René Garcia : Citation Profile


Are you René Garcia?

Université de Montréal

17

H index

26

i10 index

1565

Citations

RESEARCH PRODUCTION:

51

Articles

94

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   40 years (1977 - 2017). See details.
   Cites by year: 39
   Journals where René Garcia has often published
   Relations with other researchers
   Recent citing documents: 136.    Total self citations: 40 (2.49 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pga447
   Updated: 2018-12-08    RAS profile: 2018-06-21    
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Relations with other researchers


Works with:

Almeida, Caio (4)

Bonomo, Marco (3)

Fontaine, Jean-Sebastien (2)

Carvalho, Carlos (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with René Garcia.

Is cited by:

Guidolin, Massimo (25)

Kim, Chang-Jin (22)

Piger, Jeremy (22)

Monfort, Alain (19)

Timmermann, Allan (18)

Pegoraro, Fulvio (16)

Pesaran, M (16)

Morley, James (14)

Castaneda, Pablo (14)

Christoffersen, Peter (12)

Perron, Pierre (12)

Cites to:

Renault, Eric (57)

Ghysels, Eric (33)

Campbell, John (31)

Hansen, Lars (28)

Bonomo, Marco (26)

Harvey, Campbell (25)

Bollerslev, Tim (23)

Zin, Stanley (20)

Tauchen, George (20)

Bekaert, Geert (20)

Kreps, David (19)

Main data


Where René Garcia has published?


Journals with more than one article published# docs
Journal of Econometrics8
Journal of Financial Econometrics7
L'Actualit Economique3
Canadian Journal of Economics3
Review of Financial Studies3
Journal of International Money and Finance2
Journal of Banking & Finance2
Management Science2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada7
Textos para discusso / Department of Economics PUC-Rio (Brazil)6
Working Papers / Center for Research in Economics and Statistics4
FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) / FGV/EPGE - Escola Brasileira de Economia e Finanas, Getulio Vargas Foundation (Brazil)2

Recent works citing René Garcia (2018 and 2017)


YearTitle of citing document
2017An explicit formula for optimal portfolios in complete Wiener driven markets: a functional It\^o calculus approach. (2017). Lindensjo, Kristoffer. In: Papers. RePEc:arx:papers:1610.05018.

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2018Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Empirical Likelihood Estimators. (2018). Lee, Seojeong. In: Papers. RePEc:arx:papers:1806.00953.

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2018Backward SDEs for Control with Partial Information. (2018). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:1807.08222.

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2018Modelling Competitive Mortgage Termination Option Strategies: Default vs Restructuring and Prepayment vs Defeasance. (2018). Michel, Lok Man ; Marcato, Gianluca. In: ERES. RePEc:arz:wpaper:eres2018_300.

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2018Asymmetric Effects of Chinas Monetary Policy on the Stock Market: Evidence from a Nonlinear VAR Mode. (2018). Sun, Yunpeng ; Wang, Xueying. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:745-761.

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2018Government of Canada Securities in the Cash, Repo and Securities Lending Markets. (2018). Bulusu, Narayan ; Gungor, Sermin . In: Discussion Papers. RePEc:bca:bocadp:18-4.

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2017Measuring Limits of Arbitrage in Fixed-Income Markets. (2017). Fontaine, Jean-Sebastien ; Nolin, Guillaume. In: Staff Working Papers. RePEc:bca:bocawp:17-44.

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2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). Campos, Pablo Jose ; Gupta, Aparna . In: Working Papers Series. RePEc:bcb:wpaper:482.

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2017Financial Depth and the Asymmetric Impact of Monetary Policy. (2017). Caglayan, Mustafa ; Mouratidis, Kostas ; Kocaaslan, Ozge Kandemir . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:6:p:1195-1218.

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2018Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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2017Central bank information and the effects of monetary shocks. (2017). Hubert, Paul. In: Bank of England working papers. RePEc:boe:boeewp:0672.

