René Garcia : Citation Profile

Université de Montréal

21

H index

39

i10 index

2392

Citations

RESEARCH PRODUCTION:

66

Articles

104

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: 108.    Total self citations: 48 (1.97 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pga447
   Updated: 2026-01-17    RAS profile: 2025-09-07    
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Relations with other researchers

Works with:

Almeida, Caio (6)

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 (32)

Piger, Jeremy (25)

Kim, Chang-Jin (22)

Monfort, Alain (21)

Timmermann, Allan (19)

Hubert, Paul (19)

Pegoraro, Fulvio (17)

Havranek, Tomas (17)

Pesaran, Mohammad (17)

Morley, James (17)

Kočenda, Evžen (15)

Cites to:

Renault, Eric (62)

Campbell, John (54)

Bonomo, Marco (35)

Ghysels, Eric (34)

Hansen, Lars (34)

Tauchen, George (28)

Bollerslev, Tim (27)

Zin, Stanley (26)

Harvey, Campbell (26)

Bekaert, Geert (25)

Jagannathan, Ravi (25)

Main data

Where René Garcia has published?

Journals with more than one article published# docs
Journal of Econometrics11
Journal of Financial Econometrics9
Canadian Journal of Economics/Revue canadienne d'conomique3
L'Actualit Economique3
Canadian Journal of Economics3
Journal of Banking & Finance3
The Review of Financial Studies3
Journal of Financial and Quantitative Analysis2
Journal of Applied Econometrics2
Journal of International Money and Finance2
Journal of Finance2

Working Papers Series with more than one paper published# docs
Post-Print / HAL8
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
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 (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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2025Change-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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2025Deep Learning vs. Black-Scholes: Option Pricing Performance on Brazilian Petrobras Stocks. (2025). Gueiros, Joao Felipe ; Chandravamsi, Hemanth ; Frankel, Steven H. In: Papers. RePEc:arx:papers:2504.20088.

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2025Portfolio selection with exogenous and endogenous transaction costs under a two-factor stochastic volatility model. (2025). Wang, Zirun ; He, Xin-Jiang ; Zhou, KE ; Yan, Dong. In: Papers. RePEc:arx:papers:2510.21156.

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2025Asset-liability management with Epstein-Zin utility$\quad$ under stochastic interest rate and unknown market price of risk. (2025). Kuissi-Kamdem, Wilfried. In: Papers. RePEc:arx:papers:2511.02158.

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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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2025What’s the Melting Pot Worth? Multiculturalism and House Prices. (2025). Cho, Rachel ; Schrder, Max ; Nguyen, Huyen ; McGowan, Danny ; Grtz, Christoph ; Farag, Hisham. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11905.

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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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2025How does the smart money feel? Hedge fund sentiment, returns, and the business cycle. (2025). Smith, Tom ; Singh, Abhay ; Yahyaei, Hamid. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:47:y:2025:i:c:s2214635025000632.

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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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2025Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967.

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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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2024Estimating and testing for smooth structural changes in moment condition models. (2024). Li, Haiqi ; Zhou, Jin ; Hong, Yongmiao. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002471.

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2025Identification-robust and simultaneous inference in multifactor asset pricing models. (2025). Beaulieu, Marie-Claude ; Dufour, Jean-Marie ; Khalaf, Lynda. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002665.

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2025Identifying the volatility risk price through the leverage effect. (2025). Renault, Eric ; Sangrey, Paul ; Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400294x.

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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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2025Monetary policy transmission under supply chain pressure. (2025). Laumer, Sebastian ; Schaffer, Matthew. In: European Economic Review. RePEc:eee:eecrev:v:172:y:2025:i:c:s0014292124002782.

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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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2025A new lattice approach for risk-minimization hedging under generalized autoregressive conditional heteroskedasticity models. (2025). Wang, Chen ; Ma, Junmei ; Xu, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:1021-1035.

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2025Fifty years at the interface between financial modeling and operations research. (2025). Fabozzi, Frank J ; Recchioni, Maria Cristina ; Ren, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:327:y:2025:i:1:p:1-21.

