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/

Canadian Derivatives Institute

3000, chemin de la Côte-Sainte-Catherine

Montréal, Québec H3T 2A7

Canada

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 17,241

SSRN RANKINGS

Top 17,241

in Total Papers Downloads

4,177

SSRN CITATIONS
Rank 11,396

SSRN RANKINGS

Top 11,396

in Total Papers Citations

60

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 Department of decision Sciences and GERADAssociate member, Oxford-Man Institute (OMI)
Downloads 664 (56,079)
Citation 11

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

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 628 (60,238)
Citation 6

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Option valuation; Volatility; Macroeconomic risk; Business conditions; Mixed data sampling; 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 502 (78,990)
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 125 (312,048)
Citation 26

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

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 562 (69,320)
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 540 (72,884)
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 356 (118,781)

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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 309 (138,206)

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

High Inflation: Low Default Risk and Low Equity Valuations

Chicago Booth Research Paper No. 18-12
Number of pages: 130 Posted: 11 Dec 2018 Last Revised: 08 Sep 2021
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 214 (198,432)

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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 2022
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 26 (675,325)

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9.

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 182 (229,720)
Citation 18

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

10.

Low Inflation: High Default Risk AND High Equity Valuations

CESifo Working Paper No. 7391
Number of pages: 79 Posted: 21 Feb 2019
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 69 (450,470)

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