Publications

This list includes only the articles published by our professors, since 2000, in JCR-listed journals.

 

Dionne, G., Gauthier, G. & Ouertani, N.

Risk Management of Nonstandard Basket Options with Different Underlying Assets

Journal of Futures Market, 2013, Vol. 33, pp. 299-326

 

Dionne, G. & Triki, T.

On Risk Management Determinants: What Really Matters?

European Journal of Finance, 2013, Vol. 19, pp. 145-164

 

Boubakri, N., Cosset, J.C., Debab, N. & Valery, P.

Privatization and Globalization: An Empirical Analysis

Journal of Banking and Finance, 2013, Vol. 37, pp. 1898-1914

 

Annabi, A., Breton, M. & François, P.

Gane Theoretic Analysis of Renegotiations under Bankruptcy

European Journal of Operational Research, 2012, Vol. 221, pp. 603-613

 

Annabi, A., Breton, M. & François, P.

Resolution of Financial Distress under Chapter 11

Journal of Economic Dynamics & Control, 2012, Vol. 36, pp. 1867-1887

 

Barnea, A. & Reed, H.

Quantifying the Variance Risk Premium in VIX Options

Journal of Portfolio Management, 2012, Vol. 38(3), pp. 143-148

 

Boyer, M., Jacquier, E. & van Norden, S.

Are Underwriting Cycles Real and Forecastable?

Journal of Risk and Insurance, 2012, Vol. forthcoming

 

Boyer, M. & Stern, L.

Is Corporate Governance Risk Valued? Evidence from Directors' and Officers' Insurance

Journal of Corporate Finance, 2012, Vol. 18, pp. 349-372

 

Dionne, G. & Laajimi, S.

On the Determinants of the Implied Default Barrier

Journal of Empirical Finance, 2012, Vol. 19(June), pp. 395-408

 

Gauthier, G. & Simonato, J.-G.

Linearized Nelson-Siegel and Svensson Models for the Estimation of Spot Interest Rates

European Journal of Operational Research, 2012, Vol. 219(2), pp. 442-451

 

Grass, G.

Does Conglomeration Really Reduce Credit Risk?

Accounting and Finance, 2012, Vol. forthcoming

 

Simonato, J.G..

GARCH Processes with Skewed and Leptokurtic Innovations: Revisiting the Johnson Su Case

Finance Research Letter, 2012, Vol. 9, pp. 213-219

 

van Norden, S.

Discussion of "The Unreliability of Credit-to-GDP Ratio Gaps in Real Time: Implications for Countercyclical Capital Buffers

International Journal of Central Banking, 2011, Vol. 7(4), pp. 299-303

 

van Norden, S.

Current Trends in the Analysis of Canadian Productivity Growth

North American Journal of Economics and Finance, 2011, Vol. 22(1), pp. 5-25

 

Boyer, M. & Born, P.

Claims-Made and Reported Policies and Insurer Profitability in Medical Malpractice

Journal of Risk and Insurance, 2011, Vol. 78(1), pp. 139-162

 

Dionne, G., Gauthier, G., Hammami, K., Maurice, M. & Simonato, J.-G.

A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors

Journal of Banking and Finance, 2011, Vol. 35(8), pp. 1984-2000

 

Dionne, G. & Li, J.

The Impact of Prudence on Optimal Prevention Revisited

Economics Letters, 2011, Vol. 113(November), pp. 147-149

 

Dionne, G. & Ouederni, K.

Corporate Risk Management and Dividend Signaling Theory

Finance Research Letters, 2011, Vol. 8(December), pp. 188-195

 

Dionne, G., Pinquet, J., Mathieu, M. & Vanasse, C.

Incentive Mechanisms for Safe Driving: A Comparative Analysis with Dynamic Data

Review of Economics and Statistics, 2011, Vol. 93(1), pp. 218-227

 

Dong, M., Michel, J.-S. & Pandes, J.A.

Underwriter Quality and Long-Run IPO Performance

Financial Management, 2011, Vol. 40(1), pp. 219-251

 

Galbraith, John W.. & van Norden, S.

