Details about Richard Luger
Access statistics for papers by Richard Luger.
Last updated 2025-03-15. Update your information in the RePEc Author Service.
Short-id: plu79
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Working Papers
2024
- Regularizing stock return covariance matrices via multiple testing of correlations
Papers, arXiv.org 
See also Journal Article Regularizing stock return covariance matrices via multiple testing of correlations, Journal of Econometrics, Elsevier (2025) (2025)
2017
- Identification-robust moment-based tests for Markov-switching in autoregressive models
Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques View citations (3)
Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2016)  CIRANO Working Papers, CIRANO (2016) 
See also Journal Article Identification-robust moment-based tests for Markov switching in autoregressive models, Econometric Reviews, Taylor & Francis Journals (2017) View citations (3) (2017)
2014
- Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Staff Working Papers, Bank of Canada 
See also Journal Article BOOTSTRAP TESTS OF MEAN-VARIANCE EFFICIENCY WITH MULTIPLE PORTFOLIO GROUPINGS, L'Actualité Economique, Société Canadienne de Science Economique (2015) View citations (3) (2015)
2013
- Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
Staff Working Papers, Bank of Canada View citations (1)
See also Journal Article Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (6) (2016)
2011
- Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis
Working Papers, CEMFI View citations (3)
2010
- Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
Staff Working Papers, Bank of Canada
2009
- 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)
2005
- 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)
2004
- Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates
Staff Working Papers, Bank of Canada View citations (5)
- The New Keynesian Phillips Curve: An Empirical Assessment
Computing in Economics and Finance 2004, Society for Computational Economics View citations (14)
Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (14)
2001
- Asymmetric Smiles, Leverage Effects and Structural Parameters
CIRANO Working Papers, CIRANO View citations (14)
Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001) View citations (19) 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)
- Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002)
CIRANO Working Papers, CIRANO
- 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 Working Papers, Center for Research in Economics and Statistics (2000) View citations (7) Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001)
See also Journal Article Empirical assessment of an intertemporal option pricing model with latent variables, Journal of Econometrics, Elsevier (2003) View citations (65) (2003)
- Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity
Staff Working Papers, Bank of Canada 
See also Journal Article Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity, Journal of Econometrics, Elsevier (2003) View citations (27) (2003)
- On Inflation and the Persistence of Shocks to Output
Staff Working Papers, Bank of Canada 
Also in Computing in Economics and Finance 2001, Society for Computational Economics (2001)
Journal Articles
2025
- Regularizing stock return covariance matrices via multiple testing of correlations
Journal of Econometrics, 2025, 248, (C) 
See also Working Paper Regularizing stock return covariance matrices via multiple testing of correlations, Papers (2024) (2024)
2022
- Multiple testing of the forward rate unbiasedness hypothesis across currencies
Journal of Empirical Finance, 2022, 68, (C), 232-245
2021
- Exact Inference in Long-Horizon Predictive Quantile Regressions with an Application to Stock Returns*
Journal of Financial Econometrics, 2021, 19, (4), 746-788
2020
- Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Journal of Econometrics, 2020, 218, (2), 750-770 View citations (5)
2018
- Markov-switching quantile autoregression: a Gibbs sampling approach
Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (2) View citations (4)
2017
- Identification-robust moment-based tests for Markov switching in autoregressive models
Econometric Reviews, 2017, 36, (6-9), 713-727 View citations (3)
See also Working Paper Identification-robust moment-based tests for Markov-switching in autoregressive models, Cahiers de recherche (2017) View citations (3) (2017)
2016
- Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances
Journal of Business & Economic Statistics, 2016, 34, (2), 161-175 View citations (6)
See also Working Paper Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances, Staff Working Papers (2013) View citations (1) (2013)
2015
- BOOTSTRAP TESTS OF MEAN-VARIANCE EFFICIENCY WITH MULTIPLE PORTFOLIO GROUPINGS
L'Actualité Economique, 2015, 91, (1-2), 35-65 View citations (3)
See also Working Paper Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings, Staff Working Papers (2014) (2014)
- Unfolded GARCH models
Journal of Economic Dynamics and Control, 2015, 58, (C), 186-217 View citations (13)
2013
- Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach
Journal of Business & Economic Statistics, 2013, 31, (1), 66-77 View citations (14)
2012
- Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
Computational Statistics & Data Analysis, 2012, 56, (11), 3198-3211 View citations (7)
- 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
- Book Review: Introducing Monte Carlo Methods with R
Econometric Reviews, 2011, 30, (4), 469-474
2010
- An omnibus test for heteroskedasticity
Economics Letters, 2010, 106, (1), 22-24
2009
- Efficient estimation of copula-GARCH models
Computational Statistics & Data Analysis, 2009, 53, (6), 2284-2297 View citations (27)
- Exact distribution-free tests of mean-variance efficiency
Journal of Empirical Finance, 2009, 16, (5), 816-829 View citations (10)
2007
- 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
- Exact permutation tests for non-nested non-linear regression models
Journal of Econometrics, 2006, 133, (2), 513-529 View citations (1)
- Median‐unbiased Estimation and Exact Inference Methods for First‐order Autoregressive Models with Conditional Heteroscedasticity of Unknown Form
Journal of Time Series Analysis, 2006, 27, (1), 119-128
2005
- 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
- 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)
- Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
Journal of Econometrics, 2003, 115, (2), 259-276 View citations (27)
See also Working Paper Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity, Staff Working Papers (2001) (2001)
2001
- A modified CUSUM test for orthogonal structural changes
Economics Letters, 2001, 73, (3), 301-306 View citations (3)
Undated
- Testing for GARCH effects with quasilikelihood ratios
Journal of Risk
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