René Garcia : Citation Profile


Are you René Garcia?

Université de Montréal

19

H index

31

i10 index

1821

Citations

RESEARCH PRODUCTION:

61

Articles

97

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   44 years (1977 - 2021). See details.
   Cites by year: 41
   Journals where René Garcia has often published
   Relations with other researchers
   Recent citing documents: 76.    Total self citations: 46 (2.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pga447
   Updated: 2021-03-07    RAS profile: 2021-01-29    
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Relations with other researchers


Works with:

Almeida, Caio (5)

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 (28)

Piger, Jeremy (22)

Kim, Chang-Jin (22)

Monfort, Alain (20)

Timmermann, Allan (19)

Pegoraro, Fulvio (16)

Pesaran, M (16)

Castaneda, Pablo (15)

Morley, James (14)

Perron, Pierre (13)

Christoffersen, Peter (12)

Cites to:

Renault, Eric (50)

Campbell, John (43)

Ghysels, Eric (33)

Hansen, Lars (32)

Harvey, Campbell (26)

Bonomo, Marco (26)

Bollerslev, Tim (24)

Zin, Stanley (23)

Bekaert, Geert (22)

Epstein, Larry (22)

Tauchen, George (21)

Main data


Where René Garcia has published?


Journals with more than one article published# docs
Journal of Econometrics9
Journal of Financial Econometrics9
Review of Financial Studies3
Canadian Journal of Economics3
Management Science3
Journal of Banking & Finance3
L'Actualit Economique3
Canadian Journal of Economics/Revue canadienne d'conomique3
Journal of International Money and Finance2
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
Post-Print / HAL3
TSE Working Papers / Toulouse School of Economics (TSE)2
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)2

Recent works citing René Garcia (2021 and 2020)


YearTitle of citing document
2020Gated Neural Networks for Option Pricing: Rationality by Design. (2016). Yang, Yongxin ; Hospedales, Timothy M ; Zheng, YU. In: Papers. RePEc:arx:papers:1609.07472.

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2020Neural networks for option pricing and hedging: a literature review. (2019). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1911.05620.

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2020A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data. (2020). Scaillet, Olivier ; Moor, Alban ; la Vecchia, Davide. In: Papers. RePEc:arx:papers:2001.04867.

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2020Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096.

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2020Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709.

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2020Deep Local Volatility. (2020). Dixon, Matthew ; Cr, St'Ephane ; Chataigner, Marc. In: Papers. RePEc:arx:papers:2007.10462.

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2020A decomposition formula for fractional Heston jump diffusion models. (2020). Ortiz-Latorre, Salvador ; Lagunas-Merino, Marc. In: Papers. RePEc:arx:papers:2007.14328.

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2020Data-Driven Option Pricing using Single and Multi-Asset Supervised Learning. (2020). Tanksale, Atharva ; Rajani, Sharan ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2008.00462.

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2020Nowcasting Networks. (2020). Crepey, Stephane ; Chataigner, Marc ; Pu, Jiang. In: Papers. RePEc:arx:papers:2011.13687.

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2020Forward utility and market adjustments in relative investment-consumption games of many players. (2020). Platonov, Vadim ; Reis, Goncalo Dos . In: Papers. RePEc:arx:papers:2012.01235.

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2021Extensive networks would eliminate the demand for pricing formulas. (2021). Huh, Jeonggyu ; Park, Kyunghyun ; Jeon, Jaegi. In: Papers. RePEc:arx:papers:2101.09064.

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2021Black-box model risk in finance. (2021). Cohen, Samuel N ; Snow, Derek ; Szpruch, Lukasz. In: Papers. RePEc:arx:papers:2102.04757.

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2020Long-term stock returns in Brazil: volatile equity returns for U.S.-like investors. (2020). Sanvicente, Antonio ; Brito, Ricardo D ; Araujo, Eurilton. In: Working Papers Series. RePEc:bcb:wpaper:525.

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2020The role of bank supply in the Italian credit market: evidence from a new regional survey. (2020). Orame, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1279_20.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Working Papers. RePEc:bfi:wpaper:2020-69.

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2020The effectiveness of monetary policy and output fluctuations: An asymmetric analysis. (2020). Irandoust, Manuchehr. In: Australian Economic Papers. RePEc:bla:ausecp:v:59:y:2020:i:2:p:161-181.

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2020Decomposing the VIX: Implications for the predictability of stock returns. (2020). Chow, Victor K ; Li, Jingrui ; Jiang, Wanjun. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:4:p:645-668.

