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

9

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CITATIONS
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12

Scholarly Papers (9)

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 452 (59,216)
Citation 8

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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 117 (227,474)
Citation 8

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

2.

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 536 (47,963)

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

3.

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 508 (51,407)
Citation 2

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

4.

Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options

Number of pages: 142 Posted: 02 Jun 2016 Last Revised: 23 Sep 2018
Simon Fraser University, HEC Montreal and HEC Montreal - Department of Decision Sciences
Downloads 403 (68,428)

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

5.

Convertible Debt and Shareholder Incentives

Journal of Corporate Finance, (24) 2014
Number of pages: 43 Posted: 10 Oct 2012 Last Revised: 19 Nov 2018
HEC Montreal, HEC Montreal - Department of Finance, HEC Montréal and HEC Montréal
Downloads 291 (99,065)

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

6.

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 258 (112,536)

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

7.

What Drives Corporate Asset Prices: Short- or Long-Run Risk?

Number of pages: 68 Posted: 12 Feb 2018 Last Revised: 08 Jan 2019
Christian Dorion, Adelphe Ekponon and Alexandre Jeanneret
HEC Montreal, University of Cambridge - Judge Business School and HEC Montréal
Downloads 144 (193,704)

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Asset pricing, long-run risk, cross-section of returns, recursive preferences

8.

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 125 (216,832)
Citation 2

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

Low Inflation: High Default Risk AND High Equity Valuations

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-81
Number of pages: 79 Posted: 29 Nov 2018
Imperial College Business School, HEC Montreal, HEC Montréal and University of Chicago - Finance
Downloads 28 (468,175)

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low inflation, default risk, equity, leverage, credit spreads

Low Inflation: High Default Risk and High Equity Valuations

Chicago Booth Research Paper No. 18-12
Number of pages: 78 Posted: 11 Dec 2018
Imperial College Business School, HEC Montreal, HEC Montréal and University of Chicago - Finance
Downloads 15 (545,985)

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low inflation, default risk, equity, leverage, credit spreads

Low Inflation: High Default Risk and High Equity Valuations

NBER Working Paper No. w25317
Number of pages: 78 Posted: 03 Dec 2018
Imperial College Business School, HEC Montreal, HEC Montréal and University of Chicago - Finance
Downloads 2 (633,365)
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