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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

 
Boyer M.
Underwriting Apophenia and Cryptids: Are Cycles Statistical Figments of our Imagination?
Geneva Papers on Risk and Insurance-Issues and Practice
 
Boyer M.
D&O Insurance and IPO Performance: what can we learn from insurers?
Journal of Financial Intermediation
 
Boyer M., Léger P.M., Legoux R. & Robert J.
Confirmation Biases in the Financial Analysis of IT Investments
Journal of the Association for Information Systems
 
Cenesizoglu T.
The Reaction of Stock Returns to News about Fundamentals
Management Science
 
Christoffersen P., Dorion C., Jacobs K. & Karoui L.
Nonlinear Kalman Filtering in Affine Term Structure Models
Management Science
 
Dionne G., François P. & Maalaoui Chun O.
Detecting Regime Shifts in Credit Spreads
Journal of Financial and Quantitative Analysis
 
Dionne G., La Haye M. & Bergerès A.S.
Does Asymmetric Information Affect the Premium in Mergers and Acquisitions?
Canadian Journal of Economics
 
Dionne G. & Santugini M.
Entry, Imperfect Competition, and Futures Market for the Input
International Journal of Industrial Organization
 
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
 
Hocquard A., Papageorgiou N. & Rémillard B.
The Payoff Distribution Model: An Application to Dynamic Portfolio Insurance
Quantitative Finance
 
Jacquier É. & Okou C.
Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships
Journal of Financial Econometrics
 
Jeanneret A.
The Dynamics of Sovereign Credit Risk
Journal of Financial and Quantitative Analysis
 
Létourneau P. & Stentoft L.
Refining the Least Squares Monte Carlo Method by Imposing Structure
Quantitative Finance
 
Michel J.S.
Return on Recent VC Investment and Long-Run IPO Returns
Entrepreneurship: Theory & Practice
 
Rombouts J. & Stentoft L.
Bayesian Option Pricing using Mixed Normal Heteroskedasticity Models
Computational Statistics & Data Analysis
 
Rombouts J., Stentoft L. & Violante F.
The Value of Multivariate Model Sophistication: An Application to Pricing Dow Jones Industrial Average Options
International Journal of Forecasting
 
Simonato J.G.
New Warrant Issues Valuation with Leverage and Equity Model Errors
Journal of Financial Services Research
 
Simonato J.G.
Approximating the Multivariate Distribution of Time-Aggregated Stock Returns Under GARCH
Journal of Risk
 
Stentoft L.
Value Function Approximation or Stopping Time Approximation: A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression
Journal of Computational Finance

2014

 
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
 
Dorion C., François P., Grass G. & Jeanneret A.
Convertible Debt and Shareholder Incentives
Journal of Corporate Finance, 2014, Vol. 24, pp. 38?56

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
 
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
 
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
 
Hocquard A., Ng S. & Papageorgiou N.
A Constant Volatility Framework for Managing Tail Risk
Journal of Portfolio Management, 2013, Vol. 39, pp. 28-40

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
 
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

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
 
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

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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