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

  • HEC Montreal

    • Email
    • Tel: 5143401522
    • Fax: 5143405632

  • Canadian Derivatives Institute

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 19,161

SSRN RANKINGS

Top 19,161

in Total Papers Downloads

5,278

TOTAL CITATIONS
Rank 9,296

SSRN RANKINGS

Top 9,296

in Total Papers Citations

85

Scholarly Papers (10)

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1.

Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options

Number of pages: 142 Posted: 02 Jun 2016 Last Revised: 23 Sep 2018
Jean-François Bégin, Christian Dorion and Geneviève Gauthier
Simon Fraser University, HEC Montreal and Department of decision Sciences and GERADaffiliation not provided to SSRN
Downloads 802 (62,529)
Citation 11

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

2.

Volatility Components, Affine Restrictions and Non-Normal Innovations

Downloads 782 (64,544)
Citation 35

Volatility Components, Affine Restrictions and Non-Normal Innovations

Number of pages: 41 Posted: 05 May 2008 Last Revised: 21 Nov 2008
Peter Christoffersen, Christian Dorion, Kris Jacobs and Yintian Wang
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 617 (86,418)
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
Peter Christoffersen, Kris Jacobs, Christian Dorion and Yintian Wang
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 165 (357,344)
Citation 27

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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 703 (74,248)
Citation 9

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

4.

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 Ottawa - Telfer School of Management and UNSW Business School
Downloads 698 (74,933)
Citation 1

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

5.

Nonlinear Kalman Filtering in Affine Term Structure Models

Number of pages: 46 Posted: 24 May 2012 Last Revised: 04 Oct 2013
Peter Christoffersen, Christian Dorion, Kris Jacobs and Lotfi Karoui
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and Goldman, Sachs & Co
Downloads 685 (76,698)
Citation 2

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

6.

High Inflation: Low Default Risk and Low Equity Valuations

Downloads 463 (124,712)
Citation 1

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
Harjoat Singh Bhamra, Christian Dorion, Alexandre Jeanneret and Michael Weber
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 414 (140,950)

Abstract:

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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
Harjoat Singh Bhamra, Christian Dorion, Alexandre Jeanneret and Michael Weber
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 49 (785,955)
Citation 1

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7.

Convertible Debt and Shareholder Incentives

Journal of Corporate Finance, (24) 2014
Number of pages: 43 Posted: 10 Oct 2012 Last Revised: 19 Nov 2018
Christian Dorion, Pascal Francois, Gunnar Grass and Alexandre Jeanneret
HEC Montreal, HEC Montreal - Department of Finance, HEC Montréal and UNSW Business School
Downloads 420 (140,014)

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

8.

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 348 (172,668)

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

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
Peter Christoffersen, Christian Dorion, Kris Jacobs and Lotfi Karoui
University of Toronto - Rotman School of Management, HEC Montreal, University of Houston - C.T. Bauer College of Business and Goldman, Sachs & Co
Downloads 268 (227,222)
Citation 25

Abstract:

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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
Harjoat Singh Bhamra, Christian Dorion, Alexandre Jeanneret and Michael Weber
Imperial College Business School, HEC Montreal, UNSW Business School and University of Chicago - Finance
Downloads 109 (495,382)
Citation 1

Abstract:

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