René Garcia : Citation Profile

Université de Montréal

21

H index

40

i10 index

2370

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: 68.    Total self citations: 47 (1.94 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pga447
   Updated: 2025-05-10    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)

Timmermann, Allan (19)

Hubert, Paul (19)

Pesaran, Mohammad (17)

Havranek, Tomas (17)

Morley, James (17)

Pegoraro, Fulvio (17)

Irsova, Zuzana (15)

Cites to:

Renault, Eric (60)

Campbell, John (52)

Hansen, Lars (34)

Bonomo, Marco (34)

Ghysels, Eric (34)

Tauchen, George (27)

Bollerslev, Tim (27)

Harvey, Campbell (26)

Jagannathan, Ravi (25)

Kreps, David (25)

Zin, Stanley (25)

Main data

Where René Garcia has published?

Journals with more than one article published# docs
Journal of Econometrics9
Journal of Financial Econometrics9
Canadian Journal of Economics3
Canadian Journal of Economics/Revue canadienne d'conomique3
Journal of Banking & Finance3
L'Actualit Economique3
The Review of Financial Studies3
Journal of Applied Econometrics2
Journal of International Money and Finance2
Journal of 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 discusso / Department of Economics PUC-Rio (Brazil)6
Working Papers / Center for Research in Economics and Statistics4
Post-Print / HAL3
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)2
TSE Working Papers / Toulouse School of Economics (TSE)2
Working Papers / Princeton University. Economics Department.2

Recent works citing René Garcia (2025 and 2024)

YearTitle of citing document
2024Large shocks travel fast. (2024). Miyahara, Ken ; Lippi, Francesco ; Cavallo, Alberto. In: Working Papers. RePEc:apc:wpaper:198.

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2025Option Pricing with Time-Varying Volatility Risk Aversion. (2025). Hansen, Peter ; Tong, Chen. In: Papers. RePEc:arx:papers:2204.06943.

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

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

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2024Dynamic portfolio selection under generalized disappointment aversion. (2024). Liang, Zongxia ; Wang, Sheng ; Xia, Jianming ; Yuan, Fengyi. In: Papers. RePEc:arx:papers:2401.08323.

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2024Reference-dependent asset pricing with a stochastic consumption-dividend ratio. (2024). Yang, Yuting ; He, Xuedong ; Strub, Moris Simon ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:2401.12856.

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2024Risk-Neutral Generative Networks. (2024). Xian, Zhonghao ; Yan, Xing ; Wu, QI ; Leung, Cheuk Hang. In: Papers. RePEc:arx:papers:2405.17770.

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2024Enhancing Black-Scholes Delta Hedging via Deep Learning. (2024). Wan, Xiangwei ; Qiao, Chunhui. In: Papers. RePEc:arx:papers:2407.19367.

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2024Change-Point Detection in Time Series Using Mixed Integer Programming. (2024). Radchenko, Peter ; Prokhorov, Artem ; Skrobotov, Anton ; Semenov, Alexander. In: Papers. RePEc:arx:papers:2408.05665.

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2024A market resilient data-driven approach to option pricing. (2024). Rana, Nimit ; Goswami, Anindya. In: Papers. RePEc:arx:papers:2409.08205.

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2024MSTest: An R-Package for Testing Markov Switching Models. (2024). Rodriguez-Rondon, Gabriel ; Dufour, Jean-Marie. In: Papers. RePEc:arx:papers:2411.08188.

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2024The AI Black-Scholes: Finance-Informed Neural Network. (2024). Patel, Raj ; Chi, Cheng ; Li, Xuanze ; Aboussalah, Amine M. 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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2024The impact of COVID‐19 on price transmission and price volatility in the Canadian beef supply chain. (2024). Qiu, Feng ; Zheng, Yanan ; Yang, Meng. In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie. RePEc:bla:canjag:v:72:y:2024:i:3:p:389-406.

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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 ; Albrecht, Peter ; Koenda, Even. 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 ; Diaz, Antonio ; Escribano, Ana. 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 ; Bandi, Federico M ; Pirino, Davide. 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). Hansen, Lars ; Chen, Xiaohong. 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). Kallinterakis, Vasileios ; Kontosakos, Vasileios E ; Hwang, Soosung ; Pantelous, Athanasios A. 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). Ma, Tian ; Jiang, Fuwei ; Liao, Cunfei. 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 ; Guan, Bo ; Mazouz, Khelifa. 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 ; Ardia, David ; Gagliardini, Patrick ; Barras, Laurent. 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 ; lucey, brian ; Rahman, Md Lutfur ; 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). Vaello-Sebastià, Antoni ; Serrano, Pedro ; Vich-Llompart, Magdalena M ; Vaello-Sebastia, Antoni. 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). Hong, Zhiwu ; Lin, Mucai ; Su, GE. 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, H K ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514.

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2024Density analysis for coupled forward–backward SDEs with non-Lipschitz drifts and applications. (2024). Pellat, Rhoss Likibi ; Pamen, Olivier Menoukeu. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:173:y:2024:i:c:s0304414924000656.

