Access Statistics for René Garcia

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns 0 0 0 119 0 2 13 227
A Monte-Carlo Method for Optimal Portfolios 0 0 1 1,525 0 1 14 3,754
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 0 0 0 698 0 1 14 3,360
AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS 0 0 0 1 0 1 12 838
Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management 0 0 0 28 0 1 7 127
An Analysis of the Real Interest Rate Under Regime Shifts 0 1 1 860 1 2 16 3,465
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 1 1 1 12 951
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 103 0 1 17 526
An analysis of Real Interest Rate Under Regime Shifts 0 0 0 0 0 0 11 234
An analysis of Real Interest Rate Under Regime Shifts 0 0 0 0 1 1 13 111
Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon 0 0 0 0 0 0 6 19
Are the Effects of Monetary Policy Asymmetric? 0 0 0 54 1 1 8 206
Are the Effects of Monetary Policy Asymmetric? 0 0 0 457 1 1 17 1,784
Are the Effects of Monetary Policy Asymmetric? 0 0 1 650 0 1 16 1,750
Are the Effects of Monetary Policy Asymmetric? 0 0 0 1 0 1 13 299
Artificial Intelligence and Beyond for Finance 0 0 0 0 1 2 10 25
Artificial Intelligence for Finance - Preface 0 0 0 0 0 0 3 18
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns 0 0 0 175 0 0 28 548
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 1 3 9 404
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 1 590 0 2 14 2,608
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 10 1 1 15 414
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 171 0 1 14 791
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 0 0 0 6 136
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 8 0 0 7 65
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models 0 1 2 868 2 5 32 4,407
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes 0 0 0 1 0 0 21 343
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes 0 0 1 313 0 1 7 1,211
Bond Liquidity Premia 0 0 0 97 0 0 17 320
Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion? 0 0 0 0 2 2 20 120
Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion? 0 0 0 0 0 0 7 236
Can a well-fitted equilibrium asset pricing model produce mean reversion? 0 0 0 9 0 1 9 115
Consumption and Equilibrium Asset Pricing: an Empirical Assessment 0 0 0 0 0 0 7 143
Consumption and Equilibrium Asset Pricing: an Empirical Assessment 0 0 0 0 0 1 11 222
Consumption and equilibrium asset pricing: An empirical assessment 0 0 0 24 0 0 23 149
Dependence Structure and Extreme Comovements in International Equity and Bond Markets 0 0 0 170 1 1 11 520
Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles 0 0 0 1 0 1 8 592
Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles 0 0 0 630 0 0 15 3,332
Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles 0 0 0 37 0 0 6 219
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 0 0 0 189 1 1 7 952
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 1 1 1 9 2 4 12 303
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 442 0 0 9 2,283
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 84 1 2 14 368
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 0 0 11 255
Estimation of stable distributions by indirect inference 0 0 1 75 0 4 17 272
Estimation of stable distributions with indirect inference 0 0 0 5 0 0 12 62
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 0 0 1 9 191
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 157 0 1 13 1,110
Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation 0 0 0 21 0 1 8 145
Extracting Tail Risk from High-Frequency S&P 500 Returns 0 0 0 8 0 1 11 37
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns 0 0 0 27 1 2 28 80
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns 0 0 3 34 1 2 22 158
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices 0 0 0 88 0 0 13 267
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices 0 0 0 27 0 0 6 113
High-Frequency Tail Risk Premium and Stock Return Predictability 0 1 1 9 1 2 21 25
Incorporating Second-Order Functional Knowledge for Better Option Pricing 0 0 1 60 2 6 21 378
Indexation, Staggering and Disinflation 0 0 0 0 0 0 7 148
Indexation, Staggering and Disinflation 0 0 0 0 0 0 7 108
Indexation, staggering and disinflation 0 0 0 11 2 2 9 69
Infrequent information, optimal time and state dependent rules, and aggregate effects 0 0 0 6 0 0 8 77
Intermediary leverage shocks and funding conditions 0 0 0 0 0 0 4 4
Latent Variable Models for Stochastic Discount 0 0 0 3 0 0 18 248
