Economics, Econometrics, and Finance, with a particular focus on Finance, Accounting, Economics and Econometrics, and Management Science and Operations Research.

The scientist's work covers several key topics related to financial markets and risk, including:

Financial Markets and Investment Strategies
Credit Risk and Financial Regulations
Corporate Finance and Governance
Banking Stability, Regulation, Efficiency
Stochastic Processes and Financial Applications
Economic Theories and Models
Market Dynamics and Volatility

Frequent co-authors with whom they have collaborated include:

Anders B. Trolle
Mehmet Sağlam
Benjamin Junge
Vincent Bogousslavsky
Kent Daniel

Their publications appear often in several prominent venues, with repeated contributions particularly to:

SSRN Electronic Journal
The Journal of Finance
Journal of Financial Economics
Journal of Financial and Quantitative Analysis
Journal of Economic Theory

Among their recent papers are:

"Slow-moving capital and execution costs: Evidence from a major trading glitch" (2020), Journal of Financial Economics
"Informed Trading in the Stock Market and Option-Price Discovery" (2020), Journal of Financial and Quantitative Analysis
"Liquidity, Volume, and Order Imbalance Volatility" (2023), The Journal of Finance
"How Integrated are Credit and Equity Markets? Evidence from Index Options" (2023), The Journal of Finance
"How Integrated Are Credit and Equity Markets? Evidence From Index Options" (2020), SSRN Electronic Journal

Best Publications

The Determinants of Credit Spread Changes

Pierre Collin-Dufresne;Robert S. Goldstein;J. Spencer Martin

2958
Citations
Do Credit Spreads Reflect Stationary Leverage Ratios

Pierre Collin-Dufresne;Robert S. Goldstein

1022
Citations
The Determinants of Credit Spread Changes

Pierre Collin-Dufresne;J. Spencer Martin;Robert S. Goldstein;Robert S. Goldstein

842
Citations
Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

Jaime Casassus;Pierre Collin-Dufresne

566
Citations
Portfolio choice over the life-cycle when the stock and labor markets are cointegrated

Luca Benzoni;Pierre Collin-Dufresne;Robert S. Goldstein

560
Citations
On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle

Long Chen;Pierre Collin-Dufresne;Robert S. Goldstein

543
Citations
Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs

Pierre Collin-Dufresne;Robert S. Goldstein;Jean Helwege

532
Citations
Do Bonds Span the Fixed Income Markets? Theory and Evidence for Unspanned Stochastic Volatility

Pierre Collin-Dufresne;Robert S. Goldstein

393
Citations
On the Term Structure of Default Premia in the Swap and LIBOR Markets

Pierre Collin-Dufresne;Bruno Solnik

319
Citations
Parameter Learning in General Equilibrium: The Asset Pricing Implications

Pierre Collin-Dufresne;Michael Johannes;Lars A. Lochstoer

300
Citations
Do prices reveal the presence of informed trading

Pierre Collin-Dufresne;Vyacheslav Fos

290
Citations
A general formula for valuing defaultable securities

P. Collin-Dufresne;R. Goldstein;J. Hugonnier

269
Citations
Insider Trading, Stochastic Liquidity and Equilibrium Prices

Pierre Collin-Dufresne;Vyacheslav Fos

229
Citations
Explaining asset pricing puzzles associated with the 1987 market crash

Luca Benzoni;Pierre Collin-Dufresne;Robert S. Goldstein

224
Citations
The CDS-bond basis

Jennie Bai;Pierre Collin‐Dufresne

191
Citations
Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash

Luca Benzoni;Pierre Collin-Dufresne;Pierre Collin-Dufresne;Pierre Collin-Dufresne;Robert S. Goldstein;Robert S. Goldstein

182
Citations
Dividend Dynamics and the Term Structure of Dividend Strips

Frederico Belo;Pierre Collin-Dufresne;Pierre Collin-Dufresne;Robert S. Goldstein

158
Citations
Identification of Maximal Affine Term Structure Models

Pierre Collin-Dufresne;Robert S. Goldstein;Christopher S. Jones

139
Citations
Can interest rate volatility be extracted from the cross section of bond yields

Pierre Collin-Dufresne;Robert S. Goldstein;Christopher S. Jones

133
Citations
Pricing Swaptions Within an Affine Framework

Pierre Collin-Dufresne;Robert S. Goldstein

127
Citations
Replication data for: Parameter Learning in General Equilibrium: The Asset Pricing Implications

Michael Johannes;Pierre Collin-Dufresne;Lars A. Lochstoer

0
Citations

Frequent Co-Authors

Kent Daniel Columbia University

Alexander Ljungqvist Stockholm School of Economics

Bruno H. Solnik Hong Kong University of Science and Technology

Nicholas Barberis Yale University

Michael Firth Lingnan University

Andrew Ang BlackRock (United States)

External Links

Personal website of Pierre Collin-Dufresne Google Scholar page

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