8
H index
8
i10 index
225
Citations
Richard Luger : Citation Profile
Université Laval | RESEARCH PRODUCTION: 24 Articles 23 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (2000 - 2022). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Richard Luger. | Is cited by:
| Cites to:
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Main data
Where Richard Luger has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Staff Working Papers / Bank of Canada | 7 |
| Working Papers / Center for Research in Economics and Statistics | 2 |
Recent works citing Richard Luger (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Predictability Tests Robust against Parameter Instability. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2307.15151. Full description at Econpapers || Download paper |
| 2024 | High-Dimensional Mean-Variance Spanning Tests. (2024). Sessinou, Rosnel ; Laurent, S'Ebastien ; Ardia, David. In: Papers. RePEc:arx:papers:2403.17127. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2024 | Unveiling the impact of income taxes on inequality in a HACT model. (2024). Parro, Francisco. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:79:y:2024:i:c:s0164070423000812. Full description at Econpapers || Download paper |
| 2023 | The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96652. Full description at Econpapers || Download paper |
| 2023 | Maximum-Likelihood Estimation Using the Zig-Zag Algorithm*. (2023). Ristig, Alexander ; Okhrin, Ostap ; Hautsch, Nikolaus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:4:p:1346-1375.. Full description at Econpapers || Download paper |
Works by Richard Luger:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2001 | Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity In: Staff Working Papers. [Full Text][Citation analysis] | paper | 26 |
| 2003 | Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity.(2003) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
| 2001 | On Inflation and the Persistence of Shocks to Output In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2001 | On Inflation and the Persistence of shocks to Output.(2001) In: Computing in Economics and Finance 2001. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2004 | Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates In: Staff Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2005 | The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach In: Staff Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2007 | The Canadian macroeconomy and the yield curve: an equilibrium-based approach.(2007) In: Canadian Journal of Economics. [Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2007 | The Canadian macroeconomy and the yield curve: an equilibrium?based approach.(2007) In: Canadian Journal of Economics/Revue canadienne d'économique. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2010 | Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach In: Staff Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances In: Staff Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances.(2016) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2014 | Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings In: Staff Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | BOOTSTRAP TESTS OF MEAN-VARIANCE EFFICIENCY WITH MULTIPLE PORTFOLIO GROUPINGS.(2015) In: L'Actualité Economique. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2006 | Median?unbiased Estimation and Exact Inference Methods for First?order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2018 | Markov-switching quantile autoregression: a Gibbs sampling approach In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2001 | Asymmetric Smiles, Leverage Effects and Structural Parameters In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 2000 | Asymmetric Smiles, Leverage Effects and Structural Parameters.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2001 | Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2001 | Asymmetric Smiles, Leverage Effects and Structural Parameters..(2001) In: Cahiers de recherche. [Citation analysis] This paper has nother version. Agregated cites: 19 | paper | |
| 2001 | Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002) In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2012 | Risk aversion, intertemporal substitution, and the term structure of interest rates.(2012) In: Journal of Applied Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2016 | Identification-robust moment-based tests for Markov-switching in autoregressive models In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Identification-robust moment-based tests for Markov-switching in autoregressive models.(2017) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2016 | Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models.(2016) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2017 | Identification-robust moment-based tests for Markov switching in autoregressive models.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2005 | Viewpoint: Option prices, preferences, and state variables In: Canadian Journal of Economics. [Full Text][Citation analysis] | article | 3 |
| 2005 | Viewpoint: Option prices, preferences, and state variables.(2005) In: Canadian Journal of Economics/Revue canadienne d'économique. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2011 | Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2000 | Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables In: Working Papers. [Full Text][Citation analysis] | paper | 61 |
| 2003 | Empirical assessment of an intertemporal option pricing model with latent variables.(2003) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 61 | article | |
| 2001 | Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables.(2001) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 61 | paper | |
| 2001 | Empirical Assessment of an Intertemporal option Pricing Model with Latent variables..(2001) In: Cahiers de recherche. [Citation analysis] This paper has nother version. Agregated cites: 61 | paper | |
| 2004 | The New Keynesian Phillips Curve: An empirical assessment In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 15 |
| 2004 | The New Keynesian Phillips Curve: An Empirical Assessment.(2004) In: Computing in Economics and Finance 2004. [Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2009 | Efficient estimation of copula-GARCH models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 27 |
| 2012 | Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 6 |
| 2015 | Unfolded GARCH models In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 12 |
| 2010 | An omnibus test for heteroskedasticity In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2001 | A modified CUSUM test for orthogonal structural changes In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2006 | Exact permutation tests for non-nested non-linear regression models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2020 | Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2009 | Exact distribution-free tests of mean-variance efficiency In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 7 |
| 2022 | Multiple testing of the forward rate unbiasedness hypothesis across currencies In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 0 |
| 2021 | Exact Inference in Long-Horizon Predictive Quantile Regressions with an Application to Stock Returns* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2011 | Book Review: Introducing Monte Carlo Methods with R In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 2013 | Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 10 |
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