Publications

Cette liste n'inclut que les publications de nos professeurs, depuis 2000, dans des journaux répertoriés par le JCR.

 

Ahabchane C., Cenesizoglu T., Grass G. & Jena S.
Reducing Transaction Costs using Intraday Forecasts of Limit Order Book Slopes
Journal of Forecasting

 

Almeida C., Ardison K., Freire G., Garcia R. & Orłowski P.
High-Frequency Tail Risk Premium and Stock Return Predictability
Journal of Financial and Quantitative Analysis

 

Boyer M.
The Litigation Cost of Cross-listing in the United States
Corporate Governance: An International Review

 

Boyer M., Kleffner A. & Lu H.
Corporate Social Responsibility and Directors' and Officers' Liability: the Moderating Effect of the Risk Environment and Growth Potential
Business and Society, 2024, Vol. 63, pp. 668-711

 

Chu Y., Lin L. & Xiao Z.
Agree to Disagree: Lender Equity Holdings, Within-Syndicate Conflicts, and Covenant Design
Journal of Financial Intermediation, 2024, Vol. 57

 

d'Astous P., Irina G. & Pierre-Carl M.
The Quality of Financial Advice: What Influences Recommendations to Clients?
Journal of Banking and Finance, 2024, Vol. 169

 

d'Astous P. & Shore S.
Human Capital Risk and Portfolio Choices: Evidence from University Admission Discontinuities
Journal of Financial Economics, 2024, Vol. 54

 

d'Astous P. & Shore S.
Programs of Study and Earnings Dynamics
Labour Economics, 2024, Vol. 88

 

Dionne G., Li J. & Okou C.
An Alternative Representation of the C-CAPM with Higher-Order Risks
The Geneva Risk and Insurance Review, 2024, Vol. 49, pp. 194-233

 

Eling M., Gemmo I., Guxha D. & Schmeiser H.
Big Data, Risk Classification, and Privacy in Insurance Markets
Geneva Risk and Insurance Review, 2024, Vol. 49, pp. 75-126

 

Fournier M., Jacobs K. & Orłowski P.
Modeling Conditional Risk Premia Implied by Index Option Returns
Journal of Finance, 2024, Vol. 79, pp. 2289-2338

 

François P. & Moraux F.
The Mean-variance (in)Efficiency of Duration-based Immunization
International Review of Finance, 2024, Vol. 24, pp. 253-290

 

Geelen T., Hajda J., Morrellec E. & Winegar A.
Asset Life, Leverage, and Debt Maturity Matching
Journal of Financial Economics, 2024, Vol. 54

 

Orłowski P., Schneider P. & Trojani F.
On the Nature of (Jump) Skewness Risk Premia
Management Science, 2024, Vol. 70, pp. 671-1342

 

Poutré C., Dionne G. & Yergeau G.
The Profitability of Lead-lag Arbitrage at High Frequency
International Journal of Forecasting, 2024, Vol. 40, pp. 1002-1021

 

Somé H. & Valéry P.
Heterogeneity in the Competition-Cost of Equity Relation
International Review of Economics & Finance, 2024, Vol. 95, pp. 1034486

 

Andersen S., d'Astous P., Martinez-Correa J. & Shore S.
Responses to Eliminating Savings Commitments: Evidence from Mortgage Run-offs
Journal of Money, Credit and Banking, 2023, Vol. 54, pp. 1369-1405

 

Augustin P., Brenner M., Grass G., Orłowski P. & Subrahmanyam M.
Informed Options Strategies Before Corporate Events
Journal of Financial Markets, 2023, Vol. 63, pp. 1-34

 

Bhamra H.S., Dorion C., Jeanneret A. & Weber M.
High Inflation: Low Default Risk and Low Equity Valuations
Review of Financial Studies, 2023, Vol. 36, pp. 1192-1252

 

Boyer M. & d'Astous P.
Tax Compliance and Firm Response to Electronic Sales Monitoring
Canadian Journal of Economics, 2023, Vol. 56, pp. 1430-1468

 

