EconPapers    
Economics at your fingertips  
 

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 2025-03-15. Update your information in the RePEc Author Service.

Short-id: plu79


Jump to Journal Articles

Working Papers

2024

  1. Regularizing stock return covariance matrices via multiple testing of correlations
    Papers, arXiv.org Downloads
    See also Journal Article Regularizing stock return covariance matrices via multiple testing of correlations, Journal of Econometrics, Elsevier (2025) Downloads (2025)

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 (3)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2016) Downloads
    CIRANO Working Papers, CIRANO (2016) Downloads

    See also Journal Article Identification-robust moment-based tests for Markov switching in autoregressive models, Econometric Reviews, Taylor & Francis Journals (2017) Downloads View citations (3) (2017)

2014

  1. Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
    Staff Working Papers, Bank of Canada Downloads
    See also Journal Article BOOTSTRAP TESTS OF MEAN-VARIANCE EFFICIENCY WITH MULTIPLE PORTFOLIO GROUPINGS, L'Actualité Economique, Société Canadienne de Science Economique (2015) Downloads View citations (3) (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 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) Downloads View citations (6) (2016)

2011

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

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 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

  1. The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach
    Staff Working Papers, Bank of Canada Downloads 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

  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 (14)
    Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) Downloads View citations (14)

2001

  1. Asymmetric Smiles, Leverage Effects and Structural Parameters
    CIRANO Working Papers, CIRANO Downloads 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) Downloads View citations (14)
    Working Papers, Center for Research in Economics and Statistics (2000) Downloads View citations (1)
  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 (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) Downloads View citations (65) (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 Exact non-parametric tests for a random walk with unknown drift under conditional heteroscedasticity, Journal of Econometrics, Elsevier (2003) Downloads View citations (27) (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

2025

  1. Regularizing stock return covariance matrices via multiple testing of correlations
    Journal of Econometrics, 2025, 248, (C) Downloads
    See also Working Paper Regularizing stock return covariance matrices via multiple testing of correlations, Papers (2024) Downloads (2024)

2022

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

2021

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

2020

  1. Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
    Journal of Econometrics, 2020, 218, (2), 750-770 Downloads View citations (5)

2018

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

2017

  1. Identification-robust moment-based tests for Markov switching in autoregressive models
    Econometric Reviews, 2017, 36, (6-9), 713-727 Downloads View citations (3)
    See also Working Paper Identification-robust moment-based tests for Markov-switching in autoregressive models, Cahiers de recherche (2017) Downloads View citations (3) (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 (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) Downloads View citations (1) (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 (3)
    See also Working Paper Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings, Staff Working Papers (2014) Downloads (2014)
  2. Unfolded GARCH models
    Journal of Economic Dynamics and Control, 2015, 58, (C), 186-217 Downloads View citations (13)

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 (14)

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 (7)
  2. 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) Downloads View citations (3) (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 (27)
  2. Exact distribution-free tests of mean-variance efficiency
    Journal of Empirical Finance, 2009, 16, (5), 816-829 Downloads View citations (10)

2007

  1. 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) Downloads

    See also Working Paper The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach, Staff Working Papers (2005) Downloads View citations (3) (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/Revue canadienne d'économique, 2005, 38, (1), 1-27 Downloads View citations (3)
    Also in Canadian Journal of Economics, 2005, 38, (1), 1-27 (2005) Downloads View citations (3)

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 (65)
    See also Working Paper Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables, Cahiers de recherche (2001) Downloads View citations (4) (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 (27)
    See also Working Paper Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity, Staff Working Papers (2001) Downloads (2001)

2001

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

Undated

  1. Testing for GARCH effects with quasilikelihood ratios
    Journal of Risk Downloads
 
Page updated 2025-03-31