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Department of Finance

Faculty publications

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


Aboul-Enein, S., G. Dionne & N. Papageorgiou
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. & Valery, P.
Privatization and Globalization: An Empirical Analysis
Journal of Banking and Finance, 2013, Vol. 37, pp. 1898-1914
Bourgeon, J.M. & G. Dionne
On Debt Service and Renegotiation When Debt-holders Are More Strategic
Journal of Financial Intermediation, 2013, Vol. 22, pp. 353-372
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., Michaud, P.C. & Pinquet, J.
A Review of Recent Theoretical and Empirical Analyses of Asymmetric Information in Road Safety and Automobile Insurance
Research in Transportation Economics, 2013, Vol. 43, pp. 85-97
Dionne, G. & Triki, T.
On Risk Management Determinants: What Really Matters?
European Journal of Finance, 2013, Vol. 19, pp. 145-164


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. 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
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. 52
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
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