DR 23-02

Covariance Dependent Kernels, a Q-Affine GARCH for Multi-Asset Option Pricing
Marcos Escobar-Anel, Western University
Javad Rastegari, Western University
Lars Stentoft, Western University

DR 23-01

Post-FOMC Announcement Reversal
Oleg Bondarenko, University of Illinois«
Dmitriy Muravyev, Michigan State University

DR 22-02

What Interbank Rates Tell Us About Time-Varying Disaster Risk
Hitesh Doshi, University of Houston
Hyung Joo Kim, University of Houston
Sang Byung Seo, University of Wisconsin-Madison

DR 22-01

Human Capital Risk and Portfolio Choices: Evidence from UniversityAdmission Discontinuities
Philippe D’Astous, HEC Montréal
Stephen H. Shore, Robinson College of Business, GSU

DR 21-02

Modeling Conditional Factor Risk Premia Implied by Index Option Returns
Mathieu Fournier, HEC Montréal
Kris Jacobs, University of Houston
Piotr Orlowski, HEC Montréal

DR 21-01

A Supply-Demand Analysis of the Index  Option Market
Laurent Barras, McGill University
Aytek Malkhozov, Federal Reserve Board
Guillaume Roussellet, McGill University

DR 20-11

Deep Limit Order Book Events Dynamics
Yann Bilodeau, HEC Montréal

DR 20-10

Hedge Fund Performance under Misspecified Models
David Ardia, HEC Montréal
Laurent Barras, McGill University
Patrick Gagliardini, Università della Svizzera Italiana
Olivier Scaillet, University of Geneva

DR 20-09

Do Option-Based Measures of Stock Mispricing Find Investment Opportunities or Market Frictions ?
Martijn Cremers, University of Notre Dame
Ruslan Goyenko, McGill University
Paul Schultz, University of Notre Dame
Stephen Szaura, McGill University

DR 20-08

Common Factors in Equity Option Returns
Alex Horenstein, University of Miami
Aurelio Vasquez, ITAM
Xiao Xiao, Erasmus University Rotterdam

DR 20-07

Option Return Predictability
Jie Cao, The Chinese University of Hong Kong
Bing Han, University of Toronto
Qing Tong, Renmin University
Xintong Zhan, The Chinese University of Hong Kong

DR 20-06

Decomposing the Systematic and Idiosyncratic Components of the Diffusive and Tail Risks in Individual Equity Options
Robert Brooks, University of Alabama
Don M. Chance, Louisiana State University
Mobina Shafaati, Old Dominion University

DR 20-05

The Dynamics of the Implied Volatility Surface: A Story of Rare Economic Events
Alexandre Jeanneret, HEC Montréal
Michael Hasler, University of Texas

DR 20-04

Currency Mispricing and Dealer Balance Sheets
Gino Cenedese, Fulcrum Asset Management
Pasquale Della Corte, Imperial College London
Tianyu Wang, Tsinghua University

DR 20-03

Making Better Use of Option Prices to Predict Stock Returns
Dmitriy Muravyev, University of Michigan
Aurelio Vasquez, ITAM
Wenzhi Wang, Boston College

DR 20-02

The Term Structures of Expected Loss and Gain Uncertainty
Bruno Feunou, Bank of Canada
Ricardo Lopez Aliouchkin, Syracuse University
Roméo Tédongap, ESSEC Business School
Lai Xu, Syracuse University

DR 20-01

Implied Volatility Changes and Corporate Bond Returns
Jie Cao, The Chinese University of Hong Kong
Amit Goyal, University of Lausanne and Swiss Finance Institute
Xiao Xiao, Erasmus University Rotterdam
Xintong Zhang, The Chinese University of Hong Kong

DR 19-20

U.S. Equity Tail Risk and Currency Risk Premia
Zhenzhen Fan, Nankai University
Juan M. Londono, Federal Reserve Board
Xiao Xiao, Erasmus University Rotterdam

DR 19-19

Loss Uncertainty, Gain Uncertainty, and Expected Stock Returns
Bruno Feunou, Bank of Canada
Ricardo Lopez Aliouchkin, Syracuse University
Roméo Tédongap, ESSEC Business School
Lai Xu, Syracuse University

DR 19-18

Price Discovery in the Cross Section: Leaders and Followers
Diego Amaya, Wilfrid Laurier University
M. Fabricio Perez, Wilfrid Laurier University
Andriy Shkilko, Wilfrid Laurier University

DR 19-17

Option Returns: Closing Prices are not What You Pay
Ruslan Goyenko, McGill College
Chengyu Zhang, McGill College

DR 19-16

Benchmark Interest Rates When the Government is Risky
Patrick Augustin, McGill University
Mikhail Chernov, Anderson School of Management, UCLA
Lukas Schmid, Duke University
Dongho Song, Johns Hopkins University

DR 19-15

The CDS-bond Basis: Negativity Persistence and Limits to Arbitrage
Sahar Guesmi, HEC Montréal
Ramzi Ben-Abdallah, UQAM
Michèle Breton, HEC Montréal
Georges Dionne, HEC Montréal

