René Garcia : Citation Profile

Université de Montréal

21

H index

40

i10 index

2355

Citations

RESEARCH PRODUCTION:

64

Articles

99

Papers

1

Chapters

EDITOR:

1

Books edited

1

Series edited

RESEARCH ACTIVITY:

   48 years (1977 - 2025). See details.
   Cites by year: 49
   Journals where René Garcia has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 47 (1.96 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pga447
   Updated: 2025-03-22    RAS profile: 2025-02-06    
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Relations with other researchers

Works with:

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 (31)

Piger, Jeremy (25)

Kim, Chang-Jin (22)

Monfort, Alain (21)

Hubert, Paul (19)

Timmermann, Allan (19)

Pegoraro, Fulvio (17)

Pesaran, Mohammad (17)

Havranek, Tomas (17)

Morley, James (17)

GUPTA, RANGAN (15)

Cites to:

Renault, Eric (60)

Campbell, John (52)

Hansen, Lars (34)

Ghysels, Eric (34)

Bonomo, Marco (33)

Tauchen, George (27)

Bollerslev, Tim (27)

Harvey, Campbell (26)

Jagannathan, Ravi (25)

Kreps, David (25)

Zin, Stanley (25)

Main data

Production by document typearticlechapterpaper198019811982198319841985198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024202501020Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1977197819791980198119821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150200Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19821983198419851986198719881989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150200Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19771978197919801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250200400600Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 21Most cited documents12345678910111213141516171819202122230250500Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025030102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where René Garcia has published?

Journals with more than one article published# docs
Journal of Financial Econometrics9
Journal of Econometrics9
Canadian Journal of Economics3
Journal of Banking & Finance3
L'Actualit� Economique3
The Review of Financial Studies3
Canadian Journal of Economics/Revue canadienne d'�conomique3
Journal of Finance2
Journal of Applied Econometrics2
Journal of International Money and Finance2
Journal of Financial and Quantitative Analysis2

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada7
Textos para discuss�o / 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
Working Papers / Princeton University. Economics Department.2

Recent works citing René Garcia (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2025Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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2025Optimal Consumption--Investment Problems under Time-Varying Incomplete Preferences. (2023). Xia, Weixuan. In: Papers. RePEc:arx:papers:2312.00266.

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2024The AI Black-Scholes: Finance-Informed Neural Network. (2024). Chi, Cheng ; Li, Xuanze ; Aboussalah, Amine M ; Patel, Raj. In: Papers. RePEc:arx:papers:2412.12213.

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2024Modeling coskewness with zero correlation and correlation with zero coskewness. (2024). Vanduffel, Steven ; Chen, Jinghui ; Bernard, Carole. In: Papers. RePEc:arx:papers:2412.13362.

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2024.

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2024Is research on hedge fund performance published selectively? A quantitative survey. (2024). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1085-1131.

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2025Event-Driven Changes in Volatility Connectedness in Global Forex Markets. (2025). Kočenda, Evžen ; Koenda, Even ; Albrecht, Peter. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11606.

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2025The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities. (2025). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2025_2502.

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2024US monetary policy is more powerful in low economic growth regimes. (2024). Tornese, Tommaso ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20242919.

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2024Research on optimization strategy of futures hedging dependent on market state. (2024). Li, Yanyan ; Yu, Xing ; Zhao, Qian. In: Applied Energy. RePEc:eee:appene:v:373:y:2024:i:c:s0306261924012686.

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2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

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2024On the sources of the aggregate risk premium: Risk aversion, bubbles or regime-switching?. (2024). Sola, Martin ; Kenc, Turalay ; Caravello, Tomas E ; Driffill, John. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924001118.

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2024Dynamic robust portfolio selection under market distress. (2024). Olmo, Jose ; Jiang, Yifu ; Atwi, Majed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001602.

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2024Systematic staleness. (2024). Reno, Roberto ; Pirino, Davide ; Bandi, Federico M. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002385.

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2024Observation-driven filtering of time-varying parameters using moment conditions. (2024). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512.

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2024Robust inference for moment condition models without rational expectations. (2024). Chen, Xiaohong ; Hansen, Peter G. In: Journal of Econometrics. RePEc:eee:econom:v:243:y:2024:i:1:s030440762300369x.

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2024The asymmetric effects of monetary policy on stock price bubbles. (2024). Labondance, Fabien ; Hubert, Paul ; Blot, Christophe. In: European Economic Review. RePEc:eee:eecrev:v:168:y:2024:i:c:s0014292124001533.

