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Joost Driessen

Institution: Universiteit van Tilburg

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://center.uvt.nl/staff/driessen/

First Publication: 2003

Most Recent: 2013

RePEc ID: pdr83 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 0.00 0.00 0.00 0.00 -
Last 10 Years 0.00 0.00 0.00 0.00 0.00 -
All Time 0.00 11.44 7.74 0.00 19.17 93%

Publication Statistics

Raw Publications 16
Coauthorship-Adjusted Count 13.46

Publications (16)

Year Article Journal Tier Authors
2013 How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments Review of Finance B 3
2013 The world price of jump and volatility risk Journal of Banking & Finance B 2
2012 A New Method to Estimate Risk and Return of Nontraded Assets from Cash Flows: The Case of Private Equity Funds Journal of Financial and Quantitative Analysis B 3
2012 Pricing of commercial real estate securities during the 2007–2009 financial crisis Journal of Financial Economics A 2
2011 Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market Journal of Finance A 3
2011 Confidence building on Euro convergence: Evidence from currency options Journal of International Money and Finance B 2
2009 The Price of Correlation Risk: Evidence from Equity Options Journal of Finance A 3
2009 Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry Journal of Financial and Quantitative Analysis B 4
2008 Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model The Review of Financial Studies A 3
2008 Individual stock-option prices and credit spreads Journal of Banking & Finance B 4
2007 International portfolio diversification benefits: Cross-country evidence from a local perspective Journal of Banking & Finance B 2
2007 An Empirical Portfolio Perspective on Option Pricing Anomalies Review of Finance B 2
2005 Is Default Event Risk Priced in Corporate Bonds? The Review of Financial Studies A 1
2005 Testing affine term structure models in case of transaction costs Journal of Econometrics A 3
2003 The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions Journal of Financial and Quantitative Analysis B 3
2003 Common factors in international bond returns Journal of International Money and Finance B 3