DR 19-14

Affine Multivariate GARCH Models
Marcos Escobar, University of Western Ontario
Javad Rastegari, University of Western Ontario
Lars Stentoft, University of Western Ontario

DR 19-13

Options Trading and Corporate Debt Structure
Jie Cao, The Chinese University of Hong Kong
Michael Hertzel, Arizona State University
Jie Xu, The Chinese University of Hong Kong
Xintong Zhan, The Chinese University of Hong Kong

DR 19-12

Estimation and Filtering with Big Option Data: Implications for Asset Pricing
Kris Jacobs, University of Houston
Yuguo Liu, University of Houston

DR 19-11

OTC Premia
Gino Cenedese, Fulcrum Asset Management
Angelo Ranaldo, University of St Gallen and the Swiss Finance Institute
Michalis Vasios, Bank of England

DR 19-10

Ambiguity, Volatility, and Credit Risk
Patrick Augustin, McGill University
Yehuda Izhakian, Baruch College

DR 19-09

Currency Hedging of Global Equity Portfolios
Iwan Meier, HEC Montréal

DR 19-08

Contingent Convertible Debt: the Impact on Equity Holders
Delphine Boursicot, HEC Montréal
Geneviève Gauthier, HEC Montréal
Farhad Pourkalbassi, HEC Montréal

DR 19-07

Price Index Insurances in the Agriculture Markets
Hirbod Assa, University of Liverpool
Meng Wang, Unviversity of Liverpool

DR 19-06

How do Economic Variables Affect the Pricing of Commodity Derivatives and Insurance?
Hirbod Assa, University of Liverpool
Philippe Grégoire, Université Laval
Gabriel J. Power, Université Laval
Djerry Charli Tandja-M., Université du Québec en Outaouais

DR 19-05

CVaR-Hedging in Markets with Transaction Costs and its Application
Alexander Melnikov, University of Alberta
Hongxi Wan, University of Alberta

DR 19-04

Price Bounds in Jump-diffusion Markets Revisited via Market Completions
Anne Mackay, Université du Québec à Montréal
Alexander Melnikov, University of Alberta

DR 19-03

Optimization of Small Deviation for Mixed Fractional Brownian Motion with Trend
Anne Mackay, Université du Québec à Montréal
Alexander Melnikov, University of Alberta
Yuliya Mishura, University of Kyiv

DR 19-02

Option-Implied Dependence and Correlation Risk Premium
Oleg Bondarenko, University of Illinois
Carole Bernard, Grenoble École de Management

DR 19-01

Expected Correlation and Future Market Returns
Adrian Buss, INSEAD and CEPR
Lorenzo Schönleber, Frankfurt School of Finance & Management
Grigory Vilkov, Frankfurt School of Finance & Management

DR 18-11

Operating Leverage, Risk Taking and Coordination Failures
Matthieu Bouvard, McGill University
Adolfo de Motta, McGill University

DR 18-10

Executive Compensation and Hedge Accounting: An Investigation of the Reporting and Risk Incentives Associated with the Corporate Use of Derivatives
Martin Boyer, HEC Montréal
Elicia P. Cowins, Washington and Lee University
Willie D. Reddic, DePaul University

DR 18-09

How do Informed Investors Trade in the Options Market?
Patrick Augustin, McGill University
Manachem Brenner, New York University
Gunnar Grass, HEC Montréal
Marti G. Subrahmanyam, New York University

DR 18-08

Compound Hawkes Processes in Limit Order Books
Anatoliy Swishchuk, Université de Calgary
Jonathan Chavez-Casillas, Université de Calgary
Robert Elliot, Université de Calgary
Bruno Remillard, HEC Montréal

DR 18-07

Joint Distribution of a Random Vector with Known Margins of Linear Combinations
Carole Bernard, Grenoble École de Management
Oleg Bondarenko, Université  de l’Illinois
Steven Vanduffel, Vrije Université de Bruxelles

DR 18-06

Spillover Effects from Sovereign Credit Rating Event to CDS Market Volatility: Evidence from Greece
Marie-Claude Beaulieu, Université Laval
Richard Luger, Université Laval
Alexandre Petit, Université Laval

DR 18-05

Stock Loan Lotteries and Individual Investor Performance
Jordan Moore, Rowan University, Rohrer College of Business

DR 18-04

Corporate Hedging During the Financial Crisis
Paul Calluzzo, Smith School of Business
Evan Dudley, Smith School of Business

DR 18-03

The impact of central clearing on the market for single-name credit default swaps
Mohamed-Ali Akari, HEC Montréal
Ramzi Ben-Abdallah, UQAM School of Management
Michèle Breton, HEC Montréal
Georges Dionne, HEC Montréal

DR 18-02

Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Options
Jie Cao, The Chinese University of Hong Kong
Yong Jin, The Hong Kong Polytechnic University
Neil D. Pearson, University of Illinois at Urbana Champaign
Dragon Yongjun Tang, The University of Hong Kong

DR 18-01

Cross-sectional Dependence in Idiosyncratic Volatility
Ilze Kalnina, North Carolina State University
Kokouvi TEWOU, Université de Montréal