Boyer M. & Eling M.
New Advances on Cyber Risk and Cyber Insurance
The Geneva Papers on Risk and Insurance, 2023, Vol. 48, pp. 267-274

 

Denault M. & Simonato J.G.
Multiperiod Portfolio Allocation: A Study of Volatility Clustering, Non-Normalities and Predictable Returns
North American Journal of Economics and Finance, 2023, Vol. 68

 

Desjardins D., Dionne G. & Lu Y.
Hierarchical Random-Effects Model for the Insurance Pricing of Vehicles Belonging to a Fleet
Journal of Applied Econometrics, 2023, Vol. 38, pp. 242-259

 

Dionne G., Hraiki R. & Mnasri M.
Determinants and Real Effects of Joint Hedging: An Empirical Analysis of US Oil and Gas Producers
Energy Economics, 2023, Vol. 124, pp. 106801

 

Fortin A.P., Simonato J.G. & Dionne G.
Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?
International Journal of Forecasting, 2023, Vol. 39, pp. 314-321

 

François P. & Naqvi H.
Secured and Unsecured Debt in Creditor-Friendly Bankruptcy
Journal of Corporate Finance, 2023, Vol. 80, pp. 1-18

 

Hassani S. & Dionne G.
Using Skewed Exponential Power Mixture for VaR and CVaR Forecasts to Comply With Market Risk Regulation
Journal of Risk, 2023, Vol. 25, pp. 73-103

 

Poutré C., Dionne G. & Yergeau G.
International High-Frequency Arbitrage for Cross-Listed Stocks
International Review of Financial Analysis, 2023, Vol. 89, pp. 102777

 

Simonato J.G.
Maximizing the Probability to Reach the Goal: An Exploration Exercise in Goal-Based Wealth Management
Journal of Portfolio Management, 2023, Vol. 49, pp. 189-207

 

Akey P., Grégoire V. & Martineau C.
Price Revelation from Insider Trading: Evidence from Hacked Earnings News
Journal of Financial Economics, 2022, Vol. 143, pp. 1162-1184

 

Antón M., Azar J., Gine M. & Lin L.
Beyond the Target: M&A Decisions and Rival Ownership
Journal of Financial Economics, 2022, Vol. 144, pp. 44-66

 

Augustin P., Sokolovski V., Subrahmanyam M. & D. T.
In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk
Journal of Financial Economics, 2022, Vol. 143, pp. 1251-1274

 

Augustin P., Sokolovski V., Subrahmanyam M. & D. T.
How Sovereign is Sovereign Credit Risk? Global Prices, Local Quantities
Journal of Monetary Economics, 2022, Vol. 131, pp. 92-111

 

Boyer M., d'Astous P. & Michaud P.C.
Tax-Preferred Savings Vehicles: Can Financial Education Improve Asset Location Decisions?
Review of Economics and Statistics, 2022, Vol. 104, pp. 541-556

 

Cenesizoglu T., Dionne G. & Zhou X.
Asymmetric Effects of the Limit Order Book on Price Dynamics
Journal of Empirical Finance, 2022, Vol. 65, pp. 77-98

 

Denault M. & Simonato J.G.
A Note on a Dynamic Goal-Based Wealth Management Problem
Finance Research Letters, 2022, Vol. 46

 

Desjardins D., Dionne G. & Koné N.
Reinsurance Demand and Liquidity Creation: A Search for Bicausality
Journal of Empirical Finance, 2022, Vol. 66, pp. 137-154

 

François P., Galarneau-Vincent R., Gauthier G. & Godin F.
Venturing into Uncharted Territory: An Extensible Implied Volatility Surface Model
Journal of Futures Markets, 2022, Vol. 42, pp. 1912-1940

 

François P., Heck S., Hübner G. & Lejeune T.
Comoment Risk in Corporate Bond Yields and Returns
Journal of Financial Research, 2022, Vol. 45, pp. 471-512

 

Grégoire V. & Martineau C.
How is Earnings News Transmitted to Stock Prices?
Journal of Accounting Research, 2022, Vol. 60, pp. 261-297

 

