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Department of Finance

Publications

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

Forthcoming

 
Chaigneau P., Edmans A. & Gottlieb D.
Does Improved Information Improve Incentives?
Journal of Financial Economics
 
Chaigneau P. & Sahuguet N.
The Effect of Monitoring on CEO Compensation in a Matching Equilibrium
Journal of Financial and Quantitative Analysis
 
Dionne G., Gueyie J.P. & Mnasri M.
Dynamic Corporate Risk Management: Motivations and Real Implications
Journal of Banking and Finance

2017

 
Chaigneau P., Sahuguet N. & Sinclair-Desgagné B.
Prudence and The Convexity of Compensation Contracts
Economic Letters, 2017, Vol. 157, pp. 14-16
 
d'Astous P. & Shore S.
Liquidity Constraints and Credit Card Delinquency: Evidence from Raising Minimum Payments
Journal of Financial and Quantitative Analysis, 2017, Vol. 52, pp. 1705-1730
 
Delage E., Denault M. & Simonato J.G.
Dynamic portfolio choice: a simulation-and-regression approach
Optimization and Engineering, 2017, Vol. 18, pp. 396-406
 
Denault M. & Simonato J.G.
Dynamic Portfolio Choices by Simulation-and-Regression: Revisiting the Issue of Value Function vs Portfolio Weight Recursions
Computers & Operations Research, 2017, Vol. 79, pp. 174-189
 
Dionne G. & Saïssi-Hassani S.
Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis
Journal of Operational Risk, 2017, Vol. 12, pp. 23-51
 
Jeanneret A.
Sovereign Default Risk and The U.S. Equity Market
Journal of Financial and Quantitative Analysis, 2017, Vol. 52, pp. 305-339
 
Lalancette S. & Simonato J.G.
The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation
European Financial Management, 2017, Vol. 23, pp. 325-354
 
Mnasri M., Dionne G. & Gueyie J.P.
The use of nonlinear hedging strategies by US oil producers: Motivations and implications
Energy Economics, 2017, Vol. 63, pp. 348-364

2016

 
Chaigneau P.
Managerial Compensation and Firm Value in the Presence of Socially Responsible Investors
Journal of Business Ethics, 2016, pp. 1-22
 
Cosset J.C., Somé H. & Valéry P.
Does Competition Matter for Corporate Governance?The Role of Country Characteristics
Journal of Financial and Quantitative Analysis, 2016, Vol. 51, pp. 1231-1267
 
Cosset J.C., Somé H. & Valéry P.
Credible Reforms and Stock Return Volatility: Evidence from Privatization
Journal of Banking and Finance, 2016, Vol. 72, pp. 99-120
 
Dorion C.
Option Valuation with Macro-Finance Variables
Journal of Financial and Quantitative Analysis, 2016, Vol. 51, pp. 1359-1389
 
Gonzalez M., Papageorgiou N. & Skinner F.
Persistent doubt: An Examination of the Performance of Hedge Funds
European Financial Management, 2016, Vol. 22, pp. 613-639
 
Jagannathan R., Matsa, D., Meier I. & Tarhan V.
Why Do firms Use High Discount Rates?
Journal of Financial Economics, 2016, Vol. 120, pp. 445-4463
 
Jeanneret A.
International Firm Investment under Exchange Rate Uncertainty
Review of Finance, 2016, Vol. 20, pp. 2015-2048
 
Jeanneret A. & Souissi S.
Sovereign Default by Currency Denomination
Journal of International Money and Finance, 2016, Vol. 60, pp. 197-222
 
Lalancette S., Ferland R. & Gauthier G.
The Sensitivity of Interest Rate Options to Monetary Policy Decisions: A Regime-Shift Pricing Approach
Journal of Futures Markets, 2016, Vol. 36, pp. 66-87
 
Papageorgiou N., Reeves J.J. & Xie K.
Betas and the Myth of Market Neutrality
International Journal of Forecasting, 2016, Vol. 32, pp. 548-558
 
Simonato J.G.
A Simplified Quadrature Approach for Computing Bermudan Option Prices
International Review of Finance, 2016, Vol. 16, pp. 647-658

2015

 
Bergerès A.S., D'astous P. & Dionne G.
Is there any dependence between consumer credit line utilization and default probability on a term loan? Evidence from bank-customer data
Journal of Empirical Finance, 2015, Vol. 33, pp. 276-286
 