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2017Forecasting in the presence of in and out of sample breaks. (2017). Perron, Pierre ; Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2017-004.

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2017Specification analysis in regime-switching continuous-time diffusion models for market volatility. (2017). Ruijun, BU ; Kaddour, Hadri ; Jie, Cheng . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:65-80:n:3.

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2018Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Luger, Richard ; Liu, Xiaochun ; Richard, LUGER ; Xiaochun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4.

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2017Networks of Volatility Spillovers among Stock Markets. (2017). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard ; Vyrost, Tomas ; Lyocsa, Stefan . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6476.

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2018State-Dependent Transmission of Monetary Policy in the Euro Area. (2018). Neuenkirch, Matthias ; Nockel, Matthias ; Burgard, Jan Pablo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7074.

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2018Funding Constraints and Market Illiquidity in the European Treasury Bond Market. (2018). Moinas, Sophie ; Valente, Giorgio ; Nguyen, Minh. In: EconPol Working Paper. RePEc:ces:econwp:_13.

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2017Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market. (2017). Wu, Xin Yu ; Zhou, Hailin ; Ren, Senchun. In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2017:i:4:p:263-278.

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2017Entropy-based implied moments. (2017). Xiao, Xiao ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2017An Empirical Investigation of Risk Sharing among Indonesian Households. (2017). Wibowo, Sigit ; Basu, Parantap. In: CEGAP Working Papers. RePEc:dur:cegapw:2017_03.

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2017Did the crisis permanently scar the Portuguese labour market? Evidence from a Markov-switching Beveridge curve analysis. (2017). Vansteenkiste, Isabel . In: Working Paper Series. RePEc:ecb:ecbwps:20172043.

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2017Asymmetric Spillover Effects between Agricultural Commodity Prices and Biofuel Energy Prices. (2017). Voliotis, Dimitrios ; Apergis, Nicholas ; Eleftheriou, Sofia . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-01-18.

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2017Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data. (2017). Lee, Kyungsub ; Ki, Byoung. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:154-183.

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2017How are Africas emerging stock markets related to advanced markets? Evidence from copulas. (2017). ALAGIDEDE, PAUL ; Mensah, Jones Odei. In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:1-10.

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2017Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds. (2017). Prigent, Jean-Luc ; Abid, Ilyes ; Mkaouar, Farid . In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:228-247.

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2017A dynamic Nelson-Siegel yield curve model with Markov switching. (2017). Levant, Jared ; Ma, Jun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:73-87.

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2018Herding behavior among wine investors. (2018). Ayta, Beysul ; Mandou, Cyrille ; Coqueret, Guillaume. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:318-328.

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2018Directional predictability and time-varying spillovers between stock markets and economic cycles. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:301-312.

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2017The expected real yield and inflation components of the nominal yield curve. (2017). Lange, Ronald H. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:1-18.

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2017Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula. (2017). Chang, Kuang-Liang . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:56-67.

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2017A new approach to model regime switching. (2017). Chang, Yoosoon ; Park, Joon Y ; Choi, Yongok . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:127-143.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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2017Functional linear regression with functional response. (2017). Benatia, David ; FLORENS, Jean-Pierre ; Carrasco, Marine. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:269-291.

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2018Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale. (2018). Gallant, Ronald A ; Tauchen, George. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:140-155.

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2018Estimating stable latent factor models by indirect inference. (2018). Halbleib, Roxana ; Calzolari, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:280-301.

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2018The asymptotic properties of GMM and indirect inference under second-order identification. (2018). Dovonon, Prosper ; Hall, Alastair R. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:76-111.

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2018Portfolio optimization based on stochastic dominance and empirical likelihood. (2018). Post, Thierry ; Arvanitis, Stelios ; Karabati, Seluk. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:167-186.

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2017On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks. (2017). Tzavalis, Elias ; Vrontos, Ioannis ; Meligkotsidou, Loukia. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:70-90.

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2017Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. (2017). Nguyen, Duc Khuong ; Berger, Theo ; Hernandez, Jose Arreola. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1121-1131.

