NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Darrell Duffie

Working Papers and Chapters

February 2006Valuation in Over-the-Counter Markets
with Nicolae Garleanu, Lasse Heje Pedersen: w12020
January 2006Common Failings: How Corporate Defaults are Correlated
with Sanjiv Das, Nikunj Kapadia, Leandro Saita: w11961
Multi-Period Corporate Default Prediction With Stochastic Covariates
with Leandro Siata, Ke Wang: w11962
October 2004Over-the-Counter Markets
with Nicolae Garleanu, Lasse Heje Pedersen: w10816
September 2004Multi-Period Corporate Failure Prediction with Stochastic Covariates
with Darrell Duffie, Ke Wang: w10743
September 2002Affine Processes and Application in Finance
with D. Filipovic, W. Schachermayer: t0281
Large Portfolio Losses
with Amir Dembo, Jean-Deominique Deuschel: w9177
April 1999Transform Analysis and Asset Pricing for Affine Jump-Diffusions
with Jun Pan, Kenneth Singleton: w7105
March 1990Simulated Moments Estimation of Markov Models of Asset Prices
with Kenneth J. Singleton: t0087

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