Bouvard M., Chaigneau P. & de Motta A.
Transparency in the Financial System: Rollover Risk and Crises
Journal of Finance, 2015, Vol. 70, pp. 1805-1837
 
Boyer M. & Dupont-Courtade T.
The Structure of Reinsurance Contracts
Geneva Papers on Risk and Insurance-Issues and Practice, 2015, Vol. 40, pp. 474-492
 
Boyer M. & Tennyson S.
Directors and Officers Liability Insurance, Corporate Risk and Risk Taking: New Panel Date Evidence on the Role of Directors' and Officers' Liability Insurance
Journal of Risk and Insurance, 2015, Vol. 82, pp. 753-791
 
Dionne G., Pacurar M. & Zhou X.
Liquidity-Adjusted Intraday Value at Risk Modeling and Risk Management: An Application to Data from Deutsche Börse
Journal of Banking and Finance, 2015, Vol. 59, pp. 202-219
 
Dionne G., La Haye M. & Bergerès A.S.
Does Asymmetric Information Affect the Premium in Mergers and Acquisitions?
Canadian Journal of Economics, 2015, Vol. 48, pp. 819-852
 
Dungey M., Jacobs J., Tian J. & van Norden S.
Trend in Cycle or Cycle in Trend? New Structural Identifications for Unobserved Components Models of U.S. Real GDP
Macroeconomic Dynamics, 2015, Vol. 19, pp. 776-790
 
Dupuis D., Papageorgiou N. & Rémillard B.
Robust Conditional Variance and Value-at-Risk Estimation
Journal of Financial Econometrics, 2015, Vol. 13, pp. 896-921
 
François P. & Pardo S.
Prepayment Risk on Callable Bonds: Theory and Test
Decisions in Economics and Finance, 2015, Vol. 38, pp. 147-176
 
Hocquard A., Papageorgiou N. & Rémillard B.
The Payoff Distribution Model: An Application to Risk Management
Quantitative Finance, 2015, Vol. 15
 
Hübner G., Lambert M. & Papageorgiou N.
Higher-Moment Risk Exposures in Hedge Funds
European Financial Management, 2015, Vol. 21, pp. 236-264
 
Jeanneret A.
The Dynamics of Sovereign Credit Risk
Journal of Financial and Quantitative Analysis, 2015, Vol. 50, pp. 963-985
 
Meier I. & Karoui A.
A Note on Sorting Bias Correction in Regression-Based Mutual Fund Tournament Tests
Financial Markets and Portfolio Management, 2015, Vol. 29, pp. 21-29
 
Meier I. & Karoui A.
Fund Performance and Subsequent Risk: A Study of Mutual Fund Tournaments Using Holdings-Based Measures
Financial Markets and Portfolio Management, 2015, Vol. 29, pp. 1-20
 
Simonato J.G.
New Warrant Issues Valuation with Leverage and Equity Model Errors
Journal of Financial Services Research, 2015, Vol. 47, pp. 247-272

2014

 
Boyer M. & Owadally I.
Underwriting Apophenia and Cryptids: Are Cycles Statistical Figments of our Imagination?
Geneva Papers on Risk and Insurance-Issues and Practice, 2014, Vol. 40, pp. 232-255
 
Boyer M. & Stern L.
D&O Insurance and IPO Performance: what can we learn from insurers?
Journal of Financial Intermediation, 2014, Vol. 23, pp. 504-540
 
Cenesizoglu T.
The Reaction of Stock Returns to News about Fundamentals
Management Science, 2014, Vol. 61, pp. 1072-1093
 
Christoffersen P., Dorion C., Jacobs K. & Karoui L.
Nonlinear Kalman Filtering in Affine Term Structure Models
Management Science, 2014, pp. 2248-2268
 
Dionne G. & Li J.
When Can Expected Utility Handle First-order Risk Aversion?
Journal of Economic Theory, 2014, Vol. 154, pp. 403-422
 
Dionne G. & Rothschild C.
Economic Effects of Risk Classification Bans
The Geneva Risk and Insurance Review, 2014, Vol. 39, pp. 184-221
 
Dionne G. & Li J.
Comparative Ross Risk Aversion in the Presence of Mean Dependent Risks
Journal of Mathematical Economics, 2014, Vol. 51, pp. 128-135
 