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2024Long-term dynamic asset allocation under asymmetric risk preferences. (2024). Pantelous, Athanasios A ; Kallinterakis, Vasileios ; Hwang, Soosung ; Kontosakos, Vasileios E. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:765-782.

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2024Factor momentum in the Chinese stock market. (2024). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001251.

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2024Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Mazouz, Khelifa ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136.

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2024Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. (2024). Xu, Yongdeng ; Lu, Wenna ; Heravi, Saeed ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004584.

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2024Multiscale quantile dependence between Chinas green bond and green equity: Fresh evidence from higher-order moment perspective. (2024). Zhang, Yongmin ; Yang, Xiaomei ; Hau, Liya. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004174.

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2024Comparing and quantifying tail dependence. (2024). Siburg, Karl Friedrich ; Weiss, Gregor ; Strothmann, Christopher. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:95-103.

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2024Is it alpha or beta? Decomposing hedge fund returns when models are misspecified. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Barras, Laurent ; Ardia, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400028x.

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2024Unveiling the impact of income taxes on inequality in a HACT model. (2024). Parro, Francisco. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:79:y:2024:i:c:s0164070423000812.

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2024Quantile coherency across bonds, commodities, currencies, and equities. (2024). Stenvall, David ; Rahman, Md Lutfur ; Lucey, Brian ; Uddin, Gazi Salah. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000697.

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2024The international linkages of market risk perception. (2024). Vich-Llompart, Magdalena M ; Vaello-Sebastia, Antoni ; Serrano, Pedro. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:72:y:2024:i:c:s1042444x23000452.

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2024Noisy market, machine learning and fundamental momentum. (2024). Wang, Yuejie ; Ma, Tian ; Sheng, Haoyun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24002257.

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2024Transmission of liquidity and credit risks in the Chinese bond market: Analysis based on joint modeling of multiple yield curves. (2024). Su, GE ; Hong, Zhiwu ; Lin, Mucai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:597-615.

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2024Volatility forecasts by clustering: Applications for VaR estimation. (2024). Wang, Zijin ; Liu, Peng ; Chen, Peimin ; Wu, Chunchi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003320.

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2024Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, HK ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514.

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2025The impact of artificial intelligence on carbon market in China: Evidence from quantile-on-quantile regression approach. (2025). Zhao, Xiangyu ; Hu, Yanhui ; Jiang, Wei. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:212:y:2025:i:c:s0040162525000046.

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2025.

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2024Option Pricing Based on the Residual Neural Network. (2024). Liu, Wei-Han ; Gan, Lirong. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10413-3.

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2024Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle. (2024). Sibbertsen, Philipp ; Krupski, Jan ; Dierkes, Maik ; Schroen, Sebastian. In: Review of Derivatives Research. RePEc:kap:revdev:v:27:y:2024:i:1:d:10.1007_s11147-023-09197-3.

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2024Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Irsova, Zuzana ; Havranek, Tomas ; Novak, Jiri ; Yang, Fan. In: MetaArXiv. RePEc:osf:metaar:ps2yn.

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2024Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan. In: MetaArXiv. RePEc:osf:metaar:ps2yn_v1.

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2024Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Sangrey, Paul ; Renault, Eric ; Cheng, XU. In: PIER Working Paper Archive. RePEc:pen:papers:24-013.

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2025An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates. (2025). Li, Chenxing ; Yang, Qiao. In: MPRA Paper. RePEc:pra:mprapa:123200.

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2024Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Irsova, Zuzana ; Havranek, Tomas ; Novak, Jiri ; Yang, Fan. In: EconStor Preprints. RePEc:zbw:esprep:289497.

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René Garcia is editor of

Journal  ↓  ↓
Journal of Financial Econometrics

René Garcia has edited the books:

Year  ↓Title  ↓Type  ↓Cited  ↓

Works by René Garcia:

Year  ↓Title  ↓Type  ↓Cited  ↓
2023Persistent Monetary Non-neutrality in an Estimated Menu Cost Model with Partially Costly Information In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article0
2000Modelling Risk Premiums in Equity and Foreign Exchange Markets In: Staff Working Papers.
[Full Text][Citation analysis]		paper0
2005The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments In: Staff Working Papers.
[Full Text][Citation analysis]		paper0
2005The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach In: Staff Working Papers.
[Full Text][Citation analysis]		paper10
2007The Canadian macroeconomy and the yield curve: an equilibrium-based approach.(2007) In: Canadian Journal of Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 10		article
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.
[Full Text][Citation analysis]		paper0
2006Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns In: Staff Working Papers.
[Full Text][Citation analysis]		paper16
2011Assessing and valuing the nonlinear structure of hedge fund returns.(2011) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 16		article
2009Bond Liquidity Premia In: Staff Working Papers.
[Full Text][Citation analysis]		paper140
2012Bond Liquidity Premia.(2012) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 140		article
2015Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns In: Staff Working Papers.
[Full Text][Citation analysis]		paper7
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.
[Full Text][Citation analysis]		article0
2003A Monte Carlo Method for Optimal Portfolios In: Journal of Finance.
[Full Text][Citation analysis]		article126
2000A Monte-Carlo Method for Optimal Portfolios.(2000) In: CIRANO Working Papers.
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This paper has nother version. Agregated cites: 126		paper
2025Intermediary Leverage Shocks and Funding Conditions In: Journal of Finance.
[Full Text][Citation analysis]		article0
1998A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models In: Mathematical Finance.
[Full Text][Citation analysis]		article12
1997A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models.(1997) In: CIRANO Working Papers.
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This paper has nother version. Agregated cites: 12		paper
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.
[Full Text][Citation analysis]		paper119
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.
[Citation analysis]
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2002Are the Effects of Monetary Policy Asymmetric?.(2002) In: Economic Inquiry.
[Citation analysis]
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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.
[Full Text][Citation analysis]		paper17
2000Asymmetric Smiles, Leverage Effects and Structural Parameters.(2000) In: Working Papers.
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2001Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche.
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2001Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche.
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2001Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002) In: CIRANO Working Papers.
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2002Incorporating Second-Order Functional Knowledge for Better Option Pricing In: CIRANO Working Papers.
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2003Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper17
2004Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes..(2004) In: Econometric Society 2004 North American Winter Meetings.
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2006Asymptotic properties of Monte Carlo estimators of diffusion processes.(2006) In: Journal of Econometrics.
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2003Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper22
2006Disentangling risk aversion and intertemporal substitution through a reference level.(2006) In: Finance Research Letters.
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2004The Econometrics of Option Pricing In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper23
2005The Value of Real and Financial Risk Management In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper4
2009Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper6
2012Risk aversion, intertemporal substitution, and the term structure of interest rates.(2012) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 6		article
2009Dependence Structure and Extreme Comovements in International Equity and Bond Markets In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper149
2011Dependence structure and extreme comovements in international equity and bond markets.(2011) In: Journal of Banking & Finance.
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2011Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility In: CIRANO Working Papers.
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2009Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility.(2009) In: Journal of Financial Econometrics.
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2011Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management In: CIRANO Working Papers.
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2013Alleviating Coordination Problems and Regulatory Constraints Through Financial Risk Management.(2013) In: Quarterly Journal of Finance (QJF).
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2013A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns In: CIRANO Working Papers.
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2014A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns.(2014) In: Journal of Financial and Quantitative Analysis.
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2016Nonparametric Tail Risk, Stock Returns and the Macroeconomy In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper24
2017Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics.
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1994Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper20
1993Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles..(1993) In: Cahiers de recherche.
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1993Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles.(1993) In: Textos para discussão.
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1995An Analysis of the Real Interest Rate Under Regime Shifts In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper476
1990AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS..(1990) In: Princeton, Department of Economics - Econometric Research Program.
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1991An analysis of Real Interest Rate Under Regime Shifts..(1991) In: Cahiers de recherche.
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1994An Analysis of the Real Interest rate Under Regime Shifts..(1994) In: Cahiers de recherche.
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1991An analysis of Real Interest Rate Under Regime Shifts..(1991) In: Cahiers de recherche.
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1994An Analysis of the Real Interest rate Under Regime Shifts..(1994) In: Cahiers de recherche.
[Citation analysis]
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1996An Analysis of the Real Interest Rate under Regime Shifts..(1996) In: The Review of Economics and Statistics.
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1995Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper354
1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models..(1998) In: International Economic Review.
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This paper has nother version. Agregated cites: 354		article
1995Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper69
1997Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation..(1997) In: Journal of Money, Credit and Banking.
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1995Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation..(1995) In: Cahiers de recherche.
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1995Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation..(1995) In: Cahiers de recherche.
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2017Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics.
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2020Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) In: Journal of Financial Econometrics.
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1995Information asymétrique, contraintes de liquidité et investissement In: L'Actualité Economique.
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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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