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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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2025An infinite hidden Markov model with GARCH for short-term interest rates. (2025). Li, Chenxing ; Yang, Qiao. In: Finance Research Letters. RePEc:eee:finlet:v:80:y:2025:i:c:s1544612325005574.

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2025Quantitative easing and the supply of safe assets: Evidence from international bond safety premia. (2025). Zhang, Xin ; Mirkov, Nikola N. In: Journal of International Economics. RePEc:eee:inecon:v:157:y:2025:i:c:s0022199625001035.

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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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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2025Stochastic arbitrage with market index options. (2025). Beare, Brendan ; Zheng, Zhongxi ; Seo, Juwon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:173:y:2025:i:c:s0378426625000160.

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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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2025A post-pandemic new normal for interest rates in emerging bond markets? Evidence from Chile. (2025). Romero, Damian ; Ceballos, Luis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:150:y:2025:i:c:s0261560624002213.

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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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2025Downward wage rigidity and asymmetric effects of monetary policy. (2025). Kurt, Ezgi ; Jackson Young, Laura. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:83:y:2025:i:c:s0164070424000594.

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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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2025Commodity correlation risk. (2025). Sakemoto, Ryuta ; Byrne, Joseph P. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000170.

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2024Asymmetric effects of monetary policy shocks on financial stability. (2024). Giannellis, Nikolaos ; Apostolakis, George N. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:30:y:2024:i:c:s170349492400029x.

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2025Are the effects of monetary policy larger in recessions? A reconciliation of the evidence. (2025). Stockwell, Thomas ; Piger, Jeremy. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:31:y:2025:i:c:s1703494924000434.

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2025Aid and growth: Asymmetric effects?. (2025). Doerr, Leo M. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:31:y:2025:i:c:s1703494925000179.

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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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2025Event-driven changes in volatility connectedness in global forex markets. (2025). Kočenda, Evžen ; Albrecht, Peter ; Koenda, Even. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:77:y:2025:i:c:s1042444x24000616.

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2024Do jumps matter in discrete-time portfolio optimization?. (2024). Escobar Anel, Marcos ; Spies, Ben ; Escobar-Anel, Marcos ; Zagst, Rudi. In: Operations Research Perspectives. RePEc:eee:oprepe:v:13:y:2024:i:c:s2214716024000162.

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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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2025Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis. (2025). Kočenda, Evžen ; Albrecht, Peter ; de Oliveira, Alexandre Silva ; Koenda, Even ; Ceretta, Paulo Sergio ; Drbek, Michal. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000376.

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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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2024What Can Measured Beliefs Tell Us About Monetary Non-Neutrality?. (2024). Yang, Choongryul ; Afrouzi, Hassan ; Flynn, Joel P. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-53.

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2025The Supply and Demand of Agricultural Loans. (2022). Scott, Francisco ; Oppedahl, David ; Kuethe, Todd ; Kreitman, Ty. In: Research Working Paper. RePEc:fip:fedkrw:94521.

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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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2024Probabilities of transitions among endogenous regimes in asset returns and Environmental, Social and Governance scores. (2024). Nicolosi, Marco ; da Fermo, Carmine ; Cerqueti, Roy. In: Post-Print. RePEc:hal:journl:hal-05114157.

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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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2025Comparison of the Performance of Structural Break Tests in Stationary and Nonstationary Series: A New Bootstrap Algorithm. (2025). Amalan, Zge ; Hasdemir, Esra ; Omay, Tolga ; Kker, Mustafa Can. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10651-z.

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2025The Impact of COVID-19 on Italian Sovereign Bond Market Quality. (2025). Ferrara, Gerardo ; Ren, Roberto ; Flora, Maria. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:67:y:2025:i:1:d:10.1007_s10693-024-00437-7.

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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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2025Factors relevance in asset pricing: new evidences in emerging markets from random matrix theory. (2025). Saanchez-Granero, Miguel A ; Garcaia-Medina, Andraes ; Molero-Gonzaalez, Laura ; Trinidad-Segovia, Juan E. In: Economics and Business Letters. RePEc:ove:journl:aid:21322.