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2017Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market. (2017). Caldana, Ruggero ; Roncoroni, Andrea ; Fusai, Gianluca. In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:715-734.

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2018Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix. (2018). Jin, Xing ; Hong, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:1:p:389-398.

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2019Wavelet-based option pricing: An empirical study. (2019). Liu, Xiaoquan ; Shen, Liya ; Ma, Chenghu ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1132-1142.

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2017The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test. (2017). Masih, Abul ; Bacha, Obiyathulla ; Mansur, A ; Dewandaru, Ginanjar. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:66-95.

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2017Relation between higher order comoments and dependence structure of equity portfolio. (2017). cerrato, mario ; Zhao, Yang ; Kim, Minjoo ; Crosby, John. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:101-120.

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2018New evidence on asymmetric return–volume dependence and extreme movements. (2018). Wang, Yi-Chiuan ; Lai, Yi-Hao ; Wu, Jyh-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:212-227.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2017Habit formation and exhaustible resource risk-pricing. (2017). Nguimkeu, Pierre ; Kakeu, Johnson. In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:1-12.

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2017The impact of energy consumption and economic development on Ecological Footprint and CO2 emissions: Evidence from a Markov Switching Equilibrium Correction Model. (2017). Charfeddine, Lanouar. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:355-374.

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2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204.

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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2017How oil price changes affect car use and purchase decisions? Survey evidence from Chinese cities. (2017). Lin, Boqiang ; Du, Zhili . In: Energy Policy. RePEc:eee:enepol:v:111:y:2017:i:c:p:68-74.

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2018Idiosyncratic volatility and cash flow volatility: New evidence from S&P 500. (2018). Pae, Yuntaek ; Lee, Namhoon ; Bae, Sung C. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:127-135.

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2017A simulation on the presence of competing bidders in mergers and acquisitions. (2017). Aintablian, Sebouh ; el Khoury, Wissam . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:233-243.

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2017Liquidity measures throughout the lifetime of the U.S. Treasury bond. (2017). Diaz, Antonio ; Escribano, Ana . In: Journal of Financial Markets. RePEc:eee:finmar:v:33:y:2017:i:c:p:42-74.

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2018Funding constraints and liquidity in two-tiered OTC markets. (2018). Benos, Evangelos ; Ike, Filip. In: Journal of Financial Markets. RePEc:eee:finmar:v:39:y:2018:i:c:p:24-43.

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2017Asset prices regime-switching and the role of inflation targeting monetary policy. (2017). Floros, Christos ; Filis, George ; Chatziantoniou, Ioannis. In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:97-112.

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2017Modeling partial Greeks of variable annuities with dependence. (2017). Gan, Guojun ; Valdez, Emiliano A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:118-134.

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2017Predicting risk premium under changes in the conditional distribution of stock returns. (2017). Sousa, Ricardo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:204-218.

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2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching. (2017). Fuertes, Ana-Maria ; Kalotychou, Elena ; Fei, Fei . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:662-678.

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2018Forecasting crude oil price volatility. (2018). Herrera, Ana Maria ; Pastor, Daniel ; Hu, Liang. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:622-635.

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2018Predictions of short-term rates and the expectations hypothesis. (2018). Guidolin, Massimo ; Thornton, Daniel L. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:636-664.

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2017Bond repurchase objectives and the repurchase method choice. (2017). Levy, Hagit ; Shalev, Ron . In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:63:y:2017:i:2:p:385-403.

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2017The joint cross-sectional variation of equity returns and volatilities. (2017). Gonzalez-Urteaga, Ana ; Rubio, Gonzalo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:17-34.

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2018Momentum and funding conditions. (2018). Garcia-Feijoo, Luis ; Jensen, Tyler K. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:312-329.

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2018What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?. (2018). Liu, Zhuoshi ; Vangelista, Elisabetta ; Relleen, Jon ; Kaminska, Iryna . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:76-96.