Hajda J. & Nikolov B.
Product Market Strategy and Corporate Policies
Journal of Financial Economics, 2022, Vol. 146, pp. 932-964

 

Jacobs J.P.A.M., Sarferaz S., Sturm J.E. & van Norden S.
Can GDP Measurement be Further Improved? Data Revision and Reconciliation
Journal of Business and Economic Statistics, 2022, Vol. 40, pp. 423-431

 

Karmaziene E. & Sokolovski V.
Short Selling Equity Exchange Traded Funds and its Effect on Stock Market Liquidity
Journal of Financial and Quantitative Analysis, 2022, Vol. 57, pp. 923-956

 

Lalancette S. & Simonato J.G.
Portfolios of Value and Momentum: Disappointment Aversion and Non-Normalities
Quantitative Finance, 2022, Vol. 22, pp. 1247-1263

 

Lin L.
Great Trees are Good for Shade: Creditor Monitoring Under Common Ownership
Finance Research Letters, 2022, Vol. 44, pp. 1-10

 

Lin L.
Taking No Chances: Lender Concentration and Corporate Acquisitions
Journal of Corporate Finance, 2022, Vol. 76, pp. 1-23

 

Tahir S., Nazir M., Qamar M. & Boyer M.
Ineffective Implementation of Corporate Governance? A Call for Greater Transparency to Reduce Agency Cost
Managerial and Decision Economics, 2022, Vol. 43, pp. 1528-1547

 

Yaali J., Grégoire V. & Hurtut T.
HFTViz: Visualization for the Exploration of High Frequency Trading Data
Information Visualization, 2022, Vol. 21, pp. 182-193

 

Akari M.A., Ben-Abdallah R., Breton M. & Dionne G.
The Impact of Central Clearing on the Market for Single-Name Credit Default Swaps
North American Journal of Economics and Finance, 2021, Vol. 56

 

Annabi A., Breton M. & François P.
Could Chapter 11 Redeem Itself? Wealth and Welfare Effects of the Redemption Option
International Review of Law and Economics, 2021, Vol. 67

 

Boyer M. & Glenzer F.
Pensions, Annuities, and Long-Term Care Insurance: on the Impact of Risk Screening
Geneva Risk and Insurance Review, 2021, Vol. 46, pp. 133-174

 

Cummins J., Dionne G., Gagné R. & Nouira A.
The Costs and Benefits of Reinsurance
Geneva Papers on Risk and Insurance: Issues and Practice, 2021, Vol. 46, pp. 177-199

 

Dionne G. & Liu Y.
Effects of Insurance Incentives on Road Safety: Evidence from a Natural Experiment in China
Scandinavian Journal of Economics, 2021, Vol. 123, pp. 453-477

 

Ferland R. & Lalancette S.
Portfolio Choices and Hedge Funds: A Disappointment Aversion Analysis
European Journal of Finance, 2021, Vol. 27

 

François P. & Stentoft L.
Smile-implied Hedging with Volatility Risk
Journal of Futures Markets, 2021, Vol. 41, pp. 1220-1240

 

Geelen T., Hajda J. & Morellec E.
Can Corporate Debt Foster Innovation and Growth?
Review of Financial Studies, 2021

 

Orłowski P.
Informative Option Portfolios in Filter Design for Option Pricing Models
Quantitative Finance, 2021, Vol. 21, pp. 945-965

 

Achou B., Boisclair D., d'Astous P., Fonseca R., Glenzer F. & Michaud P.-C.
The Early Impact of the COVID-19 Pandemic on Household Finances in Québec
Canadian Public Policy, 2020, Vol. 46, pp. 217-235

 

Boyer M., Box-Couillard S. & Michaud P.C.
Demand for Annuities: Price Sensitivity, Risk Perceptions, and Knowledge
Journal of Economic Behavior and Organization, 2020, Vol. 180, pp. 883-902

 

Boyer M. & Peter R.
Insurance Fraud in a Rothschild-Stiglitz World
Journal of Risk and Insurance, 2020, Vol. 87, pp. 117-142

 

