Richard Luger : Citation Profile


Are you Richard Luger?

Université Laval

7

H index

5

i10 index

165

Citations

RESEARCH PRODUCTION:

19

Articles

25

Papers

RESEARCH ACTIVITY:

   18 years (2000 - 2018). See details.
   Cites by year: 9
   Journals where Richard Luger has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 11 (6.25 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plu79
   Updated: 2019-09-14    RAS profile: 2018-09-13    
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Relations with other researchers


Works with:

Gungor, Sermin (3)

Liu, Xiaochun (2)

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)

Pesaran, M (6)

Yamagata, Takashi (6)

Garcia, René (5)

Monfort, Alain (5)

Pegoraro, Fulvio (5)

LINTON, OLIVER (4)

Liu, Xiaochun (4)

Hallin, Marc (4)

Backus, David (4)

Guidolin, Massimo (4)

Cites to:

Dufour, Jean-Marie (40)

Garcia, René (24)

Campbell, John (21)

Renault, Eric (19)

Khalaf, Lynda (12)

Piazzesi, Monika (10)

Zin, Stanley (9)

Ang, Andrew (9)

Bollerslev, Tim (9)

Lo, Andrew (9)

Nelson, Charles (8)

Main data


Where Richard Luger has published?


Journals with more than one article published# docs
Journal of Econometrics3
Canadian Journal of Economics2
Journal of Business & Economic Statistics2
Computational Statistics & Data Analysis2
Economics Letters2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Staff Working Papers / Bank of Canada7
Emory Economics / Department of Economics, Emory University (Atlanta)2
Working Papers / Center for Research in Economics and Statistics2

Recent works citing Richard Luger (2018 and 2017)


YearTitle of citing document
2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia. (2018). Fan, Jianqing ; Liao, Yuan ; Ke, Yuan. In: Papers. RePEc:arx:papers:1603.07041.

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2018Testing the Number of Regimes in Markov Regime Switching Models. (2018). Kasahara, Hiroyuki ; Shimotsu, Katsumi. In: Papers. RePEc:arx:papers:1801.06862.

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2018Score Permutation Based Finite Sample Inference for Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Models. (2018). Cs, Bal'Azs Csan'Ad. In: Papers. RePEc:arx:papers:1807.08390.

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2017Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects. (2017). Gungor, Sermin ; Luger, Richard . In: Staff Working Papers. RePEc:bca:bocawp:17-10.

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2017The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation. (2017). Lalancette, Simon ; Simonato, Jeana Guy. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:2:p:325-354.

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2017Improved two-component tests in Beta-Skew-t-EGARCH models. (2017). Mller, Fernanda Maria ; Bayer, Fbio M. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00319.

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2017Efficient two-step estimation via targeting. (2017). Renault, Eric ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:212-227.

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2019Sign tests for dependent observations. (2019). Ibragimov, Rustam ; Brown, Donald. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:1-8.

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2019A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price. (2019). Lee, Jasmine Siu ; Bai, Xiwen. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:412-427.

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2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics. (2017). Liu, Xiaochun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:1-19.

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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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2018The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach. (2018). Lange, Ronald Henry. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:164-182.

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2017An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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2017Power Properties of the Modified CUSUM Tests. (2017). Jiang, Peiyun ; Kurozumi, Eiji. In: Discussion Papers. RePEc:hit:econdp:2017-05.

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2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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2017Asset Pricing and Excess Returns over the Market Return. (2017). Horenstein, Alex ; Ahn, Seung C. In: Working Papers. RePEc:mia:wpaper:2017-12.

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2017A time-frequency analysis of the Canadian macroeconomy and the yield curve. (2017). Ojo, Mustapha Olalekan ; Soares, Maria Joana ; Aguiar-Conraria, Luis. In: NIPE Working Papers. RePEc:nip:nipewp:12/2017.

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2018Sobre volatilidad macroeconómica y dolarización de la riqueza: el caso argentino. (2018). Cesteros, Santiago Rodrigo. In: MPRA Paper. RePEc:pra:mprapa:88968.

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2017Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section. (2017). Ravazzolo, Francesco ; Guidolin, Massimo ; Bianchi, Daniele. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:35:y:2017:i:1:p:110-129.

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2019Copula Multivariate GARCH Model with Constrained Hamiltonian Monte Carlo. (2019). Belisle, Louis ; Burda, Martin. In: Working Papers. RePEc:tor:tecipa:tecipa-638.

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2017Should forecasters use real-time data to evaluate leading indicator models for GDP prediction? German evidence. (2017). Scheufele, Rolf ; Heinisch, Katja. In: IWH Discussion Papers. RePEc:zbw:iwhdps:52017.

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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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paper23
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: 23
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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paper9
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: 9
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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paper1
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: 1
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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article1
2001Asymmetric Smiles, Leverage Effects and Structural Parameters In: CIRANO Working Papers.
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paper16
2000Asymmetric Smiles, Leverage Effects and Structural Parameters.(2000) In: Working Papers.
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This paper has another version. Agregated cites: 16
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
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.
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This paper has another version. Agregated cites: 3
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
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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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article1
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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paper43
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: 43
article
2001Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables.(2001) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 43
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2001Empirical Assessment of an Intertemporal option Pricing Model with Latent variables..(2001) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 43
paper
2004The New Keynesian Phillips Curve: An empirical assessment In: Econometric Society 2004 North American Summer Meetings.
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paper10
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: 10
paper
2009Efficient estimation of copula-GARCH models In: Computational Statistics & Data Analysis.
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article23
2012Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations In: Computational Statistics & Data Analysis.
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article4
2015Unfolded GARCH models In: Journal of Economic Dynamics and Control.
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article5
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
2004Exact Permutation Tests for Non-nested Non-linear Regression Models.(2004) In: Emory Economics.
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This paper has another version. Agregated cites: 1
paper
2009Exact distribution-free tests of mean-variance efficiency In: Journal of Empirical Finance.
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article5
2004Option Prices, Preferences, and State Variables In: Emory Economics.
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paper0
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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article8

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