Kernel-Based Calibration Diagnostics for Recession and Inflation Probability Forecasts

International Journal of Forecasting, 2011, Vol. 27(4), pp. 1041-1057

 

Jacobs, Jan P.A.M.. & van Norden, S.

Modeling Data Revisions: Measurement Error and Dynamics of "True" Values

Journal of Econometrics, 2011, Vol. 161(2), pp. 101-109

 

Rombouts, J.V. & Stentoft, L.

Multivariate Option Pricing with Time Varying Volatility and Correlations

Journal of Banking and Finance, 2011, Vol. 35, pp. 2267-2281

 

Simonato, J.-G.

Computing American Option Prices in the Lognormal Jump-Diffusion Framework with a Markov-Chain

Finance Research Letters, 2011, Vol. 8(4), pp. 220-226

 

Simonato, J.-G.

The Performance of Johnson Distributions for Computing Value at Risk and Expected Shortfall

Journal of Derivatives, 2011, Vol. 19(1), pp. 7-24

 

Simonato, J.-G.

Johnson Binomial Trees

Quantitative Finance, 2011, Vol. 11(8), pp. 1165-1176

 

Stentoft, L.

American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison

Journal of Empirical Finance, 2011, Vol. 18(5), pp. 880-902

 

Baecker, P.N., Grass, G. & Hommel, U.

Business Value and Risk in the Presence of Price Controls: An Option-Based Analysis of Margin Squeeze Rules in the Telecommunications Industry

Annals of Operations Research, 2010, Vol. 176(1), pp. 311-332

 

Barnea, A. & Amir, R.

Corporate Social Responsibility as a Conflict Between Shareholders

Journal of Business Ethics, 2010, Vol. 97(1), pp. 71-86

 

Barnea, Amir, H.C. & Stephan, S.

Nature or Nurture: What Determines Investor Behavior?

Journal of Financial Economics, 2010, Vol. 98(3), pp. 583-604

 

Christoffersen, P.F., Dorion, C., Jacobs, K. & Wang, Y.

Volatility Components, Affine Restrictions and Non-Normal Innovations

Journal of Business and Economic Statistics, 2010, Vol. 28, pp. 483-502

 

Dahen, H. & Dionne, G.

Scaling Models for the Severity and Frequency of External Operational Loss Data

Journal of Banking Finance, 2010, Vol. 34(July), pp. 1484-1496

 

Dionne, G., Gauthier, G., Hammami, K., Maurice, M. & Simonato, J.-G.

Default Risk in Corporate Yield Spreads

Financial Management, 2010, Vol. 39(2), pp. 707-731

 

Ferland, R., Gauthier, G. & Lalancette, S.

A Regime-switching Term Structure Model with Observable State Variables

Finance Research Letters, 2010, Vol. 7(juin), pp. 103-109

 

Grass, G.

The Impact of Conglomeration on the Option Value of Equity

Journal of Banking and Finance, 2010, Vol. 34(12), pp. 3010-3024

 

Bellavance, F., Dionne, G. & Lebeau, M.

The Value of a Statistical Life: A Meta-analysis with a Mixed Effects Regression Model

Journal of Health Economics, 2009, Vol. 28, pp. 444-464

 

Boyer, M. & Gobert, K.

The Impact of Switching Costs on Vendor Financing

Finance Research Letters, 2009, Vol. 6, pp. 236-241

 

Cummins, J.D., Dionne, Georges ad Gagné, R. & Nouira, A.

Efficiency of Insurance Firms with Endogenous Risk Management and Financial Intermediation Activities

Journal of Productivity Analysis, 2009, Vol. 32(2), pp. 145-159

 

Denault, M., Gauthier, G. & Simonato, J.-G.

Estimation of Physical Intensity Models for Default Risk

The Journal of Futures Markets, 2009, Vol. 29(2), pp. 95-113

 

Dionne, G., Duchesne, P. & Pacurar, M.

Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange

Journal of Empirical Finance, 2009, Vol. 16(5), pp. 777-792

 

Dionne, G., Giuliano, F. & Picard, P.

Optimal Auditing with Scoring: Theory and Application to Insurance Fraud

Management Science, 2009, Vol. 55(1), pp. 58-70

 

Dionne, G., St-Amour, P. & Vencatachellum, D.

