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Details about René Garcia

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Workplace:Département de Sciences Économiques (Department of Economics), Université de Montréal (University of Montreal), (more information at EDIRC)

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Last updated 2017-02-05. Update your information in the RePEc Author Service.

Short-id: pga447


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Working Papers

2016

  1. Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    Also in Staff Working Papers, Bank of Canada (2015) Downloads View citations (2)
  2. Nonparametric Tail Risk, Stock Returns and the Macroeconomy
    CIRANO Working Papers, CIRANO Downloads View citations (1)

2015

  1. Persistent Monetary Non-neutrality in an Estimated Model with Menu Costs and Partially Costly Information
    2015 Meeting Papers, Society for Economic Dynamics Downloads

2013

  1. A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2014)
  2. Time- and State-Dependent Pricing: A Unified Framework
    2013 Meeting Papers, Society for Economic Dynamics Downloads

2011

  1. Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management
    CIRANO Working Papers, CIRANO Downloads
  2. Estimation of stable distributions with indirect inference
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads View citations (3)
  3. Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
    CIRANO Working Papers, CIRANO Downloads View citations (2)
    See also Journal Article in Journal of Financial Econometrics (2009)

2010

  1. Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices
    TSE Working Papers, Toulouse School of Economics (TSE) Downloads View citations (1)
    Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2010) Downloads View citations (1)

    See also Journal Article in Review of Financial Studies (2011)
  2. State-dependent pricing under infrequent information: a unified framework
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (10)
  3. The Alleviation of Coordination Problems through Financial Risk Management
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads

2009

  1. Bond Liquidity Premia
    Staff Working Papers, Bank of Canada Downloads View citations (26)
    See also Journal Article in Review of Financial Studies (2012)
  2. Dependence Structure and Extreme Comovements in International Equity and Bond Markets
    CIRANO Working Papers, CIRANO Downloads View citations (5)
    See also Journal Article in Journal of Banking & Finance (2011)
  3. Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates
    CIRANO Working Papers, CIRANO Downloads View citations (3)
    See also Journal Article in Journal of Applied Econometrics (2012)

2008

  1. Measuring causality between volatility and returns with high-frequency data
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía Downloads View citations (5)

2006

  1. Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
    Staff Working Papers, Bank of Canada Downloads View citations (5)
    See also Journal Article in Journal of Applied Econometrics (2011)
  2. Estimation of stable distributions by indirect inference
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (11)
    See also Journal Article in Journal of Econometrics (2011)

2005

  1. State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
    Staff Working Papers, Bank of Canada Downloads View citations (1)
  2. The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach
    Staff Working Papers, Bank of Canada Downloads View citations (2)
    See also Journal Article in Canadian Journal of Economics (2007)
  3. The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
    Staff Working Papers, Bank of Canada Downloads
  4. The Value of Real and Financial Risk Management
    CIRANO Working Papers, CIRANO Downloads View citations (3)

2004

  1. Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (1)
    Also in CIRANO Working Papers, CIRANO (2003) Downloads

    See also Journal Article in Journal of Econometrics (2006)
  2. Optimal Rules under Adjustment Cost and Infrequent Information
    Econometric Society 2004 Latin American Meetings, Econometric Society Downloads View citations (1)
  3. Option Prices, Preferences, and State Variables
    Emory Economics, Department of Economics, Emory University (Atlanta) Downloads
  4. The Econometrics of Option Pricing
    CIRANO Working Papers, CIRANO Downloads View citations (21)

2003

  1. Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    See also Journal Article in Finance Research Letters (2006)

2002

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

2001

  1. Asymmetric Smiles, Leverage Effects and Structural Parameters
    CIRANO Working Papers, CIRANO Downloads View citations (7)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001) View citations (16)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2001) Downloads View citations (4)
    Working Papers, Center for Research in Economics and Statistics (2000) Downloads
  2. 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 Downloads
  3. Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (4)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001)
    Working Papers, Center for Research in Economics and Statistics (2000) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2003)