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2020The Pricing Kernel Puzzle: A Real Phenomenon or a Statistical Artifact?. (2020). Anwar, Sajid ; Siddiqi, Hammad. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:2:p:485-491.

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2020Gaussian density estimates for solutions of fully coupled forward‐backward SDEs. (2020). Shamarova, Evelina ; Olivera, Christian. In: Mathematische Nachrichten. RePEc:bla:mathna:v:293:y:2020:i:8:p:1554-1564.

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2020The role of households’ borrowing constraints in the transmission of monetary policy. (2019). Hubert, Paul ; Cumming, Fergus. In: Bank of England working papers. RePEc:boe:boeewp:0836.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2236.

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2020Are the effects of monetary policy in the euro area greater in recessions than in booms?. (2001). Smets, Frank ; Peersman, Gert. In: Working Paper Series. RePEc:ecb:ecbwps:20010052.

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2021A Markov Switching VECM Model for Russian Real GDP, Real Exchange Rate and Oil Prices. (2021). Polbin, Andrey Vladimirovich ; Kulikov, Alexander Vladimirovich ; Bedin, Andrey Feliksovich. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-02-48.

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2020Policy uncertainty and the capital shortfall of global financial firms. (2020). Papachristopoulou, Andromachi ; Panopoulou, Ekaterini ; Matousek, Roman. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s092911992030002x.

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2020A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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2020Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

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2020Expectile CAPM. (2020). Zheng, Zhenlong ; Hu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:386-397.

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2021A consumption-based asset pricing model with disappointment aversion and uncertainty shocks. (2021). Guo, Zhaoxuan ; Xia, Bobo ; Li, Kaifeng. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:235-243.

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2020An investigation on mixed housing-cycle structures and asymmetric tail dependences. (2020). Chang, Kuang-Liang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303164.

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2020Stock prices, dividends, and structural changes in the long-term: The case of U.S.. (2020). Prats, María ; Navarro-Ibáñez, Manuel ; Navarro-Ibaez, Manuel ; Esteve, Vicente. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302633.

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2020Implied risk aversion and pricing kernel in the FTSE 100 index. (2020). Sung, Hao-Chang ; Ju, Wen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302092.

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2020The asymmetric effects of monetary policy on the business cycle: Evidence from the panel smoothed quantile regression model. (2020). Xue, Wenjun ; Hang, Yin. In: Economics Letters. RePEc:eee:ecolet:v:195:y:2020:i:c:s0165176520302792.

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2020The leverage effect puzzle revisited: Identification in discrete time. (2020). Khrapov, Stanislav ; Han, Hyojin ; Renault, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:230-258.

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2020Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

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2021Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet. (2021). Golinski, Adam ; Goliski, Adam. In: European Economic Review. RePEc:eee:eecrev:v:131:y:2021:i:c:s0014292120302439.

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2020A comparison of tail dependence estimators. (2020). Weiss, Gregor ; Irresberger, Felix ; Supper, Hendrik . In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:728-742.

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2020Commodities price cycles and their interdependence with equity markets. (2020). Alagidede, Imhotep Paul ; Boako, Gideon ; Uddin, Gazi Salah ; Sjo, BO. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302243.

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2020Expected issuance fees and market liquidity. (2020). Zwinkels, Remco ; Verschoor, Willem ; Pieterse-Bloem, Mary ; Buis, Boyd . In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418119300795.

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2020The bank lending channel in the Malaysian Islamic and conventional banking system. (2020). Caporale, Guglielmo Maria ; Helmi, Mohamad Husam ; Atik, Abdurrahman Nazif ; Tajik, Mohammad ; Ali, Faek Menla. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318301790.

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2020Estimating the term structure of corporate bond liquidity premiums: An analysis of default free bank bonds. (2020). Stock, Duane ; Stanhouse, Bryan ; Leal, Diego . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120301013.

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2020Comparing density forecasts in a risk management context. (2020). Fang, Hao ; Diks, Cees. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:531-551.

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2020Return comovement. (2020). Parsley, David ; Popper, Helen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302340.

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2020Liquidity supply by broker-dealers and real activity. (2020). Goldberg, Jonathan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:3:p:806-827.

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2020The scarcity effect of QE on repo rates: Evidence from the euro area. (2020). Vari, Miklos ; Rahmouni-Rousseau, Imene ; Nguyen, Benoit ; Arrata, William. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:837-856.