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2018Covariance forecasting in equity markets. (2018). Symitsi, Efthymia ; Markellos, Raphael ; Kourtis, Apostolos ; Symeonidis, Lazaros . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

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2017The advantages of using excess returns to model the term structure. (2017). Golinski, Adam ; Spencer, Peter ; Goliski, Adam . In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:1:p:163-181.

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2017Tail risk in hedge funds: A unique view from portfolio holdings. (2017). Ruenzi, Stefan ; Weigert, Florian ; Agarwal, Vikas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:610-636.

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2018Leverage constraints and asset prices: Insights from mutual fund risk taking. (2018). Boguth, Oliver ; Simutin, Mikhail. In: Journal of Financial Economics. RePEc:eee:jfinec:v:127:y:2018:i:2:p:325-341.

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2018An intertemporal CAPM with stochastic volatility. (2018). Campbell, John ; Turley, Robert ; Polk, Christopher ; Giglio, Stefano. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:207-233.

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2018Asset pricing with beliefs-dependent risk aversion and learning. (2018). Berrada, Tony ; Rindisbacher, Marcel ; Detemple, Jerome ; De Temple, Jerome. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:3:p:504-534.

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2018Downside risks and the cross-section of asset returns. (2018). Farago, Adam ; Tedongap, Romeo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:69-86.

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2017Asymmetric volatility connectedness on the forex market. (2017). Vacha, Lukas ; Kočenda, Evžen ; Baruník, Jozef ; Koenda, Even ; Barunik, Jozef. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:39-56.

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2017Evidence of persistence in U.S. short and long-term interest rates. (2017). GUPTA, RANGAN ; Gil-Alana, Luis ; Cuñado, Juncal ; Cunado, Juncal. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:5:p:775-789.

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2017Is gold a hedge or safe haven for Islamic stock market movements? A Markov switching approach. (2017). Chkili, Walid. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:152-163.

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2018Networks of volatility spillovers among stock markets. (2018). Výrost, Tomáš ; Lyócsa, Štefan ; Kočenda, Evžen ; Baumohl, Eduard ; Vrost, Toma ; Koenda, Even ; Lyocsa, Tefan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1555-1574.

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2018Network features of sector indexes spillover effects in China: A multi-scale view. (2018). Feng, Sida ; Wen, Shaobo ; Sun, Qingru ; Liu, Xueyong ; Qi, Yabin ; Huang, Shupei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:461-473.

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2017Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?. (2017). Liu, Xiaochun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:275-293.

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2018Interest rate volatility and risk management: Evidence from CBOE Treasury options. (2018). Markellos, Raphael N ; Psychoyios, Dimitris. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:190-202.

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2018Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK. (2018). Raza, Hamid ; Wu, Weiou . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:286-296.

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2018Co-movement between equity and bond markets. (2018). Sakemoto, Ryuta. In: International Review of Economics & Finance. RePEc:eee:reveco:v:53:y:2018:i:c:p:25-38.

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2017How Germany benefits the most from its Eurozone membership. (2017). Juneja, Januj. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1074-1088.

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2017Asset pricing with investor sentiment: On the use of investor group behavior to forecast ASEAN markets. (2017). French, Jordan . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:124-148.

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2018Tail risk and the return-volatility relation. (2018). Aboura, Sofiane ; Chevallier, Julien. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:16-29.

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2017The permanent income hypothesis, transitional dynamics, and excess sensitivity of consumption. (2017). Kim, Youn H. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:40:y:2017:i:c:p:10-25.

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2018Ecological change points: The strength of density dependence and the loss of history. (2018). Ponciano, Jos M ; Dennis, Brian ; Taper, Mark L. In: Theoretical Population Biology. RePEc:eee:thpobi:v:121:y:2018:i:c:p:45-59.

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2017Joint tests of contagion with applications to financial crises. (2017). Martin, Vance ; Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee. In: CAMA Working Papers. RePEc:een:camaaa:2017-23.

