8
H index
8
i10 index
245
Citations
Richard Luger : Citation Profile
Université Laval | RESEARCH PRODUCTION: 26 Articles 25 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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25 years (2000 - 2025). 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:
| Cites to:
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Main data
Where Richard Luger has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Staff Working Papers / Bank of Canada | 8 |
| Working Papers / Center for Research in Economics and Statistics | 2 |
Recent works citing Richard Luger (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | A Neural Phillips Curve and a Deep Output Gap. (2024). Goulet Coulombe, Philippe. In: Papers. RePEc:arx:papers:2202.04146. Full description at Econpapers || Download paper |
| 2024 | High-Dimensional Mean-Variance Spanning Tests. (2024). Ardia, David ; Laurent, S'Ebastien ; Sessinou, Rosnel. In: Papers. RePEc:arx:papers:2403.17127. Full description at Econpapers || Download paper |
| 2024 | MSTest: An R-Package for Testing Markov Switching Models. (2024). Rodriguez-Rondon, Gabriel ; Dufour, Jean-Marie. In: Papers. RePEc:arx:papers:2411.08188. Full description at Econpapers || Download paper |
| 2024 | Underlying Core Inflation with Multiple Regimes. (2024). Rodriguez-Rondon, Gabriel. In: Papers. RePEc:arx:papers:2411.12845. Full description at Econpapers || Download paper |
| 2025 | A general randomized test for Alpha. (2025). Vallarino, Pierluigi ; Sarno, Lucio ; Trapani, Lorenzo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2507.17599. Full description at Econpapers || Download paper |
| 2025 | Portfolio selection with exogenous and endogenous transaction costs under a two-factor stochastic volatility model. (2025). Wang, Zirun ; He, Xin-Jiang ; Zhou, KE ; Yan, Dong. In: Papers. RePEc:arx:papers:2510.21156. Full description at Econpapers || Download paper |
| 2024 | Testing Predictability in the Presence of Persistent Errors. (2024). Yu, Jun ; Lui, Yiu Lim ; Fei, Yijie. In: Working Papers. RePEc:boa:wpaper:202401. Full description at Econpapers || Download paper |
| 2024 | Term Spread Spillovers to Latin America and Emergence of the ‘Twin Ds’. (2024). Uribe, Jorge ; Gomez-Gonzalez, Jose ; Giraldo, Iader. In: Documentos de trabajo. RePEc:col:000566:021169. Full description at Econpapers || Download paper |
| 2024 | Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x. Full description at Econpapers || Download paper |
| 2024 | Power enhancement for testing multi-factor asset pricing models via Fisher’s method. (2024). Yu, Xiufan ; Xue, Lingzhou ; Yao, Jiawei. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623001525. Full description at Econpapers || Download paper |
| 2024 | Inference in predictive quantile regressions. (2024). Maynard, Alex ; Shimotsu, Katsumi ; Kuriyama, Nina. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002203. Full description at Econpapers || Download paper |
| 2025 | Predictive quantile regressions with persistent and heteroskedastic predictors: A powerful 2SLS testing approach. (2025). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000569. Full description at Econpapers || Download paper |
| 2024 | Unveiling 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. Full description at Econpapers || Download paper |
| 2024 | Term spread spillovers to Latin America and emergence of the ‘Twin Ds’. (2024). Uribe, Jorge ; Gomez-Gonzalez, Jose ; Giraldo, Iader. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006749. Full description at Econpapers || Download paper |
| 2024 | Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, H K ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514. Full description at Econpapers || Download paper |
| 2024 | Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities*. (2024). Yamagata, Takashi ; Pesaran, Hashem M. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:22:y:2024:i:2:p:407-460.. Full description at Econpapers || Download paper |
| 2025 | Change point detection in high dimensional covariance matrix using Pillai’s statistics. (2025). Cho, Seonghun ; Lim, Johan ; Shin, Minsup. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:109:y:2025:i:1:d:10.1007_s10182-024-00516-z. Full description at Econpapers || Download paper |
| 2025 | Copula hurdle GARCH models for multivariate non-negative time series. (2025). Hudecov, Rka ; Peta, Michal. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:4:d:10.1007_s00362-025-01713-x. Full description at Econpapers || Download paper |
Works by Richard Luger:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2024 | Regularizing stock return covariance matrices via multiple testing of correlations In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2025 | Regularizing stock return covariance matrices via multiple testing of correlations.(2025) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2001 | Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity In: Staff Working Papers. [Full Text][Citation analysis] | paper | 26 |
| 2003 | Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity.(2003) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