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2020Transmission of monetary policy in times of high household debt. (2020). Lim, Hyunjoon ; Kim, Youngju. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:63:y:2020:i:c:s0164070418302015.

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2020Correlation and risk measurement modeling: A Markov-switching mixed Clayton copula approach. (2020). Peng, Rui ; Cai, Wen-Li ; Pan, Fei ; Liu, Xiang-Dong. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:197:y:2020:i:c:s0951832019306854.

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2020Alternative explanation of the money illusion: The effect of unexpected low inflation. (2020). Tsai, I-Chun ; I-Chun Tsai, . In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:110-123.

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2020CBOE VIX and Jump-GARCH option pricing models. (2020). Yoon, Sun-Joong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:839-859.

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2021New Ways of Modeling Loan-to-Income Distributions and their Evolution in Time - A Probability Copula Approach. (2021). Temnov, Grigory ; Gerth, Florian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:217-236.

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2020Impact of stock market trading on currency market volatility spillovers. (2020). Yelkenci, Tezer ; AYDOAN, Berna ; Baklaci, Hasan Fehmi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919307287.

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2021Markov-switching dependence between artificial intelligence and carbon price: The role of policy uncertainty in the era of the 4th industrial revolution and the effect of COVID-19 pandemic. (2021). Tiwari, Aviral ; Leyva-De, Dante I ; Aikins, Emmanuel Joel. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:163:y:2021:i:c:s0040162520312609.

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2020Asymmetric network connectedness of fears. (2020). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia ; Barunik, Jozef. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108199.

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2020Impactos monetarios sobre la rentabilidad del mercado accionario en México: Un análisis de cambio de régimen Markoviano. (Monetary Impacts on the Mexican Stock Market Returns: A Markov Switching Appro. (2020). Nava, Abigail Rodriguez ; Castro, Miriam Sosa ; Navarrete, Rosalinda Arriaga. In: Ensayos Revista de Economia. RePEc:ere:journl:v:xxxix:y:2020:i:2:p:187-216.

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2020Tail Risk Transmission: A Study of the Iran Food Industry. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojaverian, Seyed Mojtaba ; Mojtahedi, Fatemeh. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:78-:d:387092.

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2020Deep Local Volatility. (2020). Dixon, Matthew ; Crepey, Stephane ; Chataigner, Marc. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:82-:d:393770.

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2020Modeling Co-Movement among Different Agricultural Commodity Markets: A Copula-GARCH Approach. (2020). Wong, Wing-Keung ; Sriboonchitta, Songsak ; Tang, Jiechen ; Yuan, Xinyu. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:1:p:393-:d:305046.

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2020European unemployment nonlinear dynamics over the business cycles: Markov switching approach. (2020). Lukianenko, Iryna ; Oliskevych, Marianna. In: Global Business and Economics Review. RePEc:ids:gbusec:v:22:y:2020:i:4:p:375-401.

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2021Risk Arbitrage Opportunities for Stock Index Options. (2021). Longarela, Iaki Rodriguez ; Post, Thierry. In: Operations Research. RePEc:inm:oropre:v:69:y:2021:i:1:p:100-113.

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2020Neural Network pricing of American put options. (2020). Sequeira, Bernardo ; Lopes, Sara D ; Gaspar, Raquel M. In: Working Papers REM. RePEc:ise:remwps:wp01222020.

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2021Time-Varying Mixture Copula Models with Copula Selection. (2021). Hafner, Christian ; Liu, Guannan ; Cai, Zongwu ; Yang, Bingduo. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202105.

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2020Flight-to-quality in the stock–bond return relation: a regime-switching copula approach. (2020). Tachibana, Minoru. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:4:d:10.1007_s11408-020-00361-5.

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2020Yield curves from different bond data sets. (2020). Diaz, Antonio ; Navarro, Eliseo ; Jareo, Francisco. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:2:d:10.1007_s11147-019-09162-z.

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2020Implicit Entropic Market Risk-Premium from Interest Rate Derivatives. (2020). Arismendi Zambrano, Juan ; Azevedo, R ; Arismendi-Zambrano, J. In: Economics, Finance and Accounting Department Working Paper Series. RePEc:may:mayecw:n303-20.pdf.

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2020Robust Identification of Investor Beliefs. (2020). Hansen, Lars ; Chen, Xiaohong. In: NBER Working Papers. RePEc:nbr:nberwo:27257.

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2020Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance*. (2020). Ronchetti, Diego ; Gagliardini, Patrick. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:18:y:2020:i:2:p:333-394..

