Details about René Garcia

Workplace:

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

Access statistics for papers by René Garcia.

Last updated 2025-02-06. Update your information in the RePEc Author Service.

Short-id: pga447

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Working Papers

2023

1. Tail Risk and Asset Prices in the Short-term
   Working Papers, Princeton University. Economics Department.

2020

2. Extracting Tail Risk from High-Frequency S&P 500 Returns
   Working Papers, Princeton University. Economics Department.
3. Nonparametric Assessment of Hedge Fund Performance
   Post-Print, HAL View citations (4)
   Also in TSE Working Papers, Toulouse School of Economics (TSE) (2019) View citations (1)
   See also Journal Article Nonparametric assessment of hedge fund performance, Journal of Econometrics, Elsevier (2020) View citations (4) (2020)

2019

4. Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon
   Post-Print, HAL View citations (4)
   See also Journal Article Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon, The North American Journal of Economics and Finance, Elsevier (2019) View citations (4) (2019)
5. Risk Premium and Risk Price in the Equity MarketRisk
   (Prime de risque et prix du risque sur les actions)
   Post-Print, HAL

2016

6. Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
   CIRANO Working Papers, CIRANO View citations (2)
   Also in Staff Working Papers, Bank of Canada (2015) View citations (6)
7. Nonparametric Tail Risk, Stock Returns and the Macroeconomy
   CIRANO Working Papers, CIRANO View citations (3)
   See also Journal Article Nonparametric Tail Risk, Stock Returns, and the Macroeconomy, Journal of Financial Econometrics, Oxford University Press (2017) View citations (24) (2017)

2015

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

2013

9. A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns
   CIRANO Working Papers, CIRANO View citations (5)
   See also Journal Article A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns, Journal of Financial and Quantitative Analysis, Cambridge University Press (2014) View citations (26) (2014)
10. Time- and State-Dependent Pricing: A Unified Framework
    2013 Meeting Papers, Society for Economic Dynamics View citations (1)

2011

11. Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management
    CIRANO Working Papers, CIRANO
    See also Journal Article Alleviating Coordination Problems and Regulatory Constraints Through Financial Risk Management, Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd. (2013) View citations (2) (2013)
12. Estimation of stable distributions with indirect inference
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
13. Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
    CIRANO Working Papers, CIRANO View citations (4)
    See also Journal Article Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility, Journal of Financial Econometrics, Oxford University Press (2009) (2009)

2010

14. Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (4)
    Also in TSE Working Papers, Toulouse School of Economics (TSE) (2010) View citations (4)
    See also Journal Article Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices, The Review of Financial Studies, Society for Financial Studies (2011) View citations (37) (2011)
15. State-dependent pricing under infrequent information: a unified framework
    Staff Reports, Federal Reserve Bank of New York View citations (11)
16. The Alleviation of Coordination Problems through Financial Risk Management
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ

2009

17. Bond Liquidity Premia
    Staff Working Papers, Bank of Canada View citations (39)
    See also Journal Article Bond Liquidity Premia, The Review of Financial Studies, Society for Financial Studies (2012) View citations (106) (2012)
18. Dependence Structure and Extreme Comovements in International Equity and Bond Markets
    CIRANO Working Papers, CIRANO View citations (5)
    See also Journal Article Dependence structure and extreme comovements in international equity and bond markets, Journal of Banking & Finance, Elsevier (2011) View citations (146) (2011)
19. Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates
    CIRANO Working Papers, CIRANO View citations (3)
    See also Journal Article Risk aversion, intertemporal substitution, and the term structure of interest rates, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2012) View citations (3) (2012)

2008

20. Measuring causality between volatility and returns with high-frequency data
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (6)

2006

21. Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
    Staff Working Papers, Bank of Canada View citations (5)
    See also Journal Article Assessing and valuing the nonlinear structure of hedge fund returns, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (12) (2011)
22. Estimation of stable distributions by indirect inference
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (10)
    See also Journal Article Estimation of stable distributions by indirect inference, Journal of Econometrics, Elsevier (2011) View citations (24) (2011)

2005

23. State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle
    Staff Working Papers, Bank of Canada
24. The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach
    Staff Working Papers, Bank of Canada View citations (3)
    See also Journal Article The Canadian macroeconomy and the yield curve: an equilibrium-based approach, Canadian Journal of Economics, Canadian Economics Association (2007) View citations (8) (2007)
25. 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
26. The Value of Real and Financial Risk Management
    CIRANO Working Papers, CIRANO View citations (4)

