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 1 1 3 116 3 3 10 196
A Monte-Carlo Method for Optimal Portfolios 0 0 0 1,517 1 4 12 3,715
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 0 0 0 697 1 3 9 3,332
AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS 0 0 0 1 3 5 16 801
Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management 0 0 1 28 1 6 12 113
An Analysis of the Real Interest Rate Under Regime Shifts 0 0 2 847 2 9 17 3,399
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 1 2 4 11 922
An Analysis of the Real Interest rate Under Regime Shifts 0 0 0 102 3 4 14 458
An analysis of Real Interest Rate Under Regime Shifts 0 0 0 0 4 5 13 211
An analysis of Real Interest Rate Under Regime Shifts 0 0 0 0 1 3 12 90
Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon 0 0 0 0 3 3 5 5
Are the Effects of Monetary Policy Asymmetric? 0 0 3 442 1 4 13 1,640
Are the Effects of Monetary Policy Asymmetric? 0 1 2 638 3 7 17 1,698
Are the Effects of Monetary Policy Asymmetric? 0 0 0 1 2 3 6 250
Are the Effects of Monetary Policy Asymmetric? 0 1 1 49 1 3 11 181
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns 0 0 0 175 0 1 5 507
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 9 1 2 8 392
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 0 1 2 2 6 385
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 2 588 1 2 10 2,569
Asymmetric Smiles, Leverage Effects and Structural Parameters 0 0 2 169 0 0 7 766
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 0 0 0 1 129
Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 8 0 0 3 55
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models 2 3 10 859 8 13 44 4,324
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes 0 0 0 312 0 0 4 1,188
Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes 0 0 0 1 0 0 1 317
Bond Liquidity Premia 0 2 4 79 0 3 16 252
Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion? 0 0 0 0 0 0 4 97
Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion? 0 0 0 0 0 1 3 225
Can a well-fitted equilibrium asset pricing model produce mean reversion? 0 0 2 9 0 0 3 104
Consumption and Equilibrium Asset Pricing: an Empirical Assessment 0 0 0 0 0 1 8 133
Consumption and Equilibrium Asset Pricing: an Empirical Assessment 0 0 0 0 0 1 9 198
Consumption and equilibrium asset pricing: An empirical assessment 0 1 1 23 0 1 7 118
Dependence Structure and Extreme Comovements in International Equity and Bond Markets 1 2 3 170 1 5 21 441
Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles 0 0 0 1 1 2 13 573
Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles 0 0 0 623 0 0 10 3,302
Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles 0 0 0 33 0 1 16 200
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level 1 1 1 189 1 5 10 921
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables 0 0 0 8 1 4 10 245
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) 0 0 0 440 0 1 4 2,255
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables 0 0 0 83 1 1 4 342
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables 0 0 0 1 1 1 4 236
Estimation of stable distributions by indirect inference 0 0 0 74 1 1 6 247
Estimation of stable distributions with indirect inference 0 0 0 5 0 0 5 40
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 0 0 0 7 172
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 1 154 0 0 9 1,081
Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation 0 0 0 21 0 0 9 130
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns 0 0 0 27 1 3 10 43
Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns 0 0 3 26 0 3 21 104
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices 0 0 1 27 1 1 8 101
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices 0 0 1 87 1 2 11 241
Incorporating Second-Order Functional Knowledge for Better Option Pricing 0 0 1 44 1 4 12 294
Indexation, Staggering and Disinflation 0 0 0 0 0 0 6 97
Indexation, Staggering and Disinflation 0 0 0 0 0 0 3 141
Indexation, staggering and disinflation 0 0 1 10 0 0 2 57