Dionne G. & Santugini M.
Entry, Imperfect Competition, and Futures Market for the Input
International Journal of Industrial Organization, 2014, Vol. 35, pp. 70-83
 
Dorion C., François P., Grass G. & Jeanneret A.
Convertible Debt and Shareholder Incentives
Journal of Corporate Finance, 2014, Vol. 24, pp. 38-56
 
François P., Gauthier G. & Godin F.
Optimal Hedging When the Underlying Asset Follows a Regime-Switching Markov Process
European Journal of Operational Research, 2014
 
Jacquier É. & Okou C.
Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships
Journal of Financial Econometrics, 2014, Vol. 12, pp. 544-583
 
Legoux R., Boyer M., Léger P.M. & Jacques R.
Confirmation Biases in the Financial Analysis of IT Investments
Journal of the Association for Information Systems, 2014, Vol. 15
 
Létourneau P. & Stentoft L.
Refining the Least Squares Monte Carlo Method by Imposing Structure
Quantitative Finance, 2014, Vol. 14, pp. 495-507
 
Maalaoui Chun O., Dionne G. & François P.
Credit Spread Changes within Switching Regimes
Journal of Banking and Finance, 2014, Vol. 49, pp. 41-55
 
Maalaoui Chun O., Dionne G. & François P.
Detecting Regime Shifts in Credit Spreads
Journal of Financial and Quantitative Analysis, 2014, Vol. 49, pp. 1339-1364
 
Malekan S. & Dionne G.
Securitization and Optimal Retention under Moral Hazard
Journal of Mathematical Economics, 2014, pp. 74-85
 
Michel J.S.
Return on Recent VC Investment and Long-Run IPO Returns
Entrepreneurship: Theory & Practice, 2014, Vol. 38, pp. 527-549

2013

 
Aboul-Enein S., Dionne G. & Papageorgiou N.
Performance Analysis of a Collateralized Fund Obligation (CFO) Equity Tranche
The European Journal of Finance, 2013, Vol. 19, pp. 518-553
 
Bessler W., Drobetz W., Haller R. & Meier I.
The International Zero-Leverage Phenomenon
Journal of Corporate Finance, 2013, Vol. 23, pp. 196-221
 
Boubakri N., Cosset J.C., Debab N. & Valéry P.
Privatization and Globalization: An Empirical Analysis
Journal of Banking and Finance, 2013, Vol. 37, pp. 1898-1914
 
Bourgeon J.M. & Dionne G.
On Debt Service and Renegotiation When Debt-holders Are More Strategic
Journal of Financial Intermediation, 2013, Vol. 22, pp. 353-372
 
Boyer M. & Nyce C.
Insuring Catastrophes and the Role of Governments
Natural Hazards and Earth Science Systems, 2013, Vol. 13, pp. 1-11
 
Boyer M. & Stentoft L.
If We Can Simulate It, We Can Insure It: An Application to Longevity Risk Management
Insurance: Mathematics and Economics, 2013, Vol. 52, pp. 35-45
 
Chaigneau P.
Rish Shifting and the Regulation of Bank CEOs Compensation
Journal of Financial Stability, 2013, Vol. 9, pp. 778-789
 
Cuchet R., François P. & Hübner G.
Currency Total Return Swaps: Valuation and Risk Factor Analysis
Quantitative Finance, 2013, Vol. 13, pp. 1135-1148
 
Denault M., Simonato J.G. & Stentoft L.
A Simulation-and-Regression Approach for Stochastic Dynamic Programs with Endogenous State Variables
Computers and Operations Research, 2013, Vol. 40, pp. 2760-2769
 
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
 
Dionne G. & Maalaoui Chun O.
Default and Liquidity Regimes in the Bond Market during the 2002-2012 Period
Canadian Journal of Economics, 2013, Vol. 46, pp. 1160-1194
 
Dionne G., Michaud P.C. & Dahchour M.
Separating Moral Hazard from Adverse Selection and Learning in Automobile Insurance: Longitudinal Evidence from France
Journal of the European Economic Association, 2013, Vol. 11, pp. 897-917
 
Dionne G. & Wang K.
Does Insurance Fraud in Automobile Theft Insurance Fluctuate with the Business Cycle?
Journal of Risk and Uncertainty, 2013, Vol. 47, pp. 67-92
 