2000

  1. A Monte-Carlo Method for Optimal Portfolios
    CIRANO Working Papers, CIRANO Downloads View citations (19)
    See also Journal Article in Journal of Finance (2003)
  2. Latent Variable Models for Stochastic Discount
    Working Papers, Center for Research in Economics and Statistics Downloads
  3. Latent Variable Models for Stochastic Discount Factors
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2000)
    CIRANO Working Papers, CIRANO (1999) Downloads View citations (3)
  4. Modelling Risk Premiums in Equity and Foreign Exchange Markets
    Staff Working Papers, Bank of Canada Downloads
  5. The macroeconomic effects of infrequent information with adjustment costs
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1997)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1997) Downloads View citations (2)

    See also Journal Article in Canadian Journal of Economics (2001)

1999

  1. Are the Effects of Monetary Policy Asymmetric?
    Carleton Economic Papers, Carleton University, Department of Economics Downloads View citations (7)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (16)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (16)
    CIRANO Working Papers, CIRANO (1995) Downloads View citations (17)

    See also Journal Article in Economic Inquiry (2002)
  2. Les modèles de prévisions économiques
    CIRANO Project Reports, CIRANO Downloads
  3. Tests of conditional asset pricing models in the brazilian stock market
    FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE), FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) Downloads
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1997) Downloads View citations (3)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1997) Downloads View citations (3)
    Textos para discussão, Department of Economics PUC-Rio (Brazil) (1997) Downloads
    CIRANO Working Papers, CIRANO (1997) Downloads View citations (3)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1997)

    See also Journal Article in Journal of International Money and Finance (2001)

1998

  1. Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint
    CIRANO Working Papers, CIRANO Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2000)
  2. Risk Aversion, Intertemporal Substitution, and Option Pricing
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (5)
    Also in CIRANO Working Papers, CIRANO (1998) Downloads View citations (9)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1998) View citations (5)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1998) Downloads View citations (8)

1997

  1. A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    See also Journal Article in Mathematical Finance (1998)

1996

  1. Structural Change and Asset Pricing in Emerging Markets
    CIRANO Working Papers, CIRANO Downloads View citations (6)
    See also Journal Article in Journal of International Money and Finance (1998)

1995

  1. An Analysis of the Real Interest Rate Under Regime Shifts
    CIRANO Working Papers, CIRANO Downloads View citations (4)
    Also in Working Papers, Princeton, Department of Economics - Econometric Research Program (1990) View citations (1)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) Downloads View citations (14)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (2)

    See also Journal Article in The Review of Economics and Statistics (1996)
  2. Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (2)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (2)
  3. Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models
    CIRANO Working Papers, CIRANO Downloads View citations (8)
    See also Journal Article in International Economic Review (1998)
  4. Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
    CIRANO Working Papers, CIRANO Downloads View citations (8)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (1)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (4)

    See also Journal Article in Journal of Money, Credit and Banking (1997)
  5. Infrequent information, optimal time and state dependent rules, and aggregate effects
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads
  6. On the Dynamic Specification of International Asset Pricing Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995)
    CIRANO Working Papers, CIRANO (1995) Downloads View citations (1)

1994

  1. Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles
    CIRANO Working Papers, CIRANO Downloads View citations (11)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (1993) Downloads View citations (4)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1993) View citations (5)

1992

  1. Can a well-fitted equilibrium asset pricing model produce mean reversion?
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (8)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991) View citations (1)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991) View citations (1)

    See also Journal Article in Journal of Applied Econometrics (1994)
  2. Consumption and equilibrium asset pricing: An empirical assessment
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (1)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991) View citations (5)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991) View citations (5)

    See also Journal Article in Journal of Empirical Finance (1996)
  3. Indexation, Staggering and Disinflation
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (3)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1992)
    Textos para discussão, Department of Economics PUC-Rio (Brazil) (1992) Downloads

    See also Journal Article in Journal of Development Economics (1994)

1991

  1. An analysis of Real Interest Rate Under Regime Shifts
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (4)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991) View citations (2)

