René Garcia : Citation Profile

Are you René Garcia?

Université de Montréal

21

H index

40

i10 index

2327

Citations

RESEARCH PRODUCTION:

61

Articles

99

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   46 years (1977 - 2023). See details.
   Cites by year: 50
   Journals where René Garcia has often published
   Relations with other researchers
   Recent citing documents: 88.    Total self citations: 47 (1.98 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pga447
   Updated: 2024-11-04    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)

Kreps, David (25)

Zin, Stanley (25)

Jagannathan, Ravi (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
The Review of Financial Studies3
Canadian Journal of Economics3
L'Actualit Economique3
Journal of Applied Econometrics2
Journal of International Money and Finance2
Canadian Journal of Economics/Revue canadienne d'conomique2

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
Working Papers / Princeton University. Economics Department.2
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

Recent works citing René Garcia (2024 and 2023)

YearTitle of citing document
2024Option Pricing with Time-Varying Volatility Risk Aversion. (2022). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2204.06943.

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2024Stochastic arbitrage with market index options. (2022). Seo, Juwon ; Beare, Brendan K. In: Papers. RePEc:arx:papers:2207.00949.

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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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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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2023Banks’ net interest rate spread and the transmission of monetary policy in Korea. (2023). Kim, Jinyong ; Jung, Yong-Gook. In: Journal of Asian Economics. RePEc:eee:asieco:v:89:y:2023:i:c:s104900782300074x.

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2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

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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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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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2023Evaluating forecast performance with state dependence. (2023). Sekhposyan, Tatevik ; Rossi, Barbara ; Odendahl, Florens. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002657.

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2023Business-cycle consumption risk and asset prices. (2023). Tamoni, Andrea ; Bandi, Federico M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001410.

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2024Systematic staleness. (2024). Reno, Roberto ; Pirino, Davide ; Bandi, Federico M. 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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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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2024Factor momentum in the Chinese stock market. (2024). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. 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 ; Mazouz, Khelifa ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136.

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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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2023Extreme downside risk in the cross-section of asset returns. (2023). Ergun, Lerby M. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003563.

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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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2024Is it alpha or beta? Decomposing hedge fund returns when models are misspecified. (2024). Scaillet, Olivier ; Gagliardini, Patrick ; Barras, Laurent ; Ardia, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400028x.

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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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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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2023The role of higher moments in predicting Chinas oil futures volatility: Evidence from machine learning models. (2023). Gao, Wang ; Zhao, Xinyi ; Zhang, Hongwei ; Niu, Zibo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000429.

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2024Quantile coherency across bonds, commodities, currencies, and equities. (2024). Stenvall, David ; Rahman, Md Lutfur ; Lucey, Brian ; Uddin, Gazi Salah. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000697.

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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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2024The international linkages of market risk perception. (2024). Vich-Llompart, Magdalena M ; Vaello-Sebastia, Antoni ; Serrano, Pedro. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:72:y:2024:i:c:s1042444x23000452.

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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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2023International stock return predictability: The role of U.S. uncertainty spillover. (2023). Yu, Jiasheng ; Liu, Hongkui ; Jiang, Fuwei ; Zhang, Huajing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002329.

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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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2024Transmission of liquidity and credit risks in the Chinese bond market: Analysis based on joint modeling of multiple yield curves. (2024). Su, GE ; Hong, Zhiwu ; Lin, Mucai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:597-615.

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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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2023Bond Variance Risk Premia. (2012). Mueller, Philippe ; Vedolin, Andrea ; Yen, Yu-Min . In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp699.

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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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2023On Asymmetric Correlations and Their Applications in Financial Markets. (2023). Liu, Conan ; Ma, Tiefeng ; Sun, Ruili ; Cao, Linyu. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:3:p:187-:d:1092699.

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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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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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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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2024Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle. (2024). Sibbertsen, Philipp ; Krupski, Jan ; Dierkes, Maik ; Schroen, Sebastian. 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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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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2024Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Irsova, Zuzana ; Havranek, Tomas ; Novak, Jiri ; Yang, Fan. In: MetaArXiv. RePEc:osf:metaar:ps2yn.

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2023Arbitrage Pricing Theory for Idiosyncratic Variance Factors*. (2023). , Bas ; Van, Thijs ; Renault, Eric. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:5:p:1403-1442..

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

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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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2024A latent?factor?driven endogenous regime?switching non?Gaussian model: Evidence from simulation and application. (2022). JAWADI, Fredj ; Bu, Ruijun ; Cheng, Jie. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:4:p:3881-3896.

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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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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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2024Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Irsova, Zuzana ; Havranek, Tomas ; Novak, Jiri ; Yang, Fan. In: EconStor Preprints. RePEc:zbw:esprep:289497.

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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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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.
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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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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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2006Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns In: Staff Working Papers.
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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: 13		article
2009Bond Liquidity Premia In: Staff Working Papers.
[Full Text][Citation analysis]		paper141
2012Bond Liquidity Premia.(2012) In: The Review of Financial Studies.
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This paper has nother version. Agregated cites: 141		article
2015Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns In: Staff Working Papers.
[Full Text][Citation analysis]		paper7
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]		article128
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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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]		paper121
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: 121		paper
2002Are the Effects of Monetary Policy Asymmetric?.(2002) In: Economic Inquiry.
[Citation analysis]
This paper has nother version. Agregated cites: 121		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.
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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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This paper has nother version. Agregated cites: 17		paper
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.
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2003Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper17
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2006Asymptotic properties of Monte Carlo estimators of diffusion processes.(2006) In: Journal of Econometrics.
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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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1998Risk Aversion, Intertemporal Substitution, and Option Pricing In: CIRANO Working Papers.
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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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1992Indexation, Staggering and Disinflation..(1992) In: Cahiers de recherche.
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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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2015The long and the short of the risk-return trade-off In: Journal of Econometrics.
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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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2011Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices.(2011) In: The Review of Financial Studies.
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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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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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2008State Dependence Can Explain the Risk Aversion Puzzle In: The Review of Financial Studies.
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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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