2004

27. 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)
    See also Journal Article Asymptotic properties of Monte Carlo estimators of diffusion processes, Journal of Econometrics, Elsevier (2006) View citations (17) (2006)
28. Optimal Rules under Adjustment Cost and Infrequent Information
    Econometric Society 2004 Latin American Meetings, Econometric Society View citations (1)
29. The Econometrics of Option Pricing
    CIRANO Working Papers, CIRANO View citations (24)

2003

30. Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level
    CIRANO Working Papers, CIRANO View citations (2)
    See also Journal Article Disentangling risk aversion and intertemporal substitution through a reference level, Finance Research Letters, Elsevier (2006) View citations (21) (2006)

2002

31. Incorporating Second-Order Functional Knowledge for Better Option Pricing
    CIRANO Working Papers, CIRANO View citations (1)

2001

32. Asymmetric Smiles, Leverage Effects and Structural Parameters
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (19)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2001) View citations (14)
    Working Papers, Center for Research in Economics and Statistics (2000) View citations (1)
    CIRANO Working Papers, CIRANO (2001) View citations (14)
33. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002)
    CIRANO Working Papers, CIRANO
34. Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables
    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 (2001)
    Working Papers, Center for Research in Economics and Statistics (2000) View citations (7)
    See also Journal Article Empirical assessment of an intertemporal option pricing model with latent variables, Journal of Econometrics, Elsevier (2003) View citations (65) (2003)

2000

35. A Monte-Carlo Method for Optimal Portfolios
    CIRANO Working Papers, CIRANO View citations (18)
    See also Journal Article A Monte Carlo Method for Optimal Portfolios, Journal of Finance, American Finance Association (2003) View citations (122) (2003)
36. Latent Variable Models for Stochastic Discount
    Working Papers, Center for Research in Economics and Statistics View citations (2)
37. Latent Variable Models for Stochastic Discount Factors
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (2)
    Also in CIRANO Working Papers, CIRANO (1999) View citations (3)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2000)
38. Modelling Risk Premiums in Equity and Foreign Exchange Markets
    Staff Working Papers, Bank of Canada
39. The macroeconomic effects of infrequent information with adjustment costs
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)
    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) View citations (2)
    See also Journal Article The macroeconomic effects of infrequent information with adjustment costs, Canadian Journal of Economics, Canadian Economics Association (2001) View citations (5) (2001)

1999

40. Are the Effects of Monetary Policy Asymmetric?
    Carleton Economic Papers, Carleton University, Department of Economics View citations (13)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (24)
    CIRANO Working Papers, CIRANO (1995) View citations (25)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (24)
    See also Journal Article Are the Effects of Monetary Policy Asymmetric?, Economic Inquiry, Western Economic Association International (2002) View citations (88) (2002)
41. Les modèles de prévisions économiques
    CIRANO Project Reports, CIRANO
42. Tests of conditional asset pricing models in the brazilian stock market
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1997) View citations (3)
    CIRANO Working Papers, CIRANO (1997) View citations (3)
    Textos para discussão, Department of Economics PUC-Rio (Brazil) (1997) View citations (3)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1997) View citations (3)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1997) View citations (3)
    See also Journal Article Tests of conditional asset pricing models in the Brazilian stock market, Journal of International Money and Finance, Elsevier (2001) View citations (12) (2001)

1998

43. Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint
    CIRANO Working Papers, CIRANO View citations (2)
    See also Journal Article Pricing and hedging derivative securities with neural networks and a homogeneity hint, Journal of Econometrics, Elsevier (2000) View citations (96) (2000)
44. Risk Aversion, Intertemporal Substitution, and Option Pricing
    Working Papers, Center for Research in Economics and Statistics View citations (11)
    Also in CIRANO Working Papers, CIRANO (1998) View citations (12)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1998) View citations (13)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1998) View citations (11)

1997

45. A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
    CIRANO Working Papers, CIRANO View citations (1)
    See also Journal Article A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models, Mathematical Finance, Wiley Blackwell (1998) View citations (13) (1998)

1996

46. Structural Change and Asset Pricing in Emerging Markets
    CIRANO Working Papers, CIRANO View citations (8)
    See also Journal Article Structural change and asset pricing in emerging markets, Journal of International Money and Finance, Elsevier (1998) View citations (33) (1998)