DR 17-05

Bank Reactions to Sovereign Credit News: an Analysis of the Credit Default Swap Market

Alexandre Jeanneret, HEC Montréal

DR 17-04

Longevity bond pricing in equilibrium

Petar Jevtié, McMaster University
Minsuk Kwak Hankuk, University of Foreign Studies, Korea
Traian A. Pirvu, McMaster University

DR 17-03

A level-1 limit order book with time dependent arrival rates

Jonathan A. Chavez-Casillas, Université de Calgary
Robert J. Elliott, Université de Calgary
Bruno Rémillard, HEC Montréal
Anatoliy V. Swishchuk, Université de Calgary

DR 17-02

Long-term tail risk

Haitao Li, Cheung Kong Graduate School of Business
Zhaogang Song, Johns Hopkins Carey Business School
Andrea Vedolin, London School of Economics and Political Science

DR 17-01

Loan commitments

Dan Galai, The Hebrew University of Jerusalem
Zvi Wiener, The Hebrew University of Jerusalem

DR 16-11

Downside variance risk premium

Bruno Feunou, Banque du Canada
Mohammad R. Jahan-Parvar, Federal Reserve Board
Cédric Okou, UQAM

DR 16-10

Good volatility, bad volatility and option pricing

Bruno Feunou, Banque du Canada
Cédric Okou, UQAM

DR 16-09

Beta risk in the cross-section of stocks and options

Ali Boloorforoosh, Banque Nationale du Canada
Peter Christoffersen, Université de Toronto
Mathieu Fournier, HEC Montréal
Christian Gouriéroux, Université de Toronto

DR 16-08

Option pricing and hedging under non-affine autoregressive stochastic volatility models

Alexandru Badescu, Université de Calgary
Robert Elliott, Université de Calgary
Lyudmila Grigoryeva, Universität Konstanz
Juan-Pablo Ortega, Universität Sankt Gallen

DR 16-07

How does sovereign bond market integration relate to fundamentals and cds spreads?

Ines Chaieb, University of Geneva & SFI
Vihang Errunza, Université McGill
Rajna Gibson Brandon, University of Geneva & SFI

DR 16-06

Options illiquidity: determinants and implications for stock return

Ruslan Goyenko, Université McGill
Chayawat Ornthanalai, Rotman School
Shengzhe Tang, Rotman School

DR 16-05

Can higher-order risks explain the credit spread puzzle?

Olfa Maalaoui Chun, KAIST
Georges Dionne, HEC Montréal
Jingyuan Li, Lingnan University
Cédric Okou, UQAM

DR 16-04

The correlation risk premium: international evidence

Gonçalo Faria, University of Porto
Robert Kosowski, Imperial College
Tianyu Wang, Imperial College

DR 16-03

Is there a risk premium in the stock lending market? evidence from equity options

Dmitriy Muravyev, Boston College
Neil D. Pearson, University of Illinois
Joshua M. Pollet, University of Illinois

DR 16-02

Why do investors buy sovereign default insurance?

Patrick Augustin, Université McGill
Valeri Sokolovski, Stockholm School of Economics
Marti G. Subrahmanyam, New York University

DR 16-01

Financial innovation and stock market participation

Laurent Calvet, HEC Paris
Claire Célérier, Université de Zurich
Paolo, Sodini, Stockholm School of Economics
Boris Vallée, Harvard Business School

DR 15-06

Trading against disorderly liquidation of a large position under asymmetric information and market impact

Caroline Hillairet, CMAP, École Polytechnique
Cody Hyndman, Université Concordia
Ying Jiao, Université Paris Diderot
Renjie Wang, Université Concordia

DR 15-05


Jorge A. Cruz Lopez, Banque du Canada
Jeffrey H. Harris, American University, Washington
Christophe Hurlin, University of Orléans
Christophe Pérignon, HEC Paris

DR 15-04

Transparency and liquidity in the structured product market

Nils Friewald, Vienna University of Economics and Business
Rainer Jankowitsch, Vienna University of Economics and Business
Marti G. Subrahmanyam, New York University

DR 15-03

Financial oligopolies: theory and empirical evidence in the credit default swap markets

Lawrence Kryzanowski, Université Concordia
Stylianos Perrakis, Université Concordia
Rui Zhon, Chinese Academy of Finance and Development

DR 15-02

Does variance risk have two prices? evidence from the equity and option markets

Laurent Barras, Université McGill
Aytek Malkhozov , Université McGill

DR 15-01

Economic and financial determinants of credit risk premiums in the sovereign cds market

Hitesh Doshi, University of Houston
Kris Jacobs, University of Houston
Carlos Zurita, University of Houston

DR 14-03

Les modèles factoriels et la gestion du risque de longévité

Martin Boyer, HEC Montréal
Christian Dorion, HEC Montréal
Lars Stentoft, Western Ontario University

DR 14-02

A random field libor market model

Tao L. Wu, Illinois Institute of Technology
Shengqiang Xu, Northern Trust Corporation

DR 14-01

An efficient method to price counterparty risk

Michèle Breton, GERAD et HEC Montréal
Oussama Marzouk, HEC Montréal