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Dorion, Christian's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
942 |
Total
Citations
10 |
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1.
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Volatility Components, Affine Restrictions and Non-Normal Innovations
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Dorion, Christian
HEC Montreal Wang, Yintian
McGill University - Desautels Faculty of Management
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Posted:
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05 May 08
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Last Revised:
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13 Jan 09
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412
(32,863)
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Christoffersen, Peter
University of Toronto - Rotman School of Management Jacobs, Kris
University of Houston - C.T. Bauer College of Business Dorion, Christian
HEC Montreal Wang, Yintian
McGill University - Desautels Faculty of Management
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93
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Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality
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Christoffersen, Peter
University of Toronto - Rotman School of Management Dorion, Christian
HEC Montreal Jacobs, Kris
University of Houston - C.T. Bauer College of Business Wang, Yintian
McGill University - Desautels Faculty of Management
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05 May 08
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Last Revised:
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21 Nov 08
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319
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8
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Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality
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2.
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Christoffersen, Peter
University of Toronto - Rotman School of Management Dorion, Christian
HEC Montreal Jacobs, Kris
University of Houston - C.T. Bauer College of Business Karoui, Lotfi
Goldman, Sachs & Co
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187
(79,871)
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Kalman filtering, nonlinearity, term structure models, swaps, caps
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3.
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Dorion, Christian
HEC Montreal
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17 May 10
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Last Revised:
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18 Mar 12
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152
(96,742)
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2
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Business Conditions, Macroeconomic Risk, GARCH, Mixed Data Sampling, Option Valuation, Volatility
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4.
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Dorion, Christian
HEC Montreal Chapados, Nicolas
University of Montreal
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26 Jan 11
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Last Revised:
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03 Oct 12
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115
(122,070)
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Bayesian Volatility Models, Stochastic Volatility, Generalized Autoregressive Conditional Heteroscedasticity Models, Long Memory in Volatility, Multifactor Volatility
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5.
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Dorion, Christian
HEC Montreal Francois, Pascal
HEC Montreal - Department of Finance Grass, Gunnar
HEC Montréal Jeanneret, Alexandre
HEC Montréal
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10 Oct 12
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Last Revised:
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26 Apr 13
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76
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Convertible bonds, Risk-shifting, Asset substitution, Agency conflict, Financial distress, Asset volatility, Contingent claims
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