Boyer M., Cowins E. & Reddic W.
Operational Risk Management and Regulatory Investment Constraints on Portfolio Allocation: Evidence from Property and Casualty Insurers
Journal of Regulatory Economics, 2020, Vol. 57, pp. 20-52

 

Boyer M., Donder P., Fluet C., Leroux M.L. & Michaud P.C.
Long-Term Care Insurance: Information Frictions and Selection
American Economic Journal: Economic Policy, 2020, Vol. 12, pp. 134-169

 

Boyer M.
Cyber insurance demand, supply, contracts, and cases
Geneva Papers on Risk and Insurance - Issues and Practice, 2020, Vol. 45, pp. 559-563

 

Bégin J.F., Dorion C. & Gauthier G.
Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options
Review of Financial Studies, 2020, Vol. 33, pp. 155-211

 

Cenesizoglu T. & Ibrushi D.
Predicting Systematic Risk With Macroeconomic And Financial Variables
The Journal of Financial Research, 2020, Vol. 43, pp. 649-673

 

Dionne G. & Zhou X.
The Dynamics of Ex-ante Weighted Spread: An Empirical Analysis
Quantitative Finance, 2020, Vol. 20, pp. 593-617

 

Grégoire V.
The Rise of Passive Investing and Index-Linked Comovement
The North American Journal of Economics and Finance, 2020, Vol. 51

 

Nepomuceno M., Visconti L. & Cenesizoglu T.
A model for investigating the impact of owned social media content on commercial performance and its application in large and mid-sized online communities
Journal of Marketing Management, 2020, Vol. 36, pp. 1762-1804

 

van Norden S.
Measurement Error: A Primer for Macroeconomists
Oxford Research Encyclopedia of Economics and Finance, 2020

 

Andrei D., Hasler M. & Jeanneret A.
Asset Pricing with Persistence Risk
Review of Financial Studies, 2019, Vol. 32, pp. 2809-2849

 

Boguth O., Grégoire V. & Martineau C.
Shaping Expectations and Coordinating Attention: The Unintended Consequences of FOMC Press Conferences
Journal of Financial and Quantitative Analysis, 2019, Vol. 54, pp. 2327-2353

 

Boyer M., Cowins E. & Reddic W.
Portfolio Rebalancing Behavior with Operating Losses and Investment Regulation
International Review of Economics and Finance, 2019, Vol. 63, pp. 313-328

 

Boyer M., De Donder P., Fluet C., Leroux M.L. & Michaud P.C.
A Canadian Parlor Room-Type Approach to the Long-Term-Care Insurance Puzzle
Canadian Public Policy, 2019, Vol. 45, pp. 262-282

 

Boyer M., De Donder P., Fluet C., Leroux M.L. & Michaud P.C.
Long-term Care Risk Misperceptions
The Geneva Papers on Risk and Insurance, 2019, Vol. 44, pp. 183-215

 

Chaigneau P., Edmans A. & Gottlieb D.
The Informativeness Principle Without the First-Order Approach
Games and Economic Behavior, 2019, Vol. 113, pp. 743-755

 

Comerton-Forde C., Grégoire V. & Zhong Z.
Inverted Fee Structures, Tick Size, and Market Quality
Journal of Financial Economics, 2019, Vol. 134, pp. 141-164

 

Croushore D. & van Norden S.
Fiscal Surprises at the FOMC
International Journal of Forecasting, 2019, Vol. 35, pp. 1583-1595

 

d'Astous P.
Responses to an Anticipated Increase in Cash on Hand: Evidence from Term Loan Repayment
Journal of Banking and Finance, 2019, Vol. 108

 

François P. & Jiang W.
Credit Value Adjustment with Martket-Implied Recovery
Journal of Financial Services Research, 2019, Vol. 56, pp. 145-166

 

François P.
The Determinants of Market-Implied Recovery Rates
Risks, 2019, Vol. 7, pp. 57

 

Galbraith J. & van Norden S.
Asymmetries and Unemployment Rate Forecasts
International Journal of Forecasting, 2019, Vol. 35, pp. 1613-1626

 

Simonato J.G.
American Option Pricing under GARCH with Non-Normal Innovations
Optimization and Engineering, 2019, Vol. 20, pp. 853-880