Latent Variable Models for Stochastic Discount Factors 0 0 0 528 1 1 8 2,730
Latent Variable Models for Stochastic Discount Factors 0 0 0 128 0 0 5 531
Les modèles de prévisions économiques 0 0 0 72 0 0 6 268
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 0 1 7 259
MEAN AVERSION IN EQUILIBRIUM ASSET PRICES: COMMENT 0 0 0 0 0 0 9 360
Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility 0 0 0 127 1 1 11 350
Measuring causality between volatility and returns with high-frequency data 0 0 0 96 1 3 15 418
Modelling Risk Premiums in Equity and Foreign Exchange Markets 0 0 0 544 0 0 6 1,697
Nonparametric Assessment of Hedge Fund Performance 0 0 0 0 0 2 7 25
Nonparametric Assessment of Hedge Fund Performance 0 1 1 11 0 3 26 68
Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 1 80 1 2 13 148
On the Dynamic Specification of International Asset Pricing Models 0 0 0 0 1 2 16 186
On the Dynamic Specification of International Asset Pricing Models 0 0 0 547 1 2 13 2,225
On the Dynamic Specification of International Asset Pricing Models 0 0 0 4 0 0 5 80
Optimal Rules under Adjustment Cost and Infrequent Information 0 0 0 40 0 1 8 265
Persistent Monetary Non-neutrality in an Estimated Model with Menu Costs and Partially Costly Information 0 0 2 33 0 0 14 124
Portfolio Allocation and Reinforcement Learning 0 0 0 0 0 0 6 17
Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint 0 0 4 671 0 2 25 2,348
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 13 0 1 10 95
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 0 1 7 553
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 0 2 7 505
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 848 0 1 9 4,537
Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates 0 0 0 85 0 1 12 300
Risk Premium and Risk Price in the Equity MarketRisk 0 0 0 0 0 0 7 18
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 111 0 0 16 348
State-dependent pricing under infrequent information: a unified framework 0 0 1 42 4 4 14 151
Structural Change and Asset Pricing in Emerging Markets 0 0 0 564 0 0 10 2,346
Tail Risk and Asset Prices in the Short-term 0 2 5 9 1 6 28 44
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 79 0 1 11 477
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 353 0 1 12 2,140
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 1 1 538 1 3 11 2,107
Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market 0 0 0 1 0 0 24 846
Tests of conditional asset pricing models in the Brazilian stock market 0 0 0 42 1 2 10 223
Tests of conditional asset pricing models in the brazilian stock market 0 0 1 6 0 1 16 417
The Alleviation of Coordination Problems through Financial Risk Management 0 0 0 40 0 0 8 198
The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach 0 2 2 154 0 2 8 598
The Econometrics of Option Pricing 0 0 1 1,259 1 1 11 3,146
The Macroeconomic Effects of Infrequent Information With Adjustment Costs 0 0 0 0 0 1 11 291
The Macroeconomic Effects of Infrequent Information with Adjustment Costs 0 0 1 30 0 0 3 234
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 191 0 0 13 778
The Value of Real and Financial Risk Management 0 0 0 311 1 1 8 1,027
The macroeconomic effects of infrequent information with adjustment costs 0 0 1 8 0 1 9 134
Time- and State-Dependent Pricing: A Unified Framework 0 0 1 26 0 0 13 108
Uncovering asset market participation from household consumption and income 0 0 0 0 1 2 12 12
Total Working Papers 1 10 36 16,559 40 117 1,276 75,974

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns 0 0 0 19 0 1 12 92
A Monte Carlo Method for Optimal Portfolios 0 0 3 284 0 0 15 628
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 0 0 0 15 0 0 10 73
Alleviating Coordination Problems and Regulatory Constraints Through Financial Risk Management 0 0 0 2 0 1 15 40
An Analysis of the Real Interest Rate under Regime Shifts 0 1 3 809 0 3 26 2,030
Application of a simulation software to the analysis of a peasant farming system 0 0 1 8 1 2 7 53
Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon 0 0 0 13 0 2 9 50
Are the Effects of Monetary Policy Asymmetric? 0 0 0 0 1 2 19 464
Assessing and valuing the nonlinear structure of hedge fund returns 0 0 0 31 0 1 11 106
Assessing misspecified asset pricing models with empirical likelihood estimators 0 0 0 69 1 1 20 251
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 1 1 4 23 2,340
Asymptotic Properties of Monte Carlo Estimators of Derivatives 0 0 0 6 1 2 13 61
Asymptotic properties of Monte Carlo estimators of diffusion processes 0 0 1 42 0 0 16 186