1995

47. An Analysis of the Real Interest Rate Under Regime Shifts
    CIRANO Working Papers, CIRANO View citations (4)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1994) View citations (4)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991) View citations (4)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991) View citations (2)
    Working Papers, Princeton, Department of Economics - Econometric Research Program (1990) View citations (1)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations (16)
    See also Journal Article An Analysis of the Real Interest Rate under Regime Shifts, The Review of Economics and Statistics, MIT Press (1996) View citations (457) (1996)
48. Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (13)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (2)
49. Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models
    CIRANO Working Papers, CIRANO View citations (12)
    See also Journal Article Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1998) View citations (352) (1998)
50. Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (3)
    Also in CIRANO Working Papers, CIRANO (1995) View citations (8)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (6)
    See also Journal Article Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation, Journal of Money, Credit and Banking, Blackwell Publishing (1997) View citations (60) (1997)
51. Infrequent information, optimal time and state dependent rules, and aggregate effects
    Textos para discussão, Department of Economics PUC-Rio (Brazil)
52. On the Dynamic Specification of International Asset Pricing Models
    CIRANO Working Papers, CIRANO View citations (1)
    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) View citations (1)

1994

53. Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles
    CIRANO Working Papers, CIRANO View citations (13)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1993) View citations (13)
    Textos para discussão, Department of Economics PUC-Rio (Brazil) (1993) View citations (16)

1992

54. Can a well-fitted equilibrium asset pricing model produce mean reversion?
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (8)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1991) View citations (1)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1991) View citations (1)
    See also Journal Article Can a Well-Fitted Equilibrium Asset-Pricing Model Produce Mean Reversion?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1994) View citations (15) (1994)
55. Consumption and equilibrium asset pricing: An empirical assessment
    Textos para discussão, Department of Economics PUC-Rio (Brazil) 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 Consumption and equilibrium asset pricing: An empirical assessment, Journal of Empirical Finance, Elsevier (1996) View citations (25) (1996)
56. Indexation, Staggering and Disinflation
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (3)
    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 Indexation, staggering and disinflation, Journal of Development Economics, Elsevier (1994) View citations (2) (1994)

1990

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

Journal Articles

2025

1. Intermediary Leverage Shocks and Funding Conditions
   Journal of Finance, 2025, 80, (1), 57-99

2024

2. High-Frequency Tail Risk Premium and Stock Return Predictability
   Journal of Financial and Quantitative Analysis, 2024, 59, (8), 3633-3670

2023

3. Persistent Monetary Non-neutrality in an Estimated Menu Cost Model with Partially Costly Information
   American Economic Journal: Macroeconomics, 2023, 15, (2), 466-505

2021

4. Optimal portfolio strategies in the presence of regimes in asset returns
   Journal of Banking & Finance, 2021, 123, (C) View citations (5)

2020

5. Nonparametric assessment of hedge fund performance
   Journal of Econometrics, 2020, 214, (2), 349-378 View citations (4)
   See also Working Paper Nonparametric Assessment of Hedge Fund Performance, Post-Print (2020) View citations (4) (2020)
6. Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I)
   Journal of Financial Econometrics, 2020, 18, (3), 471-472
   Also in Journal of Financial Econometrics, 18, (3), 471-472

2019

7. Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon
   The North American Journal of Economics and Finance, 2019, 48, (C), 364-384 View citations (4)
   See also Working Paper Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon, Post-Print (2019) View citations (4) (2019)
8. Prime de risque et prix du risque sur les actions
   Revue d'économie financière, 2019, N° 133, (1), 199-211

2017

9. Economic Implications of Nonlinear Pricing Kernels
   Management Science, 2017, 63, (10), 3361-3380 View citations (14)
10. Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    Journal of Financial Econometrics, 2017, 15, (3), 504-504 View citations (22)
11. Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    Journal of Financial Econometrics, 2017, 15, (3), 333-376 View citations (24)
    See also Working Paper Nonparametric Tail Risk, Stock Returns and the Macroeconomy, CIRANO Working Papers (2016) View citations (3) (2016)
12. Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    Journal of Financial Econometrics, 2017, 15, (3), 418-426 View citations (22)

2015

13. The long and the short of the risk-return trade-off
    Journal of Econometrics, 2015, 187, (2), 580-592 View citations (13)

2014

14. 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 View citations (26)
    See also Working Paper A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns, CIRANO Working Papers (2013) View citations (5) (2013)

