Details about René Garcia

Access statistics for papers by René Garcia.

Last updated 2009-11-07. Update your information in the RePEc Author Service.

Short-id: pga447

Working Papers

2009

1. Bond Liquidity Premia
   Working Papers, Bank of Canada
2. Dependence Structure and Extreme Comovements in International Equity and Bond Markets
   CIRANO Working Papers, CIRANO
3. Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates
   CIRANO Working Papers, CIRANO

2006

4. Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
   Working Papers, Bank of Canada

2005

5. State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
   Working Papers, Bank of Canada
6. The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach
   Working Papers, Bank of Canada View citations
   See also Journal Article in Canadian Journal of Economics (2007)
7. The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
   Working Papers, Bank of Canada
8. The Value of Real and Financial Risk Management
   CIRANO Working Papers, CIRANO View citations

2004

9. Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes
   Econometric Society 2004 North American Winter Meetings, Econometric Society
   Also in CIRANO Working Papers, CIRANO (2003)
   See also Journal Article in Journal of Econometrics (2006)
10. Optimal Rules under Adjustment Cost and Infrequent Information
    Econometric Society 2004 Latin American Meetings, Econometric Society
11. Option Prices, Preferences, and State Variables
    Emory Economics, Department of Economics, Emory University (Atlanta)
12. The Econometrics of Option Pricing
    CIRANO Working Papers, CIRANO View citations

2003

13. Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in Finance Research Letters (2006)

2002

14. Incorporating Second-Order Functional Knowledge for Better Option Pricing
    CIRANO Working Papers, CIRANO

2001

15. Asymmetric Smiles, Leverage Effects and Structural Parameters
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2000)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001) View citations
    CIRANO Working Papers, CIRANO (2001) View citations
16. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002)
    CIRANO Working Papers, CIRANO
17. Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2000) View citations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001)
    See also Journal Article in Journal of Econometrics (2003)

2000

18. A Monte-Carlo Method for Optimal Portfolios
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in Journal of Finance (2003)
19. Latent Variable Models for Stochastic Discount
    Working Papers, Centre de Recherche en Economie et Statistique
20. Latent Variable Models for Stochastic Discount Factors
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2000)
    CIRANO Working Papers, CIRANO (1999) View citations
21. Modelling Risk Premiums in Equity and Foreign Exchange Markets
    Working Papers, Bank of Canada
22. The Macroeconomic Effects of Infrequent Information With Adjustment Costs
    Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1997) View citations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1997)
    See also Journal Article in Canadian Journal of Economics (2001)

1999

23. Are the Effects of Monetary Policy Asymmetric?
    Carleton Economic Papers, Carleton University, Department of Economics View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations
    CIRANO Working Papers, CIRANO (1995) View citations
    See also Journal Article in Economic Inquiry (2002)
24. Les modèles de prévisions économiques
    CIRANO Project Reports, CIRANO
25. Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
    Economics Working Papers (Ensaios Economicos da EPGE), Graduate School of Economics, Getulio Vargas Foundation (Brazil)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1997)
    CIRANO Working Papers, CIRANO (1997) View citations
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1997) View citations
    Textos para discussão, Department of Economics PUC-Rio (Brazil) (1997) View citations
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1997) View citations
    See also Journal Article in Journal of International Money and Finance (2001)

1998

26. Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in Journal of Econometrics (2000)
27. Risk Aversion, Intertemporal Substitution, and Option Pricing
    CIRANO Working Papers, CIRANO View citations
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1998) View citations
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1998) View citations
    Working Papers, Centre de Recherche en Economie et Statistique View citations

1997

28. A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
    CIRANO Working Papers, CIRANO

1996

29. Structural Change and Asset Pricing in Emerging Markets
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in Journal of International Money and Finance (1998)

1995

30. An Analysis of the Real Interest Rate Under Regime Shifts
    CIRANO Working Papers, CIRANO View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations
    Working Papers, Princeton, Department of Economics - Econometric Research Program (1990)
    See also Journal Article in The Review of Economics and Statistics (1996)
31. Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995)
32. Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models
    CIRANO Working Papers, CIRANO View citations
    See also Journal Article in International Economic Review (1998)
33. Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
    CIRANO Working Papers, CIRANO View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations
    See also Journal Article in Journal of Money, Credit and Banking (1997)
34. Infrequent information, optimal time and state dependent rules, and aggregate effects
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
35. On the Dynamic Specification of International Asset Pricing Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in CIRANO Working Papers, CIRANO (1995)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995)

1994

36. Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles
    CIRANO Working Papers, CIRANO View citations
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1993) View citations
    Textos para discussão, Department of Economics PUC-Rio (Brazil) (1993) View citations

1992

37. Can a well-fitted equilibrium asset pricing model produce mean reversion?
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991)
    See also Journal Article in Journal of Applied Econometrics (1994)
38. Consumption and equilibrium asset pricing: An empirical assessment
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991) View citations
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991) View citations
    See also Journal Article in Journal of Empirical Finance (1996)
39. Indexation, Staggering and Disinflation
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (1992)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992)
    See also Journal Article in Journal of Development Economics (1994)