Infrequent information, optimal time and state dependent rules, and aggregate effects 0 0 1 4 0 0 2 64
Latent Variable Models for Stochastic Discount 0 0 0 3 0 0 4 229
Latent Variable Models for Stochastic Discount Factors 0 1 5 127 1 5 22 509
Latent Variable Models for Stochastic Discount Factors 0 0 2 527 0 0 8 2,704
Les modèles de prévisions économiques 0 0 1 71 0 0 2 259
Letent Variable Models for Stochastic Discount Factors 0 0 0 0 0 0 10 247
MEAN AVERSION IN EQUILIBRIUM ASSET PRICES: COMMENT 0 0 0 0 0 2 3 348
Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility 0 0 2 125 1 2 6 329
Measuring causality between volatility and returns with high-frequency data 0 0 0 95 1 2 13 385
Modelling Risk Premiums in Equity and Foreign Exchange Markets 0 0 1 544 0 1 11 1,689
Nonparametric Assessment of Hedge Fund Performance 0 0 2 9 0 2 12 26
Nonparametric Assessment of Hedge Fund Performance 0 0 0 0 1 4 9 9
Nonparametric Tail Risk, Stock Returns and the Macroeconomy 0 0 1 72 1 1 7 103
On the Dynamic Specification of International Asset Pricing Models 0 0 0 0 0 0 1 165
On the Dynamic Specification of International Asset Pricing Models 0 0 0 4 0 0 2 70
On the Dynamic Specification of International Asset Pricing Models 0 0 0 547 0 0 2 2,209
Optimal Rules under Adjustment Cost and Infrequent Information 0 0 0 38 0 0 2 252
Persistent Monetary Non-neutrality in an Estimated Model with Menu Costs and Partially Costly Information 1 1 2 23 1 1 3 85
Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint 0 2 8 651 1 8 32 2,259
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 12 1 1 11 75
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 1 847 1 2 6 4,508
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 110 1 1 7 539
Risk Aversion, Intertemporal Substitution, and Option Pricing 0 0 0 0 1 1 3 493
Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates 0 0 0 83 0 1 6 256
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle 0 0 0 110 0 0 3 322
State-dependent pricing under infrequent information: a unified framework 0 0 1 41 0 1 4 128
Structural Change and Asset Pricing in Emerging Markets 0 0 1 564 0 1 4 2,325
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 1 1 1 536 1 1 5 2,084
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 79 0 1 4 462
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 0 0 0 353 0 0 2 2,120
Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market 0 0 0 1 0 0 2 815
Tests of conditional asset pricing models in the Brazilian stock market 1 1 1 41 1 1 4 199
Tests of conditional asset pricing models in the brazilian stock market 0 0 0 4 0 0 1 394
The Alleviation of Coordination Problems through Financial Risk Management 0 0 0 40 1 1 4 179
The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach 0 0 1 151 1 1 8 583
The Econometrics of Option Pricing 0 0 1 1,252 0 3 20 3,082
The Macroeconomic Effects of Infrequent Information With Adjustment Costs 0 0 0 0 2 3 8 263
The Macroeconomic Effects of Infrequent Information with Adjustment Costs 0 0 1 28 2 2 10 227
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments 0 0 0 190 0 0 8 750
The Value of Real and Financial Risk Management 0 0 2 311 1 6 14 1,012
The macroeconomic effects of infrequent information with adjustment costs 0 0 0 7 1 1 7 121
Time- and State-Dependent Pricing: A Unified Framework 0 0 1 22 1 2 10 79
Total Working Papers 8 18 82 16,317 76 185 820 72,990


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 1 16 4 5 9 59
A Monte Carlo Method for Optimal Portfolios 0 0 2 261 1 2 13 557
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models 0 0 0 15 0 1 2 56
Alleviating Coordination Problems and Regulatory Constraints Through Financial Risk Management 0 0 1 2 0 1 6 15
An Analysis of the Real Interest Rate under Regime Shifts 1 5 28 755 6 23 74 1,773
Application of a simulation software to the analysis of a peasant farming system 0 0 0 7 0 0 2 42
Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon 0 0 4 6 1 1 8 20
Are the Effects of Monetary Policy Asymmetric? 0 0 0 0 0 2 10 339
Assessing and valuing the nonlinear structure of hedge fund returns 0 0 0 28 0 1 4 87