2013

15. Alleviating Coordination Problems and Regulatory Constraints Through Financial Risk Management
    Quarterly Journal of Finance (QJF), 2013, 03, (02), 1-39 View citations (2)
    See also Working Paper Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management, CIRANO Working Papers (2011) (2011)

2012

16. Assessing misspecified asset pricing models with empirical likelihood estimators
    Journal of Econometrics, 2012, 170, (2), 519-537 View citations (39)
17. Bond Liquidity Premia
    The Review of Financial Studies, 2012, 25, (4), 1207-1254 View citations (106)
    See also Working Paper Bond Liquidity Premia, Staff Working Papers (2009) View citations (39) (2009)
18. Risk aversion, intertemporal substitution, and the term structure of interest rates
    Journal of Applied Econometrics, 2012, 27, (6), 1013-1036 View citations (3)
    See also Working Paper Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates, CIRANO Working Papers (2009) View citations (3) (2009)

2011

19. Assessing and valuing the nonlinear structure of hedge fund returns
    Journal of Applied Econometrics, 2011, 26, (2), 193-212 View citations (12)
    See also Working Paper Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns, Staff Working Papers (2006) View citations (5) (2006)
20. Dependence structure and extreme comovements in international equity and bond markets
    Journal of Banking & Finance, 2011, 35, (8), 1954-1970 View citations (146)
    See also Working Paper Dependence Structure and Extreme Comovements in International Equity and Bond Markets, CIRANO Working Papers (2009) View citations (5) (2009)
21. Estimation of objective and risk-neutral distributions based on moments of integrated volatility
    Journal of Econometrics, 2011, 160, (1), 22-32 View citations (28)
22. Estimation of stable distributions by indirect inference
    Journal of Econometrics, 2011, 161, (2), 325-337 View citations (24)
    See also Working Paper Estimation of stable distributions by indirect inference, LIDAM Discussion Papers CORE (2006) View citations (10) (2006)
23. Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices
    The Review of Financial Studies, 2011, 24, (1), 82-122 View citations (37)
    See also Working Paper Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices, IDEI Working Papers (2010) View citations (4) (2010)
24. The JFEC Invited Lecture at the 2009 SoFiE Conference
    Journal of Financial Econometrics, 2011, 9, (1), 1-2
25. The option CAPM and the performance of hedge funds
    Review of Derivatives Research, 2011, 14, (2), 137-167

2009

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

2008

29. State Dependence Can Explain the Risk Aversion Puzzle
    The Review of Financial Studies, 2008, 21, (2), 973-1011 View citations (51)
30. Uses of first line emergency services in Cuba
    Health Policy, 2008, 85, (1), 94-104 View citations (1)

2007

31. Proper Conditioning for Coherent VaR in Portfolio Management
    Management Science, 2007, 53, (3), 483-494 View citations (36)
32. The Canadian macroeconomy and the yield curve: an equilibrium-based approach
    Canadian Journal of Economics, 2007, 40, (2), 561-583 View citations (8)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2007, 40, (2), 561-583 (2007)
    See also Working Paper The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach, Staff Working Papers (2005) View citations (3) (2005)

2006

33. Asymptotic properties of Monte Carlo estimators of diffusion processes
    Journal of Econometrics, 2006, 134, (1), 1-68 View citations (17)
    See also Working Paper Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes, Econometric Society 2004 North American Winter Meetings (2004) View citations (1) (2004)
34. Comment
    Journal of Business & Economic Statistics, 2006, 24, 184-192
35. Disentangling risk aversion and intertemporal substitution through a reference level
    Finance Research Letters, 2006, 3, (3), 181-193 View citations (21)
    See also Working Paper Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level, CIRANO Working Papers (2003) View citations (2) (2003)

2005

36. Asymptotic Properties of Monte Carlo Estimators of Derivatives
    Management Science, 2005, 51, (11), 1657-1675 View citations (10)
37. Intertemporal asset allocation: A comparison of methods
    Journal of Banking & Finance, 2005, 29, (11), 2821-2848 View citations (16)
38. Representation formulas for Malliavin derivatives of diffusion processes
    Finance and Stochastics, 2005, 9, (3), 349-367 View citations (14)
39. Viewpoint: Option prices, preferences, and state variables
    Canadian Journal of Economics/Revue canadienne d'économique, 2005, 38, (1), 1-27 View citations (3)
    Also in Canadian Journal of Economics, 2005, 38, (1), 1-27 (2005) View citations (3)