Asymmetric Information and Adverse Selection in Mauritian Slave Auctions

Reviews of Economic Studies, 2009, Vol. 76, pp. 1269-1295

 

Dufour, J.-M. & Valéry, P.

Exact and Asymptotic Tests for Possibly Non-Regular Hypotheses on Stochastic Volatility Models

Journal of Econometrics, 2009, Vol. 150(2), pp. 193-206

 

Dupuis, D.J., Jacquier, Papageorgiou, N. & Rémillard, B.

Empirical Study of Dependence of Credit Default Data and Equity Prices

Journal of Futures Markets, 2009, Vol. 29(8), pp. 695-712

 

Karoui, A. & Meier, I.

Performance and Characteristics of Mutual Fund Starts

European Journal of Finance, 2009, Vol. 15(5-6), pp. 487-509

 

Boubakri, N., Cosset, J.-C. & Guedhami, O.

Privatisation in Developing Countries: Performance and Ownership Effects

Development Policy Review, 2008, Vol. 26(3), pp. 275-308

 

Boubakri, N., Dionne, G. & Triki, T.

Consolidation and Value Creation in the Insurance Industry: The Role of Governance

Journal of Banking & Finance, 2008, Vol. 32, pp. 56-68

 

Boyer, M. & Gobert, K.

Dynamic Prevention in Short Term Insurance Contracts

Journal of Risk and Insurance, 2008, Vol. 75, pp. 289-312

 

Boyer, M. & Ortiz-Molina, H.

Career Concerns of Top Executives, Managerial Ownership and CEO Succession

Corporate Governance-An International Review, 2008, Vol. 16, pp. 178-193

 

Chakroun, O., Dionne, G. & Dugas-Sampara, A.

Empirical Evaluation of the Asset Allocation Puzzle

Economic Letters, 2008, Vol. 100, pp. 304-307

 

Dionne, G., Laajimi, S., Mejri, S. & Petrescu, M.

Estimation of the Default Risk of Publicly Traded Companies: Evidence from Canadian Data

Canadian Journal of Administrative Sciences-Revue canadienne des sciences de l'administration, 2008, Vol. 25(2), pp. 134-152

 

François, P. & Morellec, E.

Closed-Form Solutions to Stochastic Process Switching Problems

Journal of Mathematical Economics, 2008, Vol. 44, pp. 1072-1083

 

Stentoft, L.

American Option Pricing using GARCH Models and the Normal Inverse Gaussian Distribution

Journal of Financial Econometrics, 2008, Vol. 6(4), pp. 540-582

 

Boyer, M.

Resistance (to Fraud) is Futile

Journal of Risk and Insurance, 2007, Vol. 74(2), pp. 461-492

 

Boyer, M. & Filion, D.

Common and fundamental factors in stock returns of Canadian oil and gas companies

Energy Economics, 2007, Vol. 29, pp. 428-453

 

Dachraoui, K. & Dionne, G.

Conditions Ensuring the Decomposition of Asset Demand for All Risk-Averse

The European Journal of Finance, 2007, Vol. 13(5-6), pp. 397-404

 

Dionne, G. & Dostie, B.

New Evidence on the Determinants of Absenteeism Using Linked Employer Employee Data

Industrial & Labor Relations Review, 2007, Vol. 61(1), pp. 106-118

 

Dionne, G., Fluet, C.-D. & Desjardins, D.

Predicted Risk Perception and Risk-taking Behavior: The Case of Impaired Driving Governance

Journal of Risk and Uncertainty, 2007, Vol. 35(3), pp. 237-264

 

Jacquier, Polson, N. & Johannes, M.

MCMC Maximum Likelihood for Latent State Models

Journal of Econometrics, 2007, Vol. 137, pp. 615-640

 

Alarie, Y. & Dionne, G.

Lottery Qualities

The Journal of Risk and Uncertainty, 2006, Vol. 32(3), pp. 195-216

 

Angers, J.-F., Desjardins, D., Dionne, G. & Guertin, F.