| 2001 | On Inflation and the Persistence of Shocks to Output In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2001 | On Inflation and the Persistence of shocks to Output.(2001) In: Computing in Economics and Finance 2001. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2004 | Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates In: Staff Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2005 | The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach In: Staff Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2007 | The 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 | |
| 2007 | The Canadian macroeconomy and the yield curve: an equilibrium‐based approach.(2007) In: Canadian Journal of Economics/Revue canadienne d'économique. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2010 | Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances In: Staff Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2016 | Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances.(2016) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2014 | Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | BOOTSTRAP TESTS OF MEAN-VARIANCE EFFICIENCY WITH MULTIPLE PORTFOLIO GROUPINGS.(2015) In: L'Actualité Economique. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2017 | Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects In: Staff Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2020 | Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2006 | Median‐unbiased Estimation and Exact Inference Methods for First‐order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2018 | Markov-switching quantile autoregression: a Gibbs sampling approach In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2001 | Asymmetric Smiles, Leverage Effects and Structural Parameters In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 2000 | Asymmetric Smiles, Leverage Effects and Structural Parameters.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2001 | Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2001 | Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche. [Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2001 | Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002) In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2012 | Risk aversion, intertemporal substitution, and the term structure of interest rates.(2012) In: Journal of Applied Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2016 | Identification-robust moment-based tests for Markov-switching in autoregressive models In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | Identification-robust moment-based tests for Markov-switching in autoregressive models.(2017) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2016 | Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models.(2016) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2017 | Identification-robust moment-based tests for Markov switching in autoregressive models.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2005 | Viewpoint: Option prices, preferences, and state variables In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 3 |
| 2005 | Viewpoint: Option prices, preferences, and state variables.(2005) In: Canadian Journal of Economics/Revue canadienne d'économique. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2011 | Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2000 | Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables In: Working Papers. [Full Text][Citation analysis] | paper | 65 |
| 2003 | Empirical assessment of an intertemporal option pricing model with latent variables.(2003) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | article | |
| 2001 | Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables.(2001) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 65 | paper | |
| 2001 | Empirical Assessment of an Intertemporal option Pricing Model with Latent variables..(2001) In: Cahiers de recherche. [Citation analysis] This paper has nother version. Agregated cites: 65 | paper | |
| 2004 | The New Keynesian Phillips Curve: An empirical assessment In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 15 |
| 2004 | The New Keynesian Phillips Curve: An Empirical Assessment.(2004) In: Computing in Economics and Finance 2004. [Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2009 | Efficient estimation of copula-GARCH models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 28 |
| 2012 | Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 6 |
| 2015 | Unfolded GARCH models In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 13 |
| 2010 | An omnibus test for heteroskedasticity In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2001 | A modified CUSUM test for orthogonal structural changes In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2006 | Exact permutation tests for non-nested non-linear regression models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2009 | Exact distribution-free tests of mean-variance efficiency In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 8 |
| 2022 | Multiple testing of the forward rate unbiasedness hypothesis across currencies In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
| 2021 | Exact Inference in Long-Horizon Predictive Quantile Regressions with an Application to Stock Returns* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 2 |
| Testing for GARCH effects with quasilikelihood ratios In: Journal of Risk. [Full Text][Citation analysis] | article | 0 | |
| 2011 | Book Review: Introducing Monte Carlo Methods with R In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 2013 | Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 11 |
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