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2018The dynamics of financially constrained arbitrage. (2018). Vayanos, Dimitri ; Gromb, Denis. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:84081.

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2017The scale of predictability. (2017). Bandi, F M ; Tebaldi, C ; Tamoni, Andrea ; Perron, B. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85646.

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2017Credit Rationing in Greece During and After the Financial Crisis. (2017). Korab, Petr ; Pomenkova, Jitka . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:2:p:119-139.

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2017Central Bank Information and the effects of Monetary shocks. (2017). Hubert, Paul. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1719.

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2017Too Good to Be True? Fallacies in Evaluating Risk Factor Models. (2017). Robotti, Cesare ; Gospodinov, Nikolay ; Kan, Raymond. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-09.

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2017General Aggregation of Misspecified Asset Pricing Models. (2017). Maasoumi, Esfandiar ; Gospodinov, Nikolay. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-10.

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2017International Illiquidity. (2017). Venter, Gyuri ; Vedolin, Andrea ; Mueller, Philippe ; Malkhozov, Aytek. In: International Finance Discussion Papers. RePEc:fip:fedgif:1201.

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2017Reversals in Global Market Integration and Funding Liquidity. (2017). Akbari, Amir ; Malkhozov, Aytek ; Carrieri, Francesca. In: International Finance Discussion Papers. RePEc:fip:fedgif:1202.

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2017Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries. (2017). Montañés, Antonio ; Gadea, María ; Clemente Lopez, Jesus ; Reyes, Marcelo ; Montaes, Antonio. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:11-:d:90640.

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2018Structural Break Tests Robust to Regression Misspecification. (2018). Boldea, Otilia ; Andreou, Elena ; Morshed, Alaa Abi. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:27-:d:148392.

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2018Pipeline capacity and the dynamics of Alberta crude oil price spreads. (2018). Thille, Henry ; Galay, Gregory. In: Working Papers. RePEc:gue:guelph:2018-04.

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2018Time-Dependency in Producers’ Price Adjustments: Evidence from Micro Panel Data.. (2018). Nilsen, Øivind ; Bratlie, Joakim ; Pettersen, Per Marius. In: Discussion Paper Series in Economics. RePEc:hhs:nhheco:2018_012.

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2018An Equilibrium Model of Term Structures of Bonds and Equities. (2018). Takamizawa, Hideyuki. In: Working Paper Series. RePEc:hit:hcfrwp:g-1-19.

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2018Some Empirical Evidence on Models of the Fisher Relation: Post-Data Comparison. (2018). Kim, Jae-Young ; Park, Woong Yong. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-68.

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More than 100 citations found, this list is not complete...

René Garcia is editor of


Journal
Journal of Financial Econometrics

Works by René Garcia:


YearTitleTypeCited
2000Modelling Risk Premiums in Equity and Foreign Exchange Markets In: Staff Working Papers.
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paper0
2005The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments In: Staff Working Papers.
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paper0
2005The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach In: Staff Working Papers.
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paper8
2007The Canadian macroeconomy and the yield curve: an equilibrium-based approach.(2007) In: Canadian Journal of Economics.
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This paper has another version. Agregated cites: 8
article
2005State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle In: Staff Working Papers.
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paper0
2006Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns In: Staff Working Papers.
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paper8
2011Assessing and valuing the nonlinear structure of hedge fund returns.(2011) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 8
article
2009Bond Liquidity Premia In: Staff Working Papers.
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paper83
2012Bond Liquidity Premia.(2012) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 83
article
2015Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns In: Staff Working Papers.
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paper4
2016Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns.(2016) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 4
paper
2006Comment In: Journal of Business & Economic Statistics.
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article0
2003A Monte Carlo Method for Optimal Portfolios In: Journal of Finance.
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article92
2000A Monte-Carlo Method for Optimal Portfolios.(2000) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 92
paper
1998A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models In: Mathematical Finance.
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article8
1997A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models.(1997) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 8
paper
1999Are the Effects of Monetary Policy Asymmetric? In: Carleton Economic Papers.
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paper64
1995Are the Effects of Monetary Policy Asymmetric?.(1995) In: CIRANO Working Papers.
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paper
1995Are the Effects of Monetary Policy Asymmetric?.(1995) In: Cahiers de recherche.
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paper
1995Are the Effects of Monetary Policy Asymmetric?.(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 64
paper
2002Are the Effects of Monetary Policy Asymmetric?.(2002) In: Economic Inquiry.
[Citation analysis]
This paper has another version. Agregated cites: 64
article
1999Les modèles de prévisions économiques In: CIRANO Project Reports.
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paper0
2001Asymmetric Smiles, Leverage Effects and Structural Parameters In: CIRANO Working Papers.
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paper14
2000Asymmetric Smiles, Leverage Effects and Structural Parameters.(2000) In: Working Papers.
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paper
2001Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche.
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paper
2001Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche.
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paper
2001Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002) In: CIRANO Working Papers.
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paper0
2002Incorporating Second-Order Functional Knowledge for Better Option Pricing In: CIRANO Working Papers.
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paper0
2003Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes In: CIRANO Working Papers.
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paper12
2004Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes..(2004) In: Econometric Society 2004 North American Winter Meetings.
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This paper has another version. Agregated cites: 12
paper
2006Asymptotic properties of Monte Carlo estimators of diffusion processes.(2006) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 12
article
2003Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level In: CIRANO Working Papers.
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paper13
2006Disentangling risk aversion and intertemporal substitution through a reference level.(2006) In: Finance Research Letters.
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This paper has another version. Agregated cites: 13
article
2004The Econometrics of Option Pricing In: CIRANO Working Papers.
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paper21
2005The Value of Real and Financial Risk Management In: CIRANO Working Papers.
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paper3
2009Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates In: CIRANO Working Papers.
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paper3
2012Risk aversion, intertemporal substitution, and the term structure of interest rates.(2012) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 3
article
2009Dependence Structure and Extreme Comovements in International Equity and Bond Markets In: CIRANO Working Papers.
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paper71
2011Dependence structure and extreme comovements in international equity and bond markets.(2011) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 71
article
2011Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility In: CIRANO Working Papers.
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paper3
2009Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility.(2009) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 3
article
2011Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management In: CIRANO Working Papers.
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paper0
2013Alleviating Coordination Problems and Regulatory Constraints Through Financial Risk Management.(2013) In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2013A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns In: CIRANO Working Papers.
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paper9
2014A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns.(2014) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
article
2016Nonparametric Tail Risk, Stock Returns and the Macroeconomy In: CIRANO Working Papers.
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paper2
2017Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
1994Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles In: CIRANO Working Papers.
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paper14