Vehicle and Fleet Random Effects in a Model of Insurance Rating for Fleets of Vehicles

Astin bulletin, 2006, Vol. 36(1), pp. 25-77

 

Ben Ameur, H., Breton, M. & François, P.

A Dynamic Programming Approach to Price Installment Options

European Journal of Operational Research, 2006, Vol. 169, pp. 667-676

 

Bennouri, M. & Falconieri, S.

Optimal Auctions with Asymmetrically Informed Bidders

Journal of Economic Theory, 2006, Vol. 28(3), pp. 585-602

 

Boyer, M.

The Impact of Media Attention: Evidence from the Automobile Insurance Industry

The Journal of Media Economics, 2006, Vol. 19, pp. 193-220

 

Boyer, M. & van Norden, S.

Exchange rates and order flow in the long run

Finance Research Letters, 2006, Vol. 3, pp. 235-243

 

Denault, M., Gauthier, G. & Simonato, J.-G.

Improving lattice schemes through bias reduction

Journal of Futures Markets, 2006, Vol. 26(8), pp. 733-757

 

Ferland, R. & Lalancette, S.

Dynamics of Realized Volatilities and Correlations: An Empirical Study

Journal of Banking & Finance, 2006, Vol. 30, pp. 2109-2130

 

Hollifield, B., Miller, R.A., Sandas, P. & Slive, J.

Estimating the gains from trade in limit-order markets

Journal of Finance, 2006, Vol. 56(6), pp. 52

 

Boubakri, N., Cosset, J.-C., Fischer, K. & Guedhami, O.

Privatization and Bank Performance in Developing Countries

Journal of Banking & Finance, 2005, Vol. 29, pp. 2015-2041

 

Boubakri, N., Cosset, J.-C. & Guedhami, O.

Liberalization, Corporate Governance and the Performance of Privatized Firms in Developing Countries

Journal of Corporate Finance, 2005, Vol. 11, pp. 767-790

 

Dionne, G. & Ghali, O.

The (1992) Bonus-Malus System in Tunisia: An Empirical Evaluation

Journal of Risk and Insurance, 2005, Vol. 72(4), pp. 609-634

 

Gregoriou, G.N., Hübner, G., Papageorgiou, N. & Rouah, F.

Survival of Commodity Trading Advisors: 1990-2003

Journal of Futures Markets, 2005, Vol. 25(8), pp. 795-816

 

Jacquier, Kane, A. & Marcus, A.

Optimal Forecasts of Long-Term Returns and Asset Allocation: Arithmetic, Geometric or Other Means

Journal of Financial Econometrics, 2005, Vol. 3, pp. 37-55

 

Orphanides, A. & van Norden, S.

The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time

Journal of Money Credit and Banking, 2005, Vol. 37(3), pp. 583-601

 

Stentoft, L.

Pricing American Options when the Underlying Asset Follows GARCH Processes

Journal of Empirical Finance, 2005, Vol. 12(4), pp. 576-611

 

Alarie, Y. & Dionne, G.

Recension du livre, "Utility of Gains and Losses: Measurement - Theoretical and Experimental Approaches" (R. Duncan Luce and Lawrence Erlbaum, 1999)

Journal of Economic Behavior & Organization, 2004, Vol. 54(1), pp. 133-136

 

Boubakri, N., Cosset, J.-C. & Guedhami, O.

Postprivatization Corporate Governance: The Role of Ownership Structure and Investor Protection

Journal of Financial Economics, 2004, Vol. 76(2), pp. 369-399

 

Boubakri, N., Cosset, J.-C. & Guedhami, O.

Privatization, Corporate Governance and Economic Environment: Firm-Level Evidence from Asia

Pacific-Basin Finance Journal, 2004, Vol. 12, pp. 65-90

 

Boyer, M.

Overcompensation as a Partial Solution to Commitment and Renegociation Problems: The Case of Ex-post Moral Hazard

The Journal of Risk and Insurance, 2004, Vol. 71, pp. 559-582

 

Boyer, M. & Gonzalez, P.

Optimal Audit Policies with Correlated Types

Economic Theory, 2004, Vol. 24(2), pp. 325-334

 

Brendstrup, B., Hylleberg, S., Nielsen, M., Skipper, L. & Stentoft, L.