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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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2025An information-theoretic asset pricing model. (2025). Ghosh, Anisha ; Taylor, Alex P ; Julliard, Christian. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126155.

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2024Size of Major Currency Zones and Their Determinants. (2024). KAWAI, Masahiro ; Ito, Hiro ; Masahiro, Kawai ; Hiroyuki, Ito. In: Discussion papers. RePEc:eti:dpaper:24059.

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2024Current account and real effective exchange rate dynamics: the role of non-linear dynamics in Brazil. (2024). Marçal, Emerson ; Simes, Oscar Rodrigues ; Maral, Emerson. In: Textos para discussão. RePEc:fgv:eesptd:571.

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2024Dependence on Tail Copula. (2024). Pramanik, Paramahansa. In: J. RePEc:gam:jjopen:v:7:y:2024:i:2:p:8-152:d:1369259.

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2024Change-Point Detection in Functional First-Order Auto-Regressive Models. (2024). Birbilas, Algimantas ; Rakauskas, Alfredas. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:12:p:1889-:d:1417130.

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2025Out-of-Sample Predictability of the Equity Risk Premium. (2025). Hotta, Luiz ; Fuertes, Ana-Maria ; de Almeida, Daniel. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:2:p:257-:d:1566698.

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2024How Do Macroeconomic Cycles and Government Policies Influence Cash Holdings? Evidence from Listed Firms in China. (2024). Tan, Yue ; Cui, Fangnan ; Lu, Bangwen. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:18:p:7961-:d:1476525.

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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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2024Heterogeneous Effects of Mortgage Rates on Housing Returns: Evidence from an Interacted Panel VAR. (2024). Sun, Xiaojin ; Forster, Robert. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:3:d:10.1007_s11146-022-09902-3.

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2024Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle. (2024). Sibbertsen, Philipp ; Schroen, Sebastian ; Dierkes, Maik ; Krupski, Jan. 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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2025Event-Driven Changes in Return Connectedness among Cryptocurrencies. (2025). Kočenda, Evžen ; Albrecht, Peter ; Kocenda, Evzen. In: KIER Working Papers. RePEc:kyo:wpaper:1113.

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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.

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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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2025Skew Index: a machine learning forecasting approach. (2025). Mora-Valencia, Andrés ; Vanegas, Esteban. In: Risk Management. RePEc:pal:risman:v:27:y:2025:i:1:d:10.1057_s41283-024-00152-6.

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

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2024Investigating the dynamic impacts of public debt on economic growth in the Democratic Republic of Congo: a case of quantile on quantile regression. (2024). Espoir, Delphin Kamanda. In: MPRA Paper. RePEc:pra:mprapa:122415.

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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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2024Microstructure noise and idiosyncratic volatility anomalies in cryptocurrencies. (2024). Shahzad, Syed Jawad Hussain ; Krištoufek, Ladislav ; Bouri, Elie ; Ahmad, Tanveer. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04568-9.

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2024Unlocking the black box: Non-parametric option pricing before and during COVID-19. (2024). Gradojevic, Nikola ; Kukolj, Dragan. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04578-7.

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2024On robust estimation of hidden semi-Markov regime-switching models. (2024). Tan, Zhenni ; Wu, Yuehua ; Qin, Shanshan. In: Annals of Operations Research. RePEc:spr:annopr:v:338:y:2024:i:2:d:10.1007_s10479-024-05989-4.

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2024Asymmetric effects of monetary policy: evidence from India. (2024). Kundu, Srikanta ; Shah, Irfan Ahmad. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:1:d:10.1007_s00181-023-02453-3.

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2024Modelling foreign exchange rate co-movement and its spatial dependence in emerging markets: a spatial econometrics approach. (2024). Eita, Joel ; Tchuinkam, Charles Raoul. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:3:d:10.1007_s00181-023-02482-y.

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2024Estimation of stability index for symmetric $$\alpha $$ α -stable distribution using quantile conditional variance ratios. (2024). Wyomaska, Agnieszka ; Pitera, Marcin ; Jelito, Damian ; Pczek, Kewin. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:1:d:10.1007_s11749-023-00894-7.

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2024Crop insurances impact on commercial bank loan volumes: Theory and evidence. (2024). Zhu, John ; Ifft, Jennifer ; Lyons, Gregory ; Schultz, Alexander ; Kuethe, Todd H. In: Applied Economic Perspectives and Policy. RePEc:wly:apecpp:v:46:y:2024:i:1:p:318-337.

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2024Performance and reporting predictability of hedge funds. (2024). Beckerfoss, Elisa. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2257-2278.

