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Darrell Duffie

Active 1985–2020

56
Papers
35,435
Citations
51
h-index
53
i10-index

Citations

Citations per year for Darrell Duffie1983: 1 citations1984: 1 citations1986: 2 citations1988: 2 citations1989: 5 citations1990: 10 citations1991: 5 citations1992: 14 citations1993: 7 citations1994: 8 citations1995: 29 citations1996: 44 citations1997: 35 citations1998: 59 citations1999: 76 citations2000: 74 citations2001: 133 citations2002: 131 citations2003: 147 citations2004: 135 citations2005: 128 citations2006: 126 citations2007: 115 citations2008: 175 citations2009: 154 citations2010: 194 citations2011: 163 citations2012: 151 citations2013: 148 citations2014: 135 citations2015: 106 citations2016: 93 citations2017: 120 citations2018: 106 citations2019: 98 citations2020: 101 citations2021: 98 citations2022: 83 citations2023: 89 citations2024: 73 citations2025: 61 citations2026: 16 citations1985: no citations, so this year is not shown1987: no citations, so this year is not shown

Citation sources

Countries

World map of the countries and regions citing this authorUnited States: 1,176 citing papers, 33.8% of this breakdownChina: 335 citing papers, 9.6% of this breakdownUnited Kingdom: 282 citing papers, 8.1% of this breakdownCanada: 172 citing papers, 4.9% of this breakdownGermany: 159 citing papers, 4.6% of this breakdownFrance: 152 citing papers, 4.4% of this breakdownItaly: 130 citing papers, 3.7% of this breakdownHong Kong: 117 citing papers, 3.4% of this breakdownSwitzerland: 104 citing papers, 3% of this breakdownAustralia: 67 citing papers, 1.9% of this breakdownJapan: 67 citing papers, 1.9% of this breakdownNetherlands: 57 citing papers, 1.6% of this breakdown
0%33.8%Other 19.1%

Institutions

Fields

  • Economics, Econometrics and Finance72%
  • Decision Sciences8.1%
  • Business, Management and Accounting7.8%
  • Computer Science4%
  • Mathematics2.8%
  • Social Sciences1.8%
  • Other3.5%

Topics

  • Stochastic processes and financial applications14.5%
  • Credit Risk and Financial Regulations7.6%
  • Financial Markets and Investment Strategies6.9%
  • Economic theories and models6.2%
  • Financial Risk and Volatility Modeling6.1%
  • Banking stability, regulation, efficiency5.7%
  • Other53%

Coauthors

All papers

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  1. An Overview of Value at Risk

    Authors: Darrell Duffie, Jun Pan - The Journal of Derivatives 1997 cited by 1,317

  2. Stochastic Differential Utility

    Authors: Darrell Duffie, Larry G. Epstein - Econometrica 1992 cited by 1,196

  3. Modeling Term Structures of Defaultable Bonds

    Authors: Darrell Duffie, Kenneth J. Singleton - Review of Financial Studies 1999 cited by 2,588

  4. Dynamic Asset Pricing Theory.

    Authors: Jonathan E. Ingersoll, Darrell Duffie - The Journal of Finance 1993 cited by 3,081

  5. Affine processes and applications in finance

    Authors: Darrell Duffie, Damir Filipović, Walter Schachermayer - The Annals of Applied Probability 2003 cited by 1,085

  6. Simulated Moments Estimation of Markov Models of Asset Prices

    Authors: Darrell Duffie, Kenneth J. Singleton - Econometrica 1990 cited by 718

  7. Frailty Correlated Default

    Authors: Darrell Duffie, Andreas Eckner, Guillaume Horel, Leandro Saita - The Journal of Finance 2009 cited by 571

  8. Multi-Period Corporate Default Prediction with Stochastic Covariates

    Authors: Darrell Duffie, Leandro Saita, Ke Wang - Journal of Financial Economics 2005 cited by 1,012

  9. Common Failings: How Corporate Defaults Are Correlated

    Authors: Sanjiv Ranjan Das, Darrell Duffie, Nikunj Kapadia, Leandro Saita - The Journal of Finance 2007 cited by 607

  10. Financial Regulatory Reform After the Crisis: An Assessment

    Authors: Darrell Duffie - Management Science, Manag. Sci. 2016 cited by 188

  11. Term Structures of Credit Spreads with Incomplete Accounting Information

    Authors: Darrell Duffie, David Lando - Econometrica 2001 cited by 1,382

  12. Credit Risk

    Authors: Darrell Duffie, Kenneth J. Singleton - Princeton University Press eBooks 2003 cited by 562

  13. Efficient Monte Carlo Simulation of Security Prices

    Authors: Darrell Duffie, Peter W. Glynn - The Annals of Applied Probability 1995 cited by 181

  14. Asset Pricing with Heterogeneous Consumers

    Authors: George M. Constantinides, Darrell Duffie - Journal of Political Economy 1996 cited by 1,248

  15. Risk and Valuation of Collateralized Debt Obligations

    Authors: Darrell Duffie, Nicolae Gârleanu - Financial Analysts Journal 2001 cited by 630

  16. Stationary Markov Equilibria

    Authors: Darrell Duffie, John Geanakoplos, Andreu Mas‐Colell, Andrew McLennan - Econometrica 1994 cited by 284

  17. Hedging in incomplete markets with HARA utility

    Authors: Darrell Duffie, Wendell H. Fleming, H. Meté Soner, Thaleia Zariphopoulou - Journal of Economic Dynamics and Control 1997 cited by 258

  18. A YIELD‐FACTOR MODEL OF INTEREST RATES

    Authors: Darrell Duffie, Rui Kan - Mathematical Finance 1996 cited by 2,633

  19. Presidential Address: Asset Price Dynamics with Slow‐Moving Capital

    Authors: Darrell Duffie - The Journal of Finance 2010 cited by 896

  20. A Liquidity-based Model of Security Design

    Authors: Peter M. DeMarzo, Darrell Duffie - Econometrica 1999 cited by 765

  21. Asset Pricing with Stochastic Differential Utility

    Authors: Darrell Duffie, Larry G. Epstein - Review of Financial Studies 1992 cited by 501

  22. Special Repo Rates

    Authors: Darrell Duffie - The Journal of Finance 1996 cited by 455

  23. Digital Currencies and Stablecoins: Risks, Opportunities and Challenges Ahead

    Authors: Darrell Duffie, Raghuram G. Rajan, Kenneth Rogoff, Hyun Song Shinn - 2020 cited by 17

  24. Corporate Incentives for Hedging and Hedge Accounting

    Authors: Peter M. DeMarzo, Darrell Duffie - Review of Financial Studies 1995 cited by 777