Dungey M., Jacobs J.P., Tian J. & van Norden S.
On the Correspondence Between Data Revision and Trend-Cycle Decomposition
Applied Economics Letters, 2013, Vol. 20, pp. 316-319
 
Hocquard A., Ng S. & Papageorgiou N.
A Constant Volatility Framework for Managing Tail Risk
Journal of Portfolio Management, 2013, Vol. 39, pp. 28-40
 
Simonato J.G.
Approximating the Multivariate Distribution of Time-Aggregated Stock Returns Under GARCH
Journal of Risk, 2013, Vol. 16, pp. 25-49

2012

 
Annabi A., Breton M. & François P.
Game 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 and 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, pp. 143-148
 
Boyer M., Jacquier E. & van Norden S.
Are Underwriting Cycles Real and Forecastable?
Journal of Risk and Insurance, 2012, Vol. 79, pp. 995-1015
 
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
 
Cenesizoglu T. & Essid B.
The Effect of Monetary Policy on Credit Spreads
Journal of Financial Research, 2012, Vol. 35, pp. 581-613
 
Dionne G. & Laajimi S.
On the Determinants of the Implied Default Barrier
Journal of Empirical Finance, 2012, Vol. 19, 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, pp. 442-451
 
Grass G.
Does Conglomeration Really Reduce Credit Risk?
Accounting and Finance, 2012, Vol. 52
 
Rémillard B., Papageorgiou N. & Soustra F.
Copula-Based Semiparametric Models for Multivariate Time Series
Journal of Multivariate Analysis, 2012, Vol. 110, pp. 30-42
 
Simonato J.G.
GARCH Processes with Skewed and Leptokurtic Innovations: Revisiting the Johnson Su Case
Finance Research Letter, 2012, Vol. 9, pp. 213-219

2011

 
Boyer M. & Born P.
Claims-Made and Reported Policies and Insurer Profitability in Medical Malpractice
Journal of Risk and Insurance, 2011, Vol. 78, pp. 139-162
 
Carson R., Cenesizoglu T. & Parker R.
Forecasting (Aggregate) Demand for U.S. Commercial Air Travel
International Journal of Forecasting, 2011, Vol. 27, pp. 923-941
 
Cenesizoglu T. & Essid B.
Size, Book-to-Market Ratio and Macroeconomic News
Journal of Empirical Finance, 2011, Vol. 18, pp. 248-270
 
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, pp. 1984-2000
 
Dionne G. & Li J.
The Impact of Prudence on Optimal Prevention Revisited
Economics Letters, 2011, Vol. 113, pp. 147-149
 
Dionne G. & Ouederni K.
Corporate Risk Management and Dividend Signaling Theory
Finance Research Letters, 2011, Vol. 8, 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, pp. 218-227
 
Dong M., Michel J.S. & Pandes J.
Underwriter Quality and Long-Run IPO Performance
Financial Management, 2011, Vol. 40, pp. 219-251
 
Galbraith J. & van Norden S.
Kernel-Based Calibration Diagnostics for Recession and Inflation Probability Forecasts
International Journal of Forecasting, 2011, Vol. 27, pp. 1041-1057
 
Jacobs J. & van Norden S.
Modeling Data Revisions: Measurement Error and Dynamics of "True" Values
Journal of Econometrics, 2011, Vol. 161, pp. 101-109
 
Rombouts J. & 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, 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, pp. 7-24
 
Simonato J.G.
Johnson Binomial Trees
Quantitative Finance, 2011, Vol. 11, pp. 1165-1176
 
Stentoft L.
American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison
Journal of Empirical Finance, 2011, Vol. 18, pp. 880-902
 
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, 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, pp. 5-25

2010

 
Baecker P., 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, pp. 311-332
 
Barnea A. & Amir R.
Corporate Social Responsibility as a Conflict Between Shareholders
Journal of Business Ethics, 2010, Vol. 97, pp. 71-86
 
Barnea A., Henrik C. & Stephan S.
Nature or Nurture: What Determines Investor Behavior?
Journal of Financial Economics, 2010, Vol. 98, pp. 583-604
 
Christoffersen P., 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, 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, 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, pp. 103-109
 
Grass G.
The Impact of Conglomeration on the Option Value of Equity
Journal of Banking and Finance, 2010, Vol. 34, pp. 3010-3024
 
