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

Working Papers

2024

1. 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

2. 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 CIRANO Working Papers, CIRANO (2016)
   Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (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

3. 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

4. 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

5. Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis
   Working Papers, CEMFI View citations (3)

2010

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

2009

7. 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

8. 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

9. 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)
10. 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

11. Asymmetric Smiles, Leverage Effects and Structural Parameters
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (19)
    Also in Working Papers, Center for Research in Economics and Statistics (2000) View citations (1)
    CIRANO Working Papers, CIRANO (2001) View citations (14)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2001) View citations (14)
12. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002)
    CIRANO Working Papers, CIRANO
13. 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)
14. 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)
15. 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

1. 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

2. Multiple testing of the forward rate unbiasedness hypothesis across currencies
   Journal of Empirical Finance, 2022, 68, (C), 232-245

2021

3. Exact Inference in Long-Horizon Predictive Quantile Regressions with an Application to Stock Returns*
   Journal of Financial Econometrics, 2021, 19, (4), 746-788

2020

4. 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

5. Markov-switching quantile autoregression: a Gibbs sampling approach
   Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (2) View citations (4)

2017

6. 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

7. 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

8. 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)
9. Unfolded GARCH models
   Journal of Economic Dynamics and Control, 2015, 58, (C), 186-217 View citations (13)

2013

10. 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

11. Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
    Computational Statistics & Data Analysis, 2012, 56, (11), 3198-3211 View citations (7)
12. 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

13. Book Review: Introducing Monte Carlo Methods with R
    Econometric Reviews, 2011, 30, (4), 469-474

2010

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

2009

15. Efficient estimation of copula-GARCH models
    Computational Statistics & Data Analysis, 2009, 53, (6), 2284-2297 View citations (27)
16. Exact distribution-free tests of mean-variance efficiency
    Journal of Empirical Finance, 2009, 16, (5), 816-829 View citations (10)

2007

17. 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

18. Exact permutation tests for non-nested non-linear regression models
    Journal of Econometrics, 2006, 133, (2), 513-529 View citations (2)
19. 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

20. 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

21. 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)
22. 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

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

Undated

24. Testing for GARCH effects with quasilikelihood ratios
    Journal of Risk