Seasonality in Economic Models

Macroeconomic Dynamics, 2004, Vol. 8(3), pp. 362-394

 

Dachraoui, K., Dionne, G., Eeckhoudt, L. & Godfroid, P.

Comparative Mixed Risk Aversion: Definition and Application to Self-Protection and Willingness to Pay

The Journal of Risk and Uncertainty, 2004, Vol. 29(3), pp. 261-276

 

Dionne, G. & Lanoie, P.

Public Choice about the Value of a Statistical Life for Cost-Benefit Analyses - The Case of Road Safety

Journal of Transport Economics and Policy, 2004, Vol. 38(2), pp. 247-274

 

François, P. & Hubner, G.

Credit Derivatives with Multiple Debt Issues

Journal of Banking & Finance, 2004, Vol. 28, pp. 997-1021

 

François, P. & Morellec, E.

Capital Structure and Asset Prices: Some Effects of Bankrupty Procedures

Journal of Business, 2004, Vol. 77(2), pp. 387-411

 

Jacquier, Cherian, J. & Jarrow, B.

A Model of the Convenience Yields in On-the-run Treasuries

Review of Derivatives Research, 2004, Vol. 7, pp. 79-97

 

Jacquier, Polson, N. & Rossi, P.

Bayesian Analysis of Stochastic Volatility Models with Leverage Effect and Fat Tails

Journal of Econometrics, 2004, Vol. 122, pp. 185-212

 

Stentoft, L.

Convergence of the Least Squares Monte Carlo Approach to American Option Valuation

Management Science, 2004, Vol. 50(9), pp. 1193-1203

 

Stentoft, L.

Assessing the Least Squares Monte-Carlo Approach to American Option Valuation

Review of Derivatives Research, 2004, Vol. 7(3), pp. 129-168

 

Assoe, K. & Sy, O.

Profitability of the Short-Run Contrarian Strategy in Canadian Stock Markets

Canadian Journal of Administrative Sciences, 2003, Vol. 20(4), pp. 311-319

 

Boyer, M.

Contracting under Ex post Moral Hazard, Costly Auditing and Principal Non-Commitment

Review of Economic Design, 2003, Vol. 8(1), pp. 1-38

 

Breton, M., St-Amour, P. & Vencatachellum, D.

Dynamic Production Teams with Strategic Behavior

Journal of Economic Dynamics & Control, 2003, Vol. 27, pp. 875-905

 

Chenny, S., St-Amour, P. & Vencatachellum, D.

Slave Prices from Succession and Bankruptcy Sales in Mauritius

Explorations in Economic History, 2003, Vol. 40, pp. 419-442

 

Dionne, G. & Garand, M.

Risk Management Determinants Affecting Firms' Values in the Gold Mining Industry: New Empirical Results

Economics Letters, 2003, Vol. 79(1), pp. 43-52

 

Dionne, G. & Spaeter, S.

Environmental Risk and Extended Liability: The Case of Green Technologies

Journal of Publics Economics, 2003, Vol. 87(5-6), pp. 1025-1060

 

Duan, J.-C., Dudley, E., Gauthier, G. & Simonato, J.-G.

Pricing Discretely Monitored Barrier Options by a Markov Chain

Journal of Derivatives, 2003, Vol. 10(4), pp. 9-32

 

Duan, J.-C., Gauthier, G., Sasseville, C. & Simonato, J.-G.

Approximating American Option Prices in the GARCH Framework

Journal of Futures Markets, 2003, Vol. 23, pp. 915-929

 

Jacquier, Marcus, A. & Kane, A.

Geometric of Arithmetic Mean: A Reconsideration

Financial Analysts Journal, 2003, Vol. 59(6), pp. 49-53

 

van Norden, S. & Schaller, H.

Fads or Bubbles

Empirical Economics, 2002, Vol. 27(2), pp. 335-362

 

Dionne, G. & Gagne, R.

Replacement Cost Endorsement and Opportunistic Fraud in Automobile Insurance

Journal of Risk and Uncertainty, 2002, Vol. 24(3), pp. 213-230

 

Duan, J.-C. & Simonato, J.-G.

