Joost Driessen

Cited by

	All	Since 2019
Citations	5397	1644
h-index	23	18
i10-index	38	24

380

190

285

200320042005200620072008200920102011201220132014201520162017201820192020202120222023202421 38 71 93 143 210 217 273 280 285 322 367 331 304 294 355 275 328 312 287 276 164

Public access

View all

3 articles

0 articles

available

not available

Based on funding mandates

Co-authors

Frank de JongProfessor of FinanceVerified email at tilburguniversity.edu
Pascal MaenhoutINSEADVerified email at insead.edu
Tse-Chun LinUniversity of Hong KongVerified email at hku.hk
K. J. Martijn CremersProfessor of Finance, University of Notre DameVerified email at nd.edu
Dion BongaertsAssociate professor of Finance, RSM, Erasmus UniversityVerified email at rsm.nl
Ludovic PhalippouUniversity of Oxford Said Business SchoolVerified email at sbs.ox.ac.uk
Bertrand MelenbergTilburg UniversityVerified email at tilburguniversity.edu
Luc LaevenEuropean Central BankVerified email at ecb.europa.eu
Antoon PelsserProfessor of Finance and Actuarial Science, Maastricht UniversityVerified email at maastrichtuniversity.nl
Grigory VilkovFrankfurt School of Finance and ManagementVerified email at vilkov.net
David WeinbaumSyracuse UniversityVerified email at syr.edu
Lieven BaeleProfessor of Finance, Tilburg UniversityVerified email at tilburguniversity.edu
Sebastian EbertProfessor of Economics, University of HeidelbergVerified email at awi.uni-heidelberg.de
Patrick TuijpHead of Global Clients Scenarios & Asset Valuation, Ortec FinanceVerified email at uva.nl
enrico perottiAmsterdamVerified email at uva.nl
Ole WilmsUniversität HamburgVerified email at uni-hamburg.de
Ran XingStockholm UniversityVerified email at sbs.su.se
Anthony NeubergerProfessor of Finance, Cass Business School, City University of LondonVerified email at city.ac.uk
Rik FrehenTilburg UniversityVerified email at uvt.nl
Ricardo BarahonaBanco de EspañaVerified email at bde.es

Joost Driessen

Professor of Finance, Tilburg University

Verified email at uvt.nl - Homepage

finance - asset pricing - credit risk - derivatives


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Is default event risk priced in corporate bonds? J Driessen Review of Financial Studies 18 (1), 165-195, 2005	814	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	526	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	459	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	452	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	373	2008
Liquidity risk premia in corporate bond markets F De Jong, J Driessen The Quarterly Journal of Finance 2 (02), 2012	361*	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	304	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	293	2012
An empirical portfolio perspective on option pricing anomalies J Driessen, P Maenhout Review of Finance 11 (4), 561-603, 2007	210*	2007
Option-implied correlations and the price of correlation risk J Driessen, P Maenhout, G Vilkov EFA 2005 Moscow Meetings, December, 2006	174*	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	171	2009
Common factors in international bond returns J Driessen, B Melenberg, T Nijman Journal of International Money and Finance 22 (5), 629-656, 2003	157	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	151*	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	137	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	90*	2001
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	78	2013
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	77*	2019
The world price of jump and volatility risk J Driessen, P Maenhout Journal of Banking & Finance, 2012	69*	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	54*	2021
Hedging house price risk: Portfolio choice with housing futures F De Jong, J Driessen, O Van Hemert Available at SSRN 740364, 2008	53	2008

The system can't perform the operation now. Try again later.

Articles 1–20

Citations per year

Duplicate citations

Merged citations

Add co-authorsCo-authors

Follow

Cited by

Co-authors