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

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3,471

SSRN CITATIONS
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Top 14,415

in Total Papers Citations

41

CROSSREF CITATIONS

24

Scholarly Papers (10)

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 473 (61,995)
Citation 9

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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 118 (248,641)
Citation 20

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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 566 (50,006)
Citation 4

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

3.

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 552 (51,540)
Citation 7

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Risk premiums; Idiosyncratic risk; Systematic risk; Tail risk; Option valuation; 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 525 (55,182)
Citation 2

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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 Cambridge - Judge Business School and HEC Montréal
Downloads 397 (77,326)

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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 HEC Montréal
Downloads 309 (102,703)

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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 278 (115,101)

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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 133 (225,981)
Citation 10

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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 75 (335,359)

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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 20 (565,078)

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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 5 (673,186)
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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, HEC Montréal and University of Chicago - Finance
Downloads 20 (546,329)

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