Christian Dorion

HEC Montreal

Assistant Professor

3000, Chemin de la Côte-Sainte-Catherine

Montreal, Quebec H2X 2L3

Canada

http://neumann.hec.ca/pages/christian.dorion/

SCHOLARLY PAPERS

7

DOWNLOADS
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CITATIONS
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Top 25,522

in Total Papers Citations

10

Scholarly Papers (7)

Volatility Components, Affine Restrictions and Non-Normal Innovations

Number of pages: 41 Posted: 05 May 2008 Last Revised: 21 Nov 2008
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and McGill University - Desautels Faculty of Management
Downloads 418 (56,337)
Citation 8

Abstract:

Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality

Volatility Components, Affine Restrictions and Non-Normal Innovations

CREATES Research Paper No. 2008-10
Number of pages: 43 Posted: 25 Jun 2008
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, HEC Montreal and McGill University - Desautels Faculty of Management
Downloads 109 (212,391)
Citation 8

Abstract:

Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality

2.

Nonlinear Kalman Filtering in Affine Term Structure Models

Number of pages: 46 Posted: 24 May 2012 Last Revised: 04 Oct 2013
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and Goldman, Sachs & Co
Downloads 399 (49,226)
Citation 1

Abstract:

Kalman filtering, nonlinearity, term structure models, swaps, caps

3.

Option Valuation with Macro-Finance Variables

Journal of Financial and Quantitative Analysis, Vol. 51, No. 4, pp 1359-1389, August 2016
Number of pages: 59 Posted: 17 May 2010 Last Revised: 16 Nov 2016
Christian Dorion
HEC Montreal
Downloads 308 (48,067)

Abstract:

Option valuation; Volatility; Macroeconomic risk; Business conditions; Mixed data sampling; GARCH

4.

Convertible Debt and Shareholder Incentives

Journal of Corporate Finance, Forthcoming
Number of pages: 43 Posted: 10 Oct 2012 Last Revised: 02 Dec 2013
HEC Montreal, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 209 (96,369)

Abstract:

Convertible bonds, Risk-shifting, Asset substitution, Agency conflict, Financial distress, Asset volatility, Contingent claims

5.

Volatility Forecasting and Explanatory Variables: A Tractable Bayesian Approach to Stochastic Volatility

Number of pages: 47 Posted: 26 Jan 2011 Last Revised: 23 May 2013
Christian Dorion and Nicolas Chapados
HEC Montreal and University of Montreal
Downloads 179 (119,434)

Abstract:

Bayesian Volatility Models, Stochastic Volatility, Generalized Autoregressive Conditional Heteroscedasticity Models, Long Memory in Volatility, Multifactor Volatility

6.

Nonlinear Kalman Filtering in Affine Term Structure Models: Internet Appendix

Rotman School of Management Working Paper No. 2322760
Number of pages: 4 Posted: 10 Sep 2013
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and Goldman, Sachs & Co
Downloads 72 (211,358)
Citation 1

Abstract:

Kalman filtering, nonlinearity, term structure models, swaps, caps

7.

Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options

Number of pages: 105 Posted: 02 Jun 2016 Last Revised: 31 May 2017
Simon Fraser University, HEC Montreal and HEC Montreal - Department of Decision Sciences
Downloads 0 (93,017)

Abstract:

Risk premiums; Idiosyncratic risk; Systematic risk; Tail risk; Option valuation; GARCH