1990

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

Journal Articles

2015

  1. The long and the short of the risk-return trade-off
    Journal of Econometrics, 2015, 187, (2), 580-592 Downloads View citations (7)

2014

  1. A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns
    Journal of Financial and Quantitative Analysis, 2014, 49, (5-6), 1133-1165 Downloads View citations (2)
    See also Working Paper (2013)

2012

  1. Assessing misspecified asset pricing models with empirical likelihood estimators
    Journal of Econometrics, 2012, 170, (2), 519-537 Downloads View citations (10)
  2. Bond Liquidity Premia
    Review of Financial Studies, 2012, 25, (4), 1207-1254 Downloads View citations (41)
    See also Working Paper (2009)
  3. Risk aversion, intertemporal substitution, and the term structure of interest rates
    Journal of Applied Econometrics, 2012, 27, (6), 1013-1036
    See also Working Paper (2009)

2011

  1. Assessing and valuing the nonlinear structure of hedge fund returns
    Journal of Applied Econometrics, 2011, 26, (2), 193-212 Downloads View citations (1)
    See also Working Paper (2006)
  2. Dependence structure and extreme comovements in international equity and bond markets
    Journal of Banking & Finance, 2011, 35, (8), 1954-1970 Downloads View citations (57)
    See also Working Paper (2009)
  3. Estimation of objective and risk-neutral distributions based on moments of integrated volatility
    Journal of Econometrics, 2011, 160, (1), 22-32 Downloads View citations (17)
  4. Estimation of stable distributions by indirect inference
    Journal of Econometrics, 2011, 161, (2), 325-337 Downloads View citations (11)
    See also Working Paper (2006)
  5. Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices
    Review of Financial Studies, 2011, 24, (1), 82-122 Downloads View citations (14)
    See also Working Paper (2010)
  6. The JFEC Invited Lecture at the 2009 SoFiE Conference
    Journal of Financial Econometrics, 2011, 9, (1), 1-2 Downloads
  7. The option CAPM and the performance of hedge funds
    Review of Derivatives Research, 2011, 14, (2), 137-167 Downloads

2009

  1. Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility
    Journal of Financial Econometrics, 2009, 10, (1), 124-163 Downloads
    See also Working Paper (2011)
  2. Special Issue on "Multivariate Volatility Models"
    Journal of Financial Econometrics, 2009, 7, (4), 339-340 Downloads
  3. The JFEC Invited Lecture at the 2008 SoFiE Conference
    Journal of Financial Econometrics, 2009, 7, (3), 197-198 Downloads

2008

  1. State Dependence Can Explain the Risk Aversion Puzzle
    Review of Financial Studies, 2008, 21, (2), 973-1011 Downloads View citations (26)
  2. Uses of first line emergency services in Cuba
    Health Policy, 2008, 85, (1), 94-104 Downloads View citations (1)

2007

  1. Proper Conditioning for Coherent VaR in Portfolio Management
    Management Science, 2007, 53, (3), 483-494 Downloads View citations (19)
  2. The Canadian macroeconomy and the yield curve: an equilibrium-based approach
    Canadian Journal of Economics, 2007, 40, (2), 561-583 Downloads View citations (6)
    See also Working Paper (2005)

2006

  1. Asymptotic properties of Monte Carlo estimators of diffusion processes
    Journal of Econometrics, 2006, 134, (1), 1-68 Downloads View citations (11)
    See also Working Paper (2004)
  2. Comment
    Journal of Business & Economic Statistics, 2006, 24, 184-192 Downloads
  3. Disentangling risk aversion and intertemporal substitution through a reference level
    Finance Research Letters, 2006, 3, (3), 181-193 Downloads View citations (11)
    See also Working Paper (2003)

