René Garcia : Citation Profile


Are you René Garcia?

Université de Montréal

20

H index

40

i10 index

2281

Citations

RESEARCH PRODUCTION:

62

Articles

99

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   46 years (1977 - 2023). See details.
   Cites by year: 49
   Journals where René Garcia has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 47 (2.02 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pga447
   Updated: 2024-04-18    RAS profile: 2024-04-05    
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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 (18)

Morley, James (17)

Pegoraro, Fulvio (17)

Pesaran, Mohammad (17)

GUPTA, RANGAN (15)

Castaneda, Pablo (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


Where René Garcia has published?


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

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 (2024 and 2023)


YearTitle of citing document
2023Efficient Learning of Nested Deep Hedging using Multiple Options. (2023). Shimada, Takuya ; Minami, Kentaro ; Imajo, Kentaro ; Hirano, Masanori. In: Papers. RePEc:arx:papers:2305.12264.

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2023American Option Pricing using Self-Attention GRU and Shapley Value Interpretation. (2023). Shen, Yanhui. In: Papers. RePEc:arx:papers:2310.12500.

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

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023Climate risks and U.S. stock?market tail risks: A forecasting experiment using over a century of data. (2023). Salisu, Afees ; van Eyden, Renee ; Gupta, Rangan ; Pierdzioch, Christian. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:228-244.

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2023The liquidity state-dependence of monetary policy transmission. (2023). Wijnandts, Jean-Charles ; Pinter, Gabor ; Guimaraes, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1045.

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2023Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27.

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2023Volatility Connectedness on the Central European Forex Markets. (2023). Kočenda, Evžen ; Albrecht, Peter ; Kocenda, Even ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10728.

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2023Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility. (2023). Kon, N'Golo ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-03.

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2023On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence. (2023). Otranto, E ; Domianello, Scaffidi L. In: Working Paper CRENoS. RePEc:cns:cnscwp:202304.

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2023The role of macroeconomic uncertainty in the determination of the natural rate of interest. (2023). Kempa, Bernd ; Zou, Feina ; Berger, Tino. In: Economics Letters. RePEc:eee:ecolet:v:229:y:2023:i:c:s0165176523002161.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds. (2023). Melin, Olena ; Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001586.

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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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2023Cross-sectional uncertainty and expected stock returns. (2023). Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:321-340.

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2023Stock–bond dependence and flight to/from quality. (2023). Ning, Cathy ; Ponrajah, Jeremey. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004173.

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2023Average tail risk and aggregate stock returns. (2023). , Richard ; Dai, Yingtong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001718.

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2023Forecasting Bitcoin with technical analysis: A not-so-random forest?. (2023). Djakovic, Vladimir ; Adcock, Robert ; Kukolj, Dragan ; Gradojevic, Nikola. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:1-17.

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2023Safety first, loss probability, and the cross section of expected stock returns. (2023). Zhao, Lei ; Rieger, Marc Oliver ; Cao, JI. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:211:y:2023:i:c:p:345-369.

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2023Empirical evaluation of overspecified asset pricing models. (2023). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:338-351.

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2023The global factor structure of exchange rates. (2023). Vedolin, Andrea ; Trojani, Fabio ; Korsaye, Sofonias Alemu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:1:p:21-46.

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2023The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate. (2023). Chang, Kuang-Liang. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000402.

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2023Asymmetric effects of monetary policy and financial accelerator: Evidence from India. (2023). Bicchal, Motilal ; Mundra, Sruti. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000087.

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2023Should models of monetary policy asymmetry include interaction terms?. (2023). Stockwell, Thomas. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000129.

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2023Futures hedging in crude oil markets: A trade-off between risk and return. (2023). Shen, Xilin ; Lu, Junli ; Li, Yanyan ; Yu, Xing. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005906.

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2023Global financial crisis, funding constraints, and liquidity of VIX futures. (2023). Tsai, Wei-Che ; Lien, Donald ; Chiu, Junmao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001725.

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2023Life-cycle consumption and life insurance: Empirical evidence from Italian Survey. (2023). Striani, Fabrizio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:619:y:2023:i:c:s0378437123002741.

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2023The effect of political and bureaucratic regime changes on Australias real interest rate. (2023). Mishra, Ankita ; Tawadros, George B ; Moosa, Imad A. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:124-136.

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2023The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96652.

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2023Knowledge Discovery to Support WTI Crude Oil Price Risk Management. (2023). Duda, Jerzy ; Basiura, Beata ; Skalna, Iwona ; Amasz, Bartosz ; Puka, Radosaw. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:8:p:3486-:d:1125089.