1993Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles..(1993) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 14
paper
1993Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles.(1993) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
1995An Analysis of the Real Interest Rate Under Regime Shifts In: CIRANO Working Papers.
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paper357
1990AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS..(1990) In: Princeton, Department of Economics - Econometric Research Program.
[Citation analysis]
This paper has another version. Agregated cites: 357
paper
1994An Analysis of the Real Interest rate Under Regime Shifts..(1994) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 357
paper
1994An Analysis of the Real Interest rate Under Regime Shifts..(1994) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 357
paper
1996An Analysis of the Real Interest Rate under Regime Shifts..(1996) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 357
article
1995Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper290
1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models..(1998) In: International Economic Review.
[Citation analysis]
This paper has another version. Agregated cites: 290
article
1995Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper54
1997Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation..(1997) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 54
article
1995Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 54
paper
1995Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 54
paper
1995On the Dynamic Specification of International Asset Pricing Models In: CIRANO Working Papers.
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paper1
1995On the Dynamic Specification of International Asset Pricing Models..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1995On the Dynamic Specification of International Asset Pricing Models..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1996Structural Change and Asset Pricing in Emerging Markets In: CIRANO Working Papers.
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paper30
1998Structural change and asset pricing in emerging markets.(1998) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
article
1997Tests of Conditional Asset Pricing Models in the Brazilian Stock Market In: CIRANO Working Papers.
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paper6
2001Tests of conditional asset pricing models in the Brazilian stock market.(2001) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 6
article
1999Tests of conditional asset pricing models in the brazilian stock market.(1999) In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 6
paper
1997Tests of Conditional Asset Pricing Models in the Brazilian Stock Market.(1997) In: Cahiers de recherche.
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paper
1997Tests of Conditional Asset Pricing Models in the Brazilian Stock Market.(1997) In: Cahiers de recherche.
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paper
1997Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market..(1997) In: Cahiers de recherche.
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paper
1997Tests of conditional asset pricing models in the Brazilian stock market,.(1997) In: Textos para discussão.
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paper
1998Risk Aversion, Intertemporal Substitution, and Option Pricing In: CIRANO Working Papers.
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paper6
1998Risk Aversion, Intertemporal Substitution, and Option Pricing.(1998) In: Working Papers.
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paper
1998Risk Aversion, Intertemporal Substitution, and Option Pricing.(1998) In: Cahiers de recherche.
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paper
1998Risk Aversion, Intertemporal Substitution, and Option Pricing..(1998) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 6
paper
1998Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint In: CIRANO Working Papers.
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paper54
2000Pricing and hedging derivative securities with neural networks and a homogeneity hint.(2000) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 54
article
1999Latent Variable Models for Stochastic Discount Factors In: CIRANO Working Papers.
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paper1
2000Latent Variable Models for Stochastic Discount Factors..(2000) In: Cahiers de recherche.
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paper
2000Letent Variable Models for Stochastic Discount Factors..(2000) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2001The macroeconomic effects of infrequent information with adjustment costs In: Canadian Journal of Economics.
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article4
2000The macroeconomic effects of infrequent information with adjustment costs.(2000) In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 4
paper
1997The Macroeconomic Effects of Infrequent Information with Adjustment Costs.(1997) In: Cahiers de recherche.
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paper
1997The Macroeconomic Effects of Infrequent Information With Adjustment Costs..(1997) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
2005Viewpoint: Option prices, preferences, and state variables In: Canadian Journal of Economics.
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article1
2006Estimation of stable distributions by indirect inference In: CORE Discussion Papers.
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paper24
2011Estimation of stable distributions by indirect inference.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
article
1978Leffet redistributif de linflation de 1969 a 1975 sur les menages canadiens. (With English summary.) In: Canadian Public Policy.
[Full Text][Citation analysis]
article0
2000Latent Variable Models for Stochastic Discount In: Working Papers.
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paper0
2000Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables In: Working Papers.
[Full Text][Citation analysis]
paper41
2003Empirical assessment of an intertemporal option pricing model with latent variables.(2003) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41
article
2001Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables.(2001) In: Cahiers de recherche.
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paper
2001Empirical Assessment of an Intertemporal option Pricing Model with Latent variables..(2001) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 41
paper
2008Measuring causality between volatility and returns with high-frequency data In: UC3M Working papers. Economics.
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paper6
1977Disequilibrium Econometrics for Business Loans. In: Econometrica.
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article48
2004Optimal Rules under Adjustment Cost and Infrequent Information In: Econometric Society 2004 Latin American Meetings.