Jacquier É., Titman S. & Yalcin A.
Predicting Systematic Risk: Implications from Growth Options
Journal of Empirical Finance, 2010, Vol. 17
 
Lalancette S., Ferland R. & Gauthier G.
A Regime-Switching Term Structure Model with Observable State Variables
Finance Research Letters, 2010, Vol. 7, pp. 103-109

2009

 
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., Dionne R. & Nouira A.
Efficiency of Insurance Firms with Endogenous Risk Management and Financial Intermediation Activities
Journal of Productivity Analysis, 2009, Vol. 32, 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, 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, pp. 777-792
 
Dionne G., Giuliano F. & Picard P.
Optimal Auditing with Scoring: Theory and Application to Insurance Fraud
Management Science, 2009, Vol. 55, 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, pp. 193-206
 
Dupuis D., Jacquier É., Papageorgiou N. & Rémillard B.
Empirical Study of Dependence of Credit Default Data and Equity Prices
Journal of Futures Markets, 2009, Vol. 29, pp. 695-712
 
Karoui A. & Meier I.
Performance and Characteristics of Mutual Fund Starts
European Journal of Finance, 2009, Vol. 15, pp. 487-509

2008

 
Boubakri N., Cosset J.C. & Guedhami O.
Privatisation in Developing Countries: Performance and Ownership Effects
Development Policy Review, 2008, Vol. 26, pp. 275-308
 
Boubakri N., Dionne G. & Triki T.
Consolidation and Value Creation in the Insurance Industry: The Role of Governance
Journal of Banking and 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, 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, pp. 540-582

2007

 
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
 
Boyer M.
Resistance (to Fraud) is Futile
Journal of Risk and Insurance, 2007, Vol. 74, pp. 461-492
 
Dachraoui K. & Dionne G.
Conditions Ensuring the Decomposition of Asset Demand for All Risk-Averse
The European Journal of Finance, 2007, Vol. 13, pp. 397-404
 
Dionne G. & Dostie B.
New Evidence on the Determinants of Absenteeism Using Linked Employer Employee Data
Industrial and Labor Relations Review, 2007, Vol. 61, 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, pp. 237-264
 
Jacquier É., Polson N. & Johannes M.
MCMC Maximum Likelihood for Latent State Models
Journal of Econometrics, 2007, Vol. 137, pp. 615-640

2006

 
Alarie Y. & Dionne G.
Lottery Qualities
The Journal of Risk and Uncertainty, 2006, Vol. 32, 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, pp. 25-77
 
Ben 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, 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, pp. 733-757
 
Duan J.C., Gauthier G., Sasseville C. & Simonato J.G.
Approximating the GJR-GARCH and EGARCH Option Pricing Models analytically
Journal of Computational Finance, 2006, Vol. 9, pp. 29
 
Ferland R. & Lalancette S.
Dynamics of Realized Volatilities and Correlations: An Empirical Study
Journal of Banking and Finance, 2006, Vol. 30, pp. 2109-2130
 
Hollifield B., Miller R., Sandas P. & Slive J.
Estimating the gains from trade in limit-order markets
Journal of Finance, 2006, Vol. 56, pp. 52

2005

 
Boubakri N., Cosset J.C., Fischer K. & Guedhami O.
Privatization and Bank Performance in Developing Countries
Journal of Banking and 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, pp. 609-634
 
Gregoriou G., Hübner G., Papageorgiou N. & Rouah F.
Survival of Commodity Trading Advisors: 1990-2003
Journal of Futures Markets, 2005, Vol. 25, pp. 795-816
 
Jacquier É., 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, pp. 583-601
 
Stentoft L.
Pricing American Options when the Underlying Asset Follows GARCH Processes
Journal of Empirical Finance, 2005, Vol. 12, pp. 576-611

2004

 
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 and Organization, 2004, Vol. 54, 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, 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. & Gonzalez P.
Optimal Audit Policies with Correlated Types
Economic Theory, 2004, Vol. 24, pp. 325-334
 
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
 
Brendstrup B., Hylleberg S., Nielsen M., Skipper L. & Stentoft L.
Seasonality in Economic Models
Macroeconomic Dynamics, 2004, Vol. 8, 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, 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, pp. 247-274
 
François P. & Hübner G.
Credit Derivatives with Multiple Debt Issues
Journal of Banking and 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, pp. 387-411
 