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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: 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:

YearTitleTypeCited

Works by René Garcia:

YearTitleTypeCited
2023Persistent Monetary Non-neutrality in an Estimated Menu Cost Model with Partially Costly Information In: American Economic Journal: Macroeconomics.
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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.
[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.
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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.
[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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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.
[Full Text][Citation analysis]		article126
2000A Monte-Carlo Method for Optimal Portfolios.(2000) In: CIRANO Working Papers.
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2025Intermediary Leverage Shocks and Funding Conditions In: Journal of Finance.
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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.
[Full Text][Citation analysis]		paper120
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]
This paper has nother version. Agregated cites: 120		paper
2002Are the Effects of Monetary Policy Asymmetric?.(2002) In: Economic Inquiry.
[Citation analysis]
This paper has nother version. Agregated cites: 120		article
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.
[Citation analysis]
This paper has nother 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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2002Incorporating Second-Order Functional Knowledge for Better Option Pricing In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper1
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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.
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2006Disentangling risk aversion and intertemporal substitution through a reference level.(2006) In: Finance Research Letters.
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1994Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles In: CIRANO Working Papers.
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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.
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1995Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation In: CIRANO Working Papers.
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1995On the Dynamic Specification of International Asset Pricing Models In: CIRANO Working Papers.
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1996Structural Change and Asset Pricing in Emerging Markets In: CIRANO Working Papers.
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1998Structural change and asset pricing in emerging markets.(1998) In: Journal of International Money and Finance.
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1997Tests of Conditional Asset Pricing Models in the Brazilian Stock Market In: CIRANO Working Papers.
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2001Tests of conditional asset pricing models in the Brazilian stock market.(2001) In: Journal of International Money and Finance.
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1998Risk Aversion, Intertemporal Substitution, and Option Pricing In: CIRANO Working Papers.
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1998Risk Aversion, Intertemporal Substitution, and Option Pricing.(1998) In: Working Papers.
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1998Risk Aversion, Intertemporal Substitution, and Option Pricing.(1998) In: Cahiers de recherche.
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1998Risk Aversion, Intertemporal Substitution, and Option Pricing..(1998) In: Cahiers de recherche.
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1998Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint In: CIRANO Working Papers.
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2000Pricing and hedging derivative securities with neural networks and a homogeneity hint.(2000) In: Journal of Econometrics.
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1999Latent Variable Models for Stochastic Discount Factors In: CIRANO Working Papers.
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2000The macroeconomic effects of infrequent information with adjustment costs.(2000) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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1978Leffet redistributif de linflation de 1969 a 1975 sur les menages canadiens. (With English summary.) In: Canadian Public Policy.
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2000Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables In: Working Papers.
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2003Empirical assessment of an intertemporal option pricing model with latent variables.(2003) In: Journal of Econometrics.
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2001Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables.(2001) In: Cahiers de recherche.
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2001Empirical Assessment of an Intertemporal option Pricing Model with Latent variables..(2001) In: Cahiers de recherche.
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2008Measuring causality between volatility and returns with high-frequency data In: UC3M Working papers. Economics.
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1992Indexation, Staggering and Disinflation..(1992) In: Cahiers de recherche.
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1992Indexation, Staggering and Disinflation..(1992) In: Cahiers de recherche.
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1992Indexation, staggering and disinflation.(1992) In: Textos para discussão.
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2019Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon In: The North American Journal of Economics and Finance.
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2019Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon.(2019) In: Post-Print.
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2011Estimation of objective and risk-neutral distributions based on moments of integrated volatility In: Journal of Econometrics.
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2015The long and the short of the risk-return trade-off In: Journal of Econometrics.
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2020Nonparametric assessment of hedge fund performance In: Journal of Econometrics.
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2020Nonparametric Assessment of Hedge Fund Performance.(2020) In: Post-Print.
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2019Nonparametric Assessment of Hedge Fund Performance.(2019) In: TSE Working Papers.
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1991Consumption and Equilibrium Asset Pricing: an Empirical Assessment..(1991) In: Cahiers de recherche.
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1992Consumption and equilibrium asset pricing: An empirical assessment.(1992) In: Textos para discussão.
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2008Uses of first line emergency services in Cuba In: Health Policy.
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1990MEAN AVERSION IN EQUILIBRIUM ASSET PRICES: COMMENT. In: Princeton, Department of Economics - Financial Research Center.
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2011Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices.(2011) In: The Review of Financial Studies.
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2010Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices.(2010) In: TSE Working Papers.
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2005Asymptotic Properties of Monte Carlo Estimators of Derivatives In: Management Science.
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2007Proper Conditioning for Coherent VaR in Portfolio Management In: Management Science.
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1991Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion?.(1991) In: Cahiers de recherche.
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1992Can a well-fitted equilibrium asset pricing model produce mean reversion?.(1992) In: Textos para discussão.
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1995Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models..(1995) In: Cahiers de recherche.
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2010The Alleviation of Coordination Problems through Financial Risk Management In: Cahiers de recherche.
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2017Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics.
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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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2009The JFEC Invited Lecture at the 2008 SoFiE Conference In: Journal of Financial Econometrics.
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2009Special Issue on Multivariate Volatility Models In: Journal of Financial Econometrics.
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2011The JFEC Invited Lecture at the 2009 SoFiE Conference In: Journal of Financial Econometrics.
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2008State Dependence Can Explain the Risk Aversion Puzzle In: The Review of Financial Studies.
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2013Time- and State-Dependent Pricing: A Unified Framework In: 2013 Meeting Papers.
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2015Persistent Monetary Non-neutrality in an Estimated Model with Menu Costs and Partially Costly Information In: 2015 Meeting Papers.
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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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