2003

40. A Monte Carlo Method for Optimal Portfolios
    Journal of Finance, 2003, 58, (1), 401-446 View citations (122)
    See also Working Paper A Monte-Carlo Method for Optimal Portfolios, CIRANO Working Papers (2000) View citations (18) (2000)
41. Empirical assessment of an intertemporal option pricing model with latent variables
    Journal of Econometrics, 2003, 116, (1-2), 49-83 View citations (65)
    See also Working Paper Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables, Cahiers de recherche (2001) View citations (4) (2001)

2002

42. Are the Effects of Monetary Policy Asymmetric?
    Economic Inquiry, 2002, 40, (1), 102-119 View citations (88)
    See also Working Paper Are the Effects of Monetary Policy Asymmetric?, Carleton Economic Papers (1999) View citations (13) (1999)

2001

43. Tests of conditional asset pricing models in the Brazilian stock market
    Journal of International Money and Finance, 2001, 20, (1), 71-90 View citations (12)
    See also Working Paper Tests of conditional asset pricing models in the brazilian stock market, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (1999) (1999)
44. The macroeconomic effects of infrequent information with adjustment costs
    Canadian Journal of Economics, 2001, 34, (1), 18-35 View citations (5)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2001, 34, (1), 18-35 (2001) View citations (5)
    See also Working Paper The macroeconomic effects of infrequent information with adjustment costs, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2000) (2000)

2000

45. Econometric methods for derivative securities and risk management
    Journal of Econometrics, 2000, 94, (1-2), 1-7
46. Pricing and hedging derivative securities with neural networks and a homogeneity hint
    Journal of Econometrics, 2000, 94, (1-2), 93-115 View citations (96)
    See also Working Paper Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint, CIRANO Working Papers (1998) View citations (2) (1998)

1998

47. A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
    Mathematical Finance, 1998, 8, (2), 153-161 View citations (13)
    See also Working Paper A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models, CIRANO Working Papers (1997) View citations (1) (1997)
48. Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models
    International Economic Review, 1998, 39, (3), 763-88 View citations (352)
    See also Working Paper Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models, CIRANO Working Papers (1995) View citations (12) (1995)
49. 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
50. Structural change and asset pricing in emerging markets
    Journal of International Money and Finance, 1998, 17, (3), 455-473 View citations (33)
    See also Working Paper Structural Change and Asset Pricing in Emerging Markets, CIRANO Working Papers (1996) View citations (8) (1996)

1997

51. Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
    Journal of Money, Credit and Banking, 1997, 29, (2), 154-76 View citations (60)
    See also Working Paper Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation, Cahiers de recherche (1995) View citations (3) (1995)

1996

52. An Analysis of the Real Interest Rate under Regime Shifts
    The Review of Economics and Statistics, 1996, 78, (1), 111-25 View citations (457)
    See also Working Paper An Analysis of the Real Interest Rate Under Regime Shifts, CIRANO Working Papers (1995) View citations (4) (1995)
53. Consumption and equilibrium asset pricing: An empirical assessment
    Journal of Empirical Finance, 1996, 3, (3), 239-265 View citations (25)
    See also Working Paper Consumption and equilibrium asset pricing: An empirical assessment, Textos para discussão (1992) View citations (1) (1992)

1995

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

1994

55. Can a Well-Fitted Equilibrium Asset-Pricing Model Produce Mean Reversion?
    Journal of Applied Econometrics, 1994, 9, (1), 19-29 View citations (15)
    See also Working Paper Can a well-fitted equilibrium asset pricing model produce mean reversion?, Textos para discussão (1992) View citations (8) (1992)
56. Indexation, staggering and disinflation
    Journal of Development Economics, 1994, 43, (1), 39-58 View citations (2)
    See also Working Paper Indexation, Staggering and Disinflation, Cahiers de recherche (1992) View citations (3) (1992)

1989

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

1986

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

1978

59. 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

60. Disequilibrium Econometrics for Business Loans
    Econometrica, 1977, 45, (5), 1187-1204 View citations (61)

Edited books

2024

1. Artificial Intelligence and Beyond for Finance
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

Chapters

2024

1. Portfolio Allocation and Reinforcement Learning
   Chapter 3 in Artificial Intelligence and Beyond for Finance, 2024, pp 103-148

Editor

1. Journal of Financial Econometrics
   Oxford University Press