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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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2025A comparative analysis of option pricing models: Black–Scholes, Bachelier, and artificial neural networks. (2025). Toerien, Francois ; Kruger, Ryan ; Gross, Eden. In: Risk Management. RePEc:pal:risman:v:27:y:2025:i:2:d:10.1057_s41283-025-00160-0.

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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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2025Tax Incentives and the Cost of Sustainable Debt: Evidence from Thailand€™s ESG Fund Policy. (2025). Saengchote, Kanis ; Daengnimvikul, Phanjarat. In: PIER Discussion Papers. RePEc:pui:dpaper:241.

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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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2025The impact of bitcoin fear and greed on good and bad network connectedness: the case of the US sectoral high frequency returns. (2025). Sheikh, Umaid A ; Galariotis, Emilios C ; Roubaud, David ; Suleman, Muhammad Tahir. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:1:d:10.1007_s10479-023-05455-7.

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2025On using fuzzy clustering for detecting the number of states in Markov switching models. (2025). Domianello, Luca Scaffidi ; Otranto, Edoardo. In: Annals of Operations Research. RePEc:spr:annopr:v:349:y:2025:i:3:d:10.1007_s10479-025-06585-w.

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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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2025Granger predictability of real oil prices by us money and inflation in Markov-switching regimes. (2025). Gillman, Max ; Çevik, Emrah ; Benk, Szilard ; Dibooglu, Sel ; Cevik, Emrah I. In: Eurasian Economic Review. RePEc:spr:eurase:v:15:y:2025:i:1:d:10.1007_s40822-024-00305-8.

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2025Self and Mutually Exciting Point Process Embedding Flexible Residuals and Intensity with Discretely Markovian Dynamics. (2025). Lee, Kyungsub. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10159-5.

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More than 100 citations found, this list is not complete...