1991

40. An analysis of Real Interest Rate Under Regime Shifts
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991) View citations

1990

41. MEAN AVERSION IN EQUILIBRIUM ASSET PRICES: COMMENT
    Working Papers, Princeton, Department of Economics - Financial Research Center

Journal Articles

2009

1. Special Issue on "Multivariate Volatility Models"
   Journal of Financial Econometrics, 2009, 7, (4), 339-340
2. The JFEC Invited Lecture at the 2008 SoFiE Conference
   Journal of Financial Econometrics, 2009, 7, (3), 197-198

2008

3. State Dependence Can Explain the Risk Aversion Puzzle
   Review of Financial Studies, 2008, 21, (2), 973-1011
4. Uses of first line emergency services in Cuba
   Health Policy, 2008, 85, (1), 94-104

2007

5. The Canadian macroeconomy and the yield curve: an equilibrium-based approach
   Canadian Journal of Economics, 2007, 40, (2), 561-583
   See also Working Paper (2005)

2006

6. Asymptotic properties of Monte Carlo estimators of diffusion processes
   Journal of Econometrics, 2006, 134, (1), 1-68 View citations
   See also Working Paper (2004)
7. Comment
   Journal of Business & Economic Statistics, 2006, 24, 184-192
8. Disentangling risk aversion and intertemporal substitution through a reference level
   Finance Research Letters, 2006, 3, (3), 181-193 View citations
   See also Working Paper (2003)

2005

9. Intertemporal asset allocation: A comparison of methods
   Journal of Banking & Finance, 2005, 29, (11), 2821-2848 View citations
10. Representation formulas for Malliavin derivatives of diffusion processes
    Finance and Stochastics, 2005, 9, (3), 349-367
11. Viewpoint: Option prices, preferences, and state variables
    Canadian Journal of Economics, 2005, 38, (1), 1-27

2003

12. A Monte Carlo Method for Optimal Portfolios
    Journal of Finance, 2003, 58, (1), 401-446 View citations
    See also Working Paper (2000)
13. Empirical assessment of an intertemporal option pricing model with latent variables
    Journal of Econometrics, 2003, 116, (1-2), 49-83 View citations
    See also Working Paper (2001)

2002

14. Are the Effects of Monetary Policy Asymmetric?
    Economic Inquiry, 2002, 40, (1), 102-119
    See also Working Paper (1999)

2001

15. Tests of conditional asset pricing models in the Brazilian stock market
    Journal of International Money and Finance, 2001, 20, (1), 71-90
    See also Working Paper (1999)
16. The macroeconomic effects of infrequent information with adjustment costs
    Canadian Journal of Economics, 2001, 34, (1), 18-35 View citations
    See also Working Paper (2000)

2000

17. Econometric methods for derivative securities and risk management
    Journal of Econometrics, 2000, 94, (1-2), 1-7
18. Pricing and hedging derivative securities with neural networks and a homogeneity hint
    Journal of Econometrics, 2000, 94, (1-2), 93-115 View citations
    See also Working Paper (1998)

1998

19. Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models
    International Economic Review, 1998, 39, (3), 763-88 View citations
    See also Working Paper (1995)
20. Structural change and asset pricing in emerging markets
    Journal of International Money and Finance, 1998, 17, (3), 455-473 View citations
    See also Working Paper (1996)

1997

21. Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
    Journal of Money, Credit and Banking, 1997, 29, (2), 154-76 View citations
    See also Working Paper (1995)

1996

22. An Analysis of the Real Interest Rate under Regime Shifts
    The Review of Economics and Statistics, 1996, 78, (1), 111-25 View citations
    See also Working Paper (1995)
23. Consumption and equilibrium asset pricing: An empirical assessment
    Journal of Empirical Finance, 1996, 3, (3), 239-265 View citations
    See also Working Paper (1992)

1994

24. Can a Well-Fitted Equilibrium Asset-Pricing Model Produce Mean Reversion?
    Journal of Applied Econometrics, 1994, 9, (1), 19-29
    See also Working Paper (1992)
25. Indexation, staggering and disinflation
    Journal of Development Economics, 1994, 43, (1), 39-58 View citations
    See also Working Paper (1992)

1989

26. Application of a simulation software to the analysis of a peasant farming system
    Agricultural Systems, 1989, 30, (4), 317-334

1978

27. L'effet redistributif de l'inflation de 1969 a 1975 sur les menages canadiens. (With English summary.)
    Canadian Public Policy, 1978, 4, (2), 193-212

1977

28. Disequilibrium Econometrics for Business Loans
    Econometrica, 1977, 45, (5), 1187-1204 View citations

Editor

1. Journal of Financial Econometrics
   Oxford University Press