| Time and the price impact of a trade A Dufour, RF Engle The Journal of Finance 55 (6), 2467-2498, 2000 | 768 | 2000 |
| The differential impact of leverage on the default risk of small and large firms L Cathcart, A Dufour, L Rossi, S Varotto Journal of Corporate Finance 60, 101541, 2020 | 114 | 2020 |
| The ACD model: predictability of the time between consecutive trades A Dufour, RF Engle University of Reading and University of California at San Diego 35 (3), 463-497, 2000 | 107 | 2000 |
| Credit and liquidity components of corporate CDS spreads F Corò, A Dufour, S Varotto Journal of Banking & Finance 37 (12), 5511-5525, 2013 | 98 | 2013 |
| Information entropy and measures of market risk DT Pele, E Lazar, A Dufour Entropy 19 (5), 226, 2017 | 68 | 2017 |
| Permanent trading impacts and bond yields A Dufour, M Nguyen The European Journal of Finance 18 (9), 841-864, 2012 | 50* | 2012 |
| MTS time series: Market and data description for the European bond and repo database A Dufour, F Skinner ICMA Centre Discussion Papers in Finance, 2004 | 46 | 2004 |
| The MiFID: Competition in a new European equity market regulatory structure R Davies, A Dufour, B Scott-Quinn Investor protection in Europe: Corporate law making, the MiFID and beyond …, 2006 | 36 | 2006 |
| Microstructure of the Euro‐Area Government Bond Market M Darbha, A Dufour Market Microstructure in Emerging and Developed Markets: Price Discovery …, 2013 | 30 | 2013 |
| Measuring Euro Area Government Bond Market liquidity and its Asset Pricing Implications M Darbha, A Dufour Available at SSRN 2470944, 2013 | 27 | 2013 |
| Modeling intraday volatility of European bond markets: A data filtering application H Zhang, A Dufour International Review of Financial Analysis 63, 131-146, 2019 | 17 | 2019 |
| Predicting Stock Price Changes Based on the Limit Order Book: A Survey I Zaznov, J Kunkel, A Dufour, A Badii Mathematics 10 (8), 1234, 2022 | 16 | 2022 |
| The equity-like behaviour of sovereign bonds A Dufour, A Stancu, S Varotto Journal of International Financial Markets, Institutions and Money 48, 25-46, 2017 | 15 | 2017 |
| On the performance of the tick test M Perlin, C Brooks, A Dufour The Quarterly Review of Economics and Finance 54 (1), 42-50, 2014 | 12 | 2014 |
| On the performance of the tick test M Perlin, C Brooks, A Dufour The Quarterly Review of Economics and Finance 54 (1), 42-50, 2014 | 12 | 2014 |
| Time and the Price Impact of a Trade RF Engle, A Dufour | 12 | 2000 |
| Explaining repo specialness A Dufour, M Marra, I Sangiorgi, FS Skinner International Journal of Finance & Economics 25 (2), 172-196, 2020 | 10 | 2020 |
| The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market M Perlin, A Dufour, C Brooks Annals of Finance 10 (3), 457-480, 2014 | 10 | 2014 |
| Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos A Dufour, M Marra, I Sangiorgi Journal of Banking & Finance 107, 105610, 2019 | 8 | 2019 |
| Time-varying price discovery in the European Treasury markets A Dufour, M Nguyen Available at SSRN 1031890, 2007 | 7 | 2007 |