Bond Liquidity Premia 0 0 1 46 0 2 17 195
Can a Well-Fitted Equilibrium Asset-Pricing Model Produce Mean Reversion? 0 0 0 63 0 1 11 400
Comment 0 0 0 4 0 0 7 43
Consumption and equilibrium asset pricing: An empirical assessment 0 0 0 59 0 0 7 219
Dependence structure and extreme comovements in international equity and bond markets 0 0 0 97 0 1 22 415
Disentangling risk aversion and intertemporal substitution through a reference level 0 0 0 54 0 2 14 213
Disequilibrium Econometrics for Business Loans 0 0 0 211 0 0 9 510
Econometric methods for derivative securities and risk management 0 0 0 84 1 1 10 224
Economic Implications of Nonlinear Pricing Kernels 0 1 1 5 0 3 15 47
Empirical assessment of an intertemporal option pricing model with latent variables 0 0 0 89 0 0 6 307
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 0 11 30
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 0 51 0 0 2 222
Estimation of stable distributions by indirect inference 0 0 0 87 0 1 12 270
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 1 0 2 10 529
Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices 0 0 0 34 0 0 11 126
High-Frequency Tail Risk Premium and Stock Return Predictability 0 0 2 4 0 2 30 34
Identification, inference and risk 1 1 11 14 2 3 20 32
Indexation, staggering and disinflation 0 0 0 34 0 1 5 118
Information asymétrique, contraintes de liquidité et investissement 0 0 0 10 0 1 10 101
Intermediary Leverage Shocks and Funding Conditions 1 5 8 12 2 10 27 45
Intertemporal asset allocation: A comparison of methods 0 0 2 75 0 0 12 193
L'effet redistributif de l'inflation de 1969 a 1975 sur les menages canadiens. (With English summary.) 0 0 0 7 1 2 4 149
La théorie économique de l’information: exposé synthétique de la littérature 0 0 0 36 0 0 12 248
Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility 0 0 0 17 0 0 12 70
Modèles d’évaluation des actifs financiers dans les marchés boursiers en émergence: identification des facteurs de risque et tests de changement structurel 0 0 0 18 0 0 7 166
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 1 1 34 0 3 18 171
Nonparametric assessment of hedge fund performance 0 0 0 6 0 1 13 52
Optimal portfolio strategies in the presence of regimes in asset returns 0 1 3 23 0 1 16 73
Persistent Monetary Non-neutrality in an Estimated Menu Cost Model with Partially Costly Information 1 1 1 7 1 3 13 41
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 0 0 0 7 11
Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) 0 0 0 8 0 1 6 28
Pricing and hedging derivative securities with neural networks and a homogeneity hint 1 1 2 204 1 2 25 634
Prime de risque et prix du risque sur les actions 0 0 0 3 0 1 6 21
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 0 15 1 2 13 93
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 0 8 39
Representation formulas for Malliavin derivatives of diffusion processes 0 0 1 55 1 1 11 167
Risk aversion, intertemporal substitution, and the term structure of interest rates 0 0 0 0 1 3 15 91
Special Issue on "Multivariate Volatility Models" 0 0 0 25 0 1 7 87
State Dependence Can Explain the Risk Aversion Puzzle 0 0 0 37 2 3 13 128
Structural change and asset pricing in emerging markets 1 1 1 91 1 1 9 329
Tests of conditional asset pricing models in the Brazilian stock market 0 0 0 87 0 1 8 298
The Canadian macroeconomy and the yield curve: an equilibrium-based approach 0 0 0 21 0 0 8 175
The Canadian macroeconomy and the yield curve: an equilibrium‐based approach 0 0 0 0 1 2 9 18
The JFEC Invited Lecture at the 2008 SoFiE Conference 0 0 0 7 2 2 5 44
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 1 1 2 71
The long and the short of the risk-return trade-off 0 0 0 14 0 0 10 122
The macroeconomic effects of infrequent information with adjustment costs 0 0 0 49 0 0 10 406
The macroeconomic effects of infrequent information with adjustment costs 0 0 1 1 0 0 9 18
The option CAPM and the performance of hedge funds 0 0 0 47 0 1 10 199
Uncovering asset market participation from household consumption and income 0 0 1 1 0 0 20 26
Uses of first line emergency services in Cuba 0 0 0 7 0 0 5 65
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 0 2 9 160
Viewpoint: Option prices, preferences, and state variables 0 0 0 0 0 1 11 18
Total Journal Articles 5 13 44 3,199 23 84 795 14,865

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Portfolio Allocation and Reinforcement Learning 0 0 2 5 0 4 20 27
Total Chapters 0 0 2 5 0 4 20 27

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