 

Wolfgang M. & Meier I.
Investment and financing decisions of private and public firms
Journal of Business Finance & Accounting, 2019, Vol. 46, pp. 225-262

 

Angers J.F., Desjardins D., Dionne G. & Guertin F.
Modelling and Estimating Invividual and Firm Effects with Count Panel Data
ASTIN Bulletin, 2018, Vol. 48, pp. 1049-1078

 

Cenesizoglu T. & Grass G.
Bid- and Ask-Side Liquidity in the NYSE Limit Order Book
Journal of Financial Markets, 2018, Vol. 38, pp. 14-38

 

Cenesizoglu T., Larocque D. & Normandin M.
The Conventional Monetary Policy and Term Structure of Interest Rates During the Financial Crisis
Macroeconomic Dynamics, 2018, Vol. 22, pp. 2032-2069

 

Cenesizoglu T. & Reeves J.
CAPM, Components of Beta and the Cross Section of Expected Returns
Journal of Empirical Finance, 2018, Vol. 49, pp. 223-246

 

Chaigneau P., Edmans A. & Gottlieb D.
Does Improved Information Improve Incentives?
Journal of Financial Economics, 2018, Vol. 130, pp. 291-307

 

Chaigneau P. & Sahuguet N.
The Effect of Monitoring on CEO Compensation in a Matching Equilibrium
Journal of Financial and Quantitative Analysis, 2018, Vol. 53, pp. 1297-1339

 

Christoffersen P., Fournier M. & Jacobs K.
The Factor Structure in Equity Options
Review of Financial Studies, 2018, Vol. 31, pp. 595-637

 

Croushore D. & van Norden S.
Fiscal Forecasts at the FOMC: Evidence from the Greenbooks
Review of Economics and Statistics, 2018, Vol. 100, pp. 933-945

 

Dionne G., Gueyie J.P. & Mnasri M.
Dynamic Corporate Risk Management: Motivations and Real Implications
Journal of Banking and Finance, 2018, Vol. 95, pp. 97-111

 

Doring S., Drobetz W., Janzen M. & Meier I.
Global Cash Flow Sensitivities
Finance Research Letters, 2018, Vol. 25, pp. 16-22

 

Jeanneret A.
Sovereign Credit Spreads Under Good/Bad Governance
Journal of Banking and Finance, 2018, Vol. 93, pp. 230-246

 

Simonato J.-G.
Dynamic Asset Allocation with Event Risk Transaction Costs and Predictable Returns
Mathematics and Financial Economics, 2018, Vol. 12, pp. 561-587

 

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 and 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

 

François P. & Raviv A.
Heterogeneous Beliefs and the Choiche Between Private Restructuring and Formal Bankruptcy
North American Journal of Economics and Finance, 2017, Vol. 41, pp. 156-167

 

Jagannathan R., Liberti J., Liu B. & Meier I.
The Firm's Cost of Capital
Annual Review of Financial Economics, 2017, Vol. 9, pp. 259-282

 

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

 

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

 

Drobetz W., Haller R. & Meier I.
Cash Flow Sensitivities During Normal and Crisis Times: Evidence from Shipping
Transportation Research Part A: Policy and Practice, 2016, Vol. 90, pp. 26-49

 

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

 

Jacobs J.P.A.M. & van Norden S.
Why are Initial Estimates of Productivity Growth so Unreliable?
Journal of Macroeconomics, 2016, Vol. 47, pp. 200-213

 

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

 

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

 

Cayen J.P. & van Norden S.
The Reliability of Canadian Output Gap Estimates in Real Time
North American Journal of Economics and Finance, 2015, Vol. 16, pp. 373-393

 

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

 

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 and Practice, 2014, Vol. 38, pp. 527-549

 

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

 

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

 

Galbraith J. & van Norden S.
Assessing Gross Domestic Product and Inflation Probability Forecasts Derived from Bank of England Fan Charts
Journal of the Royal Statistical Society: Series A (Statistics in Society), 2012, Vol. 175, pp. 713-727

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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