2005

  1. Asymptotic Properties of Monte Carlo Estimators of Derivatives
    Management Science, 2005, 51, (11), 1657-1675 Downloads View citations (8)
  2. Intertemporal asset allocation: A comparison of methods
    Journal of Banking & Finance, 2005, 29, (11), 2821-2848 Downloads View citations (14)
  3. Representation formulas for Malliavin derivatives of diffusion processes
    Finance and Stochastics, 2005, 9, (3), 349-367 Downloads View citations (9)
  4. Viewpoint: Option prices, preferences, and state variables
    Canadian Journal of Economics, 2005, 38, (1), 1-27 Downloads View citations (1)

2003

  1. A Monte Carlo Method for Optimal Portfolios
    Journal of Finance, 2003, 58, (1), 401-446 Downloads View citations (68)
    See also Working Paper (2000)
  2. Empirical assessment of an intertemporal option pricing model with latent variables
    Journal of Econometrics, 2003, 116, (1-2), 49-83 Downloads View citations (33)
    See also Working Paper (2001)

2002

  1. Are the Effects of Monetary Policy Asymmetric?
    Economic Inquiry, 2002, 40, (1), 102-119 View citations (33)
    See also Working Paper (1999)

2001

  1. Tests of conditional asset pricing models in the Brazilian stock market
    Journal of International Money and Finance, 2001, 20, (1), 71-90 Downloads View citations (6)
    See also Working Paper (1999)
  2. The macroeconomic effects of infrequent information with adjustment costs
    Canadian Journal of Economics, 2001, 34, (1), 18-35 Downloads View citations (3)
    See also Working Paper (2000)

2000

  1. Econometric methods for derivative securities and risk management
    Journal of Econometrics, 2000, 94, (1-2), 1-7 Downloads
  2. Pricing and hedging derivative securities with neural networks and a homogeneity hint
    Journal of Econometrics, 2000, 94, (1-2), 93-115 Downloads View citations (52)
    See also Working Paper (1998)

1998

  1. A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
    Mathematical Finance, 1998, 8, (2), 153-161 Downloads View citations (8)
    See also Working Paper (1997)
  2. Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models
    International Economic Review, 1998, 39, (3), 763-88 View citations (269)
    See also Working Paper (1995)
  3. Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence: identification des facteurs de risque et tests de changement structurel
    L'Actualité Economique, 1998, 74, (3), 467-484 Downloads
  4. Structural change and asset pricing in emerging markets
    Journal of International Money and Finance, 1998, 17, (3), 455-473 Downloads View citations (30)
    See also Working Paper (1996)

1997

  1. Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
    Journal of Money, Credit and Banking, 1997, 29, (2), 154-76 View citations (41)
    See also Working Paper (1995)

1996

  1. An Analysis of the Real Interest Rate under Regime Shifts
    The Review of Economics and Statistics, 1996, 78, (1), 111-25 Downloads View citations (311)
    See also Working Paper (1995)
  2. Consumption and equilibrium asset pricing: An empirical assessment
    Journal of Empirical Finance, 1996, 3, (3), 239-265 Downloads View citations (20)
    See also Working Paper (1992)

1995

  1. Information asymétrique, contraintes de liquidité et investissement
    L'Actualité Economique, 1995, 71, (4), 398-420 Downloads

1994

  1. Can a Well-Fitted Equilibrium Asset-Pricing Model Produce Mean Reversion?
    Journal of Applied Econometrics, 1994, 9, (1), 19-29 Downloads View citations (10)
    See also Working Paper (1992)
  2. Indexation, staggering and disinflation
    Journal of Development Economics, 1994, 43, (1), 39-58 Downloads View citations (2)
    See also Working Paper (1992)

1989

  1. Application of a simulation software to the analysis of a peasant farming system
    Agricultural Systems, 1989, 30, (4), 317-334 Downloads View citations (1)

1986

  1. La théorie économique de l’information: exposé synthétique de la littérature
    L'Actualité Economique, 1986, 62, (1), 88-109 Downloads

1978

  1. 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 Downloads

1977

  1. Disequilibrium Econometrics for Business Loans
    Econometrica, 1977, 45, (5), 1187-1204 Downloads View citations (42)

Editor

  1. Journal of Financial Econometrics
    Society for Financial Econometrics
 
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