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

10

DOWNLOADS
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Top 15,897

in Total Papers Downloads

3,843

SSRN CITATIONS
Rank 11,980

SSRN RANKINGS

Top 11,980

in Total Papers Citations

56

CROSSREF CITATIONS

46

Scholarly Papers (10)

1.

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 630 (52,063)
Citation 11

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

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 491 (70,421)
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 123 (279,937)
Citation 26

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

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 607 (54,647)
Citation 4

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

4.

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 542 (62,956)
Citation 2

Abstract:

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

5.

What Drives the Expected Return on a Stock: Short-Run or Long-Run Risk?

Number of pages: 44 Posted: 12 Feb 2018 Last Revised: 04 Mar 2020
Christian Dorion, Adelphe Ekponon and Alexandre Jeanneret
HEC Montreal, University of Liverpool Management School and UNSW Business School
Downloads 482 (72,797)
Citation 1

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Equity risk premium, long-run risk, short-run risk, capital structure, asset pricing

6.

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 UNSW Business School
Downloads 337 (110,297)

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

7.

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 297 (126,330)

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

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 158 (228,828)
Citation 16

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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, UNSW Business School and University of Chicago - Finance
Downloads 106 (311,409)

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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: 130 Posted: 11 Dec 2018 Last Revised: 23 Jul 2021
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 26 (604,546)

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high 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 Last Revised: 06 Mar 2021
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 15 (687,455)

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10.

Low Inflation: High Default Risk and High Equity Valuations

CESifo Working Paper No. 7391
Number of pages: 79 Posted: 21 Feb 2019
University of Oxford - Department of Economics, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 29 (568,886)

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