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.
[Full Text][Citation analysis]		article1
2000Modelling Risk Premiums in Equity and Foreign Exchange Markets In: Staff Working Papers.
[Full Text][Citation analysis]		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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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]		paper147
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]		article127
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.
[Full Text][Citation analysis]		article0
1998A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models In: Mathematical Finance.
[Full Text][Citation analysis]		article14
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]		paper125
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]
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2002Are the Effects of Monetary Policy Asymmetric?.(2002) In: Economic Inquiry.
[Citation analysis]
This paper has nother version. Agregated cites: 125		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.
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2001Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002) In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper0
2002Incorporating Second-Order Functional Knowledge for Better Option Pricing In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper1
2003Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper17
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.
[Full Text][Citation analysis]		paper22
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.
[Full Text][Citation analysis]		paper23
2005The Value of Real and Financial Risk Management In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper4
2009Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper6
2012Risk aversion, intertemporal substitution, and the term structure of interest rates.(2012) In: Journal of Applied Econometrics.
[Citation analysis]
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2009Dependence Structure and Extreme Comovements in International Equity and Bond Markets In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper156
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.
[Full Text][Citation analysis]		paper4
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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper24
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.
[Full Text][Citation analysis]		paper20
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.
[Full Text][Citation analysis]		paper479
1990AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS..(1990) In: Princeton, Department of Economics - Econometric Research Program.
[Citation analysis]
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1991An analysis of Real Interest Rate Under Regime Shifts..(1991) In: Cahiers de recherche.
[Citation analysis]
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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.
[Citation analysis]
This paper has nother version. Agregated cites: 479		paper
1994An Analysis of the Real Interest rate Under Regime Shifts..(1994) In: Cahiers de recherche.
[Citation analysis]
This paper has nother version. Agregated cites: 479		paper
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.
[Full Text][Citation analysis]		paper357
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.
[Full Text][Citation analysis]		paper70
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.
[Citation analysis]
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1996Structural Change and Asset Pricing in Emerging Markets In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper36
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.
[Full Text][Citation analysis]		paper13
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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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.
[Full Text][Citation analysis]		paper99
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.
[Full Text][Citation analysis]		paper1
2000Latent Variable Models for Stochastic Discount Factors..(2000) In: Cahiers de recherche.
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2000Letent Variable Models for Stochastic Discount Factors..(2000) In: Cahiers de recherche.
[Citation analysis]
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2001The macroeconomic effects of infrequent information with adjustment costs In: Canadian Journal of Economics.
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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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1997The Macroeconomic Effects of Infrequent Information with Adjustment Costs.(1997) In: Cahiers de recherche.
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1997The Macroeconomic Effects of Infrequent Information With Adjustment Costs..(1997) In: Cahiers de recherche.
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2001The macroeconomic effects of infrequent information with adjustment costs.(2001) In: Canadian Journal of Economics/Revue canadienne d'économique.
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2005Viewpoint: Option prices, preferences, and state variables In: Canadian Journal of Economics.
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2005Viewpoint: Option prices, preferences, and state variables.(2005) In: Canadian Journal of Economics/Revue canadienne d'économique.
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2006Estimation of stable distributions by indirect inference In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper32
2011Estimation of stable distributions by indirect inference.(2011) In: Journal of Econometrics.
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1978Leffet redistributif de linflation de 1969 a 1975 sur les menages canadiens. (With English summary.) In: Canadian Public Policy.
[Full Text][Citation analysis]		article0
2000Latent Variable Models for Stochastic Discount In: Working Papers.
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2000Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables In: Working Papers.
[Full Text][Citation analysis]		paper64
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.
[Citation analysis]
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2008Measuring causality between volatility and returns with high-frequency data In: UC3M Working papers. Economics.
[Full Text][Citation analysis]		paper6
2024High-Frequency Tail Risk Premium and Stock Return Predictability In: Journal of Financial and Quantitative Analysis.
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2024High-Frequency Tail Risk Premium and Stock Return Predictability.(2024) In: Post-Print.
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1977Disequilibrium Econometrics for Business Loans. In: Econometrica.
[Full Text][Citation analysis]		article61
2004Optimal Rules under Adjustment Cost and Infrequent Information In: Econometric Society 2004 Latin American Meetings.
[Full Text][Citation analysis]		paper1
1989Application of a simulation software to the analysis of a peasant farming system In: Agricultural Systems.
[Full Text][Citation analysis]		article1
1994Indexation, staggering and disinflation In: Journal of Development Economics.
[Full Text][Citation analysis]		article5
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.
[Citation analysis]
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2011Estimation of objective and risk-neutral distributions based on moments of integrated volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article29
2012Assessing misspecified asset pricing models with empirical likelihood estimators In: Journal of Econometrics.
[Full Text][Citation analysis]		article37
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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2025Uncovering asset market participation from household consumption and income In: Journal of Econometrics.
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2025Uncovering asset market participation from household consumption and income.(2025) In: Post-Print.
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2025Identification, inference and risk In: Journal of Econometrics.
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2000Econometric methods for derivative securities and risk management In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
1996Consumption and equilibrium asset pricing: An empirical assessment In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article19
1991Consumption and Equilibrium Asset Pricing: an Empirical Assessment..(1991) In: Cahiers de recherche.
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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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This paper has nother version. Agregated cites: 19		paper
2008Uses of first line emergency services in Cuba In: Health Policy.
[Full Text][Citation analysis]		article1
2021Optimal portfolio strategies in the presence of regimes in asset returns In: Journal of Banking & Finance.
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2005Intertemporal asset allocation: A comparison of methods In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article16
2010State-dependent pricing under infrequent information: a unified framework In: Staff Reports.
[Full Text][Citation analysis]		paper14
1990MEAN AVERSION IN EQUILIBRIUM ASSET PRICES: COMMENT. In: Princeton, Department of Economics - Financial Research Center.
[Citation analysis]		paper0
2019Risk Premium and Risk Price in the Equity MarketRisk In: Post-Print.
[Citation analysis]		paper0
2024Artificial Intelligence and Beyond for Finance In: Post-Print.
[Citation analysis]		paper0
2024Portfolio Allocation and Reinforcement Learning In: Post-Print.
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2024Portfolio Allocation and Reinforcement Learning.(2024) In: World Scientific Book Chapters.
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2024Artificial Intelligence for Finance - Preface In: Post-Print.
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2010Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices In: IDEI Working Papers.
[Full Text][Citation analysis]		paper38
2011Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices.(2011) In: The Review of Financial Studies.
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