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2020Tail Risk Measurement In Crypto-Asset Markets. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0186.

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2020Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models. (2020). Rodríguez, Gabriel ; Fernandez, Jean Pierre. In: Documentos de Trabajo / Working Papers. RePEc:pcp:pucwps:wp00484.

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2020Globalization, Long Memory, and Real Interest Rate Convergence: A Historical Perspective. (2020). GUPTA, RANGAN ; Gil-Alana, Luis ; Miller, Stephen M ; Canarella, Giorgio. In: Working Papers. RePEc:pre:wpaper:2020106.

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2020Do Consumers Really Follow a Rule of Thumb? Three Thousand Estimates from 144 Studies Say Probably Not. (). Sokolova, Anna ; Havranek, Tomas. In: Review of Economic Dynamics. RePEc:red:issued:18-255.

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2020Long-term stock returns in Brazil: volatile equity returns for U.S.-like investors. (2020). Sanvicente, Antonio ; Araujo, Eurilton. In: Working Papers, Department of Economics. RePEc:spa:wpaper:2020wpecon6.

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2021Brexit and foreign exchange market expectations: Could it have been predicted?. (2021). Gradojevic, Nikola. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03582-z.

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2020On real interest rate convergence among G7 countries. (2020). Riedel, Jana. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:2:d:10.1007_s00181-019-01681-w.

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2020Value-at-Risk in the Presence of Structural Breaks Using Unbiased Extreme Value Volatility Estimator. (2020). Kumar, Dilip. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:3:d:10.1007_s40953-020-00197-w.

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2020Investigating Regime-Dependent Dynamics in Country Risk Premium: Evidence from Turkey and Emerging Markets. (2020). KAZDAL, Abdullah ; Yilmaz, Muhammed Hasan ; Bayram, Berat ; Akay, Mustafa. In: CBT Research Notes in Economics. RePEc:tcb:econot:2008.

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2020Skewness and index futures return. (2020). Jondeau, Eric ; Zhang, Qunzi ; Yan, Zhipeng ; Wang, Xuewu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1648-1664.

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2020Testing jointly for structural changes in the error variance and coefficients of a linear regression model. (2020). Yamamoto, Yohei ; Perron, Pierre ; Zhou, Jing. In: Quantitative Economics. RePEc:wly:quante:v:11:y:2020:i:3:p:1019-1057.

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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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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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2005The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach In: Staff Working Papers.
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2007The Canadian macroeconomy and the yield curve: an equilibrium-based approach.(2007) In: Canadian Journal of Economics.
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2007The Canadian macroeconomy and the yield curve: an equilibrium‐based approach.(2007) In: Canadian Journal of Economics/Revue canadienne d'économique.
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2005State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle In: Staff Working Papers.
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2006Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns In: Staff Working Papers.
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2011Assessing and valuing the nonlinear structure of hedge fund returns.(2011) In: Journal of Applied Econometrics.
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2009Bond Liquidity Premia In: Staff Working Papers.
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2012Bond Liquidity Premia.(2012) In: Review of Financial Studies.
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2015Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns In: Staff Working Papers.
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2016Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns.(2016) In: CIRANO Working Papers.
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2006Comment In: Journal of Business & Economic Statistics.
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2003A Monte Carlo Method for Optimal Portfolios In: Journal of Finance.
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2000A Monte-Carlo Method for Optimal Portfolios.(2000) In: CIRANO Working Papers.
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1998A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models In: Mathematical Finance.
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1997A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models.(1997) In: CIRANO Working Papers.
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2019Prime de risque et prix du risque sur les actions In: Revue d'économie financière.
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1999Are the Effects of Monetary Policy Asymmetric? In: Carleton Economic Papers.
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1995Are the Effects of Monetary Policy Asymmetric?.(1995) In: CIRANO Working Papers.
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1995Are the Effects of Monetary Policy Asymmetric?.(1995) In: Cahiers de recherche.
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1995Are the Effects of Monetary Policy Asymmetric?.(1995) In: Cahiers de recherche.
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2002Are the Effects of Monetary Policy Asymmetric?.(2002) In: Economic Inquiry.
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1999Les modèles de prévisions économiques In: CIRANO Project Reports.
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2001Asymmetric Smiles, Leverage Effects and Structural Parameters In: CIRANO Working Papers.
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2000Asymmetric Smiles, Leverage Effects and Structural Parameters.(2000) In: Working Papers.
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