Richard Luger : Citation Profile


Are you Richard Luger?

Université Laval

8

H index

7

i10 index

207

Citations

RESEARCH PRODUCTION:

23

Articles

23

Papers

RESEARCH ACTIVITY:

   21 years (2000 - 2021). See details.
   Cites by year: 9
   Journals where Richard Luger has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 15 (6.76 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plu79
   Updated: 2022-10-01    RAS profile: 2022-01-06    
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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 Richard Luger.

Is cited by:

Renault, Eric (8)

Liu, Xiaochun (8)

Pesaran, M (6)

Yamagata, Takashi (6)

Garcia, René (5)

Monfort, Alain (5)

Pegoraro, Fulvio (5)

Hallin, Marc (5)

LINTON, OLIVER (4)

Constantinides, George (4)

Backus, David (4)

Cites to:

Dufour, Jean-Marie (52)

Campbell, John (27)

Garcia, René (25)

Renault, Eric (20)

Khalaf, Lynda (14)

Bollerslev, Tim (13)

Nelson, Charles (10)

Piazzesi, Monika (10)

Ang, Andrew (9)

Jondeau, Eric (8)

Hamilton, James (8)

Main data


Where Richard Luger has published?


Journals with more than one article published# docs
Journal of Econometrics4
Computational Statistics & Data Analysis2
Canadian Journal of Economics2
Econometric Reviews2
Canadian Journal of Economics/Revue canadienne d'conomique2
Economics Letters2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada7
Working Papers / Center for Research in Economics and Statistics2

Recent works citing Richard Luger (2022 and 2021)


YearTitle of citing document
2021Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. (2021). Shang, Han Lin ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:2107.14026.

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2021Pair copula constructions of point-optimal sign-based tests for predictive linear and nonlinear regressions. (2021). Nobari, Kaveh Salehzadeh. In: Papers. RePEc:arx:papers:2111.04919.

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2022A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146.

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2021Monetary policy strategy and inflation in Japan. (2021). del Rio, Pedro ; Egea, Fructuoso Borrallo. In: Occasional Papers. RePEc:bde:opaper:2116e.

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2021Hidden semi-Markov-switching quantile regression for time series. (2021). Petrella, Lea ; Maruotti, Antonello ; Sposito, Luca. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000426.

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2021Augmented factor models with applications to validating market risk factors and forecasting bond risk premia. (2021). Liao, Yuan ; Ke, Yuan ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:269-294.

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2022High-dimensional test for alpha in linear factor pricing models with sparse alternatives. (2022). Ma, Yanyuan ; Liu, Binghui ; Lan, Wei ; Feng, Long. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:152-175.

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2021Improved inference for fund alphas using high-dimensional cross-sectional tests. (2021). Yan, Yayi ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:57-81.

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2021The transformed Gram Charlier distribution: Parametric properties and financial risk applications. (2021). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:323-349.

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2022The COVID-19 storm and the energy sector: The impact and role of uncertainty. (2022). Bwanya, Princess Rutendo ; Charteris, Ailie ; Brzeszczyski, Janusz ; Szczygielski, Jan Jakub. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988321001638.

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2021Option pricing in regime-switching frameworks with the Extended Girsanov Principle. (2021). Trottier, Denis-Alexandre ; Godin, Frederic. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:116-129.

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2021Inflation dynamics, the role of inflation at different horizons and inflation uncertainty. (2021). Choi, Yoonseok. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:649-662.

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2021A Time-Varying Gerber Statistic: Application of a Novel Correlation Metric to Commodity Price Co-Movements. (2021). Algieri, Bernardina ; Toscano, Pietro ; Leccadito, Arturo. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:2:p:22-354:d:555557.

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2021Optimal quantile hedging under Markov regime switching. (2021). Yu, Xiaojian ; Wang, Ziling ; Lien, Donald. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:5:d:10.1007_s00181-020-01831-5.

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2021Directional news impact curve. (2021). Anatolyev, Stanislav. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:1:p:94-107.

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2022Relative Risk Aversion: A Meta-Analysis. (2022). Irsova, Zuzana ; Havranek, Tomas ; Elminejad, Ali. In: EconStor Preprints. RePEc:zbw:esprep:260586.