Jacquier É., 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 É., 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
 
Lalancette S., Leclerc F. & Turcotte D.
Selective Hedging with Market Views and Risk Limits: The Case of Hydro-Quebec
The Quarterly Review of Economics and Finance, 2004, Vol. 44, pp. 710-726
 
Stentoft L.
Convergence of the Least Squares Monte Carlo Approach to American Option Valuation
Management Science, 2004, Vol. 50, pp. 1193-1203
 
Stentoft L.
Assessing the Least Squares Monte-Carlo Approach to American Option Valuation
Review of Derivatives Research, 2004, Vol. 7, pp. 129-168

2003

 
Assoe K. & Sy O.
Profitability of the Short-Run Contrarian Strategy in Canadian Stock Markets
Canadian Journal of Administrative Sciences, 2003, Vol. 20, pp. 311-319
 
Boyer M.
Contracting under Ex post Moral Hazard, Costly Auditing and Principal Non-Commitment
Review of Economic Design, 2003, Vol. 8, pp. 1-38
 
Breton M., St-Amour P. & Vencatachellum D.
Dynamic Production Teams with Strategic Behavior
Journal of Economic Dynamics and 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, pp. 43-52
 
Dionne G. & Spaeter S.
Environmental Risk and Extended Liability: The Case of Green Technologies
Journal of Publics Economics, 2003, Vol. 87, 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, 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 É., Marcus A. & Kane A.
Geometric of Arithmetic Mean: A Reconsideration
Financial Analysts Journal, 2003, Vol. 59, pp. 49-53
 
Lalancette S. & Duchesne P.
On Testing for Multivariate ARCH Effects in Vector Time Series Models
The Canadian Journal fo Statistics, 2003, Vol. 31, pp. 272-292

2002

 
Dionne G. & Gagne R.
Replacement Cost Endorsement and Opportunistic Fraud in Automobile Insurance
Journal of Risk and Uncertainty, 2002, Vol. 24, 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, pp. 55-77
 
Normandin M. & St-Amour P.
Canadian Consumption and Portfolio Shares
Canadian Journal of Economics/Revue canadienne d'Économique, 2002, Vol. 35, 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, pp. 569-583
 
van Norden S. & Schaller H.
Fads or Bubbles
Empirical Economics, 2002, Vol. 27, pp. 335-362

2001

 
Alarie Y. & Dionne G.
Lottery Decisions and Probability Weighting Function
Journal of Risk and Uncertainty, 2001, Vol. 22, pp. 21-33
 
Boyer M.
Mitigating Insurance Fraud: Lump-Sum Awards, Premium Subsidies, and Indemnity Taxes
Journal of Risk and Insurance, 2001, Vol. 68, pp. 403-436
 
Dachraoui K. & Dionne G.
Stochastic Dominance and Optimal Portfolio
Economics Letters, 2001, Vol. 71, pp. 347-354
 
Desjardins D., Dionne G. & Pinquet J.
Experience Rating Schemes for Fleets of Vehicles
Astin bulletin, 2001, Vol. 31, 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, 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, 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, pp. 139-154
 
Duan J.C., Gauthier G. & Simonato J.G.
Asymptotic Distribution of the EMS Option Price Estimator
Management Science, 2001, Vol. 47, 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.
Futures Market Equilibrium with Heterogeneity and a Spot Market at Harvest
Journal of Economic Dynamics and Control, 2001, Vol. 25, pp. 805-824

2000

 
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, pp. 517-538
 
Boyer M.
Centralizing Insurance Fraud Investigation
Geneva Papers on Risk and Insurance Theory, 2000, Vol. 25, pp. 159-178
 
Boyer M.
Insurance Taxation and Insurance Fraud
Journal of Public Economic Theory, 2000, Vol. 2, pp. 101-134
 
Boyer M.
Media Attention, Isurance Regulation and Liability Insurance Pricing
Journal of Risk and Insurance, 2000, Vol. 67, pp. 39-74
 
Dionne G., Caillaud B. & Julien B.
Corporate Insurance with Optimal Financial Contracting
Economic Theory, 2000, Vol. 16, 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, pp. 1-21
 
Gordon S. & St-Amour P.
A Preference Regime Model of Bull and Bear Markets
The American Economic Review, 2000, Vol. 90, pp. 1019-1033
 
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