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Details about Richard Luger

Workplace:Département finance, assurance et immobilier (Department of Finance, Insurance and Real Estate), Faculté des sciences de l'administration (Faculty of Management), Université Laval (Laval University), (more information at EDIRC)

Access statistics for papers by Richard Luger.

Last updated 2018-09-13. Update your information in the RePEc Author Service.

Short-id: plu79


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Working Papers

2017

  1. 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 Downloads View citations (1)
    Also in CIRANO Working Papers, CIRANO (2016) Downloads
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2016) Downloads

    See also Journal Article in Econometric Reviews (2017)

2014

  1. Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
    Staff Working Papers, Bank of Canada Downloads
    See also Journal Article in L'Actualité Economique (2015)

2013

  1. Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
    Staff Working Papers, Bank of Canada Downloads View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2016)

2011

  1. Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis
    Working Papers, CEMFI Downloads View citations (2)

2010

  1. Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
    Staff Working Papers, Bank of Canada Downloads

2009

  1. 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)

2005

  1. 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)

2004

  1. Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates
    Staff Working Papers, Bank of Canada Downloads View citations (5)
  2. The New Keynesian Phillips Curve: An Empirical Assessment
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (10)
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) Downloads View citations (9)

2001

  1. Asymmetric Smiles, Leverage Effects and Structural Parameters
    CIRANO Working Papers, CIRANO Downloads View citations (8)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2001) Downloads View citations (5)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001) View citations (17)
    Working Papers, Center for Research in Economics and Statistics (2000) Downloads
  2. 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 Working Papers, Center for Research in Economics and Statistics (2000) Downloads View citations (6)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2001)

    See also Journal Article in Journal of Econometrics (2003)
  4. Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity
    Staff Working Papers, Bank of Canada Downloads
    See also Journal Article in Journal of Econometrics (2003)
  5. On Inflation and the Persistence of Shocks to Output
    Staff Working Papers, Bank of Canada Downloads
    Also in Computing in Economics and Finance 2001, Society for Computational Economics (2001)

Journal Articles

2018

  1. Markov-switching quantile autoregression: a Gibbs sampling approach
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (2) Downloads View citations (1)

2017

  1. Identification-robust moment-based tests for Markov switching in autoregressive models
    Econometric Reviews, 2017, 36, (6-9), 713-727 Downloads View citations (1)
    See also Working Paper (2017)

2016

  1. 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 Downloads View citations (1)
    See also Working Paper (2013)

2015

  1. BOOTSTRAP TESTS OF MEAN-VARIANCE EFFICIENCY WITH MULTIPLE PORTFOLIO GROUPINGS
    L'Actualité Economique, 2015, 91, (1-2), 35-65 Downloads View citations (1)
    See also Working Paper (2014)
  2. Unfolded GARCH models
    Journal of Economic Dynamics and Control, 2015, 58, (C), 186-217 Downloads View citations (6)

2013

  1. Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach
    Journal of Business & Economic Statistics, 2013, 31, (1), 66-77 Downloads View citations (11)

2012

  1. Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
    Computational Statistics & Data Analysis, 2012, 56, (11), 3198-3211 Downloads View citations (5)
  2. 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. Book Review: Introducing Monte Carlo Methods with R
    Econometric Reviews, 2011, 30, (4), 469-474 Downloads

2010

  1. An omnibus test for heteroskedasticity
    Economics Letters, 2010, 106, (1), 22-24 Downloads

2009

  1. Efficient estimation of copula-GARCH models
    Computational Statistics & Data Analysis, 2009, 53, (6), 2284-2297 Downloads View citations (22)
  2. Exact distribution-free tests of mean-variance efficiency
    Journal of Empirical Finance, 2009, 16, (5), 816-829 Downloads View citations (7)

2007

  1. The Canadian macroeconomy and the yield curve: an equilibrium-based approach
    Canadian Journal of Economics, 2007, 40, (2), 561-583 View citations (7)
    See also Working Paper (2005)

2006

  1. Exact permutation tests for non-nested non-linear regression models
    Journal of Econometrics, 2006, 133, (2), 513-529 Downloads View citations (1)
  2. 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 Downloads

2005

  1. Viewpoint: Option prices, preferences, and state variables
    Canadian Journal of Economics, 2005, 38, (1), 1-27 Downloads View citations (1)

2003

  1. Empirical assessment of an intertemporal option pricing model with latent variables
    Journal of Econometrics, 2003, 116, (1-2), 49-83 Downloads View citations (46)
    See also Working Paper (2001)
  2. Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity
    Journal of Econometrics, 2003, 115, (2), 259-276 Downloads View citations (24)
    See also Working Paper (2001)

2001

  1. A modified CUSUM test for orthogonal structural changes
    Economics Letters, 2001, 73, (3), 301-306 Downloads View citations (3)
 
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