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paper1
1989Application of a simulation software to the analysis of a peasant farming system In: Agricultural Systems.
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article1
1994Indexation, staggering and disinflation In: Journal of Development Economics.
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article5
1992Indexation, Staggering and Disinflation..(1992) In: Cahiers de recherche.
[Citation analysis]
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paper
1992Indexation, Staggering and Disinflation..(1992) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
1992Indexation, staggering and disinflation.(1992) In: Textos para discussão.
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This paper has another version. Agregated cites: 5
paper
2011Estimation of objective and risk-neutral distributions based on moments of integrated volatility In: Journal of Econometrics.
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article20
2012Assessing misspecified asset pricing models with empirical likelihood estimators In: Journal of Econometrics.
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article16
2015The long and the short of the risk-return trade-off In: Journal of Econometrics.
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article8
2000Econometric methods for derivative securities and risk management In: Journal of Econometrics.
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article0
1996Consumption and equilibrium asset pricing: An empirical assessment In: Journal of Empirical Finance.
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article16
1991Consumption and Equilibrium Asset Pricing: an Empirical Assessment..(1991) In: Cahiers de recherche.
[Citation analysis]
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paper
1991Consumption and Equilibrium Asset Pricing: an Empirical Assessment..(1991) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 16
paper
1992Consumption and equilibrium asset pricing: An empirical assessment.(1992) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2008Uses of first line emergency services in Cuba In: Health Policy.
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article1
2005Intertemporal asset allocation: A comparison of methods In: Journal of Banking & Finance.
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article16
2004Option Prices, Preferences, and State Variables In: Emory Economics.
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paper0
2010State-dependent pricing under infrequent information: a unified framework In: Staff Reports.
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paper11
1990MEAN AVERSION IN EQUILIBRIUM ASSET PRICES: COMMENT. In: Princeton, Department of Economics - Financial Research Center.
[Citation analysis]
paper0
2010Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices In: IDEI Working Papers.
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paper17
2011Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices.(2011) In: Review of Financial Studies.
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article
2010Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices.(2010) In: TSE Working Papers.
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paper
2005Asymptotic Properties of Monte Carlo Estimators of Derivatives In: Management Science.
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article9
2007Proper Conditioning for Coherent VaR in Portfolio Management In: Management Science.
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article23
1994Can a Well-Fitted Equilibrium Asset-Pricing Model Produce Mean Reversion? In: Journal of Applied Econometrics.
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article15
1991Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion?.(1991) In: Cahiers de recherche.
[Citation analysis]
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paper
1991Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion?.(1991) In: Cahiers de recherche.
[Citation analysis]
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paper
1992Can a well-fitted equilibrium asset pricing model produce mean reversion?.(1992) In: Textos para discussão.
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paper
2011The option CAPM and the performance of hedge funds In: Review of Derivatives Research.
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article0
1991An analysis of Real Interest Rate Under Regime Shifts. In: Cahiers de recherche.
[Citation analysis]
paper4
1991An analysis of Real Interest Rate Under Regime Shifts..(1991) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
1995Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models. In: Cahiers de recherche.
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paper2
1995Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
2010The Alleviation of Coordination Problems through Financial Risk Management In: Cahiers de recherche.
[Full Text][Citation analysis]
paper0
2017Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article1
2017Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article1
2009The JFEC Invited Lecture at the 2008 SoFiE Conference In: Journal of Financial Econometrics.
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article0
2009Special Issue on Multivariate Volatility Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article0
2011The JFEC Invited Lecture at the 2009 SoFiE Conference In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article0
2008State Dependence Can Explain the Risk Aversion Puzzle In: Review of Financial Studies.
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article29
2013Time- and State-Dependent Pricing: A Unified Framework In: 2013 Meeting Papers.
[Full Text][Citation analysis]
paper0
2015Persistent Monetary Non-neutrality in an Estimated Model with Menu Costs and Partially Costly Information In: 2015 Meeting Papers.
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paper0
1995Infrequent information, optimal time and state dependent rules, and aggregate effects. In: Textos para discussão.
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paper0
1986La théorie économique de l’information : exposé synthétique de la littérature In: L'Actualité Economique.
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article0
1995Information asymétrique, contraintes de liquidité et investissement In: L'Actualité Economique.
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article0
1998Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel In: L'Actualité Economique.
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article0
2005Representation formulas for Malliavin derivatives of diffusion processes In: Finance and Stochastics.
[Full Text][Citation analysis]
article9
2011Estimation of stable distributions with indirect inference In: ULB Institutional Repository.
[Citation analysis]
paper5

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