WP 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

WP 23-01

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

WP 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

WP 22-01

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

WP 21-02

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

WP 21-01

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

WP 20-11

Deep Limit Order  Book Events Dynamics
Yann Bilodeau, HEC Montréal

WP 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

WP 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

WP 20-08

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

WP 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

WP 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

WP 20-05

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

WP 20-04

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

WP 20-03

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

WP 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

WP 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

WP 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

WP 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

WP 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

WP 19-17

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

WP 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

WP 19-15

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

WP 19-14

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

WP 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

WP 19-12

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

WP 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

WP 19-10

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

WP 19-09

Currency Hedging of Global Equity Portfolios
Iwan Meier, HEC Montréal

WP 19-08

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

WP 19-07

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

WP 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

WP 19-05

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

WP 19-04

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

WP 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

WP 19-02

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

WP 19-01

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

WP 18-11

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

WP 18-10

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

WP 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

WP 18-08

Compound Hawkes Processes in Limit Order Books
Anatoliy Swishchuk, University of Calgary
Jonathan Chavez-Casillas, University of Calgary
Robert Elliot, University of Calgary
Bruno Remillard, HEC Montreal

WP 18-07

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

WP 18-06

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

WP 18-05

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

WP 18-04

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

WP 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

WP 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

WP 18-01

Cross-sectional Dependence in Idiosyncratic Volatility

Ilze Kalnina, North Carolina State University
Kokouvi Tewou, Université de Montréal

WP 17-05

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

Alexandre Jeanneret, HEC Montréal

WP 17-04

Longevity bond pricing in equilibrium

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

WP 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

WP 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

WP 17-01

Loan commitments

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

WP 16-11

Downside variance risk premium

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

WP 16-10

Good volatility, bad volatility and option pricing

Bruno Feunou, Banque du Canada
Cédric Okou, UQAM

WP 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


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

WP 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

WP 16-06

Options illiquidity: determinants and implications for stock return

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

WP 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

WP 16-04

The correlation risk premium: international evidence

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

WP 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

WP 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

WP 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

WP 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

WP 15-05


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

WP 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

WP 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

WP 15-02

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

Laurent Barras, Université McGill
Aytek Malkhozov, Université McGill

WP 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

WP 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

WP 14-02

A random field libor market model

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

WP 14-01

An efficient method to price counterparty risk

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