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2023Crash risk in the Nordic Stock Market - a cross-sectional analysis. (2023). Fjarvik, Thomas. In: Discussion Papers. RePEc:hhs:nhhfms:2023_005.

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2023Constrained portfolio strategies in a regime-switching economy. (2023). Campani, Carlos Heitor ; Lewin, Marcelo. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:1:d:10.1007_s11408-022-00414-x.

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2023Correcting estimation bias in regime switching dynamic term structure models. (2023). Liu, Liu ; Cho, Sungjun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01182-z.

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2023Safe Asset Carry Trade. (2023). Ranaldo, Angelo ; Ballensiefen, Benedikt. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:13:y:2023:i:2:p:223-265..

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2023Measurement of risk spillover effect based on EV-Copula method. (2023). Xu, Weiqi ; Zhao, Yuexu. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-02287-5.

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2023Forecasting in the presence of in-sample and out-of-sample breaks. (2023). Perron, Pierre ; Xu, Jiawen. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02346-x.

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2023Robust and efficient specification tests in Markov-switching autoregressive models. (2023). Chiba, Masaru. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:1:d:10.1007_s11203-022-09277-5.

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2023Multipartition model for multiple change point identification. (2023). Quintana, Fernando Andres ; Loschi, Rosangela H ; Pedroso, Ricardo C. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:32:y:2023:i:2:d:10.1007_s11749-023-00851-4.

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2023Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets. (2023). Apergis, Nicholas ; Tsionas, Mike G. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:1137-1155.

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2023.

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2023Geopolitical Risk and Foreign Portfolio Investment: A Tale of Advanced and Emerging Markets. (2023). Choi, Sangyup ; Havel, Jiri. In: Working papers. RePEc:yon:wpaper:2023rwp-221.

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2023.

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René Garcia is editor of


Journal
Journal of Financial Econometrics

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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article0
2000Modelling Risk Premiums in Equity and Foreign Exchange Markets In: Staff Working Papers.
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paper0
2005The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments In: Staff Working Papers.
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paper0
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 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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This paper has nother version. Agregated cites: 10
article
2005State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle In: Staff Working Papers.
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paper0
2006Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns In: Staff Working Papers.
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paper11
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: 11
article
2009Bond Liquidity Premia In: Staff Working Papers.
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paper138
2012Bond Liquidity Premia.(2012) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 138
article
2015Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns In: Staff Working Papers.
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paper7
2016Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns.(2016) In: CIRANO Working Papers.
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paper
2006Comment In: Journal of Business & Economic Statistics.
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article0
2003A Monte Carlo Method for Optimal Portfolios In: Journal of Finance.
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article127
2000A Monte-Carlo Method for Optimal Portfolios.(2000) In: CIRANO Working Papers.
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1998A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models In: Mathematical Finance.
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article10
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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article0
1999Are the Effects of Monetary Policy Asymmetric? In: Carleton Economic Papers.
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paper118
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.
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2002Are the Effects of Monetary Policy Asymmetric?.(2002) In: Economic Inquiry.
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article
1999Les modèles de prévisions économiques In: CIRANO Project Reports.
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paper0
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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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.
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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.
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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.
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paper23
2005The Value of Real and Financial Risk Management In: CIRANO Working Papers.
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paper4
2009Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates In: CIRANO Working Papers.
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paper5
2012Risk aversion, intertemporal substitution, and the term structure of interest rates.(2012) In: Journal of Applied Econometrics.
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article
2009Dependence Structure and Extreme Comovements in International Equity and Bond Markets In: CIRANO Working Papers.
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paper137
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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paper2
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.
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paper21
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.
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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.
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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.
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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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1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models..(1998) In: International Economic Review.
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1995Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation In: CIRANO Working Papers.
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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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1995On the Dynamic Specification of International Asset Pricing Models In: CIRANO Working Papers.
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1995On the Dynamic Specification of International Asset Pricing Models..(1995) In: Cahiers de recherche.
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1995On the Dynamic Specification of International Asset Pricing Models..(1995) In: Cahiers de recherche.
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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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1999Tests of conditional asset pricing models in the brazilian stock market.(1999) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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1997Tests of Conditional Asset Pricing Models in the Brazilian Stock Market.(1997) In: Cahiers de recherche.
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1997Tests of Conditional Asset Pricing Models in the Brazilian Stock Market.(1997) In: Cahiers de recherche.
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1997Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market..(1997) In: Cahiers de recherche.
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1997Tests of conditional asset pricing models in the Brazilian stock market,.(1997) In: Textos para discussão.
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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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