Maximum Likelihood Estimation of Deposit Insurance Value with Interest Rate Risk

Journal of Empirical Finance, 2002, Vol. 9, pp. 109-132

 

Jagannathan, R. & Meier, I.

Do We Need CAPM for Capital Budgeting

Financial Management, 2002, Vol. 31(4), pp. 55-77

 

Normandin, M. & St-Amour, P.

Canadian Consumption and Portfolio Shares

Canadian Journal of Economics/Revue canadienne d'Économique, 2002, Vol. 35(4), pp. 737-756

 

Orphanides, A. & van Norden, S.

The Unreliability of Output-Gap Estimates in Real Time

Review of Economics and Statistics, 2002, Vol. 84(4), pp. 569-583

 

Alarie, Y. & Dionne, G.

Lottery Decisions and Probability Weighting Function

Journal of Risk and Uncertainty, 2001, Vol. 22(1), pp. 21-33

 

Boyer, M.

Mitigating Insurance Fraud: Lump-Sum Awards, Premium Subsidies, and Indemnity Taxes

Journal of Risk and Insurance, 2001, Vol. 68(3), pp. 403-436

 

Dachraoui, K. & Dionne, G.

Stochastic Dominance and Optimal Portfolio

Economics Letters, 2001, Vol. 71(3), pp. 347-354

 

Desjardins, D., Dionne, G. & Pinquet, J.

Experience Rating Schemes for Fleets of Vehicles

Astin bulletin, 2001, Vol. 31(1), pp. 81-106

 

Dionne, G. & Gagne, R.

Deductible Contracts against Fraudulent Claims: Evidence from Automobile Insurance

The Review of Economics and Statistics, 2001, Vol. 83(2), pp. 290-301

 

Dionne, G., Gourieroux, C. & Vanasse, C.

Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment

Journal of Political Economy, 2001, Vol. 109(3), pp. 444-453

 

Dionne, G. & Ingabire, M.-G.

Diffidence Theorem, State-Dependent Preferences, and DARA

The Geneva Papers on Risk and Insurance Theory, 2001, Vol. 26(2), pp. 139-154

 

Duan, J.-C., Gauthier, G. & Simonato, J.-G.

Asymptotic Distribution of the EMS Option Price Estimator

Management Science, 2001, Vol. 47(8), pp. 1122-1132

 

Duan, J.-C. & Simonato, J.-G.

American Option Pricing under GARCH by a Markov Chain Approximation

Journal of Economic Dynamics and Control, 2001, Vol. 25, pp. 1689-1718

 

Fouda, H., Kryzanowski, L. & To, M.C.

Futures Market Equilibrium with Heterogeneity and a Spot Market at Harvest

Journal of Economic Dynamics & Control, 2001, Vol. 25(5), pp. 805-824

 

Belhadji, E.-B., Dionne, G. & Tarkhani, F.

A Model for the Detection of Insurance Fraud

Geneva Papers on Risk and Insurance Issues and Practice, 2000, Vol. 25(4), pp. 517-538

 

Boyer, M.

Centralizing Insurance Fraud Investigation

Geneva Papers on Risk and Insurance Theory, 2000, Vol. 25(2), pp. 159-178

 

Boyer, M.

Insurance Taxation and Insurance Fraud

Journal of Public Economic Theory, 2000, Vol. 2(1), pp. 101-134

 

Boyer, M.

Media Attention, Isurance Regulation and Liability Insurance Pricing

Journal of Risk and Insurance, 2000, Vol. 67(1), pp. 39-74

 

Dionne, G., Caillaud, B. & Julien, B.

Corporate Insurance with Optimal Financial Contracting

Economic Theory, 2000, Vol. 16(1), pp. 77-105

 

Dionne, G. & Fluet, C.

Full Pooling in Multi-Period Contracting with Adverse Selection and Noncommitment

Review of Economic Design, 2000, Vol. 5(1), pp. 1-21

 

Gordon, S.F. & St-Amour, P.

A Preference Regime Model of Bull and Bear Markets

The American Economic Review, 2000, Vol. 90(4), pp. 1019-1033