Assessing misspecified asset pricing models with empirical likelihood estimators 0 1 4 57 2 4 17 202
Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models 0 0 0 1 5 10 39 2,250
Asymptotic Properties of Monte Carlo Estimators of Derivatives 0 0 0 5 0 0 4 43
Asymptotic properties of Monte Carlo estimators of diffusion processes 0 1 1 39 0 3 6 157
Bond Liquidity Premia 0 2 5 32 0 3 17 131
Can a Well-Fitted Equilibrium Asset-Pricing Model Produce Mean Reversion? 0 0 0 63 0 0 0 382
Comment 0 0 0 4 0 0 0 31
Consumption and equilibrium asset pricing: An empirical assessment 0 0 0 56 0 2 6 198
Dependence structure and extreme comovements in international equity and bond markets 1 2 6 85 4 10 27 284
Disentangling risk aversion and intertemporal substitution through a reference level 0 1 1 47 0 2 6 165
Disequilibrium Econometrics for Business Loans 1 2 7 201 1 5 12 480
Econometric methods for derivative securities and risk management 0 1 1 83 0 1 3 206
Economic Implications of Nonlinear Pricing Kernels 0 0 0 0 0 1 1 1
Empirical assessment of an intertemporal option pricing model with latent variables 0 1 1 85 0 2 12 277
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 1 0 1 3 14
Estimation of objective and risk-neutral distributions based on moments of integrated volatility 0 0 1 51 1 2 7 203
Estimation of stable distributions by indirect inference 0 0 1 83 0 1 8 246
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation 0 0 0 1 0 1 12 499
Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices 0 0 0 32 1 3 7 103
Indexation, staggering and disinflation 0 0 0 33 0 0 2 107
Information asymétrique, contraintes de liquidité et investissement 0 0 0 8 0 0 2 86
Intertemporal asset allocation: A comparison of methods 0 0 0 71 1 2 5 175
L'effet redistributif de l'inflation de 1969 a 1975 sur les menages canadiens. (With English summary.) 0 0 0 6 0 0 1 142
La théorie économique de l’information: exposé synthétique de la littérature 0 0 0 28 0 2 4 208
Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility 0 0 0 15 0 0 4 48
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 17 0 0 2 144
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 1 1 1 22 3 3 15 93
Nonparametric assessment of hedge fund performance 0 0 0 0 0 5 10 10
Pricing and hedging derivative securities with neural networks and a homogeneity hint 0 0 13 162 2 8 47 495
Prime de risque et prix du risque sur les actions 0 0 0 1 0 2 3 5
Proper Conditioning for Coherent VaR in Portfolio Management 0 0 0 13 0 1 9 71
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 0 0 0 3 17
Representation formulas for Malliavin derivatives of diffusion processes 0 0 0 54 0 0 2 148
Risk aversion, intertemporal substitution, and the term structure of interest rates 0 0 0 0 1 1 4 61
Special Issue on "Multivariate Volatility Models" 0 0 0 25 0 0 6 77
State Dependence Can Explain the Risk Aversion Puzzle 0 1 1 33 1 3 12 102
Structural change and asset pricing in emerging markets 0 0 2 85 0 1 6 290
Tests of conditional asset pricing models in the Brazilian stock market 1 1 2 83 1 3 11 274
The Canadian macroeconomy and the yield curve: an equilibrium-based approach 0 0 0 21 0 0 3 167
The Canadian macroeconomy and the yield curve: an equilibrium‐based approach 0 0 0 0 1 1 5 5
The JFEC Invited Lecture at the 2008 SoFiE Conference 0 0 1 7 0 0 4 37
The JFEC Invited Lecture at the 2009 SoFiE Conference 0 0 0 13 0 0 1 65
The long and the short of the risk-return trade-off 0 0 0 11 1 1 9 94
The macroeconomic effects of infrequent information with adjustment costs 0 0 0 0 1 1 2 2
The macroeconomic effects of infrequent information with adjustment costs 0 0 0 46 2 3 6 382
The option CAPM and the performance of hedge funds 0 0 0 45 1 3 8 176
Uses of first line emergency services in Cuba 0 0 0 7 0 0 1 59
Viewpoint: Option prices, preferences, and state variables 0 0 0 29 1 1 2 150
Viewpoint: Option prices, preferences, and state variables 0 0 0 0 1 1 2 2
Total Journal Articles 5 19 84 2,851 43 129 506 12,512


Statistics updated 2021-01-03