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Works by Richard Luger:


YearTitleTypeCited
2001Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity In: Staff Working Papers.
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paper26
2003Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity.(2003) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 26
article
2001On Inflation and the Persistence of Shocks to Output In: Staff Working Papers.
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paper0
2001On Inflation and the Persistence of shocks to Output.(2001) In: Computing in Economics and Finance 2001.
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This paper has another version. Agregated cites: 0
paper
2004Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates In: Staff Working Papers.
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paper5
2005The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach In: Staff Working Papers.
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paper10
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: 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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This paper has another version. Agregated cites: 10
article
2010Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach In: Staff Working Papers.
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paper0
2013Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances In: Staff Working Papers.
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paper3
2016Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances.(2016) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 3
article
2014Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings In: Staff Working Papers.
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paper1
2015BOOTSTRAP TESTS OF MEAN-VARIANCE EFFICIENCY WITH MULTIPLE PORTFOLIO GROUPINGS.(2015) In: L'Actualité Economique.
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This paper has another version. Agregated cites: 1
article
2006Median?unbiased Estimation and Exact Inference Methods for First?order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form In: Journal of Time Series Analysis.
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article0
2018Markov-switching quantile autoregression: a Gibbs sampling approach In: Studies in Nonlinear Dynamics & Econometrics.
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article4
2001Asymmetric Smiles, Leverage Effects and Structural Parameters In: CIRANO Working Papers.
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paper17
2000Asymmetric Smiles, Leverage Effects and Structural Parameters.(2000) In: Working Papers.
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This paper has another version. Agregated cites: 17
paper
2001Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 17
paper
2001Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 17
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
2009Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates In: CIRANO Working Papers.
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paper4
2012Risk aversion, intertemporal substitution, and the term structure of interest rates.(2012) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 4
article
2016Identification-robust moment-based tests for Markov-switching in autoregressive models In: CIRANO Working Papers.
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paper1
2017Identification-robust moment-based tests for Markov-switching in autoregressive models.(2017) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 1
paper
2016Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models.(2016) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 1
paper
2017Identification-robust moment-based tests for Markov switching in autoregressive models.(2017) In: Econometric Reviews.
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This paper has another version. Agregated cites: 1
article
2005Viewpoint: Option prices, preferences, and state variables In: Canadian Journal of Economics.
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article3
2005Viewpoint: Option prices, preferences, and state variables.(2005) In: Canadian Journal of Economics/Revue canadienne d'économique.
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This paper has another version. Agregated cites: 3
article
2011Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis In: Working Papers.
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paper2
2000Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables In: Working Papers.
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paper55
2003Empirical assessment of an intertemporal option pricing model with latent variables.(2003) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 55
article
2001Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables.(2001) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55
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: 55
paper
2004The New Keynesian Phillips Curve: An empirical assessment In: Econometric Society 2004 North American Summer Meetings.
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paper14
2004The New Keynesian Phillips Curve: An Empirical Assessment.(2004) In: Computing in Economics and Finance 2004.
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This paper has another version. Agregated cites: 14
paper
2009Efficient estimation of copula-GARCH models In: Computational Statistics & Data Analysis.
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article26
2012Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations In: Computational Statistics & Data Analysis.
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article6
2015Unfolded GARCH models In: Journal of Economic Dynamics and Control.
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article11
2010An omnibus test for heteroskedasticity In: Economics Letters.
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article0
2001A modified CUSUM test for orthogonal structural changes In: Economics Letters.
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article3
2006Exact permutation tests for non-nested non-linear regression models In: Journal of Econometrics.
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article1
2020Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects In: Journal of Econometrics.
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article1
2009Exact distribution-free tests of mean-variance efficiency In: Journal of Empirical Finance.
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article5
2021Exact Inference in Long-Horizon Predictive Quantile Regressions with an Application to Stock Returns* In: The Journal of Financial Econometrics.
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article0
2011Book Review: Introducing Monte Carlo Methods with R In: Econometric Reviews.
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article0
2013Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach In: